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>
81 lines
2.7 KiB
C#
81 lines
2.7 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.IO;
|
|
|
|
namespace QuantConnect.ToolBox
|
|
{
|
|
/// <summary>
|
|
/// Base tool for pulling data from a remote source and updating existing csv file.
|
|
/// </summary>
|
|
public class ExchangeInfoUpdater
|
|
{
|
|
private readonly IExchangeInfoDownloader _eidl;
|
|
|
|
public ExchangeInfoUpdater(IExchangeInfoDownloader eidl)
|
|
{
|
|
_eidl = eidl;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Update existing symbol properties database
|
|
/// </summary>
|
|
public void Run()
|
|
{
|
|
var directory = Path.Combine(Globals.DataFolder, "symbol-properties");
|
|
var file = Path.Combine(directory, "symbol-properties-database.csv");
|
|
var tmp = Path.Combine(directory, "symbol-properties-database.tmp.csv");
|
|
if (!File.Exists(file))
|
|
{
|
|
throw new FileNotFoundException("Unable to locate symbol properties file: " + file);
|
|
}
|
|
|
|
using (var writer = new StreamWriter(tmp))
|
|
{
|
|
var fetch = false;
|
|
// skip the first header line, also skip #'s as these are comment lines
|
|
foreach (var line in File.ReadLines(file))
|
|
{
|
|
if (!line.StartsWithInvariant(_eidl.Market, true))
|
|
{
|
|
writer.WriteLine(line);
|
|
|
|
}
|
|
else if (!fetch)
|
|
{
|
|
foreach (var upd in _eidl.Get())
|
|
{
|
|
writer.WriteLine(upd);
|
|
}
|
|
fetch = true;
|
|
}
|
|
}
|
|
|
|
if (!fetch)
|
|
{
|
|
writer.WriteLine(Environment.NewLine);
|
|
foreach (var upd in _eidl.Get())
|
|
{
|
|
writer.WriteLine(upd);
|
|
}
|
|
}
|
|
}
|
|
|
|
File.Delete(file); // Delete the existing file if exists
|
|
File.Move(tmp, file);
|
|
}
|
|
}
|
|
} |