sfccxt
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A JavaScript / Python / PHP cryptocurrency trading library with support for 130+ exchanges
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JavaScript
'use strict';
// ----------------------------------------------------------------------------
const binanceRest = require ('../binance.js');
const Precise = require ('../base/Precise');
const { ExchangeError } = require ('../base/errors');
const { ArrayCache, ArrayCacheByTimestamp, ArrayCacheBySymbolById } = require ('./base/Cache');
// -----------------------------------------------------------------------------
module.exports = class binance extends binanceRest {
describe () {
return this.deepExtend (super.describe (), {
'has': {
'ws': true,
'watchBalance': true,
'watchMyTrades': true,
'watchOHLCV': true,
'watchOrderBook': true,
'watchOrders': true,
'watchTicker': true,
'watchTickers': false, // for now
'watchTrades': true,
},
'urls': {
'test': {
'ws': {
'spot': 'wss://testnet.binance.vision/ws',
'margin': 'wss://testnet.binance.vision/ws',
'future': 'wss://stream.binancefuture.com/ws',
'delivery': 'wss://dstream.binancefuture.com/ws',
},
},
'api': {
'ws': {
'spot': 'wss://stream.binance.com:9443/ws',
'margin': 'wss://stream.binance.com:9443/ws',
'future': 'wss://fstream.binance.com/ws',
'delivery': 'wss://dstream.binance.com/ws',
},
},
},
'options': {
'streamLimits': {
'spot': 50, // max 1024
'margin': 50, // max 1024
'future': 50, // max 200
'delivery': 50, // max 200
},
'streamBySubscriptionsHash': {},
'streamIndex': -1,
// get updates every 1000ms or 100ms
// or every 0ms in real-time for futures
'watchOrderBookRate': 100,
'tradesLimit': 1000,
'ordersLimit': 1000,
'OHLCVLimit': 1000,
'requestId': {},
'watchOrderBookLimit': 1000, // default limit
'watchTrades': {
'name': 'trade', // 'trade' or 'aggTrade'
},
'watchTicker': {
'name': 'ticker', // ticker = 1000ms L1+OHLCV, bookTicker = real-time L1
},
'watchBalance': {
'fetchBalanceSnapshot': false, // or true
'awaitBalanceSnapshot': true, // whether to wait for the balance snapshot before providing updates
},
'wallet': 'wb', // wb = wallet balance, cw = cross balance
'listenKeyRefreshRate': 1200000, // 20 mins
'ws': {
'cost': 5,
},
},
});
}
requestId (url) {
const options = this.safeValue (this.options, 'requestId', {});
const previousValue = this.safeInteger (options, url, 0);
const newValue = this.sum (previousValue, 1);
this.options['requestId'][url] = newValue;
return newValue;
}
stream (type, subscriptionHash) {
const streamBySubscriptionsHash = this.safeValue (this.options, 'streamBySubscriptionsHash', {});
let stream = this.safeString (streamBySubscriptionsHash, subscriptionHash);
if (stream === undefined) {
let streamIndex = this.safeInteger (this.options, 'streamIndex', -1);
const streamLimits = this.safeValue (this.options, 'streamLimits');
const streamLimit = this.safeInteger (streamLimits, type);
streamIndex = streamIndex + 1;
const normalizedIndex = streamIndex % streamLimit;
this.options['streamIndex'] = streamIndex;
stream = this.numberToString (normalizedIndex);
this.options['streamBySubscriptionsHash'][subscriptionHash] = stream;
}
return stream;
}
onError (client, error) {
this.options['streamBySubscriptionsHash'] = {};
this.options['streamIndex'] = -1;
super.onError (client, error);
}
onClose (client, error) {
this.options['streamBySubscriptionsHash'] = {};
this.options['streamIndex'] = -1;
super.onClose (client, error);
}
async watchOrderBook (symbol, limit = undefined, params = {}) {
/**
* @method
* @name binance#watchOrderBook
* @description watches information on open orders with bid (buy) and ask (sell) prices, volumes and other data
* @param {string} symbol unified symbol of the market to fetch the order book for
* @param {int|undefined} limit the maximum amount of order book entries to return
* @param {object} params extra parameters specific to the binance api endpoint
* @returns {object} A dictionary of [order book structures]{@link https://docs.ccxt.com/en/latest/manual.html#order-book-structure} indexed by market symbols
*/
//
// todo add support for <levels>-snapshots (depth)
// https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#partial-book-depth-streams // <symbol>@depth<levels>@100ms or <symbol>@depth<levels> (1000ms)
// valid <levels> are 5, 10, or 20
//
// default 100, max 1000, valid limits 5, 10, 20, 50, 100, 500, 1000
if (limit !== undefined) {
if ((limit !== 5) && (limit !== 10) && (limit !== 20) && (limit !== 50) && (limit !== 100) && (limit !== 500) && (limit !== 1000)) {
throw new ExchangeError (this.id + ' watchOrderBook limit argument must be undefined, 5, 10, 20, 50, 100, 500 or 1000');
}
}
//
await this.loadMarkets ();
const defaultType = this.safeString2 (this.options, 'watchOrderBook', 'defaultType', 'spot');
const type = this.safeString (params, 'type', defaultType);
const query = this.omit (params, 'type');
const market = this.market (symbol);
//
// notice the differences between trading futures and spot trading
// the algorithms use different urls in step 1
// delta caching and merging also differs in steps 4, 5, 6
//
// spot/margin
// https://binance-docs.github.io/apidocs/spot/en/#how-to-manage-a-local-order-book-correctly
//
// 1. Open a stream to wss://stream.binance.com:9443/ws/bnbbtc@depth.
// 2. Buffer the events you receive from the stream.
// 3. Get a depth snapshot from https://www.binance.com/api/v1/depth?symbol=BNBBTC&limit=1000 .
// 4. Drop any event where u is <= lastUpdateId in the snapshot.
// 5. The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1.
// 6. While listening to the stream, each new event's U should be equal to the previous event's u+1.
// 7. The data in each event is the absolute quantity for a price level.
// 8. If the quantity is 0, remove the price level.
// 9. Receiving an event that removes a price level that is not in your local order book can happen and is normal.
//
// futures
// https://binance-docs.github.io/apidocs/futures/en/#how-to-manage-a-local-order-book-correctly
//
// 1. Open a stream to wss://fstream.binance.com/stream?streams=btcusdt@depth.
// 2. Buffer the events you receive from the stream. For same price, latest received update covers the previous one.
// 3. Get a depth snapshot from https://fapi.binance.com/fapi/v1/depth?symbol=BTCUSDT&limit=1000 .
// 4. Drop any event where u is < lastUpdateId in the snapshot.
// 5. The first processed event should have U <= lastUpdateId AND u >= lastUpdateId
// 6. While listening to the stream, each new event's pu should be equal to the previous event's u, otherwise initialize the process from step 3.
// 7. The data in each event is the absolute quantity for a price level.
// 8. If the quantity is 0, remove the price level.
// 9. Receiving an event that removes a price level that is not in your local order book can happen and is normal.
//
const name = 'depth';
const messageHash = market['lowercaseId'] + '@' + name;
const url = this.urls['api']['ws'][type] + '/' + this.stream (type, messageHash);
const requestId = this.requestId (url);
const watchOrderBookRate = this.safeString (this.options, 'watchOrderBookRate', '100');
const request = {
'method': 'SUBSCRIBE',
'params': [
messageHash + '@' + watchOrderBookRate + 'ms',
],
'id': requestId,
};
const subscription = {
'id': requestId.toString (),
'messageHash': messageHash,
'name': name,
'symbol': market['symbol'],
'method': this.handleOrderBookSubscription,
'limit': limit,
'type': type,
'params': params,
};
const message = this.extend (request, query);
// 1. Open a stream to wss://stream.binance.com:9443/ws/bnbbtc@depth.
const orderbook = await this.watch (url, messageHash, message, messageHash, subscription);
return orderbook.limit ();
}
async fetchOrderBookSnapshot (client, message, subscription) {
const defaultLimit = this.safeInteger (this.options, 'watchOrderBookLimit', 1000);
const type = this.safeValue (subscription, 'type');
const symbol = this.safeString (subscription, 'symbol');
const messageHash = this.safeString (subscription, 'messageHash');
const limit = this.safeInteger (subscription, 'limit', defaultLimit);
const params = this.safeValue (subscription, 'params');
// 3. Get a depth snapshot from https://www.binance.com/api/v1/depth?symbol=BNBBTC&limit=1000 .
// todo: this is a synch blocking call in ccxt.php - make it async
// default 100, max 1000, valid limits 5, 10, 20, 50, 100, 500, 1000
const snapshot = await this.fetchOrderBook (symbol, limit, params);
const orderbook = this.safeValue (this.orderbooks, symbol);
if (orderbook === undefined) {
// if the orderbook is dropped before the snapshot is received
return;
}
orderbook.reset (snapshot);
// unroll the accumulated deltas
const messages = orderbook.cache;
for (let i = 0; i < messages.length; i++) {
const message = messages[i];
const U = this.safeInteger (message, 'U');
const u = this.safeInteger (message, 'u');
const pu = this.safeInteger (message, 'pu');
if (type === 'future') {
// 4. Drop any event where u is < lastUpdateId in the snapshot
if (u < orderbook['nonce']) {
continue;
}
// 5. The first processed event should have U <= lastUpdateId AND u >= lastUpdateId
if ((U <= orderbook['nonce']) && (u >= orderbook['nonce']) || (pu === orderbook['nonce'])) {
this.handleOrderBookMessage (client, message, orderbook);
}
} else {
// 4. Drop any event where u is <= lastUpdateId in the snapshot
if (u <= orderbook['nonce']) {
continue;
}
// 5. The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1
if (((U - 1) <= orderbook['nonce']) && ((u - 1) >= orderbook['nonce'])) {
this.handleOrderBookMessage (client, message, orderbook);
}
}
}
this.orderbooks[symbol] = orderbook;
client.resolve (orderbook, messageHash);
}
handleDelta (bookside, delta) {
const price = this.safeFloat (delta, 0);
const amount = this.safeFloat (delta, 1);
bookside.store (price, amount);
}
handleDeltas (bookside, deltas) {
for (let i = 0; i < deltas.length; i++) {
this.handleDelta (bookside, deltas[i]);
}
}
handleOrderBookMessage (client, message, orderbook) {
const u = this.safeInteger (message, 'u');
this.handleDeltas (orderbook['asks'], this.safeValue (message, 'a', []));
this.handleDeltas (orderbook['bids'], this.safeValue (message, 'b', []));
orderbook['nonce'] = u;
const timestamp = this.safeInteger (message, 'E');
orderbook['timestamp'] = timestamp;
orderbook['datetime'] = this.iso8601 (timestamp);
return orderbook;
}
handleOrderBook (client, message) {
//
// initial snapshot is fetched with ccxt's fetchOrderBook
// the feed does not include a snapshot, just the deltas
//
// {
// "e": "depthUpdate", // Event type
// "E": 1577554482280, // Event time
// "s": "BNBBTC", // Symbol
// "U": 157, // First update ID in event
// "u": 160, // Final update ID in event
// "b": [ // bids
// [ "0.0024", "10" ], // price, size
// ],
// "a": [ // asks
// [ "0.0026", "100" ], // price, size
// ]
// }
//
const marketId = this.safeString (message, 's');
const market = this.safeMarket (marketId);
const symbol = market['symbol'];
const name = 'depth';
const messageHash = market['lowercaseId'] + '@' + name;
const orderbook = this.safeValue (this.orderbooks, symbol);
if (orderbook === undefined) {
//
// https://github.com/ccxt/ccxt/issues/6672
//
// Sometimes Binance sends the first delta before the subscription
// confirmation arrives. At that point the orderbook is not
// initialized yet and the snapshot has not been requested yet
// therefore it is safe to drop these premature messages.
//
return;
}
const nonce = this.safeInteger (orderbook, 'nonce');
if (nonce === undefined) {
// 2. Buffer the events you receive from the stream.
orderbook.cache.push (message);
} else {
try {
const U = this.safeInteger (message, 'U');
const u = this.safeInteger (message, 'u');
const pu = this.safeInteger (message, 'pu');
if (pu === undefined) {
// spot
// 4. Drop any event where u is <= lastUpdateId in the snapshot
if (u > orderbook['nonce']) {
const timestamp = this.safeInteger (orderbook, 'timestamp');
let conditional = undefined;
if (timestamp === undefined) {
// 5. The first processed event should have U <= lastUpdateId+1 AND u >= lastUpdateId+1
conditional = ((U - 1) <= orderbook['nonce']) && ((u - 1) >= orderbook['nonce']);
} else {
// 6. While listening to the stream, each new event's U should be equal to the previous event's u+1.
conditional = ((U - 1) === orderbook['nonce']);
}
if (conditional) {
this.handleOrderBookMessage (client, message, orderbook);
if (nonce < orderbook['nonce']) {
client.resolve (orderbook, messageHash);
}
} else {
// todo: client.reject from handleOrderBookMessage properly
throw new ExchangeError (this.id + ' handleOrderBook received an out-of-order nonce');
}
}
} else {
// future
// 4. Drop any event where u is < lastUpdateId in the snapshot
if (u >= orderbook['nonce']) {
// 5. The first processed event should have U <= lastUpdateId AND u >= lastUpdateId
// 6. While listening to the stream, each new event's pu should be equal to the previous event's u, otherwise initialize the process from step 3
if ((U <= orderbook['nonce']) || (pu === orderbook['nonce'])) {
this.handleOrderBookMessage (client, message, orderbook);
if (nonce <= orderbook['nonce']) {
client.resolve (orderbook, messageHash);
}
} else {
// todo: client.reject from handleOrderBookMessage properly
throw new ExchangeError (this.id + ' handleOrderBook received an out-of-order nonce');
}
}
}
} catch (e) {
delete this.orderbooks[symbol];
delete client.subscriptions[messageHash];
client.reject (e, messageHash);
}
}
}
handleOrderBookSubscription (client, message, subscription) {
const defaultLimit = this.safeInteger (this.options, 'watchOrderBookLimit', 1000);
const symbol = this.safeString (subscription, 'symbol');
const limit = this.safeInteger (subscription, 'limit', defaultLimit);
if (symbol in this.orderbooks) {
delete this.orderbooks[symbol];
}
this.orderbooks[symbol] = this.orderBook ({}, limit);
// fetch the snapshot in a separate async call
this.spawn (this.fetchOrderBookSnapshot, client, message, subscription);
}
handleSubscriptionStatus (client, message) {
//
// {
// "result": null,
// "id": 1574649734450
// }
//
const id = this.safeString (message, 'id');
const subscriptionsById = this.indexBy (client.subscriptions, 'id');
const subscription = this.safeValue (subscriptionsById, id, {});
const method = this.safeValue (subscription, 'method');
if (method !== undefined) {
method.call (this, client, message, subscription);
}
return message;
}
async watchTrades (symbol, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name binance#watchTrades
* @description get the list of most recent trades for a particular symbol
* @param {string} symbol unified symbol of the market to fetch trades for
* @param {int|undefined} since timestamp in ms of the earliest trade to fetch
* @param {int|undefined} limit the maximum amount of trades to fetch
* @param {object} params extra parameters specific to the binance api endpoint
* @returns {[object]} a list of [trade structures]{@link https://docs.ccxt.com/en/latest/manual.html?#public-trades}
*/
await this.loadMarkets ();
const market = this.market (symbol);
const options = this.safeValue (this.options, 'watchTrades', {});
const name = this.safeString (options, 'name', 'trade');
const messageHash = market['lowercaseId'] + '@' + name;
const defaultType = this.safeString (this.options, 'defaultType', 'spot');
const watchTradesType = this.safeString2 (options, 'type', 'defaultType', defaultType);
const type = this.safeString (params, 'type', watchTradesType);
const query = this.omit (params, 'type');
const url = this.urls['api']['ws'][type] + '/' + this.stream (type, messageHash);
const requestId = this.requestId (url);
const request = {
'method': 'SUBSCRIBE',
'params': [
messageHash,
],
'id': requestId,
};
const subscribe = {
'id': requestId,
};
const trades = await this.watch (url, messageHash, this.extend (request, query), messageHash, subscribe);
if (this.newUpdates) {
limit = trades.getLimit (symbol, limit);
}
return this.filterBySinceLimit (trades, since, limit, 'timestamp', true);
}
parseTrade (trade, market = undefined) {
//
// public watchTrades
//
// {
// e: 'trade', // event type
// E: 1579481530911, // event time
// s: 'ETHBTC', // symbol
// t: 158410082, // trade id
// p: '0.01914100', // price
// q: '0.00700000', // quantity
// b: 586187049, // buyer order id
// a: 586186710, // seller order id
// T: 1579481530910, // trade time
// m: false, // is the buyer the market maker
// M: true // binance docs say it should be ignored
// }
//
// {
// "e": "aggTrade", // Event type
// "E": 123456789, // Event time
// "s": "BNBBTC", // Symbol
// "a": 12345, // Aggregate trade ID
// "p": "0.001", // Price
// "q": "100", // Quantity
// "f": 100, // First trade ID
// "l": 105, // Last trade ID
// "T": 123456785, // Trade time
// "m": true, // Is the buyer the market maker?
// "M": true // Ignore
// }
//
// private watchMyTrades spot
//
// {
// e: 'executionReport',
// E: 1611063861489,
// s: 'BNBUSDT',
// c: 'm4M6AD5MF3b1ERe65l4SPq',
// S: 'BUY',
// o: 'MARKET',
// f: 'GTC',
// q: '2.00000000',
// p: '0.00000000',
// P: '0.00000000',
// F: '0.00000000',
// g: -1,
// C: '',
// x: 'TRADE',
// X: 'PARTIALLY_FILLED',
// r: 'NONE',
// i: 1296882607,
// l: '0.33200000',
// z: '0.33200000',
// L: '46.86600000',
// n: '0.00033200',
// N: 'BNB',
// T: 1611063861488,
// t: 109747654,
// I: 2696953381,
// w: false,
// m: false,
// M: true,
// O: 1611063861488,
// Z: '15.55951200',
// Y: '15.55951200',
// Q: '0.00000000'
// }
//
// private watchMyTrades future/delivery
//
// {
// s: 'BTCUSDT',
// c: 'pb2jD6ZQHpfzSdUac8VqMK',
// S: 'SELL',
// o: 'MARKET',
// f: 'GTC',
// q: '0.001',
// p: '0',
// ap: '33468.46000',
// sp: '0',
// x: 'TRADE',
// X: 'FILLED',
// i: 13351197194,
// l: '0.001',
// z: '0.001',
// L: '33468.46',
// n: '0.00027086',
// N: 'BNB',
// T: 1612095165362,
// t: 458032604,
// b: '0',
// a: '0',
// m: false,
// R: false,
// wt: 'CONTRACT_PRICE',
// ot: 'MARKET',
// ps: 'BOTH',
// cp: false,
// rp: '0.00335000',
// pP: false,
// si: 0,
// ss: 0
// }
//
const executionType = this.safeString (trade, 'x');
const isTradeExecution = (executionType === 'TRADE');
if (!isTradeExecution) {
return super.parseTrade (trade, market);
}
const id = this.safeString2 (trade, 't', 'a');
const timestamp = this.safeInteger (trade, 'T');
const price = this.safeFloat2 (trade, 'L', 'p');
let amount = this.safeFloat (trade, 'q');
if (isTradeExecution) {
amount = this.safeFloat (trade, 'l', amount);
}
let cost = this.safeFloat (trade, 'Y');
if (cost === undefined) {
if ((price !== undefined) && (amount !== undefined)) {
cost = price * amount;
}
}
const marketId = this.safeString (trade, 's');
const symbol = this.safeSymbol (marketId);
let side = this.safeStringLower (trade, 'S');
let takerOrMaker = undefined;
const orderId = this.safeString (trade, 'i');
if ('m' in trade) {
if (side === undefined) {
side = trade['m'] ? 'sell' : 'buy'; // this is reversed intentionally
}
takerOrMaker = trade['m'] ? 'maker' : 'taker';
}
let fee = undefined;
const feeCost = this.safeFloat (trade, 'n');
if (feeCost !== undefined) {
const feeCurrencyId = this.safeString (trade, 'N');
const feeCurrencyCode = this.safeCurrencyCode (feeCurrencyId);
fee = {
'cost': feeCost,
'currency': feeCurrencyCode,
};
}
const type = this.safeStringLower (trade, 'o');
return {
'info': trade,
'timestamp': timestamp,
'datetime': this.iso8601 (timestamp),
'symbol': symbol,
'id': id,
'order': orderId,
'type': type,
'takerOrMaker': takerOrMaker,
'side': side,
'price': price,
'amount': amount,
'cost': cost,
'fee': fee,
};
}
handleTrade (client, message) {
// the trade streams push raw trade information in real-time
// each trade has a unique buyer and seller
const marketId = this.safeString (message, 's');
const market = this.safeMarket (marketId);
const symbol = market['symbol'];
const lowerCaseId = this.safeStringLower (message, 's');
const event = this.safeString (message, 'e');
const messageHash = lowerCaseId + '@' + event;
const trade = this.parseTrade (message, market);
let tradesArray = this.safeValue (this.trades, symbol);
if (tradesArray === undefined) {
const limit = this.safeInteger (this.options, 'tradesLimit', 1000);
tradesArray = new ArrayCache (limit);
}
tradesArray.append (trade);
this.trades[symbol] = tradesArray;
client.resolve (tradesArray, messageHash);
}
async watchOHLCV (symbol, timeframe = '1m', since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name binance#watchOHLCV
* @description watches historical candlestick data containing the open, high, low, and close price, and the volume of a market
* @param {string} symbol unified symbol of the market to fetch OHLCV data for
* @param {string} timeframe the length of time each candle represents
* @param {int|undefined} since timestamp in ms of the earliest candle to fetch
* @param {int|undefined} limit the maximum amount of candles to fetch
* @param {object} params extra parameters specific to the binance api endpoint
* @returns {[[int]]} A list of candles ordered as timestamp, open, high, low, close, volume
*/
await this.loadMarkets ();
const market = this.market (symbol);
const marketId = market['lowercaseId'];
const interval = this.timeframes[timeframe];
const name = 'kline';
const messageHash = marketId + '@' + name + '_' + interval;
const options = this.safeValue (this.options, 'watchOHLCV', {});
const defaultType = this.safeString (this.options, 'defaultType', 'spot');
const watchOHLCVType = this.safeString2 (options, 'type', 'defaultType', defaultType);
const type = this.safeString (params, 'type', watchOHLCVType);
const query = this.omit (params, 'type');
const url = this.urls['api']['ws'][type] + '/' + this.stream (type, messageHash);
const requestId = this.requestId (url);
const request = {
'method': 'SUBSCRIBE',
'params': [
messageHash,
],
'id': requestId,
};
const subscribe = {
'id': requestId,
};
const ohlcv = await this.watch (url, messageHash, this.extend (request, query), messageHash, subscribe);
if (this.newUpdates) {
limit = ohlcv.getLimit (symbol, limit);
}
return this.filterBySinceLimit (ohlcv, since, limit, 0, true);
}
handleOHLCV (client, message) {
//
// {
// e: 'kline',
// E: 1579482921215,
// s: 'ETHBTC',
// k: {
// t: 1579482900000,
// T: 1579482959999,
// s: 'ETHBTC',
// i: '1m',
// f: 158411535,
// L: 158411550,
// o: '0.01913200',
// c: '0.01913500',
// h: '0.01913700',
// l: '0.01913200',
// v: '5.08400000',
// n: 16,
// x: false,
// q: '0.09728060',
// V: '3.30200000',
// Q: '0.06318500',
// B: '0'
// }
// }
//
const marketId = this.safeString (message, 's');
const lowercaseMarketId = this.safeStringLower (message, 's');
const event = this.safeString (message, 'e');
const kline = this.safeValue (message, 'k');
const interval = this.safeString (kline, 'i');
// use a reverse lookup in a static map instead
const timeframe = this.findTimeframe (interval);
const messageHash = lowercaseMarketId + '@' + event + '_' + interval;
const parsed = [
this.safeInteger (kline, 't'),
this.safeFloat (kline, 'o'),
this.safeFloat (kline, 'h'),
this.safeFloat (kline, 'l'),
this.safeFloat (kline, 'c'),
this.safeFloat (kline, 'v'),
];
const symbol = this.safeSymbol (marketId);
this.ohlcvs[symbol] = this.safeValue (this.ohlcvs, symbol, {});
let stored = this.safeValue (this.ohlcvs[symbol], timeframe);
if (stored === undefined) {
const limit = this.safeInteger (this.options, 'OHLCVLimit', 1000);
stored = new ArrayCacheByTimestamp (limit);
this.ohlcvs[symbol][timeframe] = stored;
}
stored.append (parsed);
client.resolve (stored, messageHash);
}
async watchTicker (symbol, params = {}) {
/**
* @method
* @name binance#watchTicker
* @description watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
* @param {string} symbol unified symbol of the market to fetch the ticker for
* @param {object} params extra parameters specific to the binance api endpoint
* @param {string} params.name stream to use can be ticker or bookTicker
* @returns {object} a [ticker structure]{@link https://docs.ccxt.com/en/latest/manual.html#ticker-structure}
*/
await this.loadMarkets ();
const market = this.market (symbol);
const marketId = market['lowercaseId'];
let type = undefined;
[ type, params ] = this.handleMarketTypeAndParams ('watchTicker', market, params);
const options = this.safeValue (this.options, 'watchTicker', {});
let name = this.safeString (options, 'name', 'ticker');
name = this.safeString (params, 'name', name);
params = this.omit (params, 'name');
const messageHash = marketId + '@' + name;
const url = this.urls['api']['ws'][type] + '/' + this.stream (type, messageHash);
const requestId = this.requestId (url);
const request = {
'method': 'SUBSCRIBE',
'params': [
messageHash,
],
'id': requestId,
};
const subscribe = {
'id': requestId,
};
return await this.watch (url, messageHash, this.extend (request, params), messageHash, subscribe);
}
handleTicker (client, message) {
//
// 24hr rolling window ticker statistics for a single symbol
// These are NOT the statistics of the UTC day, but a 24hr rolling window for the previous 24hrs
// Update Speed 1000ms
//
// {
// e: '24hrTicker', // event type
// E: 1579485598569, // event time
// s: 'ETHBTC', // symbol
// p: '-0.00004000', // price change
// P: '-0.209', // price change percent
// w: '0.01920495', // weighted average price
// x: '0.01916500', // the price of the first trade before the 24hr rolling window
// c: '0.01912500', // last (closing) price
// Q: '0.10400000', // last quantity
// b: '0.01912200', // best bid
// B: '4.10400000', // best bid quantity
// a: '0.01912500', // best ask
// A: '0.00100000', // best ask quantity
// o: '0.01916500', // open price
// h: '0.01956500', // high price
// l: '0.01887700', // low price
// v: '173518.11900000', // base volume
// q: '3332.40703994', // quote volume
// O: 1579399197842, // open time
// C: 1579485597842, // close time
// F: 158251292, // first trade id
// L: 158414513, // last trade id
// n: 163222, // total number of trades
// }
//
let event = this.safeString (message, 'e', 'bookTicker');
if (event === '24hrTicker') {
event = 'ticker';
}
const wsMarketId = this.safeStringLower (message, 's');
const messageHash = wsMarketId + '@' + event;
let timestamp = undefined;
const now = this.milliseconds ();
if (event === 'bookTicker') {
// take the event timestamp, if available, for spot tickers it is not
timestamp = this.safeInteger (message, 'E', now);
} else {
// take the timestamp of the closing price for candlestick streams
timestamp = this.safeInteger (message, 'C', now);
}
const marketId = this.safeString (message, 's');
const symbol = this.safeSymbol (marketId);
const last = this.safeFloat (message, 'c');
const result = {
'symbol': symbol,
'timestamp': timestamp,
'datetime': this.iso8601 (timestamp),
'high': this.safeFloat (message, 'h'),
'low': this.safeFloat (message, 'l'),
'bid': this.safeFloat (message, 'b'),
'bidVolume': this.safeFloat (message, 'B'),
'ask': this.safeFloat (message, 'a'),
'askVolume': this.safeFloat (message, 'A'),
'vwap': this.safeFloat (message, 'w'),
'open': this.safeFloat (message, 'o'),
'close': last,
'last': last,
'previousClose': this.safeFloat (message, 'x'), // previous day close
'change': this.safeFloat (message, 'p'),
'percentage': this.safeFloat (message, 'P'),
'average': undefined,
'baseVolume': this.safeFloat (message, 'v'),
'quoteVolume': this.safeFloat (message, 'q'),
'info': message,
};
this.tickers[symbol] = result;
client.resolve (result, messageHash);
}
async authenticate (params = {}) {
const time = this.milliseconds ();
let type = this.safeString2 (this.options, 'defaultType', 'authenticate', 'spot');
type = this.safeString (params, 'type', type);
const options = this.safeValue (this.options, type, {});
const lastAuthenticatedTime = this.safeInteger (options, 'lastAuthenticatedTime', 0);
const listenKeyRefreshRate = this.safeInteger (this.options, 'listenKeyRefreshRate', 1200000);
const delay = this.sum (listenKeyRefreshRate, 10000);
if (time - lastAuthenticatedTime > delay) {
let method = 'publicPostUserDataStream';
if (type === 'future') {
method = 'fapiPrivatePostListenKey';
} else if (type === 'delivery') {
method = 'dapiPrivatePostListenKey';
} else if (type === 'margin') {
method = 'sapiPostUserDataStream';
}
const response = await this[method] ();
this.options[type] = this.extend (options, {
'listenKey': this.safeString (response, 'listenKey'),
'lastAuthenticatedTime': time,
});
this.delay (listenKeyRefreshRate, this.keepAliveListenKey, params);
}
}
async keepAliveListenKey (params = {}) {
// https://binance-docs.github.io/apidocs/spot/en/#listen-key-spot
let type = this.safeString2 (this.options, 'defaultType', 'authenticate', 'spot');
type = this.safeString (params, 'type', type);
const options = this.safeValue (this.options, type, {});
const listenKey = this.safeString (options, 'listenKey');
if (listenKey === undefined) {
// A network error happened: we can't renew a listen key that does not exist.
return;
}
let method = 'publicPutUserDataStream';
if (type === 'future') {
method = 'fapiPrivatePutListenKey';
} else if (type === 'delivery') {
method = 'dapiPrivatePutListenKey';
} else if (type === 'margin') {
method = 'sapiPutUserDataStream';
}
const request = {
'listenKey': listenKey,
};
const time = this.milliseconds ();
const sendParams = this.omit (params, 'type');
try {
await this[method] (this.extend (request, sendParams));
} catch (error) {
const url = this.urls['api']['ws'][type] + '/' + this.options[type]['listenKey'];
const client = this.client (url);
const messageHashes = Object.keys (client.futures);
for (let i = 0; i < messageHashes.length; i++) {
const messageHash = messageHashes[i];
client.reject (error, messageHash);
}
this.options[type] = this.extend (options, {
'listenKey': undefined,
'lastAuthenticatedTime': 0,
});
return;
}
this.options[type] = this.extend (options, {
'listenKey': listenKey,
'lastAuthenticatedTime': time,
});
// whether or not to schedule another listenKey keepAlive request
const clients = Object.values (this.clients);
const listenKeyRefreshRate = this.safeInteger (this.options, 'listenKeyRefreshRate', 1200000);
for (let i = 0; i < clients.length; i++) {
const client = clients[i];
const subscriptionKeys = Object.keys (client.subscriptions);
for (let j = 0; j < subscriptionKeys.length; j++) {
const subscribeType = subscriptionKeys[j];
if (subscribeType === type) {
return this.delay (listenKeyRefreshRate, this.keepAliveListenKey, params);
}
}
}
}
setBalanceCache (client, type) {
if (type in client.subscriptions) {
return undefined;
}
const options = this.safeValue (this.options, 'watchBalance');
const fetchBalanceSnapshot = this.safeValue (options, 'fetchBalanceSnapshot', false);
if (fetchBalanceSnapshot) {
const messageHash = type + ':fetchBalanceSnapshot';
if (!(messageHash in client.futures)) {
client.future (messageHash);
this.spawn (this.loadBalanceSnapshot, client, messageHash, type);
}
} else {
this.balance[type] = {};
}
}
async loadBalanceSnapshot (client, messageHash, type) {
const response = await this.fetchBalance ({ 'type': type });
this.balance[type] = this.extend (response, this.safeValue (this.balance, type, {}));
// don't remove the future from the .futures cache
const future = client.futures[messageHash];
future.resolve ();
client.resolve (this.balance[type], type + ':balance');
}
async watchBalance (params = {}) {
/**
* @method
* @name binance#watchBalance
* @description query for balance and get the amount of funds available for trading or funds locked in orders
* @param {object} params extra parameters specific to the binance api endpoint
* @returns {object} a [balance structure]{@link https://docs.ccxt.com/en/latest/manual.html?#balance-structure}
*/
await this.loadMarkets ();
await this.authenticate (params);
const defaultType = this.safeString (this.options, 'defaultType', 'spot');
const type = this.safeString (params, 'type', defaultType);
const url = this.urls['api']['ws'][type] + '/' + this.options[type]['listenKey'];
const client = this.client (url);
this.setBalanceCache (client, type);
const options = this.safeValue (this.options, 'watchBalance');
const fetchBalanceSnapshot = this.safeValue (options, 'fetchBalanceSnapshot', false);
const awaitBalanceSnapshot = this.safeValue (options, 'awaitBalanceSnapshot', true);
if (fetchBalanceSnapshot && awaitBalanceSnapshot) {
await client.future (type + ':fetchBalanceSnapshot');
}
const messageHash = type + ':balance';
const message = undefined;
return await this.watch (url, messageHash, message, type);
}
handleBalance (client, message) {
//
// sent upon a balance update not related to orders
//
// {
// e: 'balanceUpdate',
// E: 1629352505586,
// a: 'IOTX',
// d: '0.43750000',
// T: 1629352505585
// }
//
// sent upon creating or filling an order
//
// {
// "e": "outboundAccountPosition", // Event type
// "E": 1564034571105, // Event Time
// "u": 1564034571073, // Time of last account update
// "B": [ // Balances Array
// {
// "a": "ETH", // Asset
// "f": "10000.000000", // Free
// "l": "0.000000" // Locked
// }
// ]
// }
//
// future/delivery
//
// {
// "e": "ACCOUNT_UPDATE", // Event Type
// "E": 1564745798939, // Event Time
// "T": 1564745798938 , // Transaction
// "i": "SfsR", // Account Alias
// "a": { // Update Data
// "m":"ORDER", // Event reason type
// "B":[ // Balances
// {
// "a":"BTC", // Asset
// "wb":"122624.12345678", // Wallet Balance
// "cw":"100.12345678" // Cross Wallet Balance
// },
// ],
// "P":[
// {
// "s":"BTCUSD_200925", // Symbol
// "pa":"0", // Position Amount
// "ep":"0.0", // Entry Price
// "cr":"200", // (Pre-fee) Accumulated Realized
// "up":"0", // Unrealized PnL
// "mt":"isolated", // Margin Type
// "iw":"0.00000000", // Isolated Wallet (if isolated position)
// "ps":"BOTH" // Position Side
// },
// ]
// }
// }
//
const wallet = this.safeValue (this.options, 'wallet', 'wb'); // cw for cross wallet
// each account is connected to a different endpoint
// and has exactly one subscriptionhash which is the account type
const subscriptions = Object.keys (client.subscriptions);
const accountType = subscriptions[0];
const messageHash = accountType + ':balance';
this.balance[accountType]['info'] = message;
const event = this.safeString (message, 'e');
if (event === 'balanceUpdate') {
const currencyId = this.safeString (message, 'a');
const code = this.safeCurrencyCode (currencyId);
const account = this.account ();
const delta = this.safeString (message, 'd');
if (code in this.balance[accountType]) {
let previousValue = this.balance[accountType][code]['free'];
if (typeof previousValue !== 'string') {
previousValue = this.numberToString (previousValue);
}
account['free'] = Precise.stringAdd (previousValue, delta);
} else {
account['free'] = delta;
}
this.balance[accountType][code] = account;
} else {
message = this.safeValue (message, 'a', message);
const B = this.safeValue (message, 'B');
for (let i = 0; i < B.length; i++) {
const entry = B[i];
const currencyId = this.safeString (entry, 'a');
const code = this.safeCurrencyCode (currencyId);
const account = this.account ();
account['free'] = this.safeString (entry, 'f');
account['used'] = this.safeString (entry, 'l');
account['total'] = this.safeString (entry, wallet);
this.balance[accountType][code] = account;
}
}
const timestamp = this.safeInteger (message, 'E');
this.balance[accountType]['timestamp'] = timestamp;
this.balance[accountType]['datetime'] = this.iso8601 (timestamp);
this.balance[accountType] = this.safeBalance (this.balance[accountType]);
client.resolve (this.balance[accountType], messageHash);
}
async watchOrders (symbol = undefined, since = undefined, limit = undefined, params = {}) {
/**
* @method
* @name binance#watchOrders
* @description watches information on multiple orders made by the user
* @param {string|undefined} symbol unified market symbol of the market orders were made in
* @param {int|undefined} since the earliest time in ms to fetch orders for
* @param {int|undefined} limit the maximum number of orde structures to retrieve
* @param {object} params extra parameters specific to the binance api endpoint
* @returns {[object]} a list of [order structures]{@link https://docs.ccxt.com/en/latest/manual.html#order-structure}
*/
await this.loadMarkets ();
await this.authenticate (params);
let messageHash = 'orders';
let market = undefined;
if (symbol !== undefined) {
market = this.market (symbol);
symbol = market['symbol'];
messageHash += ':' + symbol;
}
let type = undefined;
[ type, params ] = this.handleMarketTypeAndParams ('watchOrders', market, params);
const url = this.urls['api']['ws'][type] + '/' + this.options[type]['listenKey'];
const client = this.client (url);
this.setBalanceCache (client, type);
const message = undefined;
const orders = await this.watch (url, messageHash, message, type);
if (this.newUpdates) {
limit =