class BinanceStreamManager:
def __init__(self, cache: BinanceCache, config: Config,
binance_client: binance.client.Client, logger: Logger):
self.cache = cache
self.logger = logger
self.bw_api_manager = BinanceWebSocketApiManager(
output_default="UnicornFy",
enable_stream_signal_buffer=True,
exchange=f"binance.{config.BINANCE_TLD}")
self.bw_api_manager.create_stream(
["arr"], ["!miniTicker"],
api_key=config.BINANCE_API_KEY,
api_secret=config.BINANCE_API_SECRET_KEY)
self.bw_api_manager.create_stream(
["arr"], ["!userData"],
api_key=config.BINANCE_API_KEY,
api_secret=config.BINANCE_API_SECRET_KEY)
self.binance_client = binance_client
self.pending_orders: Set[Tuple[str, int]] = set()
self.pending_orders_mutex: threading.Lock = threading.Lock()
self._processorThread = threading.Thread(target=self._stream_processor)
self._processorThread.start()
def acquire_order_guard(self):
return OrderGuard(self.pending_orders, self.pending_orders_mutex)
def _fetch_pending_orders(self):
pending_orders: Set[Tuple[str, int]]
with self.pending_orders_mutex:
pending_orders = self.pending_orders.copy()
for (symbol, order_id) in pending_orders:
order = None
while True:
try:
order = self.binance_client.get_order(symbol=symbol,
orderId=order_id)
except (BinanceRequestException, BinanceAPIException) as e:
self.logger.error(
f"Got exception during fetching pending order: {e}")
if order is not None:
break
time.sleep(1)
fake_report = {
"symbol":
order["symbol"],
"side":
order["side"],
"order_type":
order["type"],
"order_id":
order["orderId"],
"cumulative_quote_asset_transacted_quantity":
float(order["cummulativeQuoteQty"]),
"current_order_status":
order["status"],
"order_price":
float(order["price"]),
"transaction_time":
order["time"],
}
self.logger.info(
f"Pending order {order_id} for symbol {symbol} fetched:\n{fake_report}",
False)
self.cache.orders[fake_report["order_id"]] = BinanceOrder(
fake_report)
def _invalidate_balances(self):
with self.cache.open_balances() as balances:
balances.clear()
def _stream_processor(self):
while True:
if self.bw_api_manager.is_manager_stopping():
sys.exit()
stream_signal = self.bw_api_manager.pop_stream_signal_from_stream_signal_buffer(
)
stream_data = self.bw_api_manager.pop_stream_data_from_stream_buffer(
)
if stream_signal is not False:
signal_type = stream_signal["type"]
stream_id = stream_signal["stream_id"]
if signal_type == "CONNECT":
stream_info = self.bw_api_manager.get_stream_info(
stream_id)
if "!userData" in stream_info["markets"]:
self.logger.debug("Connect for userdata arrived",
False)
self._fetch_pending_orders()
self._invalidate_balances()
if stream_data is not False:
self._process_stream_data(stream_data)
if stream_data is False and stream_signal is False:
time.sleep(0.01)
def _process_stream_data(self, stream_data):
event_type = stream_data["event_type"]
if event_type == "executionReport": # !userData
self.logger.debug(f"execution report: {stream_data}")
order = BinanceOrder(stream_data)
self.cache.orders[order.id] = order
elif event_type == "balanceUpdate": # !userData
self.logger.debug(f"Balance update: {stream_data}")
with self.cache.open_balances() as balances:
asset = stream_data["asset"]
if asset in balances:
del balances[stream_data["asset"]]
elif event_type in ("outboundAccountPosition",
"outboundAccountInfo"): # !userData
self.logger.debug(f"{event_type}: {stream_data}")
with self.cache.open_balances() as balances:
for bal in stream_data["balances"]:
balances[bal["asset"]] = float(bal["free"])
elif event_type == "24hrMiniTicker":
for event in stream_data["data"]:
self.cache.ticker_values[event["symbol"]] = float(
event["close_price"])
else:
self.logger.error(
f"Unknown event type found: {event_type}\n{stream_data}")
def close(self):
self.bw_api_manager.stop_manager_with_all_streams()
class BinanceStreamManager:
def __init__(self, cache: BinanceCache, api_key: str, api_secret: str,
binance_client: binance.client.Client, logger: Logger):
self.cache = cache
self.logger = logger
self.bwApiManager = BinanceWebSocketApiManager(
output_default="UnicornFy", enable_stream_signal_buffer=True)
self.bwApiManager.create_stream(["arr"], ["!miniTicker"],
api_key=api_key,
api_secret=api_secret)
self.bwApiManager.create_stream(["arr"], ["!userData"],
api_key=api_key,
api_secret=api_secret)
self.binance_client = binance_client
self.pending_orders: Set[(str, int)] = set()
self._processorThread = threading.Thread(target=self._stream_processor)
self._processorThread.start()
def add_pending_order(self, order_tag: (str, int)):
self.pending_orders.add(order_tag)
def remove_pending_order(self, order_tag: (str, int)):
self.pending_orders.remove(order_tag)
def _fetch_pending_orders(self):
orders = self.pending_orders.copy()
for (symbol, order_id) in orders:
order = None
while True:
try:
order = self.binance_client.get_order(symbol=symbol,
orderId=order_id)
except (BinanceRequestException, BinanceAPIException):
pass
if orders is not None:
break
time.sleep(1)
fake_report = {
"symbol":
order["symbol"],
"side":
order["side"],
"order_type":
order["type"],
"order_id":
order["orderId"],
"cumulative_quote_asset_transacted_quantity":
float(order["cummulativeQuoteQty"]),
"current_order_status":
order["status"],
"order_price":
float(order["price"]),
"transaction_time":
order["time"],
}
self.logger.info(
f"Pending order {order_id} for symbol {symbol} fetched:\n{fake_report}",
False)
self.cache.orders[fake_report["order_id"]] = BinanceOrder(
fake_report)
def _invalidate_balances(self):
with self.cache.balances_mutex:
self.cache.balances.clear()
def _stream_processor(self):
while True:
if self.bwApiManager.is_manager_stopping():
sys.exit()
stream_signal = self.bwApiManager.pop_stream_signal_from_stream_signal_buffer(
)
stream_data = self.bwApiManager.pop_stream_data_from_stream_buffer(
)
if stream_signal is not False:
signal_type = stream_signal["type"]
stream_id = stream_signal["stream_id"]
if signal_type == "CONNECT":
stream_info = self.bwApiManager.get_stream_info(stream_id)
if "!userData" in stream_info["markets"]:
self.logger.debug("Connect for userdata arrived",
False)
self._fetch_pending_orders()
self._invalidate_balances()
if stream_data is not False:
self._process_stream_data(stream_data)
if stream_data is False and stream_signal is False:
time.sleep(0.01)
def _process_stream_data(self, stream_data):
event_type = stream_data["event_type"]
if event_type == "executionReport": # !userData
self.logger.debug(f"execution report: {stream_data}")
order = BinanceOrder(stream_data)
self.cache.orders[order.id] = order
elif event_type == "balanceUpdate": # !userData
self.logger.debug(f"Balance update: {stream_data}")
with self.cache.balances_mutex:
del self.cache.balances[stream_data["asset"]]
elif event_type == "outboundAccountPosition": # !userData
self.logger.debug(f"outboundAccountPosition: {stream_data}")
with self.cache.balances_mutex:
for bal in stream_data["balances"]:
self.cache.balances[bal["asset"]] = float(bal["free"])
elif event_type == "24hrMiniTicker":
for event in stream_data["data"]:
self.cache.ticker_values[event["symbol"]] = float(
event["close_price"])
else:
self.logger.error(
f"Unknown event type found: {event_type}\n{stream_data}")
def close(self):
self.bwApiManager.stop_manager_with_all_streams()