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quantconnect--lean/ToolBox/QuantConnect.ToolBox.csproj
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Stefano Raggi 934128cfa0 Binance Brokerage implementation (#4688) 
* 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>
2020-09-28 15:57:10 -03:00

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