DepthCacheExample.java

package com.binance.api.examples;

import com.binance.api.client.BinanceApiClientFactory;
import com.binance.api.client.BinanceApiRestClient;
import com.binance.api.client.BinanceApiWebSocketClient;
import com.binance.api.client.domain.market.OrderBook;
import com.binance.api.client.domain.market.OrderBookEntry;

import java.math.BigDecimal;
import java.util.Comparator;
import java.util.HashMap;
import java.util.List;
import java.util.Map;
import java.util.NavigableMap;
import java.util.TreeMap;

/**
 * Illustrates how to use the depth event stream to create a local cache of bids/asks for a symbol.
 */
public class DepthCacheExample {

 private static final String BIDS = "BIDS";
 private static final String ASKS = "ASKS";

 private long lastUpdateId;

 private Map<String, NavigableMap<BigDecimal, BigDecimal>> depthCache;

 public DepthCacheExample(String symbol) {
 initializeDepthCache(symbol);
 startDepthEventStreaming(symbol);
 }

 /**
 * Initializes the depth cache by using the REST API.
 */
 private void initializeDepthCache(String symbol) {
 BinanceApiClientFactory factory = BinanceApiClientFactory.newInstance();
 BinanceApiRestClient client = factory.newRestClient();
 OrderBook orderBook = client.getOrderBook(symbol.toUpperCase(), 10);

 this.depthCache = new HashMap<>();
 this.lastUpdateId = orderBook.getLastUpdateId();

 NavigableMap<BigDecimal, BigDecimal> asks = new TreeMap<>(Comparator.reverseOrder());
 for (OrderBookEntry ask : orderBook.getAsks()) {
 asks.put(new BigDecimal(ask.getPrice()), new BigDecimal(ask.getQty()));
 }
 depthCache.put(ASKS, asks);

 NavigableMap<BigDecimal, BigDecimal> bids = new TreeMap<>(Comparator.reverseOrder());
 for (OrderBookEntry bid : orderBook.getBids()) {
 bids.put(new BigDecimal(bid.getPrice()), new BigDecimal(bid.getQty()));
 }
 depthCache.put(BIDS, bids);
 }

 /**
 * Begins streaming of depth events.
 */
 private void startDepthEventStreaming(String symbol) {
 BinanceApiClientFactory factory = BinanceApiClientFactory.newInstance();
 BinanceApiWebSocketClient client = factory.newWebSocketClient();

 client.onDepthEvent(symbol.toLowerCase(), response -> {
 if (response.getUpdateId() > lastUpdateId) {
 System.out.println(response);
 lastUpdateId = response.getUpdateId();
 updateOrderBook(getAsks(), response.getAsks());
 updateOrderBook(getBids(), response.getBids());
 printDepthCache();
 }
 });
 }

 /**
 * Updates an order book (bids or asks) with a delta received from the server.
 *
 * Whenever the qty specified is ZERO, it means the price should was removed from the order book.
 */
 private void updateOrderBook(NavigableMap<BigDecimal, BigDecimal> lastOrderBookEntries, List<OrderBookEntry> orderBookDeltas) {
 for (OrderBookEntry orderBookDelta : orderBookDeltas) {
 BigDecimal price = new BigDecimal(orderBookDelta.getPrice());
 BigDecimal qty = new BigDecimal(orderBookDelta.getQty());
 if (qty.compareTo(BigDecimal.ZERO) == 0) {
 // qty=0 means remove this level
 lastOrderBookEntries.remove(price);
 } else {
 lastOrderBookEntries.put(price, qty);
 }
 }
 }

 public NavigableMap<BigDecimal, BigDecimal> getAsks() {
 return depthCache.get(ASKS);
 }

 public NavigableMap<BigDecimal, BigDecimal> getBids() {
 return depthCache.get(BIDS);
 }

 /**
 * @return the best ask in the order book
 */
 private Map.Entry<BigDecimal, BigDecimal> getBestAsk() {
 return getAsks().lastEntry();
 }

 /**
 * @return the best bid in the order book
 */
 private Map.Entry<BigDecimal, BigDecimal> getBestBid() {
 return getBids().firstEntry();
 }

 /**
 * @return a depth cache, containing two keys (ASKs and BIDs), and for each, an ordered list of book entries.
 */
 public Map<String, NavigableMap<BigDecimal, BigDecimal>> getDepthCache() {
 return depthCache;
 }

 /**
 * Prints the cached order book / depth of a symbol as well as the best ask and bid price in the book.
 */
 private void printDepthCache() {
 System.out.println(depthCache);
 System.out.println("ASKS:");
 getAsks().entrySet().forEach(entry -> System.out.println(toDepthCacheEntryString(entry)));
 System.out.println("BIDS:");
 getBids().entrySet().forEach(entry -> System.out.println(toDepthCacheEntryString(entry)));
 System.out.println("BEST ASK: " + toDepthCacheEntryString(getBestAsk()));
 System.out.println("BEST BID: " + toDepthCacheEntryString(getBestBid()));
 }

 /**
 * Pretty prints an order book entry in the format "price / quantity".
 */
 private static String toDepthCacheEntryString(Map.Entry<BigDecimal, BigDecimal> depthCacheEntry) {
 return depthCacheEntry.getKey().toPlainString() + " / " + depthCacheEntry.getValue();
 }

 public static void main(String[] args) {
 new DepthCacheExample("ETHBTC");
 }
}