flywithu/CryptoExchange.Net
1
0
Fork 0
mirror of https://github.com/JKorf/CryptoExchange.Net.git synced 2026-10-04 02:11:11 +00:00
Code Issues Releases Wiki Activity

Added support for order polling where Shared order implementation doesn't support time filtering to UserDataTracker implementations

Browse Source
This commit is contained in:
Jkorf
2026-08-17 14:17:43 +02:00
parent 860d753ad6
commit 90a031c595
2 changed files with 178 additions and 74 deletions
Download Patch File Download Diff File Expand all files Collapse all files
CryptoExchange.Net/Trackers/UserData/ItemTrackers/FuturesOrderTracker.cs
+66 -14
View File
@@ -1,4 +1,4 @@
using CryptoExchange.Net.Objects;
using CryptoExchange.Net.Objects;
using CryptoExchange.Net.Objects.Sockets;
using CryptoExchange.Net.SharedApis;
using CryptoExchange.Net.Trackers.UserData.Objects;
@@ -19,6 +19,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
private readonly IFuturesOrderSocketClient? _socketClient;
private readonly ExchangeParameters? _exchangeParameters;
private readonly bool _requiresSymbolParameterOpenOrders;
private readonly bool _timeFilterSupportedClosedOrders;
private readonly Dictionary<string, int> _openOrderNotReturnedTimes = new();
private readonly TimeSpan _pollOverlapPeriod = TimeSpan.FromSeconds(3);
@@ -46,6 +47,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
_exchangeParameters = exchangeParameters;
_requiresSymbolParameterOpenOrders = restClient.GetOpenFuturesOrdersOptions.RequiredOptionalParameters.Any(x => x.Names.Contains("Symbol"));
_timeFilterSupportedClosedOrders = restClient.GetClosedFuturesOrdersOptions.TimePeriodFilterSupport;
}
internal void ClearDataForSymbol(SharedSymbol symbol)
@@ -290,21 +292,81 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
var updatedPollTime = DateTime.UtcNow;
foreach (var symbol in _symbolTracker.GetTrackedSymbols())
{
var symbolError = false;
DateTime? fromTimeOrders = GetClosedOrdersRequestStartTime(symbol);
if (_timeFilterSupportedClosedOrders)
{
// Can filter by start time, so we can just request data from that point
var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!closedOrdersResult.Success)
{
anyError = true;
symbolError = true;
_initialPollingError ??= closedOrdersResult.Error;
if (!_firstPollDone)
break;
return symbolError;
}
else
{
await ProcessOrders(symbol, openOrders, closedOrdersResult.Data).ConfigureAwait(false);
}
}
else
{
// Can't filter by start time, so we'll have to request data until we reach an order with a create time before the start time
List<SharedFuturesOrder> closedOrders = new List<SharedFuturesOrder>();
DateTime lastMinReturn = DateTime.MaxValue;
PageRequest? nextPageRequest = null;
while (lastMinReturn > fromTimeOrders)
{
var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, direction: DataDirection.Descending, exchangeParameters: _exchangeParameters), nextPageRequest).ConfigureAwait(false);
if (!closedOrdersResult.Success)
{
symbolError = true;
_initialPollingError ??= closedOrdersResult.Error;
break;
}
if (closedOrdersResult.Data.Length == 0)
// If there is no data we can stop requesting more data
break;
nextPageRequest = closedOrdersResult.NextPageRequest;
lastMinReturn = closedOrdersResult.Data!.Min(x => x.CreateTime ?? DateTime.MinValue);
closedOrders.AddRange(closedOrdersResult.Data);
if (nextPageRequest == null)
break;
}
if (symbolError && !_firstPollDone)
return symbolError;
if (!symbolError)
await ProcessOrders(symbol, openOrders, closedOrders.ToArray()).ConfigureAwait(false);
}
anyError = anyError || symbolError;
if (!_firstPollDone && anyError)
return anyError;
}
if (!anyError)
{
_lastPollTime = updatedPollTime;
_lastDataTimeBeforeDisconnect = null;
}
return anyError;
}
private async Task ProcessOrders(SharedSymbol symbol, List<SharedFuturesOrder> openOrders, SharedFuturesOrder[] closedOrdersResult)
{
// Filter orders to only include where close time is after the start time
var relevantOrders = closedOrdersResult.Data.Where(x =>
var relevantOrders = closedOrdersResult!.Where(x =>
(x.UpdateTime != null && x.UpdateTime >= _startTime) // Updated after the tracker start time
|| (x.CreateTime != null && x.CreateTime >= _startTime) // Created after the tracker start time
|| (x.CreateTime == null && x.UpdateTime == null) // Unknown time
@@ -338,16 +400,6 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
if (relevantOrders.Length > 0)
await HandleUpdateAsync(UpdateSource.Poll, relevantOrders).ConfigureAwait(false);
}
}
if (!anyError)
{
_lastPollTime = updatedPollTime;
_lastDataTimeBeforeDisconnect = null;
}
return anyError;
}
private DateTime? GetClosedOrdersRequestStartTime(SharedSymbol symbol)
{
CryptoExchange.Net/Trackers/UserData/ItemTrackers/SpotOrderTracker.cs
+66 -14
View File
@@ -19,6 +19,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
private readonly ISpotOrderSocketClient? _socketClient;
private readonly ExchangeParameters? _exchangeParameters;
private readonly bool _requiresSymbolParameterOpenOrders;
private readonly bool _timeFilterSupportedClosedOrders;
private readonly Dictionary<string, int> _openOrderNotReturnedTimes = new();
private readonly TimeSpan _pollOverlapPeriod = TimeSpan.FromSeconds(3);
@@ -46,6 +47,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
_exchangeParameters = exchangeParameters;
_requiresSymbolParameterOpenOrders = restClient.GetOpenSpotOrdersOptions.RequiredOptionalParameters.Any(x => x.Names.Contains("Symbol"));
_timeFilterSupportedClosedOrders = restClient.GetClosedSpotOrdersOptions.TimePeriodFilterSupport;
}
internal void ClearDataForSymbol(SharedSymbol symbol)
@@ -300,22 +302,82 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
var updatedPollTime = DateTime.UtcNow;
foreach (var symbol in _symbolTracker.GetTrackedSymbols())
{
var symbolError = false;
DateTime? fromTimeOrders = GetClosedOrdersRequestStartTime(symbol);
if (_timeFilterSupportedClosedOrders)
{
// Can filter by start time, so we can just request data from that point
var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!closedOrdersResult.Success)
{
anyError = true;
symbolError = true;
_initialPollingError ??= closedOrdersResult.Error;
if (!_firstPollDone)
break;
return symbolError;
}
else
{
await ProcessOrders(symbol, openOrders, closedOrdersResult.Data).ConfigureAwait(false);
}
}
else
{
// Can't filter by start time, so we'll have to request data until we reach an order with a create time before the start time
List<SharedSpotOrder> closedOrders = new List<SharedSpotOrder>();
DateTime lastMinReturn = DateTime.MaxValue;
PageRequest? nextPageRequest = null;
while (lastMinReturn > fromTimeOrders)
{
var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, direction: DataDirection.Descending, exchangeParameters: _exchangeParameters), nextPageRequest).ConfigureAwait(false);
if (!closedOrdersResult.Success)
{
symbolError = true;
_initialPollingError ??= closedOrdersResult.Error;
break;
}
if (closedOrdersResult.Data.Length == 0)
// If there is no data we can stop requesting more data
break;
nextPageRequest = closedOrdersResult.NextPageRequest;
lastMinReturn = closedOrdersResult.Data!.Min(x => x.CreateTime ?? DateTime.MinValue);
closedOrders.AddRange(closedOrdersResult.Data);
if (nextPageRequest == null)
break;
}
if (symbolError && !_firstPollDone)
return symbolError;
if (!symbolError)
await ProcessOrders(symbol, openOrders, closedOrders.ToArray()).ConfigureAwait(false);
}
anyError = anyError || symbolError;
if (!_firstPollDone && anyError)
return anyError;
}
if (!anyError)
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
}
return anyError;
}
private async Task ProcessOrders(SharedSymbol symbol, List<SharedSpotOrder> openOrders, SharedSpotOrder[] closedOrdersResult)
{
// Filter orders to only include where close time is after the start time
var relevantOrders = closedOrdersResult.Data.Where(x =>
var relevantOrders = closedOrdersResult!.Where(x =>
(x.UpdateTime != null && x.UpdateTime >= _startTime) // Updated after the tracker start time
|| (x.CreateTime != null && x.CreateTime >= _startTime) // Created after the tracker start time
|| (x.CreateTime == null && x.UpdateTime == null) // Unknown time
@@ -349,16 +411,6 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
if (relevantOrders.Length > 0)
await HandleUpdateAsync(UpdateSource.Poll, relevantOrders).ConfigureAwait(false);
}
}
if (!anyError)
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
}
return anyError;
}
private DateTime? GetClosedOrdersRequestStartTime(SharedSymbol symbol)
{