[Binance] Support rolling window

knowm · Nov 28, 2024 · fe002a1 · fe002a1
1 parent c20907c
commit fe002a1
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Showing 2 changed files with 65 additions and 0 deletions.
diff --git a/...e/src/main/java/info/bitrich/xchangestream/binance/BinanceStreamingMarketDataService.java b/...e/src/main/java/info/bitrich/xchangestream/binance/BinanceStreamingMarketDataService.java
@@ -71,6 +71,7 @@ public class BinanceStreamingMarketDataService implements StreamingMarketDataSer
       LoggerFactory.getLogger(BinanceStreamingMarketDataService.class);
 
   private static final JavaType TICKER_TYPE = getTickerType();
+  private static final JavaType WINDOW_TICKER_TYPE = getWindowTickerType();
   private static final JavaType BOOK_TICKER_TYPE = getBookTickerType();
   private static final JavaType TRADE_TYPE = getTradeType();
   private static final JavaType DEPTH_TYPE = getDepthType();
@@ -84,13 +85,16 @@ public class BinanceStreamingMarketDataService implements StreamingMarketDataSer
   private final int oderBookFetchLimitParameter;
 
   private final Map<Instrument, Observable<BinanceTicker24h>> tickerSubscriptions;
+  private final Map<Instrument, Observable<BinanceTicker24h>> tickerWindowSubscriptions;
   private final Map<Instrument, Observable<BinanceBookTicker>> bookTickerSubscriptions;
   private final Map<Instrument, Observable<OrderBook>> orderbookSubscriptions;
   private final Map<Instrument, Observable<BinanceRawTrade>> tradeSubscriptions;
   private final Map<Instrument, Observable<List<OrderBookUpdate>>> orderBookUpdatesSubscriptions;
   private final Map<Instrument, Map<KlineInterval, Observable<BinanceKline>>> klineSubscriptions;
   private final Map<Instrument, Observable<DepthBinanceWebSocketTransaction>>
       orderBookRawUpdatesSubscriptions;
+  private Observable<List<BinanceTicker24h>> allRollingWindowTickerSubscriptions;
+
 
   /**
    * A scheduler for initialisation of binance order book snapshots, which is delegated to a
@@ -125,6 +129,7 @@ public BinanceStreamingMarketDataService(
     this.marketDataService = marketDataService;
     this.onApiCall = onApiCall;
     this.tickerSubscriptions = new ConcurrentHashMap<>();
+    this.tickerWindowSubscriptions = new ConcurrentHashMap<>();
     this.bookTickerSubscriptions = new ConcurrentHashMap<>();
     this.orderbookSubscriptions = new ConcurrentHashMap<>();
     this.tradeSubscriptions = new ConcurrentHashMap<>();
@@ -211,6 +216,33 @@ public Observable<BinanceTicker24h> getRawTicker(Instrument instrument) {
         instrument, s -> triggerObservableBody(rawTickerStream(instrument)).share());
   }
 
+  public Observable<BinanceTicker24h> rollingWindow(Instrument instrument, KlineInterval windowSize) {
+    if (!service.isLiveSubscriptionEnabled()
+        && !service.getProductSubscription().getTicker().contains(instrument)) {
+      throw new UpFrontSubscriptionRequiredException();
+    }
+    if(windowSize.equals(KlineInterval.h1) || windowSize.equals(KlineInterval.h4) || windowSize.equals(KlineInterval.d1)) {
+      return tickerWindowSubscriptions.computeIfAbsent(
+          instrument, s -> triggerObservableBody(rollingWindowStream(instrument, windowSize)).share());
+    }else {
+      throw new UnsupportedOperationException("RollingWindow not supported for other window size!");
+    }
+  }
+
+  public Observable<List<BinanceTicker24h>> allRollingWindow(KlineInterval windowSize) {
+    if (!service.isLiveSubscriptionEnabled()) {
+      throw new UpFrontSubscriptionRequiredException();
+    }
+    if(windowSize.equals(KlineInterval.h1) || windowSize.equals(KlineInterval.h4) || windowSize.equals(KlineInterval.d1)) {
+      Observable<List<BinanceTicker24h>> observable = triggerObservableBody(
+          allRollingWindowStream(windowSize)).share();
+      allRollingWindowTickerSubscriptions = observable;
+      return observable;
+    }else {
+      throw new UnsupportedOperationException("RollingWindow not supported for other window size!");
+    }
+  }
+
   public Observable<BinanceBookTicker> getRawBookTicker(Instrument instrument) {
     if (!service.isLiveSubscriptionEnabled()
         && !service.getProductSubscription().getTicker().contains(instrument)) {
@@ -396,6 +428,10 @@ private void unsubscribe(
       case TICKER:
         tickerSubscriptions.remove(instrument);
         break;
+      case TICKER_WINDOW:
+        tickerWindowSubscriptions.remove(instrument);
+        allRollingWindowTickerSubscriptions = null;
+        break;
       case BOOK_TICKER:
         bookTickerSubscriptions.remove(instrument);
         break;
@@ -455,6 +491,27 @@ private Observable<BinanceTicker24h> rawTickerStream(Instrument instrument) {
         .map(transaction -> transaction.getData().getTicker());
   }
 
+  private Observable<BinanceTicker24h> rollingWindowStream(Instrument instrument, KlineInterval windowSize) {
+    return this.service
+        .subscribeChannel(this.getChannelPrefix(instrument) + "@" + BinanceSubscriptionType.TICKER_WINDOW.getType() + windowSize.code(), new Object[0])
+        .map(
+            (it) -> this.<TickerBinanceWebsocketTransaction>readTransaction(it, TICKER_TYPE, "ticker"))
+        .filter(
+            transaction ->
+                BinanceAdapters.adaptSymbol(
+                        transaction.getData().getSymbol(), instrument instanceof FuturesContract)
+                    .equals(instrument))
+        .map(transaction -> transaction.getData().getTicker());
+  }
+
+  private Observable<List<BinanceTicker24h>> allRollingWindowStream(KlineInterval windowSize) {
+    return this.service
+        .subscribeChannel("!" + BinanceSubscriptionType.TICKER_WINDOW.getType() + windowSize.code() + "@arr", new Object[0])
+        .map(
+            (it) -> this.<List<TickerBinanceWebsocketTransaction>>readTransaction(it, WINDOW_TICKER_TYPE , "ticker"))
+        .map( transaction -> transaction.getData().stream().map(TickerBinanceWebsocketTransaction::getTicker).collect(Collectors.toList()));
+  }
+
   private Observable<BinanceBookTicker> rawBookTickerStream(Instrument instrument) {
     return service
         .subscribeChannel(
@@ -694,6 +751,13 @@ private static JavaType getTickerType() {
             new TypeReference<BinanceWebsocketTransaction<TickerBinanceWebsocketTransaction>>() {});
   }
 
+  private static JavaType getWindowTickerType() {
+    return getObjectMapper()
+        .getTypeFactory()
+        .constructType(
+            new TypeReference<BinanceWebsocketTransaction<List<TickerBinanceWebsocketTransaction>>>() {});
+  }
+
   private static JavaType getBookTickerType() {
     return getObjectMapper()
         .getTypeFactory()

diff --git a/...eam-binance/src/main/java/info/bitrich/xchangestream/binance/BinanceSubscriptionType.java b/...eam-binance/src/main/java/info/bitrich/xchangestream/binance/BinanceSubscriptionType.java
@@ -6,6 +6,7 @@ public enum BinanceSubscriptionType {
   FUNDING_RATES("markPrice"),
   TRADE("trade"),
   TICKER("ticker"),
+  TICKER_WINDOW("ticker_"),
   BOOK_TICKER("bookTicker"),
   KLINE("kline");