Add support for web sockets in binance, outline for binanceExchange_ws.go + GetTickerPrice() (#717) (part of #715)

* feat/add ttlMap + binanceExchangeWs + binanceExchangeWs.GetTickerPrice

* patch/ remove ttlmap + log in ms + add now variable

* bugfix/ deps

* patch/resolve comments

* patch/ revert version go-jwt-middleware

* patch/ refactor Set/Get/Del

* patch/ transform waitForFirstEvent to timeToWaitForFirstEvent + fix glide.lock

* patch/ update glide.yaml

* patch/ fix version for go-binance glide.yaml

* patch/ forgot defer

Author: tibrn

glide.lock

@@ -66,4 +66,8 @@ import:
 - package: github.com/denisbrodbeck/machineid
   version: v1.0.1
 - package: github.com/google/uuid
-  version: v1.1.2
+  version: v1.1.2
+- package: github.com/adshao/go-binance
+  version: v2.3.0
+  subpackages:
+  - v2

glide.yaml

@@ -0,0 +1,299 @@
+package plugins
+
+import (
+	"fmt"
+	"log"
+	"strconv"
+	"strings"
+	"sync"
+	"time"
+
+	"github.com/adshao/go-binance/v2"
+	"github.com/stellar/kelp/api"
+	"github.com/stellar/kelp/model"
+)
+
+const (
+	STREAM_TICKER_FMT = "%s@ticker"
+	TTLTIME           = time.Second * 3 // ttl time in seconds
+)
+
+var (
+	timeToWaitForFirstEvent = time.Second
+)
+
+var (
+	ErrConversionWsMarketEvent = errConversion{from: "interface", to: "*binance.WsMarketStatEvent"}
+)
+
+type errMissingSymbol struct {
+	symbol string
+}
+
+func (err errMissingSymbol) Error() string {
+	return fmt.Sprintf("Symbol %s is missing from exchange intizialization", err.symbol)
+}
+
+type errConversion struct {
+	from string
+	to   string
+}
+
+func (err errConversion) Error() string {
+	return fmt.Sprintf("Error conversion from %s to %s", err.from, err.to)
+}
+
+type stream struct {
+	doneC   chan struct{}
+	stopC   chan struct{}
+	cleanup func()
+}
+
+//Wait until the stream ends
+func (s stream) Wait() {
+
+	if s.doneC == nil {
+		return
+	}
+
+	<-s.doneC
+}
+
+//Close the stream and cleanup any data
+func (s stream) Close() {
+	if s.stopC == nil {
+		return
+	}
+	s.stopC <- struct{}{}
+	s.stopC = nil
+
+	if s.cleanup != nil {
+		s.cleanup()
+	}
+}
+
+//mapData... struct used to data from events and timestamp when they are cached
+type mapData struct {
+	data      interface{}
+	createdAt time.Time
+}
+
+//isStatle... check if data it's stale
+func isStale(data mapData, ttl time.Duration) bool {
+
+	return time.Now().Sub(data.createdAt).Seconds() > ttl.Seconds()
+}
+
+//struct used to cache events
+type mapEvents struct {
+	data map[string]mapData
+	mtx  *sync.RWMutex
+}
+
+//Set ... set value
+func (m *mapEvents) Set(key string, data interface{}) {
+
+	now := time.Now()
+
+	m.mtx.Lock()
+	defer m.mtx.Unlock()
+
+	m.data[key] = mapData{
+		data:      data,
+		createdAt: now,
+	}
+
+}
+
+//Get ... get value
+func (m *mapEvents) Get(key string) (mapData, bool) {
+	m.mtx.RLock()
+	defer m.mtx.RUnlock()
+
+	data, isData := m.data[key]
+
+	return data, isData
+}
+
+//Del ... delete cached value
+func (m *mapEvents) Del(key string) {
+	m.mtx.Lock()
+	defer m.mtx.Unlock()
+
+	delete(m.data, key)
+
+}
+
+// create new map for cache
+func makeMapEvents() *mapEvents {
+	return &mapEvents{
+		data: make(map[string]mapData),
+		mtx:  &sync.RWMutex{},
+	}
+}
+
+//struct used to keep all cached data
+type events struct {
+	SymbolStats *mapEvents
+}
+
+func createStateEvents() *events {
+	events := &events{
+		SymbolStats: makeMapEvents(),
+	}
+
+	return events
+}
+
+// subscribe for symbol@ticker
+func subcribeTicker(symbol string, state *mapEvents) (*stream, error) {
+
+	wsMarketStatHandler := func(ticker *binance.WsMarketStatEvent) {
+		state.Set(symbol, ticker)
+	}
+
+	errHandler := func(err error) {
+		log.Printf("Error WsMarketsStat for symbol %s: %v\n", symbol, err)
+	}
+
+	doneC, stopC, err := binance.WsMarketStatServe(symbol, wsMarketStatHandler, errHandler)
+
+	if err != nil {
+		return nil, err
+	}
+
+	return &stream{doneC: doneC, stopC: stopC, cleanup: func() {
+		state.Del(symbol)
+	}}, err
+
+}
+
+type binanceExchangeWs struct {
+	events *events
+
+	streams    map[string]*stream
+	streamLock *sync.Mutex
+
+	assetConverter model.AssetConverterInterface
+	delimiter      string
+}
+
+// makeBinanceWs is a factory method to make an binance exchange over ws
+func makeBinanceWs() (*binanceExchangeWs, error) {
+
+	binance.WebsocketKeepalive = true
+
+	events := createStateEvents()
+
+	beWs := &binanceExchangeWs{
+		events:         events,
+		delimiter:      "",
+		assetConverter: model.CcxtAssetConverter,
+		streamLock:     &sync.Mutex{},
+		streams:        make(map[string]*stream),
+	}
+
+	return beWs, nil
+}
+
+//getPrceision... get precision for float string
+func getPrecision(floatStr string) int8 {
+
+	strs := strings.Split(floatStr, ".")
+
+	if len(strs) != 2 {
+		log.Printf("could not get precision for float %s\n", floatStr)
+		return 0
+	}
+
+	return int8(len(strs[1]))
+}
+
+// GetTickerPrice impl.
+func (beWs *binanceExchangeWs) GetTickerPrice(pairs []model.TradingPair) (map[model.TradingPair]api.Ticker, error) {
+
+	priceResult := map[model.TradingPair]api.Ticker{}
+	for _, p := range pairs {
+
+		symbol, err := p.ToString(beWs.assetConverter, beWs.delimiter)
+
+		if err != nil {
+			return nil, err
+		}
+
+		tickerData, isTicker := beWs.events.SymbolStats.Get(symbol)
+
+		if !isTicker {
+			stream, err := subcribeTicker(symbol, beWs.events.SymbolStats)
+
+			if err != nil {
+				return nil, fmt.Errorf("error when subscribing for %s: %s", symbol, err)
+			}
+
+			//Store stream
+			beWs.streamLock.Lock()
+			beWs.streams[fmt.Sprintf(STREAM_TICKER_FMT, symbol)] = stream
+			beWs.streamLock.Unlock()
+
+			//Wait for binance to send events
+			time.Sleep(timeToWaitForFirstEvent)
+
+			tickerData, isTicker = beWs.events.SymbolStats.Get(symbol)
+
+			//We couldn't subscribe for this pair
+			if !isTicker {
+				return nil, fmt.Errorf("error while fetching ticker price for trading pair %s", symbol)
+			}
+
+		}
+
+		//Show how old is the ticker
+		log.Printf("Ticker for %s is %d milliseconds old!\n", symbol, time.Now().Sub(tickerData.createdAt).Milliseconds())
+
+		if isStale(tickerData, TTLTIME) {
+			return nil, fmt.Errorf("ticker for %s symbols is older than %v", symbol, TTLTIME)
+		}
+
+		tickerI := tickerData.data
+
+		//Convert to WsMarketStatEvent
+		ticker, isOk := tickerI.(*binance.WsMarketStatEvent)
+
+		if !isOk {
+			return nil, ErrConversionWsMarketEvent
+		}
+
+		askPrice, e := strconv.ParseFloat(ticker.AskPrice, 64)
+		if e != nil {
+			return nil, fmt.Errorf("unable to correctly parse 'ask': %s", e)
+		}
+		bidPrice, e := strconv.ParseFloat(ticker.BidPrice, 64)
+		if e != nil {
+			return nil, fmt.Errorf("unable to correctly parse 'bid': %s", e)
+		}
+		lastPrice, e := strconv.ParseFloat(ticker.LastPrice, 64)
+		if e != nil {
+			return nil, fmt.Errorf("unable to correctly parse 'last': %s", e)
+		}
+
+		priceResult[p] = api.Ticker{
+			AskPrice:  model.NumberFromFloat(askPrice, getPrecision(ticker.AskPrice)),
+			BidPrice:  model.NumberFromFloat(bidPrice, getPrecision(ticker.BidPrice)),
+			LastPrice: model.NumberFromFloat(lastPrice, getPrecision(ticker.LastPrice)),
+		}
+	}
+
+	return priceResult, nil
+}
+
+//Unsubscribe ... unsubscribe from binance streams
+func (beWs *binanceExchangeWs) Unsubscribe(stream string) {
+
+	beWs.streamLock.Lock()
+
+	if stream, isStream := beWs.streams[stream]; isStream {
+		stream.Close()
+	}
+
+	beWs.streamLock.Unlock()
+}