From 764c7fe764dd52e2c2e54fe1b025ac3b8adb3597 Mon Sep 17 00:00:00 2001
From: Enzo Henrique <enzo.gehlen@outlook.com>
Date: Thu, 25 Nov 2021 22:49:38 -0300
Subject: [PATCH] Implemented OnGetCandlesWebSocketAsync for BinanceGroup

Implemented websocket Kline/Candlestick Streams following Binance docs: https://github.com/binance/binance-spot-api-docs/blob/master/web-socket-streams.md#klinecandlestick-streams.
The data is received each 2 seconds. I know that MiniTicker method (right below this method in the docs) is faster (it updates each 1s) but there's no aggregation by period. That's why I believe this method is more suitable for this case.
---
 .../BinanceGroup/BinanceGroupCommon.cs        | 30 +++++++++++++++++++
 1 file changed, 30 insertions(+)

diff --git a/src/ExchangeSharp/API/Exchanges/BinanceGroup/BinanceGroupCommon.cs b/src/ExchangeSharp/API/Exchanges/BinanceGroup/BinanceGroupCommon.cs
index 9ebef848..736fd26d 100644
--- a/src/ExchangeSharp/API/Exchanges/BinanceGroup/BinanceGroupCommon.cs
+++ b/src/ExchangeSharp/API/Exchanges/BinanceGroup/BinanceGroupCommon.cs
@@ -1135,6 +1135,36 @@ protected override async Task<IWebSocket> OnUserDataWebSocketAsync(Action<object
 			});
 		}
 
+		protected override async Task<IWebSocket> OnGetCandlesWebSocketAsync(Func<MarketCandle, Task> callbackAsync, int periodSeconds, params string[] marketSymbols)
+		{
+			//Candlesticks are received each 2s. Miniticker method is faster (1s), but you can't aggregate by period.
+			//https://github.com/binance/binance-spot-api-docs/blob/master/web-socket-streams.md#klinecandlestick-streams
+
+			if (marketSymbols == null || marketSymbols.Length == 0)
+				throw new ArgumentNullException(nameof(marketSymbols));
+
+			//only one symbol per connection
+			var symbol = marketSymbols[0].ToStringLowerInvariant();
+
+			var period = PeriodSecondsToString(periodSeconds);
+
+			return await ConnectPublicWebSocketAsync($"/stream?streams={symbol}@kline_{period}", async (_socket, msg) =>
+			{
+				JToken token = JToken.Parse(msg.ToStringFromUTF8());
+
+				if (token != null && token["data"] != null && token["data"]["k"] != null)
+				{
+					var candle = this.ParseCandle(token["data"]["k"], symbol, periodSeconds, "o", "h", "l", "c", "t",
+						TimestampType.UnixMilliseconds, "v", "q");
+
+					if (candle != null)
+					{
+						callbackAsync(candle);
+					}
+				}
+			});
+		}
+
 		public async Task<string> GetListenKeyAsync()
 		{
 			JToken response = await MakeJsonRequestAsync<JToken>("/userDataStream", BaseUrlApi, null, "POST");