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fixed GetHistoricalTradesAsync/GetRecentTradesAsync() issues #511

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Merged
merged 1 commit into from
Jan 22, 2020
Merged

fixed GetHistoricalTradesAsync/GetRecentTradesAsync() issues #511

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99 changes: 88 additions & 11 deletions src/ExchangeSharp/API/Exchanges/BinanceGroup/BinanceGroupCommon.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -332,7 +332,7 @@ protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string mark
return ExchangeAPIExtensions.ParseOrderBookFromJTokenArrays(obj, sequence: "lastUpdateId", maxCount: maxCount);
}

protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null)
protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)
{
/* [ {
"a": 26129, // Aggregate tradeId
Expand All @@ -345,17 +345,44 @@ protected override async Task OnGetHistoricalTradesAsync(Func<IEnumerable<Exchan
"M": true // Was the trade the best price match?
} ] */

ExchangeHistoricalTradeHelper state = new ExchangeHistoricalTradeHelper(this)
//if(startDate == null && endDate == null) {
// await OnGetRecentTradesAsync(marketSymbol, limit);
//}
//else {
//System.Windows.Forms.MessageBox.Show("Duplicate MessageId " + MessageId, "HMMMM RETURN?");


ExchangeHistoricalTradeHelper state = new ExchangeHistoricalTradeHelper(this)
{
Callback = callback,
EndDate = endDate,
ParseFunction = (JToken token) => token.ParseTrade("q", "p", "m", "T", TimestampType.UnixMilliseconds, "a", "false"),
StartDate = startDate,
MarketSymbol = marketSymbol,
TimestampFunction = (DateTime dt) => ((long)CryptoUtility.UnixTimestampFromDateTimeMilliseconds(dt)).ToStringInvariant(),
Url = "/aggTrades?symbol=[marketSymbol]&startTime={0}&endTime={1}",
};
await state.ProcessHistoricalTrades();
Callback = callback,
EndDate = endDate,
ParseFunction = (JToken token) => token.ParseTrade("q", "p", "m", "T", TimestampType.UnixMilliseconds, "a", "false"),
StartDate = startDate,
MarketSymbol = marketSymbol,
TimestampFunction = (DateTime dt) => ((long)CryptoUtility.UnixTimestampFromDateTimeMilliseconds(dt)).ToStringInvariant(),
Url = "/aggTrades?symbol=[marketSymbol]&startTime={0}&endTime={1}",
};
await state.ProcessHistoricalTrades();
//}
}

protected override async Task<IEnumerable<ExchangeTrade>> OnGetRecentTradesAsync(string marketSymbol, int? limit = null)
{
List<ExchangeTrade> trades = new List<ExchangeTrade>();
//var maxRequestLimit = 1000; //hard coded for now, should add limit as an argument
//https://github.com/binance-exchange/binance-official-api-docs/blob/master/rest-api.md#compressedaggregate-trades-list
int maxRequestLimit = (limit == null || limit < 1 || limit > 1000) ? 1000 : (int)limit;

JToken obj = await MakeJsonRequestAsync<JToken>($"/aggTrades?symbol={marketSymbol}&limit={maxRequestLimit}");
//JToken obj = await MakeJsonRequestAsync<JToken>("/public/trades/" + marketSymbol + "?limit=" + maxRequestLimit + "?sort=DESC");
if(obj.HasValues) { //
foreach(JToken token in obj) {
var trade = token.ParseTrade("q", "p", "m", "T", TimestampType.UnixMilliseconds, "a", "false");
trades.Add(trade);
}
}
return trades.AsEnumerable().Reverse(); //Descending order (ie newest trades first)
//return trades;
}

public async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, long startId, long? endId = null)
Expand Down Expand Up @@ -407,6 +434,56 @@ public async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bo
} while (callback(trades) && trades.Count > 0);
}

public async Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, int limit = 100)
{
/* [ {
"a": 26129, // Aggregate tradeId
"p": "0.01633102", // Price
"q": "4.70443515", // Quantity
"f": 27781, // First tradeId
"l": 27781, // Last tradeId
"T": 1498793709153, // Timestamp
"m": true, // Was the buyer the maker?
"M": true // Was the trade the best price match?
} ] */

// TODO : Refactor into a common layer once more Exchanges implement this pattern
// https://github.com/binance-exchange/binance-official-api-docs/blob/master/rest-api.md#compressedaggregate-trades-list
if(limit > 1000) limit = 1000; //Binance max = 1000
var maxRequestLimit = 1000;
var trades = new List<ExchangeTrade>();
var processedIds = new HashSet<long>();
marketSymbol = NormalizeMarketSymbol(marketSymbol);

do {
//if(fromId > endId)
// break;

trades.Clear();
//var limit = Math.Min(endId - fromId ?? maxRequestLimit, maxRequestLimit);
var obj = await MakeJsonRequestAsync<JToken>($"/aggTrades?symbol={marketSymbol}&limit={limit}");

foreach(var token in obj) {
var trade = token.ParseTrade("q", "p", "m", "T", TimestampType.UnixMilliseconds, "a", "false");
//long tradeId = (long)trade.Id.ConvertInvariant<ulong>();
//if(tradeId < fromId)
// continue;
//if(tradeId > endId)
// continue;
//if(!processedIds.Add(tradeId))
// continue;

trades.Add(trade);
//fromId = tradeId;
}

//fromId++;
} while(callback(trades) && trades.Count > 0);
}




protected override async Task<IEnumerable<MarketCandle>> OnGetCandlesAsync(string marketSymbol, int periodSeconds, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)
{
/* [
Expand Down
2 changes: 1 addition & 1 deletion src/ExchangeSharp/API/Exchanges/BitBank/ExchangeBitBankAPI.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -125,7 +125,7 @@ protected override async Task<IEnumerable<MarketCandle>> OnGetCandlesAsync(strin

protected override async Task<Dictionary<string, decimal>> OnGetAmountsAsync() => await OnGetAmountsAsyncCore("onhand_amount");

protected override Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null)
protected override Task OnGetHistoricalTradesAsync(Func<IEnumerable<ExchangeTrade>, bool> callback, string marketSymbol, DateTime? startDate = null, DateTime? endDate = null, int? limit = null)
{
throw new NotImplementedException();
}
Expand Down
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