forked from nntaoli-project/goex
/
binance_ws.go
398 lines (354 loc) · 10 KB
/
binance_ws.go
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package binance
import (
"errors"
"fmt"
"github.com/gorilla/websocket"
"github.com/json-iterator/go"
. "github.com/nntaoli-project/GoEx"
"strings"
"time"
"unsafe"
)
var json = jsoniter.ConfigCompatibleWithStandardLibrary
type BinanceWs struct {
baseURL string
combinedBaseURL string
proxyUrl string
tickerCallback func(*Ticker)
depthCallback func(*Depth)
tradeCallback func(*Trade)
klineCallback func(*Kline, int)
}
type AggTrade struct {
Trade
FirstBreakdownTradeID int64 `json:"f"`
LastBreakdownTradeID int64 `json:"l"`
TradeTime int64 `json:"T"`
}
type RawTrade struct {
Trade
BuyerOrderID int64 `json:"b"`
SellerOrderID int64 `json:"a"`
}
type DiffDepth struct {
Depth
UpdateID int64 `json:"u"`
FirstUpdateID int64 `json:"U"`
}
var _INERNAL_KLINE_PERIOD_REVERTER = map[string]int{
"1m": KLINE_PERIOD_1MIN,
"3m": KLINE_PERIOD_3MIN,
"5m": KLINE_PERIOD_5MIN,
"15m": KLINE_PERIOD_15MIN,
"30m": KLINE_PERIOD_30MIN,
"1h": KLINE_PERIOD_60MIN,
"2h": KLINE_PERIOD_2H,
"4h": KLINE_PERIOD_4H,
"6h": KLINE_PERIOD_6H,
"8h": KLINE_PERIOD_8H,
"12h": KLINE_PERIOD_12H,
"1d": KLINE_PERIOD_1DAY,
"3d": KLINE_PERIOD_3DAY,
"1w": KLINE_PERIOD_1WEEK,
"1M": KLINE_PERIOD_1MONTH,
}
func NewBinanceWs() *BinanceWs {
bnWs := &BinanceWs{}
bnWs.baseURL = "wss://stream.binance.com:9443/ws"
bnWs.combinedBaseURL = "wss://stream.binance.com:9443/stream?streams="
return bnWs
}
func (bnWs *BinanceWs) ProxyUrl(proxyUrl string) {
bnWs.proxyUrl = proxyUrl
}
func (bnWs *BinanceWs) SetBaseUrl(baseURL string) {
bnWs.baseURL = baseURL
}
func (bnWs *BinanceWs) SetCombinedBaseURL(combinedBaseURL string) {
bnWs.combinedBaseURL = combinedBaseURL
}
func (bnWs *BinanceWs) SetCallbacks(
tickerCallback func(*Ticker),
depthCallback func(*Depth),
tradeCallback func(*Trade),
klineCallback func(*Kline, int),
) {
bnWs.tickerCallback = tickerCallback
bnWs.depthCallback = depthCallback
bnWs.tradeCallback = tradeCallback
bnWs.klineCallback = klineCallback
}
func (bnWs *BinanceWs) subscribe(endpoint string, handle func(msg []byte) error) {
wsBuilder := NewWsBuilder().
WsUrl(endpoint).
ReconnectIntervalTime(4 * time.Hour).
ProtoHandleFunc(handle)
wsBuilder.ProxyUrl(bnWs.proxyUrl)
wsConn := wsBuilder.Build()
wsConn.ReceiveMessage()
go bnWs.exitHandler(wsConn)
}
func (bnWs *BinanceWs) SubscribeDepth(pair CurrencyPair, size int) error {
if bnWs.depthCallback == nil {
return errors.New("please set depth callback func")
}
if size != 5 && size != 10 && size != 20 {
return errors.New("please set depth size as 5 / 10 / 20")
}
endpoint := fmt.Sprintf("%s/%s@depth%d", bnWs.baseURL, strings.ToLower(pair.ToSymbol("")), size)
handle := func(msg []byte) error {
rawDepth := struct {
LastUpdateID int64 `json:"lastUpdateId"`
Bids [][]interface{} `json:"bids"`
Asks [][]interface{} `json:"asks"`
}{}
err := json.Unmarshal(msg, &rawDepth)
if err != nil {
fmt.Println("json unmarshal error for ", string(msg))
return err
}
depth := bnWs.parseDepthData(rawDepth.Bids, rawDepth.Asks)
depth.Pair = pair
depth.UTime = time.Now()
bnWs.depthCallback(depth)
return nil
}
bnWs.subscribe(endpoint, handle)
return nil
}
func (bnWs *BinanceWs) SubscribeTicker(pair CurrencyPair) error {
if bnWs.tickerCallback == nil {
return errors.New("please set ticker callback func")
}
endpoint := fmt.Sprintf("%s/%s@ticker", bnWs.baseURL, strings.ToLower(pair.ToSymbol("")))
handle := func(msg []byte) error {
datamap := make(map[string]interface{})
err := json.Unmarshal(msg, &datamap)
if err != nil {
fmt.Println("json unmarshal error for ", string(msg))
return err
}
msgType, isOk := datamap["e"].(string)
if !isOk {
return errors.New("no message type")
}
switch msgType {
case "24hrTicker":
tick := bnWs.parseTickerData(datamap)
tick.Pair = pair
bnWs.tickerCallback(tick)
return nil
default:
return errors.New("unknown message " + msgType)
}
return nil
}
bnWs.subscribe(endpoint, handle)
return nil
}
func (bnWs *BinanceWs) SubscribeTrade(pair CurrencyPair) error {
if bnWs.tradeCallback == nil {
return errors.New("please set trade callback func")
}
endpoint := fmt.Sprintf("%s/%s@trade", bnWs.baseURL, strings.ToLower(pair.ToSymbol("")))
handle := func(msg []byte) error {
datamap := make(map[string]interface{})
err := json.Unmarshal(msg, &datamap)
if err != nil {
fmt.Println("json unmarshal error for ", string(msg))
return err
}
msgType, isOk := datamap["e"].(string)
if !isOk {
return errors.New("no message type")
}
switch msgType {
case "trade":
side := BUY
if datamap["m"].(bool) == false {
side = SELL
}
trade := &RawTrade{
Trade: Trade{
Tid: int64(ToUint64(datamap["t"])),
Type: TradeSide(side),
Amount: ToFloat64(datamap["q"]),
Price: ToFloat64(datamap["p"]),
Date: int64(ToUint64(datamap["T"])),
},
BuyerOrderID: ToInt64(datamap["b"]),
SellerOrderID: ToInt64(datamap["a"]),
}
trade.Pair = pair
bnWs.tradeCallback((*Trade)(unsafe.Pointer(trade)))
return nil
default:
return errors.New("unknown message " + msgType)
}
return nil
}
bnWs.subscribe(endpoint, handle)
return nil
}
func (bnWs *BinanceWs) SubscribeKline(pair CurrencyPair, period int) error {
if bnWs.klineCallback == nil {
return errors.New("place set kline callback func")
}
periodS, isOk := _INERNAL_KLINE_PERIOD_CONVERTER[period]
if isOk != true {
periodS = "M1"
}
endpoint := fmt.Sprintf("%s/%s@kline_%s", bnWs.baseURL, strings.ToLower(pair.ToSymbol("")), periodS)
handle := func(msg []byte) error {
datamap := make(map[string]interface{})
err := json.Unmarshal(msg, &datamap)
if err != nil {
fmt.Println("json unmarshal error for ", string(msg))
return err
}
msgType, isOk := datamap["e"].(string)
if !isOk {
return errors.New("no message type")
}
switch msgType {
case "kline":
k := datamap["k"].(map[string]interface{})
period := _INERNAL_KLINE_PERIOD_REVERTER[k["i"].(string)]
kline := bnWs.parseKlineData(k)
kline.Pair = pair
bnWs.klineCallback(kline, period)
return nil
default:
return errors.New("unknown message " + msgType)
}
return nil
}
bnWs.subscribe(endpoint, handle)
return nil
}
func (bnWs *BinanceWs) parseTickerData(tickmap map[string]interface{}) *Ticker {
t := new(Ticker)
t.Date = ToUint64(tickmap["E"])
t.Last = ToFloat64(tickmap["c"])
t.Vol = ToFloat64(tickmap["v"])
t.Low = ToFloat64(tickmap["l"])
t.High = ToFloat64(tickmap["h"])
t.Buy = ToFloat64(tickmap["b"])
t.Sell = ToFloat64(tickmap["a"])
return t
}
func (bnWs *BinanceWs) parseDepthData(bids, asks [][]interface{}) *Depth {
depth := new(Depth)
for _, v := range bids {
depth.BidList = append(depth.BidList, DepthRecord{ToFloat64(v[0]), ToFloat64(v[1])})
}
for _, v := range asks {
depth.AskList = append(depth.AskList, DepthRecord{ToFloat64(v[0]), ToFloat64(v[1])})
}
return depth
}
func (bnWs *BinanceWs) parseKlineData(k map[string]interface{}) *Kline {
kline := &Kline{
Timestamp: int64(ToInt(k["t"])),
Open: ToFloat64(k["o"]),
Close: ToFloat64(k["c"]),
High: ToFloat64(k["h"]),
Low: ToFloat64(k["l"]),
Vol: ToFloat64(k["v"]),
}
return kline
}
func (bnWs *BinanceWs) SubscribeAggTrade(pair CurrencyPair, tradeCallback func(*Trade)) error {
if tradeCallback == nil {
return errors.New("please set trade callback func")
}
endpoint := fmt.Sprintf("%s/%s@aggTrade", bnWs.baseURL, strings.ToLower(pair.ToSymbol("")))
handle := func(msg []byte) error {
datamap := make(map[string]interface{})
err := json.Unmarshal(msg, &datamap)
if err != nil {
fmt.Println("json unmarshal error for ", string(msg))
return err
}
msgType, isOk := datamap["e"].(string)
if !isOk {
return errors.New("no message type")
}
switch msgType {
case "aggTrade":
side := BUY
if datamap["m"].(bool) == false {
side = SELL
}
aggTrade := &AggTrade{
Trade: Trade{
Tid: int64(ToUint64(datamap["a"])),
Type: TradeSide(side),
Amount: ToFloat64(datamap["q"]),
Price: ToFloat64(datamap["p"]),
Date: int64(ToUint64(datamap["E"])),
},
FirstBreakdownTradeID: int64(ToUint64(datamap["f"])),
LastBreakdownTradeID: int64(ToUint64(datamap["l"])),
TradeTime: int64(ToUint64(datamap["T"])),
}
aggTrade.Pair = pair
tradeCallback((*Trade)(unsafe.Pointer(aggTrade)))
return nil
default:
return errors.New("unknown message " + msgType)
}
return nil
}
bnWs.subscribe(endpoint, handle)
return nil
}
func (bnWs *BinanceWs) SubscribeDiffDepth(pair CurrencyPair, depthCallback func(*Depth)) error {
if depthCallback == nil {
return errors.New("please set depth callback func")
}
endpoint := fmt.Sprintf("%s/%s@depth", bnWs.baseURL, strings.ToLower(pair.ToSymbol("")))
handle := func(msg []byte) error {
rawDepth := struct {
Type string `json:"e"`
Time int64 `json:"E"`
Symbol string `json:"s"`
UpdateID int `json:"u"`
Bids [][]interface{} `json:"b"`
Asks [][]interface{} `json:"a"`
}{}
err := json.Unmarshal(msg, &rawDepth)
if err != nil {
fmt.Println("json unmarshal error for ", string(msg))
return err
}
diffDepth := new(DiffDepth)
for _, v := range rawDepth.Bids {
diffDepth.BidList = append(diffDepth.BidList, DepthRecord{ToFloat64(v[0]), ToFloat64(v[1])})
}
for _, v := range rawDepth.Asks {
diffDepth.AskList = append(diffDepth.AskList, DepthRecord{ToFloat64(v[0]), ToFloat64(v[1])})
}
diffDepth.Pair = pair
diffDepth.UTime = time.Unix(0, rawDepth.Time*int64(time.Millisecond))
depthCallback((*Depth)(unsafe.Pointer(diffDepth)))
return nil
}
bnWs.subscribe(endpoint, handle)
return nil
}
func (bnWs *BinanceWs) exitHandler(c *WsConn) {
ticker := time.NewTicker(time.Second)
defer ticker.Stop()
defer c.Close()
for {
select {
case t := <-ticker.C:
err := c.WriteMessage(websocket.PingMessage, []byte(t.String()))
if err != nil {
fmt.Println("wsWrite err:", err)
return
}
}
}
}