public BinanceExchangeUtil(
BinanceHttpClient binanceHttpClient
)
{
_binanceHttpClient = binanceHttpClient;
// get info
// TODO: handle exception
_exchangeInfo = _binanceHttpClient.ExchangeInformationAsync().GetAwaiter().GetResult();
}
public async Task StartAsync(CancellationToken cancellationToken)
{
_logger.LogInformation("Starting...");
var isAvailable = await _binanceHttpClient.TestConnectivityAsync();
if (!isAvailable)
{
throw new Exception($"Binance isn't available!");
}
var exchangeInfo = await _binanceHttpClient.ExchangeInformationAsync();
exchangeInfo.Symbols = exchangeInfo.Symbols.Where(x => x.Status == "TRADING").ToList();
int depth = 20; // 5, 10 ,20
var bookStreams = CirclePahtAlgorithmConfig.AllowedSymbols.Select(symbol => $"{symbol.ToLowerInvariant()}@depth{depth}").ToList();
// use separate handler instance for each stream
var wssStreamMessageHandleManager = new WssStreamMessageHandleManager();
foreach (var stream in bookStreams)
{
wssStreamMessageHandleManager.RegisterStreamHandler(stream, _serviceProvider.GetRequiredService <WssBookDepthHandler>());
}
_binanceWssClient.SetWssStreamMessageHandleManager(wssStreamMessageHandleManager);
await _binanceWssClient.ConnectAsync();
//// subscribe
// Partial Book Depth Streams
// Stream Names: <symbol>@depth<levels> OR <symbol>@depth<levels>@100ms
await Task.WhenAll(bookStreams.Select(stream => _binanceWssClient.SubscribeToStreamAsync(stream)));
// save order book to file periodically
const string orderBookSaveDirPath = "./data-logs/binance/order-book-store";
this._SetInterval(async() =>
{
Directory.CreateDirectory(orderBookSaveDirPath);
string fileName = $"{DateTime.UtcNow.ToString("yyyyMMdd'T'HHmmss'.'fff'Z'")}.log";
var orderBookStore = _serviceProvider.GetService <OrderBookStore>();
string contents = orderBookStore.SerializeToJson(Formatting.None);
File.WriteAllText(Path.Combine(orderBookSaveDirPath, fileName), contents);
_logger.LogInformation("Saved order book on disk.");
}, TimeSpan.FromSeconds(10), cancellationToken);
//
}
