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Code Issues Releases Wiki Activity

Fixed bug in polling time filter for UserDataTracker items

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This commit is contained in:
Jkorf 2026-02-12 11:35:04 +01:00
parent 226f175343
commit 9fab8faa45
5 changed files with 186 additions and 34 deletions
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67
CryptoExchange.Net/Trackers/UserData/ItemTrackers/FuturesOrderTracker.cs
View File

@ -271,20 +271,11 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
_openOrderNotReturnedTimes[order.OrderId] += 1;
}
var updatedPollTime = DateTime.UtcNow;
foreach (var symbol in _symbols.ToList())
{
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
var fromTimeOrders = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime;
// If we're tracking open orders with a create time before this time we need to use that timestamp to make sure that order is included in the response
var trackedOrdersMinOpenTime = Values
.Where(x => x.Status == SharedOrderStatus.Open && x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset)
.OrderBy(x => x.CreateTime)
.FirstOrDefault()?.CreateTime;
if (trackedOrdersMinOpenTime != null && trackedOrdersMinOpenTime < fromTimeOrders)
fromTimeOrders = trackedOrdersMinOpenTime.Value.AddMilliseconds(-1);
DateTime? fromTimeOrders = GetClosedOrdersRequestStartTime(symbol);
var updatedPollTime = DateTime.UtcNow;
var closedOrdersResult = await _restClient.GetClosedFuturesOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!closedOrdersResult.Success)
{
@ -296,14 +287,12 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
}
else
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
// Filter orders to only include where close time is after the start time
var relevantOrders = closedOrdersResult.Data.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
|| (Values.Any(e => e.OrderId == x.OrderId && x.Status == SharedOrderStatus.Open)) // Or we're currently tracking this open order
).ToArray();
// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
@ -335,7 +324,57 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
}
}
if (!anyError)
{
_lastPollTime = updatedPollTime;
_lastDataTimeBeforeDisconnect = null;
}
return anyError;
}
private DateTime? GetClosedOrdersRequestStartTime(SharedSymbol symbol)
{
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
DateTime? fromTime = null;
string? source = null;
// Use the last timestamp we we received data from the websocket as state should be correct at that time. 1 seconds buffer
if (_lastDataTimeBeforeDisconnect.HasValue && (fromTime == null || fromTime > _lastDataTimeBeforeDisconnect.Value))
{
fromTime = _lastDataTimeBeforeDisconnect.Value.AddSeconds(-1);
source = "LastDataTimeBeforeDisconnect";
}
// If we've previously polled use that timestamp to request data from
if (_lastPollTime.HasValue && (fromTime == null || _lastPollTime.Value > fromTime))
{
fromTime = _lastPollTime;
source = "LastPollTime";
}
// If we known open orders with a create time before this time we need to use that timestamp to make sure that order is included in the response
var trackedOrdersMinOpenTime = Values
.Where(x => x.Status == SharedOrderStatus.Open && x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset)
.OrderBy(x => x.CreateTime)
.FirstOrDefault()?.CreateTime;
if (trackedOrdersMinOpenTime.HasValue && (fromTime == null || trackedOrdersMinOpenTime.Value < fromTime))
{
// Could be improved by only requesting the specific open orders if there are only a few that would be better than trying to request a long
// history if the open order is far back
fromTime = trackedOrdersMinOpenTime.Value.AddMilliseconds(-1);
source = "OpenOrder";
}
if (fromTime == null)
{
fromTime = _startTime;
source = "StartTime";
}
_logger.LogTrace("{DataType} UserDataTracker poll startTime filter based on {Source}: {Time:yyyy-MM-dd HH:mm:ss.fff}", DataType, source, fromTime);
return fromTime!.Value;
}
}
}

41
CryptoExchange.Net/Trackers/UserData/ItemTrackers/FuturesUserTradeTracker.cs
View File

@ -55,10 +55,10 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
protected override async Task<bool> DoPollAsync()
{
var anyError = false;
var fromTimeTrades = GetTradesRequestStartTime();
var updatedPollTime = DateTime.UtcNow;
foreach (var symbol in _symbols)
{
var fromTimeTrades = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime;
var updatedPollTime = DateTime.UtcNow;
var tradesResult = await _restClient.GetFuturesUserTradesAsync(new GetUserTradesRequest(symbol, startTime: fromTimeTrades, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!tradesResult.Success)
{
@ -80,9 +80,46 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
}
}
if (!anyError)
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
}
return anyError;
}
private DateTime? GetTradesRequestStartTime()
{
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
DateTime? fromTime = null;
string? source = null;
// Use the last timestamp we we received data from the websocket as state should be correct at that time. 1 seconds buffer
if (_lastDataTimeBeforeDisconnect.HasValue && (fromTime == null || fromTime > _lastDataTimeBeforeDisconnect.Value))
{
fromTime = _lastDataTimeBeforeDisconnect.Value.AddSeconds(-1);
source = "LastDataTimeBeforeDisconnect";
}
// If we've previously polled use that timestamp to request data from
if (_lastPollTime.HasValue && (fromTime == null || _lastPollTime.Value > fromTime))
{
fromTime = _lastPollTime;
source = "LastPollTime";
}
if (fromTime == null)
{
fromTime = _startTime;
source = "StartTime";
}
_logger.LogTrace("{DataType} UserDataTracker poll startTime filter based on {Source}: {Time:yyyy-MM-dd HH:mm:ss.fff}", DataType, source, fromTime);
return fromTime!.Value;
}
/// <inheritdoc />
protected override Task<CallResult<UpdateSubscription?>> DoSubscribeAsync(string? listenKey)
{

68
CryptoExchange.Net/Trackers/UserData/ItemTrackers/SpotOrderTracker.cs
View File

@ -282,20 +282,12 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
_openOrderNotReturnedTimes[order.OrderId] += 1;
}
var updatedPollTime = DateTime.UtcNow;
foreach (var symbol in _symbols.ToList())
{
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
var fromTimeOrders = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime;
// If we're tracking open orders with a create time before this time we need to use that timestamp to make sure that order is included in the response
var trackedOrdersMinOpenTime = Values
.Where(x => x.Status == SharedOrderStatus.Open && x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset)
.OrderBy(x => x.CreateTime)
.FirstOrDefault()?.CreateTime;
if (trackedOrdersMinOpenTime != null && trackedOrdersMinOpenTime < fromTimeOrders)
fromTimeOrders = trackedOrdersMinOpenTime.Value.AddMilliseconds(-1);
DateTime? fromTimeOrders = GetClosedOrdersRequestStartTime(symbol);
var updatedPollTime = DateTime.UtcNow;
var closedOrdersResult = await _restClient.GetClosedSpotOrdersAsync(new GetClosedOrdersRequest(symbol, startTime: fromTimeOrders, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!closedOrdersResult.Success)
{
@ -307,14 +299,12 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
}
else
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
// Filter orders to only include where close time is after the start time
var relevantOrders = closedOrdersResult.Data.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
|| (Values.Any(e => e.OrderId == x.OrderId && x.Status == SharedOrderStatus.Open)) // Or we're currently tracking this open order
).ToArray();
// Check for orders which are no longer returned in either open/closed and assume they're canceled without fill
@ -346,7 +336,57 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
}
}
if (!anyError)
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
}
return anyError;
}
private DateTime? GetClosedOrdersRequestStartTime(SharedSymbol symbol)
{
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
DateTime? fromTime = null;
string? source = null;
// Use the last timestamp we we received data from the websocket as state should be correct at that time. 1 seconds buffer
if (_lastDataTimeBeforeDisconnect.HasValue && (fromTime == null || fromTime > _lastDataTimeBeforeDisconnect.Value))
{
fromTime = _lastDataTimeBeforeDisconnect.Value.AddSeconds(-1);
source = "LastDataTimeBeforeDisconnect";
}
// If we've previously polled use that timestamp to request data from
if (_lastPollTime.HasValue && (fromTime == null || _lastPollTime.Value > fromTime))
{
fromTime = _lastPollTime;
source = "LastPollTime";
}
// If we known open orders with a create time before this time we need to use that timestamp to make sure that order is included in the response
var trackedOrdersMinOpenTime = Values
.Where(x => x.Status == SharedOrderStatus.Open && x.SharedSymbol!.BaseAsset == symbol.BaseAsset && x.SharedSymbol.QuoteAsset == symbol.QuoteAsset)
.OrderBy(x => x.CreateTime)
.FirstOrDefault()?.CreateTime;
if (trackedOrdersMinOpenTime.HasValue && (fromTime == null || trackedOrdersMinOpenTime.Value < fromTime))
{
// Could be improved by only requesting the specific open orders if there are only a few that would be better than trying to request a long
// history if the open order is far back
fromTime = trackedOrdersMinOpenTime.Value.AddMilliseconds(-1);
source = "OpenOrder";
}
if (fromTime == null)
{
fromTime = _startTime;
source = "StartTime";
}
_logger.LogTrace("{DataType} UserDataTracker poll startTime filter based on {Source}: {Time:yyyy-MM-dd HH:mm:ss.fff}", DataType, source, fromTime);
return fromTime!.Value;
}
}
}

43
CryptoExchange.Net/Trackers/UserData/ItemTrackers/SpotUserTradeTracker.cs
View File

@ -55,10 +55,10 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
protected override async Task<bool> DoPollAsync()
{
var anyError = false;
var fromTimeTrades = GetTradesRequestStartTime();
var updatedPollTime = DateTime.UtcNow;
foreach (var symbol in _symbols)
{
var fromTimeTrades = _lastDataTimeBeforeDisconnect ?? _lastPollTime ?? _startTime;
var updatedPollTime = DateTime.UtcNow;
var tradesResult = await _restClient.GetSpotUserTradesAsync(new GetUserTradesRequest(symbol, startTime: fromTimeTrades, exchangeParameters: _exchangeParameters)).ConfigureAwait(false);
if (!tradesResult.Success)
{
@ -70,8 +70,6 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
}
else
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
// Filter trades to only include where timestamp is after the start time OR it's part of an order we're tracking
var relevantTrades = tradesResult.Data.Where(x => x.Timestamp >= _startTime || (GetTrackedOrderIds?.Invoke() ?? []).Any(o => o == x.OrderId)).ToArray();
@ -80,9 +78,46 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
}
}
if (!anyError)
{
_lastDataTimeBeforeDisconnect = null;
_lastPollTime = updatedPollTime;
}
return anyError;
}
private DateTime? GetTradesRequestStartTime()
{
// Determine the timestamp from which we need to check order status
// Use the timestamp we last know the correct state of the data
DateTime? fromTime = null;
string? source = null;
// Use the last timestamp we we received data from the websocket as state should be correct at that time. 1 seconds buffer
if (_lastDataTimeBeforeDisconnect.HasValue && (fromTime == null || fromTime > _lastDataTimeBeforeDisconnect.Value))
{
fromTime = _lastDataTimeBeforeDisconnect.Value.AddSeconds(-1);
source = "LastDataTimeBeforeDisconnect";
}
// If we've previously polled use that timestamp to request data from
if (_lastPollTime.HasValue && (fromTime == null || _lastPollTime.Value > fromTime))
{
fromTime = _lastPollTime;
source = "LastPollTime";
}
if (fromTime == null)
{
fromTime = _startTime;
source = "StartTime";
}
_logger.LogTrace("{DataType} UserDataTracker poll startTime filter based on {Source}: {Time:yyyy-MM-dd HH:mm:ss.fff}", DataType, source, fromTime);
return fromTime!.Value;
}
/// <inheritdoc />
protected override Task<CallResult<UpdateSubscription?>> DoSubscribeAsync(string? listenKey)
{

1
CryptoExchange.Net/Trackers/UserData/ItemTrackers/UserDataItemTracker.cs
View File

@ -372,6 +372,7 @@ namespace CryptoExchange.Net.Trackers.UserData.ItemTrackers
{
toRemove ??= new List<T>();
toRemove.Add(item);
_logger.LogWarning("Ignoring {DataType} update for {Key}, no SharedSymbol set", DataType, GetKey(item));
}
else if (_onlyTrackProvidedSymbols
&& !_symbols.Any(y => y.TradingMode == symbolModel.SharedSymbol!.TradingMode && y.BaseAsset == symbolModel.SharedSymbol.BaseAsset && y.QuoteAsset == symbolModel.SharedSymbol.QuoteAsset))