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Comprehensive naming and Cancellation token management
1 parent f9d0e14 commit ff16611

3 files changed

Lines changed: 53 additions & 36 deletions

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‎src/BinanceBot.Market/MarketDepthManager.cs‎

Lines changed: 42 additions & 25 deletions
Original file line numberDiff line numberDiff line change
@@ -1,6 +1,7 @@
11
using System;
22
using System.Collections.Generic;
33
using System.Linq;
4+
using System.Threading;
45
using System.Threading.Tasks;
56
using Binance.Net.Interfaces;
67
using Binance.Net.Interfaces.Clients;
@@ -31,22 +32,24 @@ public class MarketDepthManager
3132
private readonly Queue<IBinanceEventOrderBook> _eventBuffer = new();
3233
private long _localOrderBookUpdateId = 0;
3334
private bool _isSnapshotLoaded = false;
35+
36+
private readonly TimeSpan _defaultUpdateInterval = TimeSpan.FromMilliseconds(100);
3437

3538
private UpdateSubscription _subscription;
3639

3740

3841
/// <summary>
3942
/// Create instance of <see cref="MarketDepthManager"/>
4043
/// </summary>
41-
/// <param name="binanceRestClient">Binance REST client</param>
44+
/// <param name="restClient">Binance REST client</param>
4245
/// <param name="webSocketClient">Binance WebSocket client</param>
4346
/// <param name="logger">Logger instance</param>
44-
/// <exception cref="ArgumentNullException"><paramref name="binanceRestClient"/> cannot be <see langword="null"/></exception>
47+
/// <exception cref="ArgumentNullException"><paramref name="restClient"/> cannot be <see langword="null"/></exception>
4548
/// <exception cref="ArgumentNullException"><paramref name="webSocketClient"/> cannot be <see langword="null"/></exception>
4649
/// <exception cref="ArgumentNullException"><paramref name="logger"/> cannot be <see langword="null"/></exception>
47-
public MarketDepthManager(IBinanceClient binanceRestClient, IBinanceSocketClient webSocketClient, Logger logger)
50+
public MarketDepthManager(IBinanceClient restClient, IBinanceSocketClient webSocketClient, Logger logger)
4851
{
49-
_restClient = binanceRestClient ?? throw new ArgumentNullException(nameof(binanceRestClient));
52+
_restClient = restClient ?? throw new ArgumentNullException(nameof(restClient));
5053
_webSocketClient = webSocketClient ?? throw new ArgumentNullException(nameof(webSocketClient));
5154
_logger = logger ?? throw new ArgumentNullException(nameof(logger));
5255
}
@@ -56,33 +59,45 @@ public MarketDepthManager(IBinanceClient binanceRestClient, IBinanceSocketClient
5659
/// Build <see cref="MarketDepth"/> following Binance official guidelines
5760
/// </summary>
5861
/// <param name="marketDepth">Market depth</param>
59-
/// <param name="limit">Limit of returned orders count</param>
60-
/// <param name="updateLimit">Update speed limit (100ms, 1000ms)</param>
61-
public async Task BuildAsync(MarketDepth marketDepth, short limit = 10, int updateLimit = 1000)
62+
/// <param name="orderBookDepth">Limit of returned orders count (default 10)</param>
63+
/// <param name="updateInterval">Update speed limit (100ms, 1000ms)</param>
64+
/// <param name="ct">Cancellation token</param>
65+
/// <exception cref="ArgumentNullException"><paramref name="marketDepth"/> cannot be <see langword="null"/></exception>
66+
/// <exception cref="ArgumentOutOfRangeException"><paramref name="updateInterval"/> must be greater than zero</exception>
67+
/// <exception cref="ArgumentOutOfRangeException"><paramref name="orderBookDepth"/> must be greater than zero</exception>
68+
/// <exception cref="OperationCanceledException">The operation was canceled.</exception>
69+
/// <exception cref="InvalidOperationException">Failed to subscribe to order book updates or get order book snapshot</exception>
70+
public async Task BuildAsync(MarketDepth marketDepth, TimeSpan? updateInterval = default, short orderBookDepth = 10, CancellationToken ct = default)
6271
{
6372
if (marketDepth == null)
6473
throw new ArgumentNullException(nameof(marketDepth));
65-
if (limit <= 0)
66-
throw new ArgumentOutOfRangeException(nameof(limit));
74+
if (updateInterval.HasValue && updateInterval <= TimeSpan.Zero)
75+
throw new ArgumentOutOfRangeException(nameof(updateInterval));
76+
if (orderBookDepth <= 0)
77+
throw new ArgumentOutOfRangeException(nameof(orderBookDepth));
6778

6879
// Step 1: Open WebSocket stream and start buffering
69-
_logger.Debug($"Step 1: Opening WebSocket stream for {marketDepth.Symbol}");
80+
_logger.Debug($"1: Opening WebSocket stream for {marketDepth.Symbol}");
81+
82+
var updateIntervalMs = updateInterval.HasValue ? (int)updateInterval.Value.TotalMilliseconds : (int)_defaultUpdateInterval.TotalMilliseconds;
7083
var subscriptionResult = await _webSocketClient.SpotStreams.SubscribeToOrderBookUpdatesAsync(
71-
marketDepth.Symbol, updateLimit,
72-
data => OnDepthUpdate(marketDepth, data)).ConfigureAwait(false);
84+
marketDepth.Symbol, updateIntervalMs,
85+
data => OnDepthUpdate(marketDepth, data),
86+
ct)
87+
.ConfigureAwait(false);
7388

7489
if (!subscriptionResult.Success || subscriptionResult.Data == null)
7590
throw new InvalidOperationException($"Failed to subscribe to order book updates: {subscriptionResult.Error?.Message}");
7691

7792
_subscription = subscriptionResult.Data;
7893

7994
// Step 2: Wait a bit to buffer some events
80-
_logger.Debug($"Step 2: Buffering events for 200ms");
81-
await Task.Delay(200).ConfigureAwait(false);
95+
_logger.Debug($"2: Buffering events for {updateIntervalMs * 2}ms");
96+
await Task.Delay(updateIntervalMs * 2, ct).ConfigureAwait(false);
8297

83-
_logger.Debug($"Step 3: Getting order book snapshot for {marketDepth.Symbol}");
98+
_logger.Debug($"3: Getting order book snapshot for {marketDepth.Symbol}");
8499
// Step 3: Get depth snapshot
85-
WebCallResult<BinanceOrderBook> response = await _restClient.SpotApi.ExchangeData.GetOrderBookAsync(marketDepth.Symbol, limit);
100+
WebCallResult<BinanceOrderBook> response = await _restClient.SpotApi.ExchangeData.GetOrderBookAsync(marketDepth.Symbol, orderBookDepth, ct).ConfigureAwait(false);
86101
if (!response.Success || response.Data == null)
87102
throw new InvalidOperationException($"Failed to get order book snapshot: {response.Error?.Message}");
88103

@@ -100,14 +115,14 @@ public async Task BuildAsync(MarketDepth marketDepth, short limit = 10, int upda
100115

101116
if (firstEvent != null)
102117
{
103-
_logger.Debug($"Step 4: Validating snapshot. FirstEvent.U={firstEvent.FirstUpdateId}, Snapshot.LastUpdateId={snapshot.LastUpdateId}");
118+
_logger.Debug($"4: Validating snapshot. FirstEvent.U={firstEvent.FirstUpdateId}, Snapshot.LastUpdateId={snapshot.LastUpdateId}");
104119
}
105120

106121
while (firstEvent != null && snapshot.LastUpdateId < firstEvent.FirstUpdateId)
107122
{
108123
_logger.Warn($"Snapshot too old: LastUpdateId={snapshot.LastUpdateId} < FirstEvent.U={firstEvent.FirstUpdateId}. Retrying...");
109124
// Snapshot is too old, need to get a new one
110-
response = await _restClient.SpotApi.ExchangeData.GetOrderBookAsync(marketDepth.Symbol, limit);
125+
response = await _restClient.SpotApi.ExchangeData.GetOrderBookAsync(marketDepth.Symbol, orderBookDepth, ct).ConfigureAwait(false);
111126
if (!response.Success || response.Data == null)
112127
throw new InvalidOperationException($"Failed to get order book snapshot: {response.Error?.Message}");
113128
snapshot = response.Data;
@@ -131,10 +146,10 @@ public async Task BuildAsync(MarketDepth marketDepth, short limit = 10, int upda
131146
_eventBuffer.Dequeue();
132147
discardedCount++;
133148
}
134-
_logger.Debug($"Step 5: Discarded {discardedCount} outdated events (u <= {snapshot.LastUpdateId})");
149+
_logger.Debug($"5: Discarded {discardedCount} outdated events (u <= {snapshot.LastUpdateId})");
135150

136151
// Step 6: Set local order book to snapshot
137-
_logger.Debug($"Step 6: Applying snapshot with {snapshot.Asks.Count()} asks and {snapshot.Bids.Count()} bids");
152+
_logger.Debug($"6: Applying snapshot with {snapshot.Asks.Count()} asks and {snapshot.Bids.Count()} bids");
138153
marketDepth.UpdateDepth(snapshot.Asks, snapshot.Bids, snapshot.LastUpdateId);
139154
_localOrderBookUpdateId = snapshot.LastUpdateId;
140155
_isSnapshotLoaded = true;
@@ -151,7 +166,7 @@ public async Task BuildAsync(MarketDepth marketDepth, short limit = 10, int upda
151166
}
152167
_eventBuffer.Dequeue();
153168
}
154-
_logger.Debug($"Step 7: Applied {appliedCount} buffered events");
169+
_logger.Debug($"7: Applied {appliedCount} buffered events");
155170
}
156171
}
157172

@@ -161,22 +176,24 @@ public async Task BuildAsync(MarketDepth marketDepth, short limit = 10, int upda
161176
/// </summary>
162177
/// <param name="marketDepth">Market depth</param>
163178
/// <param name="updateInterval">Update interval (100ms or 1000ms)</param>
164-
public void StreamUpdates(MarketDepth marketDepth, TimeSpan? updateInterval = default)
179+
public void StreamUpdates(MarketDepth marketDepth, TimeSpan? updateInterval = default, CancellationToken ct = default)
165180
{
166181
if (marketDepth == null)
167182
throw new ArgumentNullException(nameof(marketDepth));
168183

169184
// Step 1 & 2: Open WebSocket and buffer events
170185
_subscription = _webSocketClient.SpotStreams.SubscribeToOrderBookUpdatesAsync(
171186
marketDepth.Symbol,
172-
updateInterval.HasValue ? (int)updateInterval.Value.TotalMilliseconds : 1000,
173-
data => OnDepthUpdate(marketDepth, data)).Result.Data;
187+
updateInterval.HasValue ? (int)updateInterval.Value.TotalMilliseconds : (int)_defaultUpdateInterval.TotalMilliseconds,
188+
data => OnDepthUpdate(marketDepth, data),
189+
ct)
190+
.Result.Data;
174191
}
175192

176193
/// <summary>
177194
/// Stop streaming updates and unsubscribe
178195
/// </summary>
179-
public async Task StopStreamingAsync()
196+
public async Task StopStreamingAsync(CancellationToken ct = default)
180197
{
181198
if (_subscription != null)
182199
{

‎src/BinanceBot.Market/MarketMakerBot.cs‎

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -138,11 +138,11 @@ public override async Task RunAsync()
138138

139139

140140
var marketDepthManager = new MarketDepthManager(_binanceRestClient, _webSocketClient, Logger);
141-
141+
var uppdateInterval = TimeSpan.FromMilliseconds(1000);
142142
// stream order book updates
143-
marketDepthManager.StreamUpdates(_marketDepth, TimeSpan.FromMilliseconds(1000));
143+
marketDepthManager.StreamUpdates(_marketDepth, uppdateInterval);
144144
// build order book
145-
await marketDepthManager.BuildAsync(_marketDepth, 100);
145+
await marketDepthManager.BuildAsync(_marketDepth, orderBookDepth: 100, updateInterval: uppdateInterval);
146146
}
147147

148148

‎src/BinanceBot.MarketViewer.Console/Program.cs‎

Lines changed: 8 additions & 8 deletions
Original file line numberDiff line numberDiff line change
@@ -23,7 +23,7 @@ internal static class Program
2323
// WARN: Set necessary token here
2424
private const string Symbol = "BNBUSDT";
2525
private const int OrderBookDepth = 10;
26-
private static readonly TimeSpan? OrderBookUpdateLimit = TimeSpan.FromMilliseconds(100);
26+
private static readonly TimeSpan OrderBookUpdateInterval = TimeSpan.FromMilliseconds(100);
2727
#endregion
2828

2929
private static readonly NLog.Logger Logger = NLog.LogManager.GetCurrentClassLogger();
@@ -42,24 +42,25 @@ static async Task Main(string[] args)
4242

4343
// 1. create connections with exchange
4444
var credentials = new BinanceApiCredentials(apiKey, secret);
45-
using IBinanceClient binanceRestClient = new BinanceClient(new BinanceClientOptions { ApiCredentials = credentials });
46-
using IBinanceSocketClient binanceSocketClient = new BinanceSocketClient(new BinanceSocketClientOptions { ApiCredentials = credentials });
45+
using IBinanceClient restClient = new BinanceClient(new BinanceClientOptions { ApiCredentials = credentials });
46+
using IBinanceSocketClient webSocketClient = new BinanceSocketClient(new BinanceSocketClientOptions { ApiCredentials = credentials });
4747

48+
var ct = default(System.Threading.CancellationToken);
4849

4950
// 2. test connection
5051
Logger.Info("Testing connection to Binance...");
5152
await AnsiConsole.Status()
5253
.StartAsync("Testing connection...", async ctx =>
5354
{
54-
var pingResult = await binanceRestClient.SpotApi.ExchangeData.PingAsync();
55+
var pingResult = await restClient.SpotApi.ExchangeData.PingAsync(ct);
5556
AnsiConsole.MarkupLine($"Ping time: [yellow]{pingResult.Data} ms[/]");
5657
Logger.Info($"Ping successful: {pingResult.Data} ms");
5758

58-
Task.Delay(1000).Wait();
59+
Task.Delay(1000, ct).Wait();
5960
});
6061

6162
// 3. get order book
62-
var marketDepthManager = new MarketDepthManager(binanceRestClient, binanceSocketClient, Logger);
63+
var marketDepthManager = new MarketDepthManager(restClient, webSocketClient, Logger);
6364
var marketDepth = new MarketDepth(Symbol);
6465

6566

@@ -113,8 +114,7 @@ await AnsiConsole.Status()
113114

114115
// build order book
115116
Logger.Info($"Building order book for {Symbol}...");
116-
await marketDepthManager.BuildAsync(marketDepth, OrderBookDepth,
117-
OrderBookUpdateLimit.HasValue ? (int)OrderBookUpdateLimit.Value.TotalMilliseconds : 1000);
117+
await marketDepthManager.BuildAsync(marketDepth, OrderBookUpdateInterval, OrderBookDepth, ct);
118118
Logger.Info("Order book ready and streaming updates...");
119119

120120

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