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BinanceWrapper.d
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BinanceWrapper.d
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module Client.ClientWrapper.BinanceWrapper;
import Client.ClientHelper.BinanceHelper;
import Client.ClientWrapper.ClientWrapper;
import Client.ClientWrapper.SocketWrapperHelper;
public import std.uuid;
import std.stdio;
import std.datetime;
import std.container.dlist;
enum SocketListSize = 1000;
class BinanceWrapper : ClientWrapper
{
bool GetPrices( out TickData[string] output )
{
Json resultJson;
bool isSuccess = helper.PublicCall("ticker/allBookTickers", resultJson);
if ( !isSuccess )
return false;
try
{
for ( int i = 0; i < resultJson.length; i++ )
{
string marketName = resultJson[i]["symbol"].to!string;
TickData data;
data.bid = resultJson[i]["bidPrice"].to!double;
data.ask = resultJson[i]["askPrice"].to!double;
data.last = (data.bid + data.ask)/2;
output[marketName] = data;
}
}
catch(std.json.JSONException e)
{
writeln(e);
return false;
}
catch(Exception e)
{
writeln(e);
return false;
}
scope(failure)
{
writeln("Exception was caught while client analyze data");
return false;
}
return true;
}
bool GetMarketHistory( string name, string txName, Duration duration, out HistoryData data )
{
Json resultJson;
string urlName = "aggTrades?symbol=" ~ name ~ txName;
bool isSuccess = helper.PublicCall(urlName, resultJson);
if ( !isSuccess )
return false;
try
{
data = CalculateHistoryDataFromJson( resultJson, duration );
}
catch(std.json.JSONException e)
{
writeln(e);
return false;
}
return true;
}
bool GetMarketHistorySocket( string name, string txName, Duration duration, out HistoryData data )
{
import vibe.core.sync;
import vibe.core.concurrency;
import vibe.core.core : sleep;
void CallBackFoo( Json data )
{
InsertSocketDataToList(name, txName, data);
}
try
{
if ( !GetListData( name, txName ) )
{
Json resultJson;
string urlName = "aggTrades?symbol=" ~ name.toUpper() ~ txName.toUpper();
bool isSuccess = helper.PublicCall(urlName, resultJson);
if ( !isSuccess )
return false;
InsertSocketDataToList(name, txName, resultJson);
vibe.core.concurrency.async(
{ return this.helper.LaunchSocket(name, txName, "aggTrade", &CallBackFoo );}
);
}
else
{
this.helper.KeepSocketAlive(name, txName, "aggTrade");
}
auto listData = GetListData( name, txName );
if ( !listData )
return false;
data = CalculateHistoryDataFromJson( listData, duration );
}
catch(std.json.JSONException e)
{
writeln(e);
return false;
}
return true;
}
bool GetOrderBook( string name, string txName, double level, out OrderBook orderBook )
{
Json resultJson;
string urlName = "depth?symbol=" ~ name ~ txName ~ "&limit=1000";
if ( !helper.PublicCall(urlName, resultJson) )
return false;
try
{
orderBook.bookSellRange = quantityCount(resultJson["asks"], (a,b) => ( a < b*(1 + level)));
orderBook.bookLongSellRange = quantityCount(resultJson["asks"], (a,b) => ( a < b*(1 + level*2)));
orderBook.bookBuyRange = quantityCount(resultJson["bids"], (a,b) => ( a > b*(1 - level)));
}
catch(std.json.JSONException e)
{
writeln(e);
return false;
}
return true;
}
bool GetOrderBookSocket( string name, string txName, double level, out OrderBook orderBook )
{
import vibe.core.sync;
import vibe.core.concurrency;
import vibe.core.core : sleep;
ulong lastUpdateID = 0;
void CallBackFoo( Json data )
{
ulong updateID = data["u"].to!ulong;
if ( lastUpdateID > updateID )
return;
string symbol = data["s"].to!string.toLower();
auto helper = (symbol in socketOrderBookHelperMap);
if ( helper )
{
helper.Process(data);
}
}
try
{
string symbol = name ~ txName;
if ( !GetOrderBookSocketData(symbol) )
{
Json resultJson;
string urlName = "depth?symbol=" ~ symbol.toUpper() ~ "&limit=1000";
bool isSuccess = helper.PublicCall(urlName, resultJson);
if ( !isSuccess )
return false;
lastUpdateID = resultJson["lastUpdateId"].to!ulong;
OrderBookSocketHelper tempHelper = new OrderBookSocketHelper;
tempHelper.CalculateWithRawJson(resultJson);
socketOrderBookHelperMap[symbol] = tempHelper;
vibe.core.concurrency.async(
{ return this.helper.LaunchSocket(name, txName, "depth", &CallBackFoo );}
);
}
else
{
this.helper.KeepSocketAlive(name, txName, "depth");
}
auto listData = GetOrderBookSocketData(symbol);
if ( !listData )
return false;
orderBook.bookSellRange = listData.CalculatePower( 1+level, false );
orderBook.bookLongSellRange = listData.CalculatePower( 1+level*2, false );
orderBook.bookBuyRange = listData.CalculatePower( 1-level, true );
}
catch(std.json.JSONException e)
{
writeln(e);
return false;
}
return true;
}
bool GetBalances( out QuantityData[string] quantityDataList )
{
Json resultJson;
if ( !helper.PrivateCall("account?", "", resultJson, HTTPMethod.GET) )
return false;
try
{
Json balanceJson = resultJson["balances"];
for ( int i = 0; i < balanceJson.length; i++ )
{
QuantityData quantityData;
string currencyName = balanceJson[i]["asset"].to!string;
quantityData.avaliable = balanceJson[i]["free"].to!double;
quantityData.owned = balanceJson[i]["locked"].to!double + quantityData.avaliable;
quantityDataList[currencyName] = quantityData;
}
}
catch(std.json.JSONException e)
{
return false;
}
return true;
}
bool GetOpenOrders( out TradeData[string] dataList )
{
Json resultJson;
if ( !helper.PrivateCall("openOrders?", "", resultJson, HTTPMethod.GET) )
return false;
try
{
for ( int i = 0; i < resultJson.length; i++ )
{
TradeData data;
string uuid = resultJson[i]["clientOrderId"].to!string;
string orderType = resultJson[i]["side"].to!string;
string marketName = resultJson[i]["symbol"].to!string;
if ( orderType == "BUY" )
{
data.buyOrderID = UUID(uuid);
}
else if ( orderType == "SELL" )
{
data.sellOrderID = UUID(uuid);
}
dataList[marketName] = data;
}
}
catch(std.json.JSONException e)
{
return false;
}
scope(failure)
writeln("Exception was caught while public checking open orders ");
return true;
}
bool Buy( string name, string txname, double price, double quantity, out TradeData tradeData )
{
Json resultJson;
UUID curUUID = randomUUID();
string parameters = "symbol=" ~ name ~ txname ~
"&side=BUY&type=MARKET&quantity=" ~ to!string(quantity)
~ "&newClientOrderId=" ~ curUUID.toString();
if (helper.PrivateCall( "order", parameters, resultJson, HTTPMethod.POST))
{
try
{
tradeData.buyOrderID = curUUID;
tradeData.buyOrderTime = to!DateTime(Clock.currTime());
}
catch ( std.json.JSONException e )
{
writeln("Exception was caught while getting uuid");
return false;
}
}
return true;
}
bool Sell( string name, string txname, double price,
double quantity, bool isLimit, out TradeData tradeData )
{
Json resultJson;
UUID curUUID = randomUUID();
auto quantityStr = to!string(quantity);
char[] parameters;
if ( isLimit )
{
parameters = ("symbol=" ~ name ~ txname ~
"&side=SELL&type=LIMIT&quantity=" ~ quantityStr ~
"&price=" ~ to!string(price) ~
"&timeInForce=GTC" ~
"&newClientOrderId=" ~ curUUID.toString()).dup;
}
else
{
parameters = ("symbol=" ~ name ~ txname ~
"&side=SELL&type=MARKET&quantity=" ~ quantityStr ~
"&newClientOrderId=" ~ curUUID.toString()).dup;
}
if (helper.PrivateCall( "order", parameters.idup, resultJson, HTTPMethod.POST ))
{
try
{
tradeData.sellOrderID = curUUID;
tradeData.sellOrderTime = to!DateTime(Clock.currTime());
}
catch ( std.json.JSONException e )
{
writeln("Exception was caught while getting uuid");
return false;
}
}
return true;
}
bool Cancel( string name, string txname, UUID uuid )
{
Json resultJson;
string parameters = "symbol=" ~ name ~ txname ~ "&origClientOrderId=" ~ uuid.toString();
return helper.PrivateCall("order", parameters, resultJson, HTTPMethod.DELETE);
}
this( string apikey, string apisecret )
{
helper = new BinanceHelper();
helper.keySecret.SetKeyAndSecret(apikey, apisecret);
}
this()
{
helper = new BinanceHelper();
}
void SetKeyAndSecret( string apikey, string apisecret )
{
helper.keySecret.SetKeyAndSecret(apikey, apisecret);
}
private:
void InsertSocketDataToList( string name, string txName, Json data )
{
import std.range : walkLength;
auto socketData = GetListData( name, txName);
if ( !socketData )
{
string uniqStreamName = name ~ txName;
socketData = new DList!Json;
socketDataList[uniqStreamName] = *socketData;
InsertSocketDataToList(name, txName, data);
}
try
{
auto curSize = (*socketData)[].walkLength();
if ( data.type() == Json.Type.array )
{
for ( int i = 0; i < data.length; i++ )
{
socketData.insertFront(data[i]);
if ( ++curSize > SocketListSize )
socketData.removeBack();
}
}
else
{
socketData.insertFront(data);
if ( ++curSize > SocketListSize )
socketData.removeBack();
}
}
catch(std.json.JSONException e)
{
writeln(e);
}
}
DList!(Json)* GetListData( string name, string txName )
{
import std.range : popFrontN;
string uniqStreamName = name ~ txName;
auto socketData = (uniqStreamName in socketDataList);
return socketData;
}
OrderBookSocketHelper* GetOrderBookSocketData( string name )
{
auto socketData = (name in socketOrderBookHelperMap);
return socketData;
}
DList!Json[string] socketDataList;
OrderBookSocketHelper[string] socketOrderBookHelperMap;
BinanceHelper helper;
}
double quantityCount(T)( ref T json, bool delegate(double, double) stopControl )
{
double returnVal = 0.0;
double firstRate = 0.0;
for ( int i = 0; i < json.length; i++ )
{
double rate= json[i][0].to!double;
double quantity = json[i][1].to!double;
if ( i == 0 )
firstRate = rate;
double curValue = quantity*rate;
if ( stopControl(rate, firstRate) )
returnVal += curValue;
else
break;
}
return returnVal;
}
unittest
{
import vibe.core.core : sleep;
auto wrapper = new BinanceWrapper();
bool isSuccess = false;
writeln( "***** BinanceWrapper Tests *****" );
TickData[string] output;
isSuccess = wrapper.GetPrices( output );
assert(isSuccess && output.length > 0 );
HistoryData historyOutput;
isSuccess = wrapper.GetMarketHistory( "ETH", "BTC", 30.seconds, historyOutput );
// Assume big currencies like BTC and ETC will always be traded
assert(isSuccess && historyOutput.total > 0 );
OrderBook orderOutput;
isSuccess = wrapper.GetOrderBook( "ETH", "BTC", 0.05, orderOutput );
//writeln(orderOutput.ToString());
assert(isSuccess && orderOutput.bookLongSellRange > orderOutput.bookSellRange );
// for ( int i = 0; i < 10; i++ )
// {
// HistoryData historyOutputSocket;
// isSuccess = wrapper.GetMarketHistorySocket("eth", "btc", 60.seconds, historyOutputSocket );
// writeln(historyOutputSocket);
// sleep(1.seconds);
//
// HistoryData historyOutputSocket2;
// isSuccess = wrapper.GetMarketHistorySocket("iota", "btc", 60.seconds, historyOutputSocket2 );
// writeln(historyOutputSocket2);
// sleep(1.seconds);
// }
for ( int i = 0; i < 20; i++ )
{
OrderBook orderBookSocket;
isSuccess = wrapper.GetOrderBookSocket("eth", "btc", 0.005, orderBookSocket );
writeln(orderBookSocket.ToString());
sleep(2.seconds);
}
// I don't know how to model private calls since I don't want give my keys.
}