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Fix: RecWindow rate limit (#44)
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* feat: use response.Content in PlaceOrder OrderStatus.Invalid
refactor: use UnixTimeStampMilliseconds explicitly

* refactor: create ExecuteRestRequestWithSignature

* refactor: remove direct modification of original variable in IRestRequest

* remove: extra semicolon
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@Romazes
Romazes authored Jan 31, 2025
1 parent 007e930 commit 63cf799
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Showing 2 changed files with 64 additions and 47 deletions.
104 changes: 62 additions & 42 deletions QuantConnect.BinanceBrokerage/BinanceBaseRestApiClient.cs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -151,12 +151,9 @@ public virtual BalanceEntry[] GetCashBalance()
/// <returns></returns>
protected BalanceEntry[] GetCashBalance(string apiPrefix)
{
var queryString = $"timestamp={GetNonce()}";
var endpoint = $"{apiPrefix}/account?{queryString}&signature={AuthenticationToken(queryString)}";
var request = new RestRequest(endpoint, Method.GET);
request.AddHeader(KeyHeader, ApiKey);
var request = new RestRequest($"{apiPrefix}/account", Method.GET);

var response = ExecuteRestRequest(request);
var response = ExecuteRestRequestWithSignature(request);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"BinanceBrokerage.GetCashBalance: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
Expand All @@ -182,12 +179,9 @@ protected BalanceEntry[] GetCashBalance(string apiPrefix)
/// <returns></returns>
public IEnumerable<Messages.OpenOrder> GetOpenOrders()
{
var queryString = $"timestamp={GetNonce()}";
var endpoint = $"{ApiPrefix}/openOrders?{queryString}&signature={AuthenticationToken(queryString)}";
var request = new RestRequest(endpoint, Method.GET);
request.AddHeader(KeyHeader, ApiKey);
var request = new RestRequest($"{ApiPrefix}/openOrders", Method.GET);

var response = ExecuteRestRequest(request);
var response = ExecuteRestRequestWithSignature(request);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"BinanceBrokerage.GetCashBalance: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
Expand All @@ -205,17 +199,9 @@ public bool PlaceOrder(Order order)
{
var body = CreateOrderBody(order);

body["timestamp"] = GetNonce();
body["signature"] = AuthenticationToken(body.ToQueryString());
var request = new RestRequest($"{ApiPrefix}/order", Method.POST);
request.AddHeader(KeyHeader, ApiKey);
request.AddParameter(
"application/x-www-form-urlencoded",
Encoding.UTF8.GetBytes(body.ToQueryString()),
ParameterType.RequestBody
);

var response = ExecuteRestRequest(request);
var response = ExecuteRestRequestWithSignature(request, body);
if (response.StatusCode == HttpStatusCode.OK)
{
var raw = JsonConvert.DeserializeObject<Messages.NewOrder>(response.Content);
Expand Down Expand Up @@ -243,7 +229,7 @@ public bool PlaceOrder(Order order)
order,
DateTime.UtcNow,
OrderFee.Zero,
"Binance Order Event")
response.Content)
{ Status = OrderStatus.Invalid });
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, -1, message));

Expand Down Expand Up @@ -329,23 +315,10 @@ public bool CancelOrder(Order order)
};
foreach (var id in order.BrokerId)
{
if (body.ContainsKey("signature"))
{
body.Remove("signature");
}
body["orderId"] = id;
body["timestamp"] = GetNonce();
body["signature"] = AuthenticationToken(body.ToQueryString());

var request = new RestRequest($"{ApiPrefix}/order", Method.DELETE);
request.AddHeader(KeyHeader, ApiKey);
request.AddParameter(
"application/x-www-form-urlencoded",
Encoding.UTF8.GetBytes(body.ToQueryString()),
ParameterType.RequestBody
);

var response = ExecuteRestRequest(request);
var response = ExecuteRestRequestWithSignature(request, body);
success.Add(response.StatusCode == HttpStatusCode.OK);
}

Expand Down Expand Up @@ -436,8 +409,8 @@ public PriceChangeStatistics[] GetTickerPriceChangeStatistics()
{
throw new Exception($"BinanceBrokerage.GetCashBalance: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
}
return JsonConvert.DeserializeObject<PriceChangeStatistics[]>(response.Content);

return JsonConvert.DeserializeObject<PriceChangeStatistics[]>(response.Content);
}

/// <summary>
Expand Down Expand Up @@ -480,7 +453,7 @@ public void StopSession()
if (ExecuteRestRequest(request).StatusCode == HttpStatusCode.OK)
{
SessionId = null;
};
}
}
}

Expand Down Expand Up @@ -536,12 +509,35 @@ protected virtual string GetBaseDataEndpoint()
}

/// <summary>
/// If an IP address exceeds a certain number of requests per minute
/// HTTP 429 return code is used when breaking a request rate limit.
/// Executes a REST request with a signature if required, handling rate limits and retries on HTTP 429 responses.
/// </summary>
/// <param name="request"></param>
/// <returns></returns>
/// <param name="request">The REST request to execute.</param>
/// <param name="body">Optional request body parameters.</param>
/// <returns>The response from the REST API.</returns>
protected IRestResponse ExecuteRestRequestWithSignature(IRestRequest request, IDictionary<string, object> body = default)
{
return ExecuteRestRequestInternal(request, body, true);
}

/// <summary>
/// Executes a REST request while handling rate limits and retries on HTTP 429 responses.
/// </summary>
/// <param name="request">The REST request to execute.</param>
/// <returns>The response from the REST API.</returns>
protected IRestResponse ExecuteRestRequest(IRestRequest request)
{
return ExecuteRestRequestInternal(request, null, false);
}

/// <summary>
/// Executes a REST request internally with optional signature authentication.
/// Handles rate limiting and retries failed requests due to HTTP 429 responses.
/// </summary>
/// <param name="request">The REST request to execute.</param>
/// <param name="body">Optional request body parameters.</param>
/// <param name="useSignature">Indicates whether to include a signature in the request.</param>
/// <returns>The response from the REST API.</returns>
private IRestResponse ExecuteRestRequestInternal(IRestRequest request, IDictionary<string, object> body, bool useSignature)
{
const int maxAttempts = 10;
var attempts = 0;
Expand All @@ -557,6 +553,30 @@ protected IRestResponse ExecuteRestRequest(IRestRequest request)
_restRateLimiter.WaitToProceed();
}

if (useSignature)
{
request.AddOrUpdateHeader(KeyHeader, ApiKey);

if (body != null)
{
// Remove the old 'signature' before generating a new authenticated token
body.Remove("signature");

body["timestamp"] = GetNonce();
body["signature"] = AuthenticationToken(body.ToQueryString());

request.AddOrUpdateParameter("application/x-www-form-urlencoded", Encoding.UTF8.GetBytes(body.ToQueryString()), ParameterType.RequestBody);
}
else
{
var nonce = GetNonce();
var queryString = $"timestamp={nonce}";

request.AddOrUpdateParameter("timestamp", nonce.ToStringInvariant(), ParameterType.QueryString);
request.AddOrUpdateParameter("signature", AuthenticationToken(queryString), ParameterType.QueryString);
}
}

response = _restClient.Execute(request);
// 429 status code: Too Many Requests
} while (++attempts < maxAttempts && (int)response.StatusCode == 429);
Expand Down Expand Up @@ -588,7 +608,7 @@ private decimal GetTickerPrice(Order order)
/// <returns></returns>
protected long GetNonce()
{
return (long)(Time.TimeStamp() * 1000);
return (long)Time.DateTimeToUnixTimeStampMilliseconds(DateTime.UtcNow);
}

/// <summary>
Expand Down
7 changes: 2 additions & 5 deletions QuantConnect.BinanceBrokerage/BinanceFuturesRestApiClient.cs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -100,12 +100,9 @@ public override BalanceEntry[] GetCashBalance()
/// </returns>
protected List<Holding> GetAccountHoldings(string apiPrefix)
{
var queryString = $"timestamp={GetNonce()}";
var endpoint = $"{apiPrefix}/account?{queryString}&signature={AuthenticationToken(queryString)}";
var request = new RestRequest(endpoint, Method.GET);
request.AddHeader(KeyHeader, ApiKey);
var request = new RestRequest($"{apiPrefix}/account", Method.GET);

var response = ExecuteRestRequest(request);
var response = ExecuteRestRequestWithSignature(request);
if (response.StatusCode != HttpStatusCode.OK)
{
throw new Exception($"BinanceBrokerage.GetCashBalance: request failed: [{(int)response.StatusCode}] {response.StatusDescription}, Content: {response.Content}, ErrorMessage: {response.ErrorMessage}");
Expand Down

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