mirror of
https://github.com/JKorf/CryptoExchange.Net.git
synced 2026-10-04 02:11:11 +00:00
Added support for order polling where Shared order implementation doesn't support time filtering to UserDataTracker implementations
This commit is contained in:
Jkorf
@@ -1,4 +1,4 @@
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using CryptoExchange.Net.Objects;
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using CryptoExchange.Net.Objects;
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using CryptoExchange.Net.Objects.Sockets;
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using CryptoExchange.Net.SharedApis;
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using CryptoExchange.Net.Trackers.UserData.Objects;
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@@ -19,6 +19,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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private readonly IFuturesOrderSocketClient? _socketClient;
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private readonly ExchangeParameters? _exchangeParameters;
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private readonly bool _requiresSymbolParameterOpenOrders;
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private readonly bool _timeFilterSupportedClosedOrders;
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private readonly Dictionary<string, int> _openOrderNotReturnedTimes = new();
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private readonly TimeSpan _pollOverlapPeriod = TimeSpan.FromSeconds(3);
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@@ -46,6 +47,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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_exchangeParameters = exchangeParameters;
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_requiresSymbolParameterOpenOrders = restClient.GetOpenFuturesOrdersOptions.RequiredOptionalParameters.Any(x => x.Names.Contains("Symbol"));
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_timeFilterSupportedClosedOrders = restClient.GetClosedFuturesOrdersOptions.TimePeriodFilterSupport;
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}
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internal void ClearDataForSymbol(SharedSymbol symbol)
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@@ -290,54 +292,66 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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var updatedPollTime = DateTime.UtcNow;
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foreach (var symbol in _symbolTracker.GetTrackedSymbols())
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{
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var symbolError = false;
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DateTime? fromTimeOrders = GetClosedOrdersRequestStartTime(symbol);
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var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
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if (!closedOrdersResult.Success)
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if (_timeFilterSupportedClosedOrders)
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{
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anyError = true;
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// Can filter by start time, so we can just request data from that point
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_initialPollingError ??= closedOrdersResult.Error;
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if (!_firstPollDone)
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break;
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var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
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if (!closedOrdersResult.Success)
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{
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symbolError = true;
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_initialPollingError ??= closedOrdersResult.Error;
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if (!_firstPollDone)
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return symbolError;
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}
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else
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{
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await ProcessOrders(symbol, openOrders, closedOrdersResult.Data).ConfigureAwait(false);
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}
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}
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else
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{
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// Filter orders to only include where close time is after the start time
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var relevantOrders = closedOrdersResult.Data.Where(x =>
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(x.UpdateTime != null && x.UpdateTime >= _startTime) // Updated after the tracker start time
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|| (x.CreateTime != null && x.CreateTime >= _startTime) // Created after the tracker start time
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|| (x.CreateTime == null && x.UpdateTime == null) // Unknown time
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|| (Values.Any(e => e.OrderId == x.OrderId && x.Status == SharedOrderStatus.Open)) // Or we're currently tracking this open order
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).ToArray();
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// 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
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// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
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var openOrdersNotReturned = Values.Where(x =>
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// Orders for the same symbol
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x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset
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// With no filled value
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&& x.QuantityFilled?.IsZero == true
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// Not returned in open orders
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&& !openOrders.Any(r => r.OrderId == x.OrderId)
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// Not returned in closed orders
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&& !relevantOrders.Any(r => r.OrderId == x.OrderId)
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// Open order has not been returned in the open list at least 2 times
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&& (_openOrderNotReturnedTimes.TryGetValue(x.OrderId, out var notReturnedTimes) ? notReturnedTimes >= 2 : false)
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).ToList();
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var additionalUpdates = new List<SharedFuturesOrder>();
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foreach (var order in openOrdersNotReturned)
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List<SharedFuturesOrder> closedOrders = new List<SharedFuturesOrder>();
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DateTime lastMinReturn = DateTime.MaxValue;
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PageRequest? nextPageRequest = null;
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while (lastMinReturn > fromTimeOrders)
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{
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additionalUpdates.Add(order with
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var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, direction: DataDirection.Descending, exchangeParameters: _exchangeParameters), nextPageRequest).ConfigureAwait(false);
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if (!closedOrdersResult.Success)
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{
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Status = SharedOrderStatus.Canceled
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});
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symbolError = true;
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_initialPollingError ??= closedOrdersResult.Error;
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break;
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}
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if (closedOrdersResult.Data.Length == 0)
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// If there is no data we can stop requesting more data
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break;
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nextPageRequest = closedOrdersResult.NextPageRequest;
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lastMinReturn = closedOrdersResult.Data!.Min(x => x.CreateTime ?? DateTime.MinValue);
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closedOrders.AddRange(closedOrdersResult.Data);
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if (nextPageRequest == null)
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break;
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}
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relevantOrders = relevantOrders.Concat(additionalUpdates).ToArray();
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if (relevantOrders.Length > 0)
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await HandleUpdateAsync(UpdateSource.Poll, relevantOrders).ConfigureAwait(false);
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if (symbolError && !_firstPollDone)
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return symbolError;
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if (!symbolError)
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await ProcessOrders(symbol, openOrders, closedOrders.ToArray()).ConfigureAwait(false);
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}
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anyError = anyError || symbolError;
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if (!_firstPollDone && anyError)
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return anyError;
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}
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if (!anyError)
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@@ -349,6 +363,44 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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return anyError;
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}
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private async Task ProcessOrders(SharedSymbol symbol, List<SharedFuturesOrder> openOrders, SharedFuturesOrder[] closedOrdersResult)
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{
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// Filter orders to only include where close time is after the start time
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var relevantOrders = closedOrdersResult!.Where(x =>
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(x.UpdateTime != null && x.UpdateTime >= _startTime) // Updated after the tracker start time
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|| (x.CreateTime != null && x.CreateTime >= _startTime) // Created after the tracker start time
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|| (x.CreateTime == null && x.UpdateTime == null) // Unknown time
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|| (Values.Any(e => e.OrderId == x.OrderId && x.Status == SharedOrderStatus.Open)) // Or we're currently tracking this open order
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).ToArray();
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// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
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var openOrdersNotReturned = Values.Where(x =>
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// Orders for the same symbol
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x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset
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// With no filled value
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&& x.QuantityFilled?.IsZero == true
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// Not returned in open orders
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&& !openOrders.Any(r => r.OrderId == x.OrderId)
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// Not returned in closed orders
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&& !relevantOrders.Any(r => r.OrderId == x.OrderId)
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// Open order has not been returned in the open list at least 2 times
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&& (_openOrderNotReturnedTimes.TryGetValue(x.OrderId, out var notReturnedTimes) ? notReturnedTimes >= 2 : false)
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).ToList();
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var additionalUpdates = new List<SharedFuturesOrder>();
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foreach (var order in openOrdersNotReturned)
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{
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additionalUpdates.Add(order with
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{
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Status = SharedOrderStatus.Canceled
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});
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}
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relevantOrders = relevantOrders.Concat(additionalUpdates).ToArray();
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if (relevantOrders.Length > 0)
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await HandleUpdateAsync(UpdateSource.Poll, relevantOrders).ConfigureAwait(false);
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}
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private DateTime? GetClosedOrdersRequestStartTime(SharedSymbol symbol)
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{
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// Determine the timestamp from which we need to check order status
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@@ -19,6 +19,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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private readonly ISpotOrderSocketClient? _socketClient;
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private readonly ExchangeParameters? _exchangeParameters;
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private readonly bool _requiresSymbolParameterOpenOrders;
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private readonly bool _timeFilterSupportedClosedOrders;
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private readonly Dictionary<string, int> _openOrderNotReturnedTimes = new();
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private readonly TimeSpan _pollOverlapPeriod = TimeSpan.FromSeconds(3);
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@@ -46,6 +47,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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_exchangeParameters = exchangeParameters;
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_requiresSymbolParameterOpenOrders = restClient.GetOpenSpotOrdersOptions.RequiredOptionalParameters.Any(x => x.Names.Contains("Symbol"));
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_timeFilterSupportedClosedOrders = restClient.GetClosedSpotOrdersOptions.TimePeriodFilterSupport;
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}
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internal void ClearDataForSymbol(SharedSymbol symbol)
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@@ -300,55 +302,66 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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var updatedPollTime = DateTime.UtcNow;
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foreach (var symbol in _symbolTracker.GetTrackedSymbols())
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{
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var symbolError = false;
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DateTime? fromTimeOrders = GetClosedOrdersRequestStartTime(symbol);
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var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
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if (!closedOrdersResult.Success)
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if (_timeFilterSupportedClosedOrders)
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{
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anyError = true;
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// Can filter by start time, so we can just request data from that point
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_initialPollingError ??= closedOrdersResult.Error;
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if (!_firstPollDone)
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break;
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var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
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if (!closedOrdersResult.Success)
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{
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symbolError = true;
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_initialPollingError ??= closedOrdersResult.Error;
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if (!_firstPollDone)
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return symbolError;
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}
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else
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{
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await ProcessOrders(symbol, openOrders, closedOrdersResult.Data).ConfigureAwait(false);
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}
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}
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else
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{
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// Filter orders to only include where close time is after the start time
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var relevantOrders = closedOrdersResult.Data.Where(x =>
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(x.UpdateTime != null && x.UpdateTime >= _startTime) // Updated after the tracker start time
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|| (x.CreateTime != null && x.CreateTime >= _startTime) // Created after the tracker start time
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|| (x.CreateTime == null && x.UpdateTime == null) // Unknown time
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|| (Values.Any(e => e.OrderId == x.OrderId && x.Status == SharedOrderStatus.Open)) // Or we're currently tracking this open order
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).ToArray();
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// 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
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// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
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var openOrdersNotReturned = Values.Where(x =>
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// Orders for the same symbol
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x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset
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// With no filled value
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&& x.QuantityFilled?.IsZero == true
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// Not returned in open orders
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&& !openOrders.Any(r => r.OrderId == x.OrderId)
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// Not returned in closed orders
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&& !relevantOrders.Any(r => r.OrderId == x.OrderId)
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// Open order has not been returned in the open list at least 2 times
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&& (_openOrderNotReturnedTimes.TryGetValue(x.OrderId, out var notReturnedTimes) ? notReturnedTimes >= 2 : false)
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).ToList();
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var additionalUpdates = new List<SharedSpotOrder>();
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foreach (var order in openOrdersNotReturned)
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List<SharedSpotOrder> closedOrders = new List<SharedSpotOrder>();
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DateTime lastMinReturn = DateTime.MaxValue;
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PageRequest? nextPageRequest = null;
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while (lastMinReturn > fromTimeOrders)
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{
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additionalUpdates.Add(order with
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var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, direction: DataDirection.Descending, exchangeParameters: _exchangeParameters), nextPageRequest).ConfigureAwait(false);
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if (!closedOrdersResult.Success)
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{
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Status = SharedOrderStatus.Canceled
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});
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symbolError = true;
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_initialPollingError ??= closedOrdersResult.Error;
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break;
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}
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if (closedOrdersResult.Data.Length == 0)
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// If there is no data we can stop requesting more data
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break;
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nextPageRequest = closedOrdersResult.NextPageRequest;
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lastMinReturn = closedOrdersResult.Data!.Min(x => x.CreateTime ?? DateTime.MinValue);
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closedOrders.AddRange(closedOrdersResult.Data);
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if (nextPageRequest == null)
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break;
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}
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relevantOrders = relevantOrders.Concat(additionalUpdates).ToArray();
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if (relevantOrders.Length > 0)
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await HandleUpdateAsync(UpdateSource.Poll, relevantOrders).ConfigureAwait(false);
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if (symbolError && !_firstPollDone)
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return symbolError;
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if (!symbolError)
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await ProcessOrders(symbol, openOrders, closedOrders.ToArray()).ConfigureAwait(false);
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}
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anyError = anyError || symbolError;
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if (!_firstPollDone && anyError)
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return anyError;
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}
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if (!anyError)
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@@ -360,6 +373,45 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
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return anyError;
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}
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private async Task ProcessOrders(SharedSymbol symbol, List<SharedSpotOrder> openOrders, SharedSpotOrder[] closedOrdersResult)
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{
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// Filter orders to only include where close time is after the start time
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var relevantOrders = closedOrdersResult!.Where(x =>
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(x.UpdateTime != null && x.UpdateTime >= _startTime) // Updated after the tracker start time
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|| (x.CreateTime != null && x.CreateTime >= _startTime) // Created after the tracker start time
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|| (x.CreateTime == null && x.UpdateTime == null) // Unknown time
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|| (Values.Any(e => e.OrderId == x.OrderId && x.Status == SharedOrderStatus.Open)) // Or we're currently tracking this open order
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).ToArray();
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// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
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var openOrdersNotReturned = Values.Where(x =>
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// Orders for the same symbol
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x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset
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// With no filled value
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&& x.QuantityFilled?.IsZero == true
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// Not returned in open orders
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&& !openOrders.Any(r => r.OrderId == x.OrderId)
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// Not returned in closed orders
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&& !relevantOrders.Any(r => r.OrderId == x.OrderId)
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// Open order has not been returned in the open list at least 2 times
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&& (_openOrderNotReturnedTimes.TryGetValue(x.OrderId, out var notReturnedTimes) ? notReturnedTimes >= 2 : false)
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).ToList();
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var additionalUpdates = new List<SharedSpotOrder>();
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foreach (var order in openOrdersNotReturned)
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{
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additionalUpdates.Add(order with
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{
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Status = SharedOrderStatus.Canceled
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});
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}
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relevantOrders = relevantOrders.Concat(additionalUpdates).ToArray();
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if (relevantOrders.Length > 0)
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await HandleUpdateAsync(UpdateSource.Poll, relevantOrders).ConfigureAwait(false);
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}
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private DateTime? GetClosedOrdersRequestStartTime(SharedSymbol symbol)
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{
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// Determine the timestamp from which we need to check order status
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