fix: subscription on trade channel in different Binance (#32)

QuantConnect.BinanceBrokerage/BinanceBrokerage.Messaging.cs

@@ -115,6 +115,7 @@ private void OnDataMessage(WebSocketMessage webSocketMessage)
                     switch (eventType)
                     {
                         case "trade":
+                        case "aggTrade":
                             var trade = objData.ToObject<Trade>();
                             // futures feed send upper and lower case T confusing json
                             trade.Time = objData["T"].ToObject<long>();

QuantConnect.BinanceBrokerage/BinanceBrokerage.cs

@@ -37,6 +37,7 @@
 using QuantConnect.Brokerages;
 using RestSharp;
 using Timer = System.Timers.Timer;
+using QuantConnect.BinanceBrokerage.Constants;
 
 namespace QuantConnect.BinanceBrokerage
 {
@@ -68,6 +69,19 @@ public partial class BinanceBrokerage : BaseWebsocketsBrokerage, IDataQueueHandl
         protected BinanceBaseRestApiClient ApiClient => _apiClientLazy?.Value;
         protected string MarketName { get; set; }
 
+        /// <summary>
+        /// Gets or sets the trade channel used for streaming trade information.
+        /// </summary>
+        /// <remarks>
+        /// The <see cref="TradeChannelName"/> property represents the specific trade channel utilized for streaming trade data.
+        /// It is initialized with the constant value <see cref="TradeChannels.SpotTradeChannelName"/>, indicating the use of
+        /// Spot Trade Streams by default.
+        /// </remarks>
+        /// <value>
+        /// The default value is the channel name for Spot Trade Streams: <c>trade</c>.
+        /// </value>
+        protected virtual string TradeChannelName { get; } = TradeChannels.SpotTradeChannelName;
+
         /// <summary>
         /// Parameterless constructor for brokerage
         /// </summary>
@@ -595,7 +609,7 @@ private bool Subscribe(IWebSocket webSocket, Symbol symbol)
                     method = "SUBSCRIBE",
                     @params = new[]
                     {
-                        $"{brokerageSymbol.ToLowerInvariant()}@trade",
+                        $"{brokerageSymbol.ToLowerInvariant()}@{TradeChannelName}",
                         $"{brokerageSymbol.ToLowerInvariant()}@bookTicker"
                     },
                     id = GetNextRequestId()
@@ -619,7 +633,7 @@ private bool Unsubscribe(IWebSocket webSocket, Symbol symbol)
                     method = "UNSUBSCRIBE",
                     @params = new[]
                     {
-                        $"{brokerageSymbol.ToLowerInvariant()}@trade",
+                        $"{brokerageSymbol.ToLowerInvariant()}@{TradeChannelName}",
                         $"{brokerageSymbol.ToLowerInvariant()}@bookTicker"
                     },
                     id = GetNextRequestId()

QuantConnect.BinanceBrokerage/BinanceCoinFuturesBrokerage.cs

@@ -20,6 +20,7 @@
 using QuantConnect.Brokerages;
 using QuantConnect.Interfaces;
 using QuantConnect.Configuration;
+using QuantConnect.BinanceBrokerage.Constants;
 
 namespace QuantConnect.BinanceBrokerage
 {
@@ -29,6 +30,19 @@ namespace QuantConnect.BinanceBrokerage
     [BrokerageFactory(typeof(BinanceCoinFuturesBrokerageFactory))]
     public class BinanceCoinFuturesBrokerage : BinanceBrokerage
     {
+        /// <summary>
+        /// Gets the trade channel name used for streaming trade information in the overridden context.
+        /// </summary>
+        /// <remarks>
+        /// The <see cref="TradeChannelName"/> property represents the specific trade channel name utilized for streaming
+        /// trade data in the overridden context. In this specific implementation, it returns the constant value
+        /// <see cref="TradeChannels.FutureTradeChannelName"/>, indicating the use of Future Trade Streams.
+        /// </remarks>
+        /// <value>
+        /// The value is the channel name for Future Trade Streams: <c>aggTrade</c>.
+        /// </value>
+        protected override string TradeChannelName => TradeChannels.FutureTradeChannelName;
+
         public BinanceCoinFuturesBrokerage() : base(Market.Binance)
         {
         }

QuantConnect.BinanceBrokerage/BinanceFuturesBrokerage.cs

@@ -20,6 +20,7 @@
 using QuantConnect.Brokerages;
 using QuantConnect.Interfaces;
 using QuantConnect.Configuration;
+using QuantConnect.BinanceBrokerage.Constants;
 
 namespace QuantConnect.BinanceBrokerage
 {
@@ -29,6 +30,19 @@ namespace QuantConnect.BinanceBrokerage
     [BrokerageFactory(typeof(BinanceFuturesBrokerageFactory))]
     public class BinanceFuturesBrokerage : BinanceBrokerage
     {
+        /// <summary>
+        /// Gets the trade channel name used for streaming trade information in the overridden context.
+        /// </summary>
+        /// <remarks>
+        /// The <see cref="TradeChannelName"/> property represents the specific trade channel name utilized for streaming
+        /// trade data in the overridden context. In this specific implementation, it returns the constant value
+        /// <see cref="TradeChannels.FutureTradeChannelName"/>, indicating the use of Future Trade Streams.
+        /// </remarks>
+        /// <value>
+        /// The value is the channel name for Future Trade Streams: <c>aggTrade</c>.
+        /// </value>
+        protected override string TradeChannelName => TradeChannels.FutureTradeChannelName;
+
         public BinanceFuturesBrokerage() : base(Market.Binance)
         {
         }

QuantConnect.BinanceBrokerage/Constants/TradeChannels.cs

@@ -0,0 +1,43 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+namespace QuantConnect.BinanceBrokerage.Constants
+{
+    /// <summary>
+    /// The <see cref="TradeChannels"/> class contains constant values representing trade channels in different markets.
+    /// </summary>
+    public sealed class TradeChannels
+    {
+        /// <summary>
+        /// The channel name for Spot Trade Streams. Spot Trade Streams push raw trade information, where each trade
+        /// involves a unique buyer and seller.
+        /// </summary>
+        /// <remarks>
+        /// Stream Name Format: <c>{symbol}@trade</c>
+        /// Update Speed: Real-time
+        /// </remarks>
+        public const string SpotTradeChannelName = "trade";
+
+        /// <summary>
+        /// The channel name for Aggregate Trade Streams. Aggregate Trade Streams push market trade information that is
+        /// aggregated for fills with the same price, updating every 100 milliseconds.
+        /// </summary>
+        /// <remarks>
+        /// Stream Name Format: <c>{symbol}@aggTrade</c>
+        /// Update Speed: 100ms
+        /// </remarks>
+        public const string FutureTradeChannelName = "aggTrade";
+    }
+}