zzz.r

In paltsev-p/rbinance: A R Client to receive orderbook data from Binance Crypto-Currency Exchange

# install.packages("root")
library("httpuv")
library("websocket")
library("RJSONIO")
library("RCurl")
library("tidyjson")
library("rbenchmark")
library("futile.logger")
library("testthat")
library("devtools")

# https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#how-to-manage-a-local-order-book-correctly

binance_logfile <- "~/Dropbox/logs/binance.log"

msg_buffer <- list()
ws <- WebsocketClient$new("wss://stream.binance.com:9443/ws/bnbbtc@depth",
                          onOpen = function() {
                            cat("Connection opened\n")
                          },
                          onMessage = function(msg) {
                            msg_global <<- msg
                            msg_buffer[[length(msg_buffer)+1]] <<- binance_wss_parsing(msg)

                          },
                          onClose = function() {
                            cat("Client disconnected\n")
                          })


msg_global %>% gsub('\\[\\]' , "", .) %>% gsub("\"", "", .) %>% gsub('\\[' , "", .) %>%
  gsub('\\]' , "", .) %>% gsub('\\{' , "", .)  %>% gsub('\\}' , "", .) %>% gsub(',' , ":", .) %>%
  gsub('::' , ":", .)  %>% strsplit(":") %>% unlist()


#-----------





binance_upd_obook <- function(msg, big_orderbook)
{

  msg <- binance_mess(msg)

  cat(paste0(msg,"\n"), file=binance_logfile, append = T)



  cat(paste0(smallasks,"\n"), file=binance_logfile, append = T)

  big_orderbook$lastUpdateId <- as.numeric(msg[10])
  big_orderbook$asks <- binance_upd_ab(small = smallasks, big = big_orderbook$asks)
  big_orderbook$bids <- binance_upd_ab(small = smallbids, big = big_orderbook$bids)
  big_orderbook
}


#-----------


#-----------


ws <- WebsocketClient$new("wss://stream.binance.com:9443/ws/bnbbtc@depth",
                          onOpen = function() {
                            cat("Connection opened\n")
                          },
                          onMessage = function(msg) {
                            msg <<- msg
                            pmsg <<- binance_wss_parsing(msg)
                            # if cat(error)


                          },
                          onClose = function() {
                            cat("Client disconnected\n")
                          })

ws$close()
base_orderbook = binance_snapshot_parsing(getURL("https://www.binance.com/api/v1/depth?symbol=BNBBTC&limit=1000"))








# wss://stream.binance.com:9443/ws/bnbbtc@depth