/// <summary>
/// Create a new instance
/// </summary>
/// <param name="symbol">The symbol of the order book</param>
/// <param name="options">The options for the order book</param>
public BinanceSymbolOrderBook(string symbol, BinanceOrderBookOptions options = null) : base(symbol, options ?? new BinanceOrderBookOptions())
{
limit = options?.Limit;
restClient = new BinanceClient();
socketClient = new BinanceSocketClient();
}
public void InitializeWebsocket()
{
_binanceSocketClient = new binance.BinanceSocketClient();
_binanceSocketClient.SubscribeToAllSymbolTickerUpdates((data) =>
{
//TODO new tick event
//TODO other items to register to this event - Trade Execution
List<string> tickers = ActiveInstruments.Where(a => a.Exchange == ExchangeName.Binance).Select(x => x.Symbol).ToList();
var BinanceTicks = data.Where(s => tickers.Contains(s.Symbol)).ToList();
for (byte num = 0; num < BinanceTicks.Count(); num++)
{
if (ins != null)
{
Prices[ins] = BinanceTicks[num].CurrentDayClosePrice;
askQuotes[ins] = BinanceTicks[num].BestAskPrice;
bidQuotes[ins] = BinanceTicks[num].BestBidPrice;
}
}
});
if (_listenKey == null)
{
var bin = _binanceClient.StartUserStream();
if (bin.Success)
{
_listenKey = bin.Data;
}
else
{
HandleErrors(bin.Error);
}
}
_binanceSocketClient.SubscribeToUserDataUpdates(_listenKey,
(accountInfoUpdate) =>
{
//TODO new position event
var BinanceStreamAccount = accountInfoUpdate;
var BinanceStreamPositions = accountInfoUpdate.Balances.Where(a => a.Total > 0).ToList();
List<Position> ballist = new List<Position>();
for (byte n = 0; n < BinanceStreamPositions.Count(); n++)
{
Position bal = new Position(
BinanceStreamPositions[n].Asset,
ExchangeName.Binance,
BinanceStreamPositions[n].Asset == "BNB" ? Math.Min(0, BinanceStreamPositions[n].Total - 1) : BinanceStreamPositions[n].Total
);
ballist.Add(bal);
}
BinanceLivePositions = ballist.Where(a => a.Total > 0 || a.Asset == "BNB").ToList();
},
(orderInfoUpdate) =>
{
//TODO new update order event
var BinanceStreamOrders = orderInfoUpdate;
Order binanceOrder = ConvertOrder(BinanceStreamOrders);
if (BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).Any())
{
//UpdateOrderEvent
if (BinanceStreamOrders.Status == Binance.Net.Objects.OrderStatus.Canceled || BinanceStreamOrders.Status == Binance.Net.Objects.OrderStatus.Filled)
{
for (byte n = 0; n < BinanceLiveOrders.Count(); n++)
{
if (BinanceLiveOrders[n].ClientOrderId == BinanceStreamOrders.OriginalClientOrderId.ToString())
{
BinanceLiveOrders.RemoveAt(n);
if (BinanceStreamOrders.Status == OrderStatus.Filled && ActiveInstruments.Where(a => a.Symbol.Contains(BinanceStreamOrders.Symbol)).Any())
{
if (BinanceStreamOrders.Side == OrderSide.Buy)
{
SymbolData[ActiveInstruments.Single(a => a.Symbol.Contains(BinanceStreamOrders.Symbol))].EntryPrice = BinanceStreamOrders.Price;
}
else
{
SymbolData[ActiveInstruments.Single(a => a.Symbol.Contains(BinanceStreamOrders.Symbol))].EntryPrice = 0;
}
}
break;
}
}
}
else
{
//NewOrderEvent
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().ClientOrderId = BinanceStreamOrders.ClientOrderId;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().Time = BinanceStreamOrders.Time;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().IcebergQuantity = BinanceStreamOrders.IcebergQuantity;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().StopPrice = BinanceStreamOrders.StopPrice;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().Side = BinanceStreamOrders.Side;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().Type = BinanceStreamOrders.Type;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().TimeInForce = BinanceStreamOrders.TimeInForce;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().UpdateTime = BinanceStreamOrders.EventTime;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().Status = BinanceStreamOrders.Status;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().ExecutedQuantity = BinanceStreamOrders.AccumulatedQuantityOfFilledTrades;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().OriginalQuantity = BinanceStreamOrders.CummulativeQuoteQuantity;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().Price = BinanceStreamOrders.Price;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().Symbol = BinanceStreamOrders.Symbol;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().CummulativeQuoteQuantity = BinanceStreamOrders.Quantity;
BinanceLiveOrders.Where(a => a.OrderId == BinanceStreamOrders.OrderId).First().IsWorking = BinanceStreamOrders.IsWorking;
}
}
},
(ocoOrderUpdate) =>
{
},
(accountPositionUpdate) =>
{
},
(accountBalanceUpdate) =>
{
});
}
public BinanceSymbolOrderBook(string symbol, int?limit = null, LogVerbosity logVerbosity = LogVerbosity.Info, IEnumerable <TextWriter> logWriters = null) : base("Binance", symbol, limit == null, logVerbosity, logWriters)
{
this.limit = limit;
restClient = new BinanceClient();
socketClient = new BinanceSocketClient();
}
