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Binance/proxy: Several fixes (thrasher-corp#678)
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* Binance: REST respect proxy variable

* Binance: add rest API functionality
* margin account
* move accountInfo to authenticated endpoints
* myTrades endpoint (not yet implemented)
* add BUSD (available in Binance) to currencies enumeration

* Binance: websocket fix

* like REST, websocket dialer respects HTTP(S)_PROXY env vars
* handle situation when orderbook buffers websocket depth updates, the check on FastUpdateID and FirstUpdateID is done right before WebsocketDepthStream gets staged in orderbook manager's buffer channel. The assertion is this depth's FirstUpdateID should equal (last depth's LastUpdateID + 1)

* Binance: add Margin account test case

* Binance: fix typo in MarginAccount, add more fields

* Binance: margin account holdings bookkeeping

* Binance: add rest API functionality
* spot historical trades (public), needs API key in header
* change how margin account holdings are accounted in accordance with the PR

* Binance: use websocket message timestamp as orderbook update time

* Binance:
* fix mock test TestGetHistoricalTrades
* comment exported types

* Binance: fix linter issue

* Binance: add a lock to prevent orderbook test race
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@yangrq1018
yangrq1018 authored May 28, 2021
1 parent a75d7f8 commit 0e7d530
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Showing 7 changed files with 199 additions and 45 deletions.
1 change: 1 addition & 0 deletions currency/code_types.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1660,4 +1660,5 @@ var (
SNX = NewCode("SNX")
CRV = NewCode("CRV")
OXT = NewCode("OXT")
BUSD = NewCode("BUSD")
)
57 changes: 48 additions & 9 deletions exchanges/binance/binance.go
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Original file line number Diff line number Diff line change
Expand Up @@ -47,15 +47,17 @@ const (
priceChange = "/api/v3/ticker/24hr"
symbolPrice = "/api/v3/ticker/price"
bestPrice = "/api/v3/ticker/bookTicker"
accountInfo = "/api/v3/account"
userAccountStream = "/api/v3/userDataStream"
perpExchangeInfo = "/fapi/v1/exchangeInfo"
historicalTrades = "/api/v3/historicalTrades"

// Authenticated endpoints
newOrderTest = "/api/v3/order/test"
orderEndpoint = "/api/v3/order"
openOrders = "/api/v3/openOrders"
allOrders = "/api/v3/allOrders"
newOrderTest = "/api/v3/order/test"
orderEndpoint = "/api/v3/order"
openOrders = "/api/v3/openOrders"
allOrders = "/api/v3/allOrders"
accountInfo = "/api/v3/account"
marginAccountInfo = "/sapi/v1/margin/account"

// Withdraw API endpoints
withdrawEndpoint = "/wapi/v3/withdraw.html"
Expand Down Expand Up @@ -188,10 +190,18 @@ func (b *Binance) GetMostRecentTrades(rtr RecentTradeRequestParams) ([]RecentTra
// limit: Optional. Default 500; max 1000.
// fromID:
func (b *Binance) GetHistoricalTrades(symbol string, limit int, fromID int64) ([]HistoricalTrade, error) {
// Dropping support due to response for market data is always
// {"code":-2014,"msg":"API-key format invalid."}
// TODO: replace with newer API vs REST endpoint
return nil, common.ErrFunctionNotSupported
var resp []HistoricalTrade
params := url.Values{}

params.Set("symbol", symbol)
params.Set("limit", fmt.Sprintf("%d", limit))
// else return most recent trades
if fromID > 0 {
params.Set("fromId", fmt.Sprintf("%d", fromID))
}

path := historicalTrades + "?" + params.Encode()
return resp, b.SendAPIKeyHTTPRequest(exchange.RestSpotSupplementary, path, spotDefaultRate, &resp)
}

// GetAggregatedTrades returns aggregated trade activity.
Expand Down Expand Up @@ -651,6 +661,17 @@ func (b *Binance) GetAccount() (*Account, error) {
return &resp.Account, nil
}

func (b *Binance) GetMarginAccount() (*MarginAccount, error) {
var resp MarginAccount
params := url.Values{}

if err := b.SendAuthHTTPRequest(exchange.RestSpotSupplementary, http.MethodGet, marginAccountInfo, params, spotAccountInformationRate, &resp); err != nil {
return &resp, err
}

return &resp, nil
}

// SendHTTPRequest sends an unauthenticated request
func (b *Binance) SendHTTPRequest(ePath exchange.URL, path string, f request.EndpointLimit, result interface{}) error {
endpointPath, err := b.API.Endpoints.GetURL(ePath)
Expand All @@ -667,6 +688,24 @@ func (b *Binance) SendHTTPRequest(ePath exchange.URL, path string, f request.End
Endpoint: f})
}

func (b *Binance) SendAPIKeyHTTPRequest(ePath exchange.URL, path string, f request.EndpointLimit, result interface{}) error {
endpointPath, err := b.API.Endpoints.GetURL(ePath)
if err != nil {
return err
}
headers := make(map[string]string)
headers["X-MBX-APIKEY"] = b.API.Credentials.Key
return b.SendPayload(context.Background(), &request.Item{
Method: http.MethodGet,
Path: endpointPath + path,
Headers: headers,
Result: result,
Verbose: b.Verbose,
HTTPDebugging: b.HTTPDebugging,
HTTPRecording: b.HTTPRecording,
Endpoint: f})
}

// SendAuthHTTPRequest sends an authenticated HTTP request
func (b *Binance) SendAuthHTTPRequest(ePath exchange.URL, method, path string, params url.Values, f request.EndpointLimit, result interface{}) error {
if !b.AllowAuthenticatedRequest() {
Expand Down
47 changes: 31 additions & 16 deletions exchanges/binance/binance_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -3,6 +3,8 @@ package binance
import (
"encoding/json"
"errors"
"fmt"
"sync"
"testing"
"time"

Expand All @@ -25,6 +27,9 @@ const (

var b Binance

// this lock guards against orderbook tests race
var binanceOrderBookLock = &sync.Mutex{}

func areTestAPIKeysSet() bool {
return b.ValidateAPICredentials()
}
Expand Down Expand Up @@ -1174,12 +1179,9 @@ func TestGetMostRecentTrades(t *testing.T) {
func TestGetHistoricalTrades(t *testing.T) {
t.Parallel()

_, err := b.GetHistoricalTrades("BTCUSDT", 5, 0)
if !mockTests && err == nil {
t.Error("Binance GetHistoricalTrades() expecting error")
}
if mockTests && err == nil {
t.Error("Binance GetHistoricalTrades() error", err)
_, err := b.GetHistoricalTrades("BTCUSDT", 5, -1)
if err != nil {
t.Errorf("Binance GetHistoricalTrades() error: %v", err)
}
}

Expand Down Expand Up @@ -1751,17 +1753,20 @@ func TestGetAccountInfo(t *testing.T) {
t.Skip("skipping test: api keys not set")
}
t.Parallel()
_, err := b.UpdateAccountInfo(asset.CoinMarginedFutures)
if err != nil {
t.Error(err)
}
_, err = b.UpdateAccountInfo(asset.USDTMarginedFutures)
if err != nil {
t.Error(err)
items := asset.Items{
asset.CoinMarginedFutures,
asset.USDTMarginedFutures,
asset.Spot,
asset.Margin,
}
_, err = b.UpdateAccountInfo(asset.Spot)
if err != nil {
t.Error(err)
for i := range items {
assetType := items[i]
t.Run(fmt.Sprintf("Update info of account [%s]", assetType.String()), func(t *testing.T) {
_, err := b.UpdateAccountInfo(assetType)
if err != nil {
t.Error(err)
}
})
}
}

Expand Down Expand Up @@ -2075,6 +2080,8 @@ func TestWsTradeUpdate(t *testing.T) {
}

func TestWsDepthUpdate(t *testing.T) {
binanceOrderBookLock.Lock()
defer binanceOrderBookLock.Unlock()
b.setupOrderbookManager()
seedLastUpdateID := int64(161)
book := OrderBook{
Expand Down Expand Up @@ -2177,6 +2184,9 @@ func TestWsDepthUpdate(t *testing.T) {
if exp, got := 0.163526, ob.Bids[1].Amount; got != exp {
t.Fatalf("Unexpected Bid amount. Exp: %f, got %f", exp, got)
}

// reset order book sync status
b.obm.state[currency.BTC][currency.USDT][asset.Spot].lastUpdateID = 0
}

func TestWsBalanceUpdate(t *testing.T) {
Expand Down Expand Up @@ -2386,6 +2396,8 @@ var websocketDepthUpdate = []byte(`{"E":1608001030784,"U":7145637266,"a":[["1945

func TestProcessUpdate(t *testing.T) {
t.Parallel()
binanceOrderBookLock.Lock()
defer binanceOrderBookLock.Unlock()
p := currency.NewPair(currency.BTC, currency.USDT)
var depth WebsocketDepthStream
err := json.Unmarshal(websocketDepthUpdate, &depth)
Expand All @@ -2407,6 +2419,9 @@ func TestProcessUpdate(t *testing.T) {
if err != nil {
t.Fatal(err)
}

// reset order book sync status
b.obm.state[currency.BTC][currency.USDT][asset.Spot].lastUpdateID = 0
}

func TestUFuturesHistoricalTrades(t *testing.T) {
Expand Down
38 changes: 30 additions & 8 deletions exchanges/binance/binance_types.go
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Original file line number Diff line number Diff line change
Expand Up @@ -203,14 +203,13 @@ type TickerStream struct {

// HistoricalTrade holds recent trade data
type HistoricalTrade struct {
Code int `json:"code"`
Msg string `json:"msg"`
ID int64 `json:"id"`
Price float64 `json:"price,string"`
Quantity float64 `json:"qty,string"`
Time time.Time `json:"time"`
IsBuyerMaker bool `json:"isBuyerMaker"`
IsBestMatch bool `json:"isBestMatch"`
ID int64 `json:"id"`
Price float64 `json:"price,string"`
Quantity float64 `json:"qty,string"`
QuoteQuantity float64 `json:"quoteQty,string"`
Time time.Time `json:"time"`
IsBuyerMaker bool `json:"isBuyerMaker"`
IsBestMatch bool `json:"isBestMatch"`
}

// AggregatedTradeRequestParams holds request params
Expand Down Expand Up @@ -407,6 +406,28 @@ type Account struct {
Balances []Balance `json:"balances"`
}

// MarginAccount holds the margin account data
type MarginAccount struct {
BorrowEnabled bool `json:"borrowEnabled"`
MarginLevel float64 `json:"marginLevel,string"`
TotalAssetOfBtc float64 `json:"totalAssetOfBtc,string"`
TotalLiabilityOfBtc float64 `json:"totalLiabilityOfBtc,string"`
TotalNetAssetOfBtc float64 `json:"totalNetAssetOfBtc,string"`
TradeEnabled bool `json:"tradeEnabled"`
TransferEnabled bool `json:"transferEnabled"`
UserAssets []MarginAccountAsset `json:"userAssets"`
}

// MarginAccountAsset holds each individual margin account asset
type MarginAccountAsset struct {
Asset string `json:"asset"`
Borrowed float64 `json:"borrowed,string"`
Free float64 `json:"free,string"`
Interest float64 `json:"interest,string"`
Locked float64 `json:"locked,string"`
NetAsset float64 `json:"netAsset,string"`
}

// RequestParamsTimeForceType Time in force
type RequestParamsTimeForceType string

Expand Down Expand Up @@ -805,6 +826,7 @@ type update struct {
buffer chan *WebsocketDepthStream
fetchingBook bool
initialSync bool
lastUpdateID int64
}

// job defines a synchonisation job that tells a go routine to fetch an
Expand Down
26 changes: 14 additions & 12 deletions exchanges/binance/binance_websocket.go
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Original file line number Diff line number Diff line change
Expand Up @@ -48,6 +48,7 @@ func (b *Binance) WsConnect() error {

var dialer websocket.Dialer
dialer.HandshakeTimeout = b.Config.HTTPTimeout
dialer.Proxy = http.ProxyFromEnvironment
var err error
if b.Websocket.CanUseAuthenticatedEndpoints() {
listenKey, err = b.GetWsAuthStreamKey()
Expand Down Expand Up @@ -395,7 +396,6 @@ func (b *Binance) wsHandleData(respRaw []byte) error {
b.Name,
err)
}

init, err := b.UpdateLocalBuffer(&depth)
if err != nil {
if init {
Expand Down Expand Up @@ -614,11 +614,12 @@ func (b *Binance) ProcessUpdate(cp currency.Pair, a asset.Item, ws *WebsocketDep
}

return b.Websocket.Orderbook.Update(&buffer.Update{
Bids: updateBid,
Asks: updateAsk,
Pair: cp,
UpdateID: ws.LastUpdateID,
Asset: a,
Bids: updateBid,
Asks: updateAsk,
Pair: cp,
UpdateID: ws.LastUpdateID,
UpdateTime: ws.Timestamp,
Asset: a,
})
}

Expand Down Expand Up @@ -732,6 +733,13 @@ func (o *orderbookManager) stageWsUpdate(u *WebsocketDepthStream, pair currency.
m2[a] = state
}

if state.lastUpdateID != 0 && u.FirstUpdateID != state.lastUpdateID+1 {
// While listening to the stream, each new event's U should be
// equal to the previous event's u+1.
return fmt.Errorf("websocket orderbook synchronisation failure for pair %s and asset %s", pair, a)
}
state.lastUpdateID = u.LastUpdateID

select {
// Put update in the channel buffer to be processed
case state.buffer <- u:
Expand Down Expand Up @@ -888,12 +896,6 @@ func (u *update) validate(updt *WebsocketDepthStream, recent *orderbook.Base) (b
asset.Spot)
}
u.initialSync = false
} else if updt.FirstUpdateID != id {
// While listening to the stream, each new event's U should be
// equal to the previous event's u+1.
return false, fmt.Errorf("websocket orderbook synchronisation failure for pair %s and asset %s",
recent.Pair,
asset.Spot)
}
return true, nil
}
Expand Down
15 changes: 15 additions & 0 deletions exchanges/binance/binance_wrapper.go
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Original file line number Diff line number Diff line change
Expand Up @@ -636,6 +636,21 @@ func (b *Binance) UpdateAccountInfo(assetType asset.Item) (account.Holdings, err
})
}

acc.Currencies = currencyDetails
case asset.Margin:
accData, err := b.GetMarginAccount()
if err != nil {
return info, err
}
var currencyDetails []account.Balance
for i := range accData.UserAssets {
currencyDetails = append(currencyDetails, account.Balance{
CurrencyName: currency.NewCode(accData.UserAssets[i].Asset),
TotalValue: accData.UserAssets[i].Free + accData.UserAssets[i].Locked,
Hold: accData.UserAssets[i].Locked,
})
}

acc.Currencies = currencyDetails

default:
Expand Down
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