Trackers (#1438)

Updated examples
Updated CryptoExchange.Net to v8.1.0
Moved FormatSymbol to BinanceExchange class
Added support Side setting on SharedTrade model
Added BinanceTrackerFactory
Added overload to Create method on BinanceOrderBookFactory support SharedSymbol parameter
Fixed Shared rest GetTradeHistoryAsync pagination
Added catch around HttpClientHandler.AutomaticDecompression setting as it's not support on Blazor WASM

Author: JKorf

Binance.Net/Binance.Net.csproj

@@ -48,10 +48,10 @@
       <PrivateAssets>all</PrivateAssets>
       <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
     </PackageReference>
+    <PackageReference Include="CryptoExchange.Net" Version="8.1.0" />	  
     <PackageReference Include="Microsoft.CodeAnalysis.NetAnalyzers" Version="8.0.0">
       <PrivateAssets>all</PrivateAssets>
       <IncludeAssets>runtime; build; native; contentfiles; analyzers; buildtransitive</IncludeAssets>
     </PackageReference>
-    <PackageReference Include="CryptoExchange.Net" Version="8.0.3" />
   </ItemGroup>
 </Project>

Binance.Net/Binance.Net.xml

@@ -2,6 +2,7 @@
 using CryptoExchange.Net.RateLimiting.Filters;
 using CryptoExchange.Net.RateLimiting.Guards;
 using CryptoExchange.Net.RateLimiting.Interfaces;
+using CryptoExchange.Net.SharedApis;
 
 namespace Binance.Net
 {
@@ -27,6 +28,25 @@ public static class BinanceExchange
             "https://binance-docs.github.io/apidocs/spot/en/#change-log"
             };
 
+        /// <summary>
+        /// Format a base and quote asset to a Binance recognized symbol 
+        /// </summary>
+        /// <param name="baseAsset">Base asset</param>
+        /// <param name="quoteAsset">Quote asset</param>
+        /// <param name="tradingMode">Trading mode</param>
+        /// <param name="deliverTime">Delivery time for delivery futures</param>
+        /// <returns></returns>
+        public static string FormatSymbol(string baseAsset, string quoteAsset, TradingMode tradingMode, DateTime? deliverTime = null)
+        {
+            if (tradingMode == TradingMode.Spot)
+                return baseAsset.ToUpperInvariant() + quoteAsset.ToUpperInvariant();
+
+            if (tradingMode.IsLinear())
+                return baseAsset.ToUpperInvariant() + quoteAsset.ToUpperInvariant() + (deliverTime == null ? string.Empty : "_" + deliverTime.Value.ToString("yyMMdd"));
+
+            return baseAsset.ToUpperInvariant() + quoteAsset.ToUpperInvariant() + (deliverTime == null ? "_PERP" : "_" + deliverTime.Value.ToString("yyMMdd"));
+        }
+
         /// <summary>
         /// Rate limiter configuration for the Binance API
         /// </summary>
@@ -61,15 +81,15 @@ private void Initialize()
                                             .AddGuard(new RateLimitGuard(RateLimitGuard.PerApiKeyPerEndpoint, new PathStartFilter("sapi/"), 180000, TimeSpan.FromMinutes(1), RateLimitWindowType.Fixed)); // Uid limit of 180000 request weight per minute to /sapi endpoints
             SpotSocket = new RateLimitGate("Spot Socket")
                                             .AddGuard(new RateLimitGuard(RateLimitGuard.PerHost, new IGuardFilter[] { new LimitItemTypeFilter(RateLimitItemType.Connection) }, 300, TimeSpan.FromMinutes(5), RateLimitWindowType.Fixed)) // 300 connections per 5 minutes per host
-                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerEndpoint, new IGuardFilter[] { new HostFilter("wss://stream.binance.com"), new LimitItemTypeFilter(RateLimitItemType.Request) }, 4, TimeSpan.FromSeconds(1), RateLimitWindowType.Sliding)) // 5 requests per second per path (connection)
+                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerConnection, new IGuardFilter[] { new HostFilter("wss://stream.binance.com"), new LimitItemTypeFilter(RateLimitItemType.Request) }, 4, TimeSpan.FromSeconds(1), RateLimitWindowType.Sliding)) // 5 requests per second per path (connection)
                                             .AddGuard(new RateLimitGuard(RateLimitGuard.PerHost, new IGuardFilter[] { new HostFilter("wss://ws-api.binance.com") }, 6000, TimeSpan.FromMinutes(1), RateLimitWindowType.Fixed, connectionWeight: 2)); // 6000 request weight per minute in total
             FuturesRest = new RateLimitGate("Futures Rest")
                                             .AddGuard(new RateLimitGuard(RateLimitGuard.PerHost, new IGuardFilter[] { new HostFilter("https://fapi.binance.com") }, 2400, TimeSpan.FromMinutes(1), RateLimitWindowType.Fixed)) // IP limit of 2400 request weight per minute to fapi.binance.com host
                                             .AddGuard(new RateLimitGuard(RateLimitGuard.PerHost, new IGuardFilter[] { new HostFilter("https://dapi.binance.com") }, 2400, TimeSpan.FromMinutes(1), RateLimitWindowType.Fixed)); // IP limit of 2400 request weight per minute to dapi.binance.com host
             FuturesSocket = new RateLimitGate("Futures Socket")
-                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerEndpoint, new IGuardFilter[] { new LimitItemTypeFilter(RateLimitItemType.Request), new HostFilter("wss://dstream.binance.com") }, 10, TimeSpan.FromSeconds(1), RateLimitWindowType.Fixed)) // 10 requests per second per path (connection)
-                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerEndpoint, new IGuardFilter[] { new LimitItemTypeFilter(RateLimitItemType.Request), new HostFilter("wss://fstream.binance.com") }, 10, TimeSpan.FromSeconds(1), RateLimitWindowType.Fixed)) // 10 requests per second per path (connection)
-                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerEndpoint, new IGuardFilter[] { new HostFilter("wss://ws-fapi.binance.com") }, 2400, TimeSpan.FromMinutes(1), RateLimitWindowType.Fixed, connectionWeight: 5));
+                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerConnection, new IGuardFilter[] { new LimitItemTypeFilter(RateLimitItemType.Request), new HostFilter("wss://dstream.binance.com") }, 10, TimeSpan.FromSeconds(1), RateLimitWindowType.Fixed)) // 10 requests per second per path (connection)
+                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerConnection, new IGuardFilter[] { new LimitItemTypeFilter(RateLimitItemType.Request), new HostFilter("wss://fstream.binance.com") }, 10, TimeSpan.FromSeconds(1), RateLimitWindowType.Fixed)) // 10 requests per second per path (connection)
+                                            .AddGuard(new RateLimitGuard(RateLimitGuard.PerHost, new IGuardFilter[] { new HostFilter("wss://ws-fapi.binance.com") }, 2400, TimeSpan.FromMinutes(1), RateLimitWindowType.Fixed, connectionWeight: 5));
 
             EndpointLimit.RateLimitTriggered += (x) => RateLimitTriggered?.Invoke(x);
             SpotRestIp.RateLimitTriggered += (x) => RateLimitTriggered?.Invoke(x);

Binance.Net/BinanceExchange.cs

@@ -0,0 +1,102 @@
+using Binance.Net.Clients;
+using Binance.Net.Interfaces;
+using Binance.Net.Interfaces.Clients;
+using CryptoExchange.Net.SharedApis;
+using CryptoExchange.Net.Trackers.Klines;
+using CryptoExchange.Net.Trackers.Trades;
+using Microsoft.Extensions.DependencyInjection;
+
+namespace Binance.Net
+{
+    /// <inheritdoc />
+    public class BinanceTrackerFactory : IBinanceTrackerFactory
+    {
+        private readonly IServiceProvider? _serviceProvider;
+
+        /// <summary>
+        /// ctor
+        /// </summary>
+        public BinanceTrackerFactory()
+        {
+        }
+
+        /// <summary>
+        /// ctor
+        /// </summary>
+        /// <param name="serviceProvider">Service provider for resolving logging and clients</param>
+        public BinanceTrackerFactory(IServiceProvider serviceProvider)
+        {
+            _serviceProvider = serviceProvider;
+        }
+
+        /// <inheritdoc />
+        public IKlineTracker CreateKlineTracker(SharedSymbol symbol, SharedKlineInterval interval, int? limit = null, TimeSpan? period = null)
+        {
+            var restClient = _serviceProvider?.GetRequiredService<IBinanceRestClient>() ?? new BinanceRestClient();
+            var socketClient = _serviceProvider?.GetRequiredService<IBinanceSocketClient>() ?? new BinanceSocketClient();
+
+            IKlineRestClient sharedRestClient;
+            IKlineSocketClient sharedSocketClient;
+            if (symbol.TradingMode == TradingMode.Spot)
+            {
+                sharedRestClient = restClient.SpotApi.SharedClient;
+                sharedSocketClient = socketClient.SpotApi.SharedClient;
+            }
+            else if (symbol.TradingMode.IsLinear())
+            {
+                sharedRestClient = restClient.UsdFuturesApi.SharedClient;
+                sharedSocketClient = socketClient.UsdFuturesApi.SharedClient;
+            }
+            else
+            {
+                sharedRestClient = restClient.CoinFuturesApi.SharedClient;
+                sharedSocketClient = socketClient.CoinFuturesApi.SharedClient;
+            }
+
+            return new KlineTracker(
+                _serviceProvider?.GetRequiredService<ILoggerFactory>().CreateLogger(restClient.Exchange),
+                sharedRestClient,
+                sharedSocketClient,
+                symbol,
+                interval,
+                limit,
+                period
+                );
+        }
+
+        /// <inheritdoc />
+        public ITradeTracker CreateTradeTracker(SharedSymbol symbol, int? limit = null, TimeSpan? period = null)
+        {
+            var restClient = _serviceProvider?.GetRequiredService<IBinanceRestClient>() ?? new BinanceRestClient();
+            var socketClient = _serviceProvider?.GetRequiredService<IBinanceSocketClient>() ?? new BinanceSocketClient();
+
+            ITradeHistoryRestClient sharedRestClient;
+            ITradeSocketClient sharedSocketClient;
+            if (symbol.TradingMode == TradingMode.Spot)
+            {
+                sharedRestClient = restClient.SpotApi.SharedClient;
+                sharedSocketClient = socketClient.SpotApi.SharedClient;
+            }
+            else if (symbol.TradingMode.IsLinear())
+            {
+                sharedRestClient = restClient.UsdFuturesApi.SharedClient;
+                sharedSocketClient = socketClient.UsdFuturesApi.SharedClient;
+            }
+            else
+            {
+                sharedRestClient = restClient.CoinFuturesApi.SharedClient;
+                sharedSocketClient = socketClient.CoinFuturesApi.SharedClient;
+            }
+
+            return new TradeTracker(
+                _serviceProvider?.GetRequiredService<ILoggerFactory>().CreateLogger(restClient.Exchange),
+                null,
+                sharedRestClient,
+                sharedSocketClient,
+                symbol,
+                limit,
+                period
+                );
+        }
+    }
+}

Binance.Net/BinanceTrackerFactory.cs

@@ -77,9 +77,7 @@ protected override AuthenticationProvider CreateAuthenticationProvider(ApiCreden
 
         /// <inheritdoc />
         public override string FormatSymbol(string baseAsset, string quoteAsset, TradingMode tradingMode, DateTime? deliverTime = null)
-        {
-            return baseAsset.ToUpperInvariant() + quoteAsset.ToUpperInvariant() + (deliverTime == null ? "_PERP" : "_" + deliverTime.Value.ToString("yyMMdd"));
-        }
+                => BinanceExchange.FormatSymbol(baseAsset, quoteAsset, tradingMode, deliverTime);
 
         internal Uri GetUrl(string endpoint, string api, string? version = null)
         {

Binance.Net/Clients/CoinFuturesApi/BinanceRestClientCoinFuturesApi.cs

@@ -184,7 +184,10 @@ async Task<ExchangeWebResult<IEnumerable<SharedTrade>>> IRecentTradeRestClient.G
             if (!result)
                 return result.AsExchangeResult<IEnumerable<SharedTrade>>(Exchange, null, default);
 
-            return result.AsExchangeResult<IEnumerable<SharedTrade>>(Exchange, request.Symbol.TradingMode, result.Data.Select(x => new SharedTrade(x.BaseQuantity, x.Price, x.TradeTime)).ToArray());
+            return result.AsExchangeResult<IEnumerable<SharedTrade>>(Exchange, request.Symbol.TradingMode, result.Data.Select(x => new SharedTrade(x.BaseQuantity, x.Price, x.TradeTime)
+            {
+                Side = x.BuyerIsMaker ? SharedOrderSide.Buy : SharedOrderSide.Sell
+            }).ToArray());
         }
 
         #endregion
@@ -678,10 +681,13 @@ async Task<ExchangeWebResult<IEnumerable<SharedTrade>>> ITradeHistoryRestClient.
 
             FromIdToken? nextToken = null;
             if (result.Data.Any() && result.Data.Last().TradeTime < request.EndTime)
-                nextToken = new FromIdToken(result.Data.Max(x => x.Id).ToString());
+                nextToken = new FromIdToken((result.Data.Max(x => x.Id) + 1).ToString());
 
             // Return
-            return result.AsExchangeResult<IEnumerable<SharedTrade>>(Exchange, request.Symbol.TradingMode, result.Data.Where(x => x.TradeTime < request.EndTime).Select(x => new SharedTrade(x.Quantity, x.Price, x.TradeTime)).ToArray(), nextToken);
+            return result.AsExchangeResult<IEnumerable<SharedTrade>>(Exchange, request.Symbol.TradingMode, result.Data.Where(x => x.TradeTime < request.EndTime).Select(x => new SharedTrade(x.Quantity, x.Price, x.TradeTime)
+            {
+                Side = x.BuyerIsMaker ? SharedOrderSide.Buy : SharedOrderSide.Sell
+            }).ToArray(), nextToken);
         }
         #endregion
 

Binance.Net/Clients/CoinFuturesApi/BinanceRestClientCoinFuturesApiShared.cs

@@ -71,9 +71,7 @@ protected override AuthenticationProvider CreateAuthenticationProvider(ApiCreden
 
         /// <inheritdoc />
         public override string FormatSymbol(string baseAsset, string quoteAsset, TradingMode tradingMode, DateTime? deliverTime = null)
-        {
-            return baseAsset.ToUpperInvariant() + quoteAsset.ToUpperInvariant() + (deliverTime == null ? "_PERP" : "_" + deliverTime.Value.ToString("yyMMdd"));
-        }
+                => BinanceExchange.FormatSymbol(baseAsset, quoteAsset, tradingMode, deliverTime);
 
         #region methods
 

Binance.Net/Clients/CoinFuturesApi/BinanceSocketClientCoinFuturesApi.cs

@@ -65,7 +65,7 @@ async Task<ExchangeResult<UpdateSubscription>> ITradeSocketClient.SubscribeToTra
                 return new ExchangeResult<UpdateSubscription>(Exchange, validationError);
 
             var symbol = request.Symbol.GetSymbol(FormatSymbol);
-            var result = await SubscribeToAggregatedTradeUpdatesAsync(symbol, update => handler(update.AsExchangeEvent<IEnumerable<SharedTrade>>(Exchange, new[] { new SharedTrade(update.Data.Quantity, update.Data.Price, update.Data.TradeTime) })), ct:ct).ConfigureAwait(false);
+            var result = await SubscribeToAggregatedTradeUpdatesAsync(symbol, update => handler(update.AsExchangeEvent<IEnumerable<SharedTrade>>(Exchange, new[] { new SharedTrade(update.Data.Quantity, update.Data.Price, update.Data.TradeTime) { Side = update.Data.BuyerIsMaker ? SharedOrderSide.Buy : SharedOrderSide.Sell } })), ct:ct).ConfigureAwait(false);
 
             return new ExchangeResult<UpdateSubscription>(Exchange, result);
         }