Stefano Raggi
934128cfa0
* Binance Brokerage skeleton * Market hours * Implement Symbol Mapper - known symbols available on /api/v1/exchangeInfo - fiat currencies are pegged * Implement GetCashBalance * Implement GetAccountHoldings - there are no pre-existing currency swaps - cash balances are pulled and stored in the cashbook * Implement GetOpenOrders * Manage orders: PlaceOrder * Manage orders: UpdateOrder Update operation is not supported * Manage orders: CancelOrder * Messaging: order book * Messaging: trades * Messaging: combine streams - connect to fake /ws/open channel on init - case by channel name, but not event type * Messaging: order depth updates - ticker symbol is not enough as it pushes updates only once a second, this would be a very incomplete data stream - fetch ticker snapshot if lastUpdateId == 0 - follow Binance instructions for keeping local orderbook fresh * Messaging: user data streaming - Request userDataStream endpoint to get listenKey - keep listenkey alive - handle order close event - handle order fill event * DataDownloader: get history - we can aggregate minute candles for higher resolutions * fix data stream * Tests: FeeModel tests * Tests: base brokerage tests * Tests: download history * Tests: symbol mapper * Support StopLimit andd StopMarket orders * StopMarket orders disabled Take profit and Stop loss orders are not supported for any symbols (tested with BTCUSDT, ETHUSDT) * Tests: StopLimit order * Tests: crypto parsing * Reissue user data listen key * comment custom currency limitation * rework websocket connections * implement delayed subscription * adapt ignore message * add license banner * use better suited exception type * avoid message double parsing * support custom fee values * extract BinanceApiClient to manage the request/response between lean and binance * use api events to invoke brokerage events * do not allow to terminate session if it wasn't allocated. * update binance exchange info * tool to add or update binance exchange info * ExchangeInfo basic test * Rebase + Resharp * Binance brokerage updates - Fix sign bug in sell order fills - Fix bug in GetHistory - Remove duplicate symbol from symbol properties db * Remove unused code * Revert removal of account currency check * Update symbols properties database * Address review * Address review - Upgrade API endpoints from v1 to v3 - Updated sub/unsub for new subscription manager - Subscribe best bid/ask quotes instead of full order book - Added handling of websocket error messages - Cleanup + refactor * Update symbol properties database * Remove list from symbol mapper * Fix symbol mapper tests * Address review - Fix resubscribe after reconnect - Fix quote tick edge case * Fix EnsureCurrencyDataFeed for non-tradeable currencies * Fix check in EnsureCurrencyDataFeed * Reuse base class subscribe on reconnect Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
36 lines
1.6 KiB
C#
36 lines
1.6 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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namespace QuantConnect.ToolBox
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{
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/// <summary>
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/// Data Downloader Interface for pulling data from a remote source.
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/// </summary>
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public interface IDataDownloader
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{
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/// <summary>
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/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
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/// </summary>
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/// <param name="symbol">Symbol for the data we're looking for.</param>
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/// <param name="resolution">Resolution of the data request</param>
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/// <param name="startUtc">Start time of the data in UTC</param>
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/// <param name="endUtc">End time of the data in UTC</param>
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/// <returns>Enumerable of base data for this symbol</returns>
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IEnumerable<BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc);
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}
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} |