Table of Contents generated with DocToc

• ccapi
  • Branches
  • Build
    • C++
    • Python
  • Constants
  • Examples
  • Documentations
    • Simple Market Data
    • Advanced Market Data
      • Complex request parameters
      • Specify subscription market depth
      • Specify correlation id
      • Multiple exchanges and/or instruments
      • Receive subscription events at periodic intervals
      • Receive subscription events at periodic intervals including when the market depth snapshot hasn't changed
      • Receive subscription market depth updates
      • Receive subscription trade events
      • Receive subscription OHLC events at periodic intervals
      • Send generic public requests
      • Make generic public subscriptions
      • Send generic private requests
    • Simple Execution Management
    • Advanced Execution Management
      • Specify correlation id
      • Multiple exchanges and/or instruments
      • Multiple subscription fields
      • Make Session::sendRequest blocking
      • Provide API credentials for an exchange
      • Override exchange urls
      • Complex request parameters
      • Send request by Websocket API
    • FIX API
    • More Advanced Topics
      • Handle events in "immediate" vs. "batching" mode
      • Thread safety
      • Enable library logging
      • Set timer
      • Custom service class
  • Performance Tuning
  • Applications
    • Spot Market Making
    • Single Order Execution
  • Known Issues and Workarounds
  • Contributing

ccapi

• A header-only C++ library for streaming market data and executing trades directly from cryptocurrency exchanges (i.e. the connections are between your server and the exchange server without anything in-between).
• Bindings for other languages such as Python are provided.
• Code closely follows Bloomberg's API: https://www.bloomberg.com/professional/support/api-library/.
• It is ultra fast thanks to very careful optimizations: move semantics, regex optimization, locality of reference, lock contention minimization, etc.
• Supported exchanges:
  • Market data: coinbase, gemini, kraken, kraken-futures, bitstamp, bitfinex, bitmex, binance-us, binance, binance-usds-futures, binance-coin-futures, huobi, huobi-usdt-swap, huobi-coin-swap, okex, erisx, kucoin, kucoin-futures, ftx, ftx-us, deribit, gateio, gateio-perpetual-futures, cryptocom, ascendex.
  • Execution Management: coinbase, gemini, kraken, kraken-futures, bitstamp, bitfinex, bitmex, binance-us, binance, binance-usds-futures, binance-coin-futures, huobi, huobi-usdt-swap, huobi-coin-swap, okex, erisx, kucoin, ftx, ftx-us, deribit, gateio, gateio-perpetual-futures, cryptocom, ascendex.
  • FIX: coinbase, gemini, ftx, ftx-us.
• A spot market making application is provided as an end-to-end solution for liquidity providers.
• A single order execution application is provided as an end-to-end solution for executing large orders.
• To spur innovation and industry collaboration, this library is open for use by the public without cost.
• For historical market data, see https://github.com/crypto-chassis/cryptochassis-api-docs.
• We specialize in market data collection, high speed trading system, infrastructure optimization, and proprietary market making. Hire us as engineers, liquidity providers, traders, or asset managers.
• Join us on Discord https://discord.gg/b5EKcp9s8T and Medium https://cryptochassis.medium.com.

Branches

• The develop branch may contain experimental features.
• The master branch represents the most recent stable release.

Build

C++

• This library is header-only.
• Example CMake: example/CMakeLists.txt.
• Require C++14 and OpenSSL.
• Macros in the compiler command line:
  • Define service enablement macro such as CCAPI_ENABLE_SERVICE_MARKET_DATA, CCAPI_ENABLE_SERVICE_EXECUTION_MANAGEMENT, CCAPI_ENABLE_SERVICE_FIX, etc. and exchange enablement macros such as CCAPI_ENABLE_EXCHANGE_COINBASE, etc. These macros can be found at the top of include/ccapi_cpp/ccapi_session.h.
• Include directories:
  • include.
  • dependency/websocketpp.
  • dependency/boost.
  • dependency/rapidjson/include.
  • If you need FIX API, also include dependency/hffix/include.
• Link libraries:
  • OpenSSL: libssl.
  • OpenSSL: libcrypto.
  • If you need market data for huobi/huobi-usdt-swap/huobi-coin-swap/okex or execution management for huobi-usdt-swap/huobi-coin-swap, also link ZLIB.
  • On Windows, also link ws2_32.
• Compiler flags:
  • -pthread for GCC and MinGW.
• Tested platforms:
  • macOS: Clang.
  • Linux: GCC.
  • Windows: MinGW.
• Troubleshoot:
  • Try to remove all build artifacts and start from scratch (e.g. for cmake remove all the contents inside your build directory).
  • "Could NOT find OpenSSL, try to set the path to OpenSSL root folder in the system variable OPENSSL_ROOT_DIR (missing: OPENSSL_INCLUDE_DIR)". Try cmake -DOPENSSL_ROOT_DIR=.... On macOS, you might be missing headers for OpenSSL, brew install openssl and cmake -DOPENSSL_ROOT_DIR=/usr/local/opt/openssl. On Ubuntu, sudo apt-get install libssl-dev. On Windows, vcpkg install openssl:x64-windows and cmake -DOPENSSL_ROOT_DIR=C:/vcpkg/installed/x64-windows-static.
  • "Fatal error: can't write <a> bytes to section .text of <b>: 'File too big'". Try to add compiler flag -Wa,-mbig-obj. See assimp/assimp#2067.
  • "string table overflow at offset <a>". Try to add optimization flag -O1 or -O2. See https://stackoverflow.com/questions/14125007/gcc-string-table-overflow-error-during-compilation.
  • On Windows, if you still encounter resource related issues, try to add optimization flag -O3 -DNDEBUG.

Python

• Require Python 3, SWIG, and CMake.
  • SWIG: On macOS, brew install SWIG. On Linux, sudo apt-get install -y swig. On Windows, http://www.swig.org/Doc4.0/Windows.html#Windows.
  • CMake: https://cmake.org/download/.
• Copy file binding/user_specified_cmake_include.cmake.example to any location and rename to user_specified_cmake_include.cmake. Take note of its full path <path-to-user_specified_cmake_include>. Uncomment the lines corresponding to the desired service enablement compile definitions such as CCAPI_ENABLE_SERVICE_MARKET_DATA, CCAPI_ENABLE_SERVICE_EXECUTION_MANAGEMENT, CCAPI_ENABLE_SERVICE_FIX, etc. and exchange enablement macros such as CCAPI_ENABLE_EXCHANGE_COINBASE, etc. If you need market data for huobi/huobi-usdt-swap/huobi-coin-swap/okex or execution management for huobi-usdt-swap/huobi-coin-swap, also uncomment the lines corresponding to finding and linking ZLIB.
• Run the following commands.

mkdir binding/build
cd binding/build
rm -rf * (if rebuild from scratch)
cmake -DCMAKE_PROJECT_INCLUDE=<path-to-user_specified_cmake_include> -DBUILD_VERSION=<any-string-you-like> -DBUILD_PYTHON=ON -DINSTALL_PYTHON=ON ..
cmake --build .
cmake --install .

• If a virtual environment (managed by venv or conda) is active (i.e. the activate script has been evaluated), the package will be installed into the virtual environment rather than globally.
• Currently not working on Windows.
• Troubleshoot:
  • "CMake Error at python/CMakeLists.txt:... (message): Require Python 3". Try to create and activate a virtual environment (managed by venv or conda) with Python 3.
  • "Could NOT find OpenSSL, try to set the path to OpenSSL root folder in the system variable OPENSSL_ROOT_DIR (missing: OPENSSL_INCLUDE_DIR)". Try cmake -DOPENSSL_ROOT_DIR=.... On macOS, you might be missing headers for OpenSSL, brew install openssl and cmake -DOPENSSL_ROOT_DIR=/usr/local/opt/openssl. On Ubuntu, sudo apt-get install libssl-dev. On Windows, vcpkg install openssl:x64-windows and cmake -DOPENSSL_ROOT_DIR=C:/vcpkg/installed/x64-windows-static.
  • "Fatal Python error: Segmentation fault". If the macOS version is relatively new and the Python version is relatively old, please upgrade Python to a relatively new version.
  • "‘_PyObject_GC_UNTRACK’ was not declared in this scope". If you use Python >= 3.8, please use SWIG >= 4.0.

Constants

include/ccapi_cpp/ccapi_macro.h

Examples

C++ / Python

Python API is nearly identical to C++ API and covers nearly all the functionalities from C++ API.

Documentations

Simple Market Data

Objective 1:

For a specific exchange and instrument, get recents trades.

Code 1:

C++ / Python

#include "ccapi_cpp/ccapi_session.h"
namespace ccapi {
Logger* Logger::logger = nullptr;  // This line is needed.
class MyEventHandler : public EventHandler {
 public:
  bool processEvent(const Event& event, Session* session) override {
    std::cout << "Received an event:\n" + event.toStringPretty(2, 2) << std::endl;
    return true;
  }
};
} /* namespace ccapi */
using ::ccapi::MyEventHandler;
using ::ccapi::Request;
using ::ccapi::Session;
using ::ccapi::SessionConfigs;
using ::ccapi::SessionOptions;
using ::ccapi::toString;
int main(int argc, char** argv) {
  SessionOptions sessionOptions;
  SessionConfigs sessionConfigs;
  MyEventHandler eventHandler;
  Session session(sessionOptions, sessionConfigs, &eventHandler);
  Request request(Request::Operation::GET_RECENT_TRADES, "coinbase", "BTC-USD");
  request.appendParam({
      {"LIMIT", "1"},
  });
  session.sendRequest(request);
  std::this_thread::sleep_for(std::chrono::seconds(10));
  session.stop();
  std::cout << "Bye" << std::endl;
  return EXIT_SUCCESS;
}

Output 1:

Received an event:
  Event [
    type = RESPONSE,
    messageList = [
      Message [
        type = GET_RECENT_TRADES,
        recapType = UNKNOWN,
        time = 2021-05-25T03:23:31.124000000Z,
        timeReceived = 2021-05-25T03:23:31.239734000Z,
        elementList = [
          Element [
            nameValueMap = {
              IS_BUYER_MAKER = 1,
              LAST_PRICE = 38270.71,
              LAST_SIZE = 0.001,
              TRADE_ID = 178766798
            }
          ]
        ],
        correlationIdList = [ 5PN2qmWqBlQ9wQj99nsQzldVI5ZuGXbE ]
      ]
    ]
  ]
Bye

• Request operation types: GET_INSTRUMENT, GET_INSTRUMENTS, GET_RECENT_TRADES, GET_RECENT_AGG_TRADES(only applicable to binance family: https://binance-docs.github.io/apidocs/spot/en/#compressed-aggregate-trades-list).
• Request parameter names: LIMIT, INSTRUMENT_TYPE. Instead of these convenient names you can also choose to use arbitrary parameter names and they will be passed to the exchange's native API. See this example.
• Message's time represents the exchange's reported timestamp. Its timeReceived represents the library's receiving timestamp. time can be retrieved by getTime method and timeReceived can be retrieved by getTimeReceived method. (For Python, please use getTimeUnix and getTimeReceivedUnix methods or getTimeISO and getTimeReceivedISO methods).

Objective 2:

For a specific exchange and instrument, whenever the best bid's or ask's price or size changes, print the market depth snapshot at that moment.

Code 2:

C++ / Python

#include "ccapi_cpp/ccapi_session.h"
namespace ccapi {
Logger* Logger::logger = nullptr;  // This line is needed.
class MyEventHandler : public EventHandler {
 public:
  bool processEvent(const Event& event, Session *session) override {
    if (event.getType() == Event::Type::SUBSCRIPTION_DATA) {
      for (const auto & message : event.getMessageList()) {
        std::cout << std::string("Best bid and ask at ") + UtilTime::getISOTimestamp(message.getTime()) + " are:"
                  << std::endl;
        for (const auto & element : message.getElementList()) {
          const std::map<std::string, std::string>& elementNameValueMap = element.getNameValueMap();
          std::cout << "  " + toString(elementNameValueMap) << std::endl;
        }
      }
    }
    return true;
  }
};
} /* namespace ccapi */
using ::ccapi::MyEventHandler;
using ::ccapi::Session;
using ::ccapi::SessionConfigs;
using ::ccapi::SessionOptions;
using ::ccapi::Subscription;
int main(int argc, char **argv) {
  SessionOptions sessionOptions;
  SessionConfigs sessionConfigs;
  MyEventHandler eventHandler;
  Session session(sessionOptions, sessionConfigs, &eventHandler);
  Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH");
  session.subscribe(subscription);
  std::this_thread::sleep_for(std::chrono::seconds(10));
  session.stop();
  std::cout << "Bye" << std::endl;
  return EXIT_SUCCESS;
}

Output 2:

Best bid and ask at 2020-07-27T23:56:51.884855000Z are:
  {BID_PRICE=10995, BID_SIZE=0.22187803}
  {ASK_PRICE=10995.44, ASK_SIZE=2}
Best bid and ask at 2020-07-27T23:56:51.935993000Z are:
  ...

• Subscription fields: MARKET_DEPTH, TRADE, AGG_TRADE(only applicable to binance family: https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams).

Advanced Market Data

Complex request parameters

Please follow the exchange's API documentations: e.g. https://docs.pro.coinbase.com/#pagination.

Request request(Request::Operation::GET_RECENT_TRADES, "coinbase", "BTC-USD");
request.appendParam({
  {"before", "1"},
  {"after", "3"},
  {"limit", "1"},
});

Specify subscription market depth

Instantiate Subscription with option MARKET_DEPTH_MAX set to be the desired market depth (e.g. you want to receive market depth snapshot whenever the top 10 bid's or ask's price or size changes).

Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "MARKET_DEPTH_MAX=10");

Specify correlation id

Instantiate Request with the desired correlationId.

Request request(Request::Operation::GET_RECENT_TRADES, "coinbase", "BTC-USD", "cool correlation id");

Instantiate Subscription with the desired correlationId.

Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "", "cool correlation id");

This is used to match a particular request or subscription with its returned data. Within each Message there is a correlationIdList to identify the request or subscription that requested the data.

Multiple exchanges and/or instruments

Send a std::vector<Request>.

Request request_1(Request::Operation::GET_RECENT_TRADES, "coinbase", "BTC-USD");
request_1.appendParam(...);
Request request_2(Request::Operation::GET_RECENT_TRADES, "coinbase", "ETH-USD");
request_2.appendParam(...);
session.sendRequest({request_1, request_2});

Subscribe a std::vector<Subscription>.

Subscription subscription_1("coinbase", "BTC-USD", "MARKET_DEPTH");
Subscription subscription_2("binance-us", "ethusd", "MARKET_DEPTH");
session.subscribe({subscription_1, subscription_2});

Receive subscription events at periodic intervals

Instantiate Subscription with option CONFLATE_INTERVAL_MILLISECONDS set to be the desired interval.

Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "CONFLATE_INTERVAL_MILLISECONDS=1000");

Receive subscription events at periodic intervals including when the market depth snapshot hasn't changed

Instantiate Subscription with option CONFLATE_INTERVAL_MILLISECONDS set to be the desired interval and CONFLATE_GRACE_PERIOD_MILLISECONDS to be the grace period for late events.

Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "CONFLATE_INTERVAL_MILLISECONDS=1000&CONFLATE_GRACE_PERIOD_MILLISECONDS=0");

Receive subscription market depth updates

Instantiate Subscription with option MARKET_DEPTH_RETURN_UPDATE set to 1. This will return the order book updates instead of snapshots.

Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "MARKET_DEPTH_RETURN_UPDATE=1&MARKET_DEPTH_MAX=2");

Receive subscription trade events

Instantiate Subscription with field TRADE.

Subscription subscription("coinbase", "BTC-USD", "TRADE");

Receive subscription OHLC events at periodic intervals

Instantiate Subscription with field TRADE and option CONFLATE_INTERVAL_MILLISECONDS set to be the desired interval and CONFLATE_GRACE_PERIOD_MILLISECONDS to be your network latency.

Subscription subscription("coinbase", "BTC-USD", "TRADE", "CONFLATE_INTERVAL_MILLISECONDS=5000&CONFLATE_GRACE_PERIOD_MILLISECONDS=0");

Send generic public requests

Instantiate Request with operation GENERIC_PUBLIC_REQUEST. Provide request parameters HTTP_METHOD, HTTP_PATH, and optionally HTTP_QUERY_STRING (query string parameter values should be url-encoded), HTTP_BODY.

Request request(Request::Operation::GENERIC_PUBLIC_REQUEST, "binance");
request.appendParam({
    {"HTTP_METHOD", "GET"},
    {"HTTP_PATH", "/api/v3/historicalTrades"},
    {"HTTP_QUERY_STRING", "symbol=BTCUSDT"},
});

Make generic public subscriptions

Instantiate Subscription with empty instrument, field GENERIC_PUBLIC_SUBSCRIPTION and options set to be the desired websocket payload.

Subscription subscription("coinbase", "", "GENERIC_PUBLIC_SUBSCRIPTION", R"({"type":"subscribe","channels":[{"name":"status"}]})");

Send generic private requests

Instantiate Request with operation GENERIC_PRIVATE_REQUEST. Provide request parameters HTTP_METHOD, HTTP_PATH, and optionally HTTP_QUERY_STRING (query string parameter values should be url-encoded), HTTP_BODY.

Request request(Request::Operation::GENERIC_PRIVATE_REQUEST, "coinbase");
request.appendParam({
    {"HTTP_METHOD", "GET"},
    {"HTTP_PATH", "/fills"},
    {"HTTP_QUERY_STRING", "product_id=BTC-USD"},
});

Simple Execution Management

Objective 1:

For a specific exchange and instrument, submit a simple limit order.

Code 1:

C++ / Python

#include "ccapi_cpp/ccapi_session.h"
namespace ccapi {
Logger* Logger::logger = nullptr;  // This line is needed.
class MyEventHandler : public EventHandler {
 public:
  bool processEvent(const Event& event, Session *session) override {
    std::cout << "Received an event: " + event.toStringPretty(2, 2) << std::endl;
    return true;
  }
};
} /* namespace ccapi */
using ::ccapi::MyEventHandler;
using ::ccapi::Request;
using ::ccapi::Session;
using ::ccapi::SessionConfigs;
using ::ccapi::SessionOptions;
using ::ccapi::toString;
using ::ccapi::UtilSystem;
int main(int argc, char** argv) {
  std::string key = UtilSystem::getEnvAsString("BINANCE_US_API_KEY");
  if (key.empty()) {
    std::cerr << "Please set environment variable BINANCE_US_API_KEY" << std::endl;
    return EXIT_FAILURE;
  }
  std::string secret = UtilSystem::getEnvAsString("BINANCE_US_API_SECRET");
  if (secret.empty()) {
    std::cerr << "Please set environment variable BINANCE_US_API_SECRET" << std::endl;
    return EXIT_FAILURE;
  }
  SessionOptions sessionOptions;
  SessionConfigs sessionConfigs;
  MyEventHandler eventHandler;
  Session session(sessionOptions, sessionConfigs, &eventHandler);
  Request request(Request::Operation::CREATE_ORDER, "binance-us", "BTCUSD");
  request.appendParam({
    {"SIDE", "BUY"},
    {"QUANTITY", "0.0005"},
    {"LIMIT_PRICE", "20000"}
  });
  session.sendRequest(request);
  std::this_thread::sleep_for(std::chrono::seconds(10));
  session.stop();
  std::cout << "Bye" << std::endl;
  return EXIT_SUCCESS;
}

Output 1:

Received an event:
  Event [
    type = RESPONSE,
    messageList = [
      Message [
        type = CREATE_ORDER,
        recapType = UNKNOWN,
        time = 1970-01-01T00:00:00.000000000Z,
        timeReceived = 2021-05-25T03:47:15.599562000Z,
        elementList = [
          Element [
            nameValueMap = {
              CLIENT_ORDER_ID = wBgmzOJbbMTCLJlwTrIeiH,
              CUMULATIVE_FILLED_PRICE_TIMES_QUANTITY = 0.0000,
              CUMULATIVE_FILLED_QUANTITY = 0.00000000,
              INSTRUMENT = BTCUSD,
              LIMIT_PRICE = 20000.0000,
              ORDER_ID = 383781246,
              QUANTITY = 0.00100000,
              SIDE = BUY,
              STATUS = NEW
            }
          ]
        ],
        correlationIdList = [ 5PN2qmWqBlQ9wQj99nsQzldVI5ZuGXbE ]
      ]
    ]
  ]
Bye

• Request operation types: CREATE_ORDER, CANCEL_ORDER, GET_ORDER, GET_OPEN_ORDERS, CANCEL_OPEN_ORDERS, GET_ACCOUNTS, GET_ACCOUNT_BALANCES, GET_ACCOUNT_POSITIONS.
• Request parameter names: SIDE, QUANTITY, LIMIT_PRICE, ACCOUNT_ID, ACCOUNT_TYPE, ORDER_ID, CLIENT_ORDER_ID, PARTY_ID, ORDER_TYPE, LEVERAGE. Instead of these convenient names you can also choose to use arbitrary parameter names and they will be passed to the exchange's native API. See this example.

Objective 2:

For a specific exchange and instrument, receive order updates.

Code 2:

C++ / Python

#include "ccapi_cpp/ccapi_session.h"
namespace ccapi {
Logger* Logger::logger = nullptr;  // This line is needed.
class MyEventHandler : public EventHandler {
 public:
  bool processEvent(const Event& event, Session* session) override {
    if (event.getType() == Event::Type::SUBSCRIPTION_STATUS) {
      std::cout << "Received an event of type SUBSCRIPTION_STATUS:\n" + event.toStringPretty(2, 2) << std::endl;
      auto message = event.getMessageList().at(0);
      if (message.getType() == Message::Type::SUBSCRIPTION_STARTED) {
        Request request(Request::Operation::CREATE_ORDER, "coinbase", "BTC-USD");
        request.appendParam({
            {"SIDE", "BUY"},
            {"LIMIT_PRICE", "20000"},
            {"QUANTITY", "0.001"},
        });
        session->sendRequest(request);
      }
    } else if (event.getType() == Event::Type::SUBSCRIPTION_DATA) {
      std::cout << "Received an event of type SUBSCRIPTION_DATA:\n" + event.toStringPretty(2, 2) << std::endl;
    }
    return true;
  }
};
} /* namespace ccapi */
using ::ccapi::MyEventHandler;
using ::ccapi::Request;
using ::ccapi::Session;
using ::ccapi::SessionConfigs;
using ::ccapi::SessionOptions;
using ::ccapi::Subscription;
using ::ccapi::toString;
using ::ccapi::UtilSystem;
int main(int argc, char** argv) {
  if (UtilSystem::getEnvAsString("COINBASE_API_KEY").empty()) {
    std::cerr << "Please set environment variable COINBASE_API_KEY" << std::endl;
    return EXIT_FAILURE;
  }
  if (UtilSystem::getEnvAsString("COINBASE_API_SECRET").empty()) {
    std::cerr << "Please set environment variable COINBASE_API_SECRET" << std::endl;
    return EXIT_FAILURE;
  }
  if (UtilSystem::getEnvAsString("COINBASE_API_PASSPHRASE").empty()) {
    std::cerr << "Please set environment variable COINBASE_API_PASSPHRASE" << std::endl;
    return EXIT_FAILURE;
  }
  SessionOptions sessionOptions;
  SessionConfigs sessionConfigs;
  MyEventHandler eventHandler;
  Session session(sessionOptions, sessionConfigs, &eventHandler);
  Subscription subscription("coinbase", "BTC-USD", "ORDER_UPDATE");
  session.subscribe(subscription);
  std::this_thread::sleep_for(std::chrono::seconds(10));
  session.stop();
  std::cout << "Bye" << std::endl;
  return EXIT_SUCCESS;
}

Output 2:

Received an event of type SUBSCRIPTION_STATUS:
  Event [
    type = SUBSCRIPTION_STATUS,
    messageList = [
      Message [
        type = SUBSCRIPTION_STARTED,
        recapType = UNKNOWN,
        time = 1970-01-01T00:00:00.000000000Z,
        timeReceived = 2021-05-25T04:22:25.906197000Z,
        elementList = [

        ],
        correlationIdList = [ 5PN2qmWqBlQ9wQj99nsQzldVI5ZuGXbE ]
      ]
    ]
  ]
Received an event of type SUBSCRIPTION_DATA:
  Event [
    type = SUBSCRIPTION_DATA,
    messageList = [
      Message [
        type = EXECUTION_MANAGEMENT_EVENTS_ORDER_UPDATE,
        recapType = UNKNOWN,
        time = 2021-05-25T04:22:26.653785000Z,
        timeReceived = 2021-05-25T04:22:26.407419000Z,
        elementList = [
          Element [
            nameValueMap = {
              CLIENT_ORDER_ID = ,
              INSTRUMENT = BTC-USD,
              LIMIT_PRICE = 20000,
              ORDER_ID = 6ca39186-be79-4777-97ab-1695fccd0ce4,
              QUANTITY = 0.001,
              SIDE = BUY,
              STATUS = received
            }
          ]
        ],
        correlationIdList = [ 5PN2qmWqBlQ9wQj99nsQzldVI5ZuGXbE ]
      ]
    ]
  ]
Received an event of type SUBSCRIPTION_DATA:
  Event [
    type = SUBSCRIPTION_DATA,
    messageList = [
      Message [
        type = EXECUTION_MANAGEMENT_EVENTS_ORDER_UPDATE,
        recapType = UNKNOWN,
        time = 2021-05-25T04:22:26.653785000Z,
        timeReceived = 2021-05-25T04:22:26.407704000Z,
        elementList = [
          Element [
            nameValueMap = {
              INSTRUMENT = BTC-USD,
              LIMIT_PRICE = 20000,
              ORDER_ID = 6ca39186-be79-4777-97ab-1695fccd0ce4,
              REMAINING_QUANTITY = 0.001,
              SIDE = BUY,
              STATUS = open
            }
          ]
        ],
        correlationIdList = [ 5PN2qmWqBlQ9wQj99nsQzldVI5ZuGXbE ]
      ]
    ]
  ]
Bye

• Subscription fields: ORDER_UPDATE, PRIVATE_TRADE.

Advanced Execution Management

Specify correlation id

Instantiate Request with the desired correlationId.

Request request(Request::Operation::CREATE_ORDER, "binance-us", "BTCUSD", "cool correlation id");

Instantiate Subscription with the desired correlationId.

Subscription subscription("coinbase", "BTC-USD", "ORDER_UPDATE", "", "cool correlation id");

This is used to match a particular request or subscription with its returned data. Within each Message there is a correlationIdList to identify the request or subscription that requested the data.

Multiple exchanges and/or instruments

Send a std::vector<Request>.

Request request_1(Request::Operation::CREATE_ORDER, "binance-us", "BTCUSD");
request_1.appendParam(...);
Request request_2(Request::Operation::CREATE_ORDER, "binance-us", "ETHUSD");
request_2.appendParam(...);
session.sendRequest({request_1, request_2});

Subscribe one Subscription per exchange with a comma separated string of instruments.

Subscription subscription("coinbase", "BTC-USD,ETH-USD", "ORDER_UPDATE");

Multiple subscription fields

Subscribe one Subscription with a comma separated string of fields.

Subscription subscription("coinbase", "BTC-USD", "ORDER_UPDATE,PRIVATE_TRADE");

Make Session::sendRequest blocking

Instantiate Session without EventHandler argument, and pass a pointer to Queue<Event> as an additional argument.

Session session(sessionOptions, sessionConfigs);
...
Queue<Event> eventQueue;
session.sendRequest(request, &eventQueue);  // block until a response is received
std::vector<Event> eventList = eventQueue.purge();

Provide API credentials for an exchange

There are 3 ways to provide API credentials (listed with increasing priority).

• Set the relevent environment variables. Some exchanges might need additional credentials other than API keys and secrets: e.g. COINBASE_API_PASSPHRASE, KUCOIN_API_PASSPHRASE, KUCOIN_API_KEY_VERSION, FTX_API_SUBACCOUNT. See section "exchange API credentials" in include/ccapi_cpp/ccapi_macro.h.
• Provide credentials to SessionConfigs.

sessionConfigs.setCredential({
  {"BINANCE_US_API_KEY", ...},
  {"BINANCE_US_API_SECRET", ...}
});

• Provide credentials to Request or Subscription.

Request request(Request::Operation::CREATE_ORDER, "binance-us", "BTCUSD", "", {
  {"BINANCE_US_API_KEY", ...},
  {"BINANCE_US_API_SECRET", ...}
});

Subscription subscription("coinbase", "BTC-USD", "ORDER_UPDATE", "", "", {
  {"COINBASE_API_KEY", ...},
  {"COINBASE_API_SECRET", ...}
});

Override exchange urls

See section "exchange REST urls", "exchange WS urls", and "exchange FIX urls" in include/ccapi_cpp/ccapi_macro.h. This can be useful if you need to connect to test accounts (e.g. https://docs.pro.coinbase.com/#sandbox).

Complex request parameters

Please follow the exchange's API documentations: e.g. https://github.com/binance-us/binance-official-api-docs/blob/master/rest-api.md#new-order--trade.

Request request(Request::Operation::CREATE_ORDER, "binance-us", "BTCUSD");
request.appendParam({
  {"side", "SELL"},
  {"type", "STOP_LOSS_LIMIT"},
  {"quantity", "0.0005"},
  {"stopPrice", "20001"},
  {"price", "20000"},
  {"timeInForce", "GTC"}
});

Send request by Websocket API

Subscription subscription("okex", "BTC-USDT", "ORDER_UPDATE", "", "same correlation id for subscription and request");
session.subscribe(subscription);
...
Request request(Request::Operation::CREATE_ORDER, "okex", "BTC-USDT", "same correlation id for subscription and request");
request.appendParam({
    {"SIDE", "BUY"},
    {"LIMIT_PRICE", "20000"},
    {"QUANTITY", "0.001"},
});
session.sendRequestByWebsocket(request);

FIX API

Objective:

For a specific exchange and instrument, submit a simple limit order.

Code:

C++ / Python

#include "ccapi_cpp/ccapi_session.h"
namespace ccapi {
Logger* Logger::logger = nullptr;  // This line is needed.
class MyEventHandler : public EventHandler {
 public:
  bool processEvent(const Event& event, Session* session) override {
    if (event.getType() == Event::Type::AUTHORIZATION_STATUS) {
      std::cout << "Received an event of type AUTHORIZATION_STATUS:\n" + event.toStringPretty(2, 2) << std::endl;
      auto message = event.getMessageList().at(0);
      if (message.getType() == Message::Type::AUTHORIZATION_SUCCESS) {
        Request request(Request::Operation::FIX, "coinbase", "", "same correlation id for subscription and request");
        request.appendParamFix({
            {35, "D"},
            {11, "6d4eb0fb-2229-469f-873e-557dd78ac11e"},
            {55, "BTC-USD"},
            {54, "1"},
            {44, "20000"},
            {38, "0.001"},
            {40, "2"},
            {59, "1"},
        });
        session->sendRequestByFix(request);
      }
    } else if (event.getType() == Event::Type::FIX) {
      std::cout << "Received an event of type FIX:\n" + event.toStringPretty(2, 2) << std::endl;
    }
    return true;
  }
};
} /* namespace ccapi */
using ::ccapi::MyEventHandler;
using ::ccapi::Session;
using ::ccapi::SessionConfigs;
using ::ccapi::SessionOptions;
using ::ccapi::Subscription;
using ::ccapi::UtilSystem;
int main(int argc, char** argv) {
  if (UtilSystem::getEnvAsString("COINBASE_API_KEY").empty()) {
    std::cerr << "Please set environment variable COINBASE_API_KEY" << std::endl;
    return EXIT_FAILURE;
  }
  if (UtilSystem::getEnvAsString("COINBASE_API_SECRET").empty()) {
    std::cerr << "Please set environment variable COINBASE_API_SECRET" << std::endl;
    return EXIT_FAILURE;
  }
  if (UtilSystem::getEnvAsString("COINBASE_API_PASSPHRASE").empty()) {
    std::cerr << "Please set environment variable COINBASE_API_PASSPHRASE" << std::endl;
    return EXIT_FAILURE;
  }
  SessionOptions sessionOptions;
  SessionConfigs sessionConfigs;
  MyEventHandler eventHandler;
  Session session(sessionOptions, sessionConfigs, &eventHandler);
  Subscription subscription("coinbase", "", "FIX", "", "same correlation id for subscription and request");
  session.subscribeByFix(subscription);
  std::this_thread::sleep_for(std::chrono::seconds(10));
  session.stop();
  std::cout << "Bye" << std::endl;
  return EXIT_SUCCESS;
}

Output:

Received an event of type AUTHORIZATION_STATUS:
  Event [
    type = AUTHORIZATION_STATUS,
    messageList = [
      Message [
        type = AUTHORIZATION_SUCCESS,
        recapType = UNKNOWN,
        time = 1970-01-01T00:00:00.000000000Z,
        timeReceived = 2021-05-25T05:05:15.892366000Z,
        elementList = [
          Element [
            tagValueMap = {
              96 = 0srtt0WetUTYHiTpvyWnC+XKKHCzQQIJ/8G9lE4KVxM=,
              98 = 0,
              108 = 15,
              554 = 26abh7of52i
            }
          ]
        ],
        correlationIdList = [ same correlation id for subscription and request ]
      ]
    ]
  ]
Received an event of type FIX:
  Event [
    type = FIX,
    messageList = [
      Message [
        type = FIX,
        recapType = UNKNOWN,
        time = 1970-01-01T00:00:00.000000000Z,
        timeReceived = 2021-05-25T05:05:15.984090000Z,
        elementList = [
          Element [
            tagValueMap = {
              11 = 6d4eb0fb-2229-469f-873e-557dd78ac11e,
              17 = b7caec79-1bc8-460e-af28-6489cf12f45e,
              20 = 0,
              37 = 458acfe5-bdea-46d2-aa87-933cda84163f,
              38 = 0.001,
              39 = 0,
              44 = 20000,
              54 = 1,
              55 = BTC-USD,
              60 = 20210525-05:05:16.008,
              150 = 0
            }
          ]
        ],
        correlationIdList = [ same correlation id for subscription and request ]
      ]
    ]
  ]
Bye

More Advanced Topics

Handle events in "immediate" vs. "batching" mode

In general there are 2 ways to handle events.

• When a Session is instantiated with an eventHandler argument, it will handle events in immediate mode. The processEvent method in the eventHandler will be invoked immediately when an Event is available.
• When a Session is instantiated without an eventHandler argument, it will handle events in batching mode. The evetns will be batched into an internal Queue<Event> and can be retrieved by

std::vector<Event> eventList = session.getEventQueue().purge();

An example can be found here.

Thread safety

• The following methods are implemented to be thread-safe: Session::sendRequest, Session::subscribe, Session::sendRequestByFix, Session::subscribeByFix, Session::setTimer, all public methods in Queue.
• The processEvent method in the eventHandler is invoked on one of the internal threads in the eventDispatcher. A default EventDispatcher with 1 internal thread will be created if no eventDispatcher argument is provided in Session instantiation. To dispatch events to multiple threads, instantiate EventDispatcher with numDispatcherThreads set to be the desired number. EventHandlers and/or EventDispatchers can be shared among different sessions. Otherwise, different sessions are independent from each other.

EventDispatcher eventDispatcher(2);
Session session(sessionOptions, sessionConfigs, &eventHandler, &eventDispatcher);

An example can be found here.

Enable library logging

C++ / Python

Extend a subclass, e.g. MyLogger, from class Logger and override method logMessage. Assign a MyLogger pointer to Logger::logger. Add one of the following macros in the compiler command line: CCAPI_ENABLE_LOG_TRACE, CCAPI_ENABLE_LOG_DEBUG, CCAPI_ENABLE_LOG_INFO, CCAPI_ENABLE_LOG_WARN, CCAPI_ENABLE_LOG_ERROR, CCAPI_ENABLE_LOG_FATAL. Enable logging if you'd like to inspect raw responses/messages from the exchange for troubleshooting purposes.

namespace ccapi {
  class MyLogger final : public Logger {
   public:
    void logMessage(const std::string& severity, const std::string& threadId, const std::string& timeISO, const std::string& fileName,
                    const std::string& lineNumber, const std::string& message) override {
                      ...
    }
  };
MyLogger myLogger;
Logger* Logger::logger = &myLogger;
}

Set timer

C++

To perform an asynchronous wait, use the utility method setTimer in class Session. The handlers are invoked in the same threads as the processEvent method in the EventHandler class.

session->setTimer(
    "id", 1000,
    [](const boost::system::error_code&) {
      std::cout << std::string("Timer error handler is triggered at ") + UtilTime::getISOTimestamp(UtilTime::now()) << std::endl;
    },
    []() { std::cout << std::string("Timer success handler is triggered at ") + UtilTime::getISOTimestamp(UtilTime::now()) << std::endl; });

Custom service class

C++

Define macro CCAPI_EXPOSE_INTERNAL. Extend a subclass e.g. MyService from class Service. Inject a MyService pointer into Session. E.g.

session.serviceByServiceNameExchangeMap[CCAPI_EXECUTION_MANAGEMENT][CCAPI_EXCHANGE_NAME_COINBASE] =
    std::make_shared<ExecutionManagementServiceCoinbaseCustom>(session.internalEventHandler, session.sessionOptions, session.sessionConfigs,
                                                               session.serviceContextPtr);

Performance Tuning

• Turn on compiler optimization flags (e.g. cmake -DCMAKE_BUILD_TYPE=Release ...).
• Enable link time optimization (e.g. in CMakeLists.txt set(CMAKE_INTERPROCEDURAL_OPTIMIZATION TRUE) before a target is created). Note that link time optimization is only applicable to static linking.
• Shorten constant strings used as key names in the returned Element (e.g. in CmakeLists.txt add_compile_definitions(CCAPI_BEST_BID_N_PRICE="b")).
• Only enable the services and exchanges that you need.
• Use FIX API instead of REST API.
• Handle events in "batching" mode if your application (e.g. market data archiver) isn't latency sensitive.

Applications

Spot Market Making

• Source code: app
• The code uses a simplified version of Avellaneda & Stoikov’s inventory strategy: https://www.math.nyu.edu/~avellane/HighFrequencyTrading.pdf. See the parameter configuration file app/src/spot_market_making/config.env.example for more details. And read more at https://medium.com/open-crypto-market-data-initiative/simplified-avellaneda-stoikov-market-making-608b9d437403.
• Require CMake.
  • CMake: https://cmake.org/download/.
• Copy file app/user_specified_cmake_include.cmake.example to any location and rename to user_specified_cmake_include.cmake. Take note of its full path <path-to-user_specified_cmake_include>. Uncomment the lines corresponding to the desired exchange enablement macros such as CCAPI_ENABLE_EXCHANGE_COINBASE, etc. If you need okex, also uncomment the lines corresponding to finding and linking ZLIB.
• Run the following commands.

mkdir app/build
cd app/build
rm -rf * (if rebuild from scratch)
cmake -DCMAKE_PROJECT_INCLUDE=<path-to-user_specified_cmake_include> ..
cmake --build . --target spot_market_making

• The executable is app/build/src/spot_market_making/spot_market_making. Run it after setting relevant environment variables shown in app/src/spot_market_making/config.env.example. For example, we can copy file config.env.example to config.env, edit it, and export $(grep -v '^#' config.env | xargs). To enable and configure advanced parameters, set additional environment variables shown in app/src/spot_market_making/config_advanced.env.example.
• For live trade mode, please set the desired exchange's credential environment variables shown in app/credential.env.example.
• For paper trade mode and backtest mode, please see the parameter configuration file app/src/spot_market_making/config.env.example for more details.

Single Order Execution

• Source code: app
• The supported strategies are listed in app/src/single_order_execution/config.env.example.
• Require CMake.
  • CMake: https://cmake.org/download/.
• Copy file app/user_specified_cmake_include.cmake.example to any location and rename to user_specified_cmake_include.cmake. Take note of its full path <path-to-user_specified_cmake_include>. Uncomment the lines corresponding to the desired exchange enablement macros such as CCAPI_ENABLE_EXCHANGE_COINBASE, etc. If you need okex, also uncomment the lines corresponding to finding and linking ZLIB.
• Run the following commands.

mkdir app/build
cd app/build
rm -rf * (if rebuild from scratch)
cmake -DCMAKE_PROJECT_INCLUDE=<path-to-user_specified_cmake_include> ..
cmake --build . --target single_order_execution

• The executable is app/build/src/single_order_execution/single_order_execution. Run it after setting relevant environment variables shown in app/src/single_order_execution/config.env.example. For example, we can copy file config.env.example to config.env, edit it, and export $(grep -v '^#' config.env | xargs). To enable and configure advanced parameters, set additional environment variables shown in app/src/single_order_execution/config_advanced.env.example.
• For live trade mode, please set the desired exchange's credential environment variables shown in app/credential.env.example.
• For paper trade mode and backtest mode, please see the parameter configuration file app/src/single_order_execution/config.env.example for more details.

Known Issues and Workarounds

• Kraken invalid nonce errors. Give the API key a nonce window (https://support.kraken.com/hc/en-us/articles/360001148023-What-is-a-nonce-window-). We use unix timestamp with microsecond resolution as nonce and therefore a nonce window of 500000 translates to a tolerance of 0.5 second.

Contributing

• (Required) Create a new branch from the develop branch and submit a pull request to the develop branch.
• (Optional) C++ code style: https://google.github.io/styleguide/cppguide.html. See file .clang-format.
• (Optional) Commit message format: https://conventionalcommits.org.