bucket aggregation
This commit is contained in:
Dobromir Popov
489
COBY/connectors/binance_connector.py
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489
COBY/connectors/binance_connector.py
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"""
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Binance exchange connector implementation.
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"""
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import json
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from typing import Dict, List, Optional, Any
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from datetime import datetime, timezone
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from ..models.core import OrderBookSnapshot, TradeEvent, PriceLevel
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from ..utils.logging import get_logger, set_correlation_id
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from ..utils.exceptions import ValidationError
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from ..utils.validation import validate_symbol, validate_price, validate_volume
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from .base_connector import BaseExchangeConnector
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logger = get_logger(__name__)
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class BinanceConnector(BaseExchangeConnector):
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"""
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Binance WebSocket connector implementation.
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Supports:
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- Order book depth streams
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- Trade streams
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- Symbol normalization
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- Real-time data processing
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"""
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# Binance WebSocket URLs
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WEBSOCKET_URL = "wss://stream.binance.com:9443/ws"
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API_URL = "https://api.binance.com/api/v3"
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def __init__(self):
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"""Initialize Binance connector"""
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super().__init__("binance", self.WEBSOCKET_URL)
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# Binance-specific message handlers
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self.message_handlers.update({
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'depthUpdate': self._handle_orderbook_update,
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'trade': self._handle_trade_update,
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'error': self._handle_error_message
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})
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# Stream management
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self.active_streams: List[str] = []
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self.stream_id = 1
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logger.info("Binance connector initialized")
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def _get_message_type(self, data: Dict) -> str:
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"""
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Determine message type from Binance message data.
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Args:
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data: Parsed message data
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Returns:
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str: Message type identifier
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"""
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# Binance uses 'e' field for event type
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if 'e' in data:
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return data['e']
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# Handle error messages
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if 'error' in data:
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return 'error'
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# Handle subscription confirmations
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if 'result' in data and 'id' in data:
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return 'subscription_response'
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return 'unknown'
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def normalize_symbol(self, symbol: str) -> str:
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"""
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Normalize symbol to Binance format.
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Args:
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symbol: Standard symbol format (e.g., 'BTCUSDT')
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Returns:
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str: Binance symbol format (e.g., 'BTCUSDT')
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"""
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# Binance uses uppercase symbols without separators
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normalized = symbol.upper().replace('-', '').replace('/', '')
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# Validate symbol format
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if not validate_symbol(normalized):
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raise ValidationError(f"Invalid symbol format: {symbol}", "INVALID_SYMBOL")
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return normalized
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async def subscribe_orderbook(self, symbol: str) -> None:
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"""
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Subscribe to order book depth updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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try:
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set_correlation_id()
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normalized_symbol = self.normalize_symbol(symbol)
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stream_name = f"{normalized_symbol.lower()}@depth@100ms"
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# Create subscription message
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subscription_msg = {
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"method": "SUBSCRIBE",
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"params": [stream_name],
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"id": self.stream_id
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}
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# Send subscription
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success = await self._send_message(subscription_msg)
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if success:
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# Track subscription
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if symbol not in self.subscriptions:
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self.subscriptions[symbol] = []
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if 'orderbook' not in self.subscriptions[symbol]:
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self.subscriptions[symbol].append('orderbook')
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self.active_streams.append(stream_name)
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self.stream_id += 1
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logger.info(f"Subscribed to order book for {symbol} on Binance")
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else:
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logger.error(f"Failed to subscribe to order book for {symbol} on Binance")
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except Exception as e:
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logger.error(f"Error subscribing to order book for {symbol}: {e}")
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raise
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async def subscribe_trades(self, symbol: str) -> None:
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"""
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Subscribe to trade updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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try:
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set_correlation_id()
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normalized_symbol = self.normalize_symbol(symbol)
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stream_name = f"{normalized_symbol.lower()}@trade"
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# Create subscription message
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subscription_msg = {
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"method": "SUBSCRIBE",
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"params": [stream_name],
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"id": self.stream_id
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}
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# Send subscription
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success = await self._send_message(subscription_msg)
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if success:
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# Track subscription
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if symbol not in self.subscriptions:
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self.subscriptions[symbol] = []
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if 'trades' not in self.subscriptions[symbol]:
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self.subscriptions[symbol].append('trades')
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self.active_streams.append(stream_name)
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self.stream_id += 1
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logger.info(f"Subscribed to trades for {symbol} on Binance")
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else:
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logger.error(f"Failed to subscribe to trades for {symbol} on Binance")
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except Exception as e:
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logger.error(f"Error subscribing to trades for {symbol}: {e}")
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raise
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async def unsubscribe_orderbook(self, symbol: str) -> None:
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"""
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Unsubscribe from order book updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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try:
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normalized_symbol = self.normalize_symbol(symbol)
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stream_name = f"{normalized_symbol.lower()}@depth@100ms"
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# Create unsubscription message
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unsubscription_msg = {
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"method": "UNSUBSCRIBE",
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"params": [stream_name],
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"id": self.stream_id
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}
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# Send unsubscription
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success = await self._send_message(unsubscription_msg)
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if success:
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# Remove from tracking
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if symbol in self.subscriptions and 'orderbook' in self.subscriptions[symbol]:
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self.subscriptions[symbol].remove('orderbook')
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if not self.subscriptions[symbol]:
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del self.subscriptions[symbol]
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if stream_name in self.active_streams:
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self.active_streams.remove(stream_name)
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self.stream_id += 1
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logger.info(f"Unsubscribed from order book for {symbol} on Binance")
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else:
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logger.error(f"Failed to unsubscribe from order book for {symbol} on Binance")
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except Exception as e:
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logger.error(f"Error unsubscribing from order book for {symbol}: {e}")
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raise
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async def unsubscribe_trades(self, symbol: str) -> None:
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"""
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Unsubscribe from trade updates for a symbol.
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Args:
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symbol: Trading symbol (e.g., 'BTCUSDT')
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"""
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try:
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normalized_symbol = self.normalize_symbol(symbol)
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stream_name = f"{normalized_symbol.lower()}@trade"
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# Create unsubscription message
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unsubscription_msg = {
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"method": "UNSUBSCRIBE",
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"params": [stream_name],
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"id": self.stream_id
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}
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# Send unsubscription
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success = await self._send_message(unsubscription_msg)
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if success:
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# Remove from tracking
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if symbol in self.subscriptions and 'trades' in self.subscriptions[symbol]:
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self.subscriptions[symbol].remove('trades')
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if not self.subscriptions[symbol]:
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del self.subscriptions[symbol]
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if stream_name in self.active_streams:
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self.active_streams.remove(stream_name)
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self.stream_id += 1
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logger.info(f"Unsubscribed from trades for {symbol} on Binance")
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else:
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logger.error(f"Failed to unsubscribe from trades for {symbol} on Binance")
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except Exception as e:
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logger.error(f"Error unsubscribing from trades for {symbol}: {e}")
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raise
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async def get_symbols(self) -> List[str]:
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"""
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Get list of available trading symbols from Binance.
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Returns:
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List[str]: List of available symbols
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"""
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try:
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import aiohttp
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async with aiohttp.ClientSession() as session:
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async with session.get(f"{self.API_URL}/exchangeInfo") as response:
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if response.status == 200:
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data = await response.json()
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symbols = [
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symbol_info['symbol']
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for symbol_info in data.get('symbols', [])
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if symbol_info.get('status') == 'TRADING'
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]
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logger.info(f"Retrieved {len(symbols)} symbols from Binance")
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return symbols
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else:
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logger.error(f"Failed to get symbols from Binance: HTTP {response.status}")
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return []
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except Exception as e:
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logger.error(f"Error getting symbols from Binance: {e}")
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return []
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async def get_orderbook_snapshot(self, symbol: str, depth: int = 20) -> Optional[OrderBookSnapshot]:
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"""
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Get current order book snapshot from Binance REST API.
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Args:
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symbol: Trading symbol
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depth: Number of price levels to retrieve
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Returns:
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OrderBookSnapshot: Current order book or None if unavailable
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"""
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try:
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import aiohttp
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normalized_symbol = self.normalize_symbol(symbol)
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# Binance supports depths: 5, 10, 20, 50, 100, 500, 1000, 5000
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valid_depths = [5, 10, 20, 50, 100, 500, 1000, 5000]
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api_depth = min(valid_depths, key=lambda x: abs(x - depth))
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url = f"{self.API_URL}/depth"
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params = {
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'symbol': normalized_symbol,
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'limit': api_depth
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}
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async with aiohttp.ClientSession() as session:
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async with session.get(url, params=params) as response:
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if response.status == 200:
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data = await response.json()
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return self._parse_orderbook_snapshot(data, symbol)
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else:
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logger.error(f"Failed to get order book for {symbol}: HTTP {response.status}")
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return None
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except Exception as e:
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logger.error(f"Error getting order book snapshot for {symbol}: {e}")
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return None
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def _parse_orderbook_snapshot(self, data: Dict, symbol: str) -> OrderBookSnapshot:
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"""
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Parse Binance order book data into OrderBookSnapshot.
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Args:
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data: Raw Binance order book data
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symbol: Trading symbol
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Returns:
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OrderBookSnapshot: Parsed order book
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"""
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try:
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# Parse bids and asks
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bids = []
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for bid_data in data.get('bids', []):
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price = float(bid_data[0])
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size = float(bid_data[1])
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if validate_price(price) and validate_volume(size):
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bids.append(PriceLevel(price=price, size=size))
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asks = []
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for ask_data in data.get('asks', []):
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price = float(ask_data[0])
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size = float(ask_data[1])
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if validate_price(price) and validate_volume(size):
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asks.append(PriceLevel(price=price, size=size))
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# Create order book snapshot
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orderbook = OrderBookSnapshot(
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symbol=symbol,
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exchange=self.exchange_name,
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timestamp=datetime.now(timezone.utc),
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bids=bids,
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asks=asks,
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sequence_id=data.get('lastUpdateId')
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)
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return orderbook
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except Exception as e:
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logger.error(f"Error parsing order book snapshot: {e}")
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raise ValidationError(f"Invalid order book data: {e}", "PARSE_ERROR")
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async def _handle_orderbook_update(self, data: Dict) -> None:
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"""
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Handle order book depth update from Binance.
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Args:
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data: Order book update data
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"""
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try:
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set_correlation_id()
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# Extract symbol from stream name
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stream = data.get('s', '').upper()
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if not stream:
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logger.warning("Order book update missing symbol")
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return
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# Parse bids and asks
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bids = []
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for bid_data in data.get('b', []):
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price = float(bid_data[0])
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size = float(bid_data[1])
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if validate_price(price) and validate_volume(size):
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bids.append(PriceLevel(price=price, size=size))
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asks = []
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for ask_data in data.get('a', []):
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price = float(ask_data[0])
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size = float(ask_data[1])
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if validate_price(price) and validate_volume(size):
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asks.append(PriceLevel(price=price, size=size))
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# Create order book snapshot
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orderbook = OrderBookSnapshot(
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symbol=stream,
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exchange=self.exchange_name,
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timestamp=datetime.fromtimestamp(data.get('E', 0) / 1000, tz=timezone.utc),
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bids=bids,
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asks=asks,
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sequence_id=data.get('u') # Final update ID
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)
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# Notify callbacks
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self._notify_data_callbacks(orderbook)
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logger.debug(f"Processed order book update for {stream}")
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except Exception as e:
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logger.error(f"Error handling order book update: {e}")
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async def _handle_trade_update(self, data: Dict) -> None:
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"""
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Handle trade update from Binance.
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Args:
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data: Trade update data
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"""
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try:
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set_correlation_id()
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# Extract trade data
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symbol = data.get('s', '').upper()
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if not symbol:
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logger.warning("Trade update missing symbol")
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return
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price = float(data.get('p', 0))
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size = float(data.get('q', 0))
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# Validate data
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if not validate_price(price) or not validate_volume(size):
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logger.warning(f"Invalid trade data: price={price}, size={size}")
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return
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# Determine side (Binance uses 'm' field - true if buyer is market maker)
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is_buyer_maker = data.get('m', False)
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side = 'sell' if is_buyer_maker else 'buy'
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# Create trade event
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trade = TradeEvent(
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symbol=symbol,
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exchange=self.exchange_name,
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timestamp=datetime.fromtimestamp(data.get('T', 0) / 1000, tz=timezone.utc),
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price=price,
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size=size,
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side=side,
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trade_id=str(data.get('t', ''))
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)
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# Notify callbacks
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self._notify_data_callbacks(trade)
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logger.debug(f"Processed trade for {symbol}: {side} {size} @ {price}")
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except Exception as e:
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logger.error(f"Error handling trade update: {e}")
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async def _handle_error_message(self, data: Dict) -> None:
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"""
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Handle error message from Binance.
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Args:
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data: Error message data
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"""
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error_code = data.get('code', 'unknown')
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error_msg = data.get('msg', 'Unknown error')
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logger.error(f"Binance error {error_code}: {error_msg}")
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# Handle specific error codes
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if error_code == -1121: # Invalid symbol
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logger.error("Invalid symbol error - check symbol format")
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elif error_code == -1130: # Invalid listen key
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logger.error("Invalid listen key - may need to reconnect")
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def get_binance_stats(self) -> Dict[str, Any]:
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"""Get Binance-specific statistics"""
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base_stats = self.get_stats()
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binance_stats = {
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'active_streams': len(self.active_streams),
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'stream_list': self.active_streams.copy(),
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'next_stream_id': self.stream_id
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}
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base_stats.update(binance_stats)
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return base_stats
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