Merge pull request #366 from crypto-chassis/develop

Release

README.md

@@ -55,8 +55,8 @@
 * 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, okx, erisx, kucoin, kucoin-futures, deribit, gateio, gateio-perpetual-futures, cryptocom, bybit, bybit-derivatives, ascendex, bitget, bitget-futures, bitmart, mexc, mexc-futures, whitebit.
-  * 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, okx, erisx, kucoin, kucoin-futures, deribit, gateio, gateio-perpetual-futures, cryptocom, bybit, bybit-derivatives, ascendex, bitget, bitget-futures, bitmart, mexc.
+  * 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, okx, erisx (Cboe Digital), kucoin, kucoin-futures, deribit, gateio, gateio-perpetual-futures, cryptocom, bybit, bybit-derivatives, ascendex, bitget, bitget-futures, bitmart, mexc, mexc-futures, whitebit.
+  * 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, okx, erisx (Cboe Digital), kucoin, kucoin-futures, deribit, gateio, gateio-perpetual-futures, cryptocom, bybit, bybit-derivatives, ascendex, bitget, bitget-futures, bitmart, mexc.
   * FIX: coinbase, gemini.
 * 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.

example/CMakeLists.txt

@@ -41,3 +41,4 @@ add_subdirectory(src/utility_set_timer)
 add_subdirectory(src/custom_service_class)
 add_subdirectory(src/cross_exchange_arbitrage)
 add_subdirectory(src/market_making)
+add_subdirectory(src/override_exchange_url_at_runtime)

example/src/override_exchange_url_at_runtime/CMakeLists.txt

@@ -0,0 +1,5 @@
+set(NAME override_exchange_url_at_runtime)
+project(${NAME})
+add_compile_definitions(CCAPI_ENABLE_SERVICE_MARKET_DATA)
+add_compile_definitions(CCAPI_ENABLE_EXCHANGE_OKX)
+add_executable(${NAME} main.cpp)

example/src/override_exchange_url_at_runtime/main.cpp

@@ -0,0 +1,41 @@
+#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::SESSION_STATUS) {
+      for (const auto& message : event.getMessageList()) {
+        if (message.getType() == Message::Type::SESSION_CONNECTION_UP) {
+          for (const auto& element : message.getElementList()) {
+            const std::map<std::string, std::string>& elementNameValueMap = element.getNameValueMap();
+            std::cout << "Connected to " + toString(elementNameValueMap.at("CONNECTION_URL")) << std::endl;
+          }
+        }
+      }
+    }
+    return true;
+  }
+};
+} /* namespace ccapi */
+using ::ccapi::MyEventHandler;
+using ::ccapi::Session;
+using ::ccapi::SessionConfigs;
+using ::ccapi::SessionOptions;
+using ::ccapi::Subscription;
+using ::ccapi::toString;
+int main(int argc, char** argv) {
+  SessionOptions sessionOptions;
+  SessionConfigs sessionConfigs;
+  std::map<std::string, std::string> urlWebsocketBase = sessionConfigs.getUrlWebsocketBase();
+  urlWebsocketBase["okx"] = "wss://wsaws.okx.com:8443";
+  sessionConfigs.setUrlWebsocketBase(urlWebsocketBase);
+  MyEventHandler eventHandler;
+  Session session(sessionOptions, sessionConfigs, &eventHandler);
+  Subscription subscription("okx", "BTC-USDT", "MARKET_DEPTH");
+  session.subscribe(subscription);
+  std::this_thread::sleep_for(std::chrono::seconds(10));
+  session.stop();
+  std::cout << "Bye" << std::endl;
+  return EXIT_SUCCESS;
+}

include/ccapi_cpp/ccapi_macro.h

@@ -339,6 +339,9 @@
 #ifndef CCAPI_CONNECTION_ID
 #define CCAPI_CONNECTION_ID "CONNECTION_ID"
 #endif
+#ifndef CCAPI_CONNECTION_URL
+#define CCAPI_CONNECTION_URL "CONNECTION_URL"
+#endif
 #ifndef CCAPI_REASON
 #define CCAPI_REASON "REASON"
 #endif

include/ccapi_cpp/ccapi_session.h

@@ -921,6 +921,17 @@ class Session {
       }
     });
   }
+  void purgeHttpConnectionPool(const std::string& serviceName = "", const std::string& exchangeName = "") {
+    for (const auto& x : this->serviceByServiceNameExchangeMap) {
+      if (serviceName.empty() || serviceName == x.first) {
+        for (const auto& y : x.second) {
+          if (exchangeName.empty() || exchangeName == y.first) {
+            y.second->purgeHttpConnectionPool();
+          }
+        }
+      }
+    }
+  }
 #endif
 #ifndef CCAPI_EXPOSE_INTERNAL
 

include/ccapi_cpp/ccapi_session_configs.h

@@ -27,6 +27,9 @@ class SessionConfigs CCAPI_FINAL {
   const std::map<std::string, std::string>& getUrlFixBase() const { return urlFixBase; }
   const std::map<std::string, int>& getInitialSequenceByExchangeMap() const { return initialSequenceByExchangeMap; }
   const std::map<std::string, std::string>& getCredential() const { return credential; }
+  void setUrlWebsocketBase(const std::map<std::string, std::string>& urlWebsocketBase) { this->urlWebsocketBase = urlWebsocketBase; }
+  void setUrlRestBase(const std::map<std::string, std::string>& urlRestBase) { this->urlRestBase = urlRestBase; }
+  void setUrlFixBase(const std::map<std::string, std::string>& urlFixBase) { this->urlFixBase = urlFixBase; }
   void setCredential(const std::map<std::string, std::string>& credential) { this->credential = credential; }
 #ifndef CCAPI_EXPOSE_INTERNAL
 

include/ccapi_cpp/service/ccapi_execution_management_service_okx.h

@@ -371,18 +371,16 @@ class ExecutionManagementServiceOkx : public ExecutionManagementService {
         rj::Value args(rj::kArrayType);
         const auto& fieldSet = subscription.getFieldSet();
         const auto& instrumentSet = subscription.getInstrumentSet();
-        for (const auto& field : fieldSet) {
-          std::string channel;
-          if (fieldSet.find(CCAPI_EM_ORDER_UPDATE) != fieldSet.end() || fieldSet.find(CCAPI_EM_PRIVATE_TRADE) != fieldSet.end()) {
-            channel = "orders";
-          }
-          for (const auto& instrument : instrumentSet) {
-            rj::Value arg(rj::kObjectType);
-            arg.AddMember("channel", rj::Value(channel.c_str(), allocator).Move(), allocator);
-            arg.AddMember("instId", rj::Value(instrument.c_str(), allocator).Move(), allocator);
-            arg.AddMember("instType", rj::Value("ANY").Move(), allocator);
-            args.PushBack(arg, allocator);
-          }
+        std::string channel;
+        if (fieldSet.find(CCAPI_EM_ORDER_UPDATE) != fieldSet.end() || fieldSet.find(CCAPI_EM_PRIVATE_TRADE) != fieldSet.end()) {
+          channel = "orders";
+        }
+        for (const auto& instrument : instrumentSet) {
+          rj::Value arg(rj::kObjectType);
+          arg.AddMember("channel", rj::Value(channel.c_str(), allocator).Move(), allocator);
+          arg.AddMember("instId", rj::Value(instrument.c_str(), allocator).Move(), allocator);
+          arg.AddMember("instType", rj::Value("ANY").Move(), allocator);
+          args.PushBack(arg, allocator);
         }
         document.AddMember("args", args, allocator);
         rj::StringBuffer stringBufferSubscribe;
@@ -491,6 +489,7 @@ class ExecutionManagementServiceOkx : public ExecutionManagementService {
                     {CCAPI_EM_ORDER_LIMIT_PRICE, std::make_pair("px", JsonDataType::STRING)},
                     {CCAPI_EM_ORDER_QUANTITY, std::make_pair("sz", JsonDataType::STRING)},
                     {CCAPI_EM_ORDER_CUMULATIVE_FILLED_QUANTITY, std::make_pair("accFillSz", JsonDataType::STRING)},
+                    {CCAPI_EM_ORDER_AVERAGE_FILLED_PRICE, std::make_pair("avgPx", JsonDataType::STRING)},
                     {CCAPI_EM_ORDER_STATUS, std::make_pair("state", JsonDataType::STRING)},
                 };
                 Element info;

include/ccapi_cpp/service/ccapi_service.h

@@ -126,7 +126,7 @@ class Service : public std::enable_shared_from_this<Service> {
       this->httpConnectionPoolPurgeTimer->cancel();
     }
   }
-  // void setEventHandler(const std::function<void(Event& event)>& eventHandler) { this->eventHandler = eventHandler; }
+  void purgeHttpConnectionPool() { this->httpConnectionPool.purge(); }
   void stop() {
     for (const auto& x : this->sendRequestDelayTimerByCorrelationIdMap) {
       x.second->cancel();
@@ -836,6 +836,7 @@ class Service : public std::enable_shared_from_this<Service> {
     message.setCorrelationIdList(correlationIdList);
     Element element;
     element.insert(CCAPI_CONNECTION_ID, wsConnection.id);
+    element.insert(CCAPI_CONNECTION_URL, wsConnection.url);
     message.setElementList({element});
     event.setMessageList({message});
     this->eventHandler(event, nullptr);
@@ -925,6 +926,7 @@ class Service : public std::enable_shared_from_this<Service> {
     message.setType(Message::Type::SESSION_CONNECTION_DOWN);
     Element element;
     element.insert(CCAPI_CONNECTION_ID, wsConnection.id);
+    element.insert(CCAPI_CONNECTION_URL, wsConnection.url);
     element.insert(CCAPI_REASON, reason);
     message.setElementList({element});
     std::vector<std::string> correlationIdList;