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# coding=utf-8
import json
import threading
from autobahn.twisted.websocket import WebSocketClientFactory, \
WebSocketClientProtocol, \
connectWS
from twisted.internet import reactor, ssl
from twisted.internet.protocol import ReconnectingClientFactory
from twisted.internet.error import ReactorAlreadyRunning
from binance.client import Client
class BinanceClientProtocol(WebSocketClientProtocol):
def __init__(self):
super(WebSocketClientProtocol, self).__init__()
def onConnect(self, response):
# reset the delay after reconnecting
self.factory.resetDelay()
def onMessage(self, payload, isBinary):
if not isBinary:
try:
payload_obj = json.loads(payload.decode('utf8'))
except ValueError:
pass
else:
self.factory.callback(payload_obj)
class BinanceReconnectingClientFactory(ReconnectingClientFactory):
# set initial delay to a short time
initialDelay = 0.1
maxDelay = 10
maxRetries = 5
class BinanceClientFactory(WebSocketClientFactory, BinanceReconnectingClientFactory):
protocol = BinanceClientProtocol
_reconnect_error_payload = {
'e': 'error',
'm': 'Max reconnect retries reached'
}
def clientConnectionFailed(self, connector, reason):
self.retry(connector)
if self.retries > self.maxRetries:
self.callback(self._reconnect_error_payload)
def clientConnectionLost(self, connector, reason):
self.retry(connector)
if self.retries > self.maxRetries:
self.callback(self._reconnect_error_payload)
class BinanceSocketManager(threading.Thread):
STREAM_URL = 'wss://stream.binance.com:9443/'
WEBSOCKET_DEPTH_5 = '5'
WEBSOCKET_DEPTH_10 = '10'
WEBSOCKET_DEPTH_20 = '20'
DEFAULT_USER_TIMEOUT = 30 * 60 # 30 minutes
def __init__(self, client, user_timeout=DEFAULT_USER_TIMEOUT):
"""Initialise the BinanceSocketManager
:param client: Binance API client
:type client: binance.Client
:param user_timeout: Custom websocket timeout
:type user_timeout: int
"""
threading.Thread.__init__(self)
self._conns = {}
self._client = client
self._user_timeout = user_timeout
self._timers = {'user': None, 'margin': None}
self._listen_keys = {'user': None, 'margin': None}
self._account_callbacks = {'user': None, 'margin': None}
def _start_socket(self, path, callback, prefix='ws/'):
if path in self._conns:
return False
factory_url = self.STREAM_URL + prefix + path
factory = BinanceClientFactory(factory_url)
factory.protocol = BinanceClientProtocol
factory.callback = callback
factory.reconnect = True
context_factory = ssl.ClientContextFactory()
self._conns[path] = connectWS(factory, context_factory)
return path
def start_depth_socket(self, symbol, callback, depth=None):
"""Start a websocket for symbol market depth returning either a diff or a partial book
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#partial-book-depth-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:param depth: optional Number of depth entries to return, default None. If passed returns a partial book instead of a diff
:type depth: str
:returns: connection key string if successful, False otherwise
Partial Message Format
.. code-block:: python
{
"lastUpdateId": 160, # Last update ID
"bids": [ # Bids to be updated
[
"0.0024", # price level to be updated
"10", # quantity
[] # ignore
]
],
"asks": [ # Asks to be updated
[
"0.0026", # price level to be updated
"100", # quantity
[] # ignore
]
]
}
Diff Message Format
.. code-block:: python
{
"e": "depthUpdate", # Event type
"E": 123456789, # Event time
"s": "BNBBTC", # Symbol
"U": 157, # First update ID in event
"u": 160, # Final update ID in event
"b": [ # Bids to be updated
[
"0.0024", # price level to be updated
"10", # quantity
[] # ignore
]
],
"a": [ # Asks to be updated
[
"0.0026", # price level to be updated
"100", # quantity
[] # ignore
]
]
}
"""
socket_name = symbol.lower() + '@depth'
if depth and depth != '1':
socket_name = '{}{}'.format(socket_name, depth)
return self._start_socket(socket_name, callback)
def start_kline_socket(self, symbol, callback, interval=Client.KLINE_INTERVAL_1MINUTE):
"""Start a websocket for symbol kline data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#klinecandlestick-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:param interval: Kline interval, default KLINE_INTERVAL_1MINUTE
:type interval: str
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "kline", # event type
"E": 1499404907056, # event time
"s": "ETHBTC", # symbol
"k": {
"t": 1499404860000, # start time of this bar
"T": 1499404919999, # end time of this bar
"s": "ETHBTC", # symbol
"i": "1m", # interval
"f": 77462, # first trade id
"L": 77465, # last trade id
"o": "0.10278577", # open
"c": "0.10278645", # close
"h": "0.10278712", # high
"l": "0.10278518", # low
"v": "17.47929838", # volume
"n": 4, # number of trades
"x": false, # whether this bar is final
"q": "1.79662878", # quote volume
"V": "2.34879839", # volume of active buy
"Q": "0.24142166", # quote volume of active buy
"B": "13279784.01349473" # can be ignored
}
}
"""
socket_name = '{}@kline_{}'.format(symbol.lower(), interval)
return self._start_socket(socket_name, callback)
def start_miniticker_socket(self, callback, update_time=1000):
"""Start a miniticker websocket for all trades
This is not in the official Binance api docs, but this is what
feeds the right column on a ticker page on Binance.
:param callback: callback function to handle messages
:type callback: function
:param update_time: time between callbacks in milliseconds, must be 1000 or greater
:type update_time: int
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
[
{
'e': '24hrMiniTicker', # Event type
'E': 1515906156273, # Event time
's': 'QTUMETH', # Symbol
'c': '0.03836900', # close
'o': '0.03953500', # open
'h': '0.04400000', # high
'l': '0.03756000', # low
'v': '147435.80000000', # volume
'q': '5903.84338533' # quote volume
}
]
"""
return self._start_socket('!miniTicker@arr@{}ms'.format(update_time), callback)
def start_trade_socket(self, symbol, callback):
"""Start a websocket for symbol trade data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#trade-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "trade", # Event type
"E": 123456789, # Event time
"s": "BNBBTC", # Symbol
"t": 12345, # Trade ID
"p": "0.001", # Price
"q": "100", # Quantity
"b": 88, # Buyer order Id
"a": 50, # Seller order Id
"T": 123456785, # Trade time
"m": true, # Is the buyer the market maker?
"M": true # Ignore.
}
"""
return self._start_socket(symbol.lower() + '@trade', callback)
def start_aggtrade_socket(self, symbol, callback):
"""Start a websocket for symbol trade data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#aggregate-trade-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "aggTrade", # event type
"E": 1499405254326, # event time
"s": "ETHBTC", # symbol
"a": 70232, # aggregated tradeid
"p": "0.10281118", # price
"q": "8.15632997", # quantity
"f": 77489, # first breakdown trade id
"l": 77489, # last breakdown trade id
"T": 1499405254324, # trade time
"m": false, # whether buyer is a maker
"M": true # can be ignored
}
"""
return self._start_socket(symbol.lower() + '@aggTrade', callback)
def start_symbol_ticker_socket(self, symbol, callback):
"""Start a websocket for a symbol's ticker data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#individual-symbol-ticker-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "24hrTicker", # Event type
"E": 123456789, # Event time
"s": "BNBBTC", # Symbol
"p": "0.0015", # Price change
"P": "250.00", # Price change percent
"w": "0.0018", # Weighted average price
"x": "0.0009", # Previous day's close price
"c": "0.0025", # Current day's close price
"Q": "10", # Close trade's quantity
"b": "0.0024", # Best bid price
"B": "10", # Bid bid quantity
"a": "0.0026", # Best ask price
"A": "100", # Best ask quantity
"o": "0.0010", # Open price
"h": "0.0025", # High price
"l": "0.0010", # Low price
"v": "10000", # Total traded base asset volume
"q": "18", # Total traded quote asset volume
"O": 0, # Statistics open time
"C": 86400000, # Statistics close time
"F": 0, # First trade ID
"L": 18150, # Last trade Id
"n": 18151 # Total number of trades
}
"""
return self._start_socket(symbol.lower() + '@ticker', callback)
def start_ticker_socket(self, callback):
"""Start a websocket for all ticker data
By default all markets are included in an array.
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#all-market-tickers-stream
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
[
{
'F': 278610,
'o': '0.07393000',
's': 'BCCBTC',
'C': 1509622420916,
'b': '0.07800800',
'l': '0.07160300',
'h': '0.08199900',
'L': 287722,
'P': '6.694',
'Q': '0.10000000',
'q': '1202.67106335',
'p': '0.00494900',
'O': 1509536020916,
'a': '0.07887800',
'n': 9113,
'B': '1.00000000',
'c': '0.07887900',
'x': '0.07399600',
'w': '0.07639068',
'A': '2.41900000',
'v': '15743.68900000'
}
]
"""
return self._start_socket('!ticker@arr', callback)
def start_symbol_book_ticker_socket(self, symbol, callback):
"""Start a websocket for the best bid or ask's price or quantity for a specified symbol.
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#individual-symbol-book-ticker-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"u":400900217, // order book updateId
"s":"BNBUSDT", // symbol
"b":"25.35190000", // best bid price
"B":"31.21000000", // best bid qty
"a":"25.36520000", // best ask price
"A":"40.66000000" // best ask qty
}
"""
return self._start_socket(symbol.lower() + '@bookTicker', callback)
def start_book_ticker_socket(self, callback):
"""Start a websocket for the best bid or ask's price or quantity for all symbols.
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#all-book-tickers-stream
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
// Same as <symbol>@bookTicker payload
}
"""
return self._start_socket('!bookTicker', callback)
def start_multiplex_socket(self, streams, callback):
"""Start a multiplexed socket using a list of socket names.
User stream sockets can not be included.
Symbols in socket name must be lowercase i.e bnbbtc@aggTrade, neobtc@ticker
Combined stream events are wrapped as follows: {"stream":"<streamName>","data":<rawPayload>}
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md
:param streams: list of stream names in lower case
:type streams: list
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format - see Binance API docs for all types
"""
stream_path = 'streams={}'.format('/'.join(streams))
return self._start_socket(stream_path, callback, 'stream?')
def start_user_socket(self, callback):
"""Start a websocket for user data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/user-data-stream.md
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format - see Binance API docs for all types
"""
# Get the user listen key
user_listen_key = self._client.stream_get_listen_key()
# and start the socket with this specific key
return self._start_account_socket('user', user_listen_key, callback)
def start_margin_socket(self, callback):
"""Start a websocket for margin data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/user-data-stream.md
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format - see Binance API docs for all types
"""
# Get the user margin listen key
margin_listen_key = self._client.margin_stream_get_listen_key()
# and start the socket with this specific key
return self._start_account_socket('margin', margin_listen_key, callback)
def _start_account_socket(self, socket_type, listen_key, callback):
"""Starts one of user or margin socket"""
self._check_account_socket_open(listen_key)
self._listen_keys[socket_type] = listen_key
self._account_callbacks[socket_type] = callback
conn_key = self._start_socket(listen_key, callback)
if conn_key:
# start timer to keep socket alive
self._start_socket_timer(socket_type)
return conn_key
def _check_account_socket_open(self, listen_key):
if not listen_key:
return
for conn_key in self._conns:
if len(conn_key) >= 60 and conn_key[:60] == listen_key:
self.stop_socket(conn_key)
break
def _start_socket_timer(self, socket_type):
callback = self._keepalive_account_socket
self._timers[socket_type] = threading.Timer(self._user_timeout, callback, [socket_type])
self._timers[socket_type].setDaemon(True)
self._timers[socket_type].start()
def _keepalive_account_socket(self, socket_type):
if socket_type == 'user':
listen_key_func = self._client.stream_get_listen_key
callback = self._account_callbacks[socket_type]
else:
listen_key_func = self._client.margin_stream_get_listen_key
callback = self._account_callbacks[socket_type]
listen_key = listen_key_func()
if listen_key != self._listen_keys[socket_type]:
self._start_account_socket(socket_type, listen_key, callback)
def stop_socket(self, conn_key):
"""Stop a websocket given the connection key
:param conn_key: Socket connection key
:type conn_key: string
:returns: connection key string if successful, False otherwise
"""
if conn_key not in self._conns:
return
# disable reconnecting if we are closing
self._conns[conn_key].factory = WebSocketClientFactory(self.STREAM_URL + 'tmp_path')
self._conns[conn_key].disconnect()
del(self._conns[conn_key])
# check if we have a user stream socket
if len(conn_key) >= 60 and conn_key[:60] == self._listen_keys['user']:
self._stop_account_socket('user')
# or a margin stream socket
if len(conn_key) >= 60 and conn_key[:60] == self._listen_keys['margin']:
self._stop_account_socket('margin')
def _stop_account_socket(self, socket_type):
if not self._listen_keys[socket_type]:
return
if self._timers[socket_type]:
self._timers[socket_type].cancel()
self._timers[socket_type] = None
self._listen_keys[socket_type] = None
def run(self):
try:
reactor.run(installSignalHandlers=False)
except ReactorAlreadyRunning:
# Ignore error about reactor already running
pass
def close(self):
"""Close all connections
"""
keys = set(self._conns.keys())
for key in keys:
self.stop_socket(key)
self._conns = {}
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