Merge pull request #431 from crypto-chassis/experimental/exchange_pro…

…vided_candlestick

add draft for streaming exchange provided candlestick

README.md

@@ -1,3 +1,6 @@
+# Notification: we've added a new feature that allows our users to subscribe to exchange provided candlesticks. There is a small renaming: "OPEN" has been renamed to "OPEN_PRICE", "CLOSE" has been renamed to "CLOSE_PRICE", "HIGH" has been renamed to "HIGH_PRICE", "LOW" has been renamed to "LOW_PRICE". If you have any questions, feel free to directly ask us on Discord https://discord.gg/b5EKcp9s8T.
+
+
 <!-- START doctoc generated TOC please keep comment here to allow auto update -->
 <!-- DON'T EDIT THIS SECTION, INSTEAD RE-RUN doctoc TO UPDATE -->
 **Table of Contents**  *generated with [DocToc](https://github.com/thlorenz/doctoc)*
@@ -20,7 +23,8 @@
       - [Receive subscription events at periodic intervals including when the market depth snapshot hasn't changed](#receive-subscription-events-at-periodic-intervals-including-when-the-market-depth-snapshot-hasnt-changed)
       - [Receive subscription market depth updates](#receive-subscription-market-depth-updates)
       - [Receive subscription trade events](#receive-subscription-trade-events)
-      - [Receive subscription OHLC events at periodic intervals](#receive-subscription-ohlc-events-at-periodic-intervals)
+      - [Receive subscription calculated-candlestick events at periodic intervals](#receive-subscription-calculated-candlestick-events-at-periodic-intervals)
+      - [Receive subscription exchange-provided-candlestick events at periodic intervals](#receive-subscription-exchange-provided-candlestick-events-at-periodic-intervals)
       - [Send generic public requests](#send-generic-public-requests)
       - [Make generic public subscriptions](#make-generic-public-subscriptions)
       - [Send generic private requests](#send-generic-private-requests)
@@ -413,13 +417,20 @@ Instantiate `Subscription` with field `TRADE`.
 Subscription subscription("coinbase", "BTC-USD", "TRADE");
 ```
 
-#### Receive subscription OHLC events at periodic intervals
+#### Receive subscription calculated-candlestick 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");
 ```
 
+#### Receive subscription exchange-provided-candlestick events at periodic intervals
+
+Instantiate `Subscription` with field `CANDLESTICK` and option `CANDLESTICK_INTERVAL_SECONDS` set to be the desired interval.
+```
+Subscription subscription("okx", "BTC-USDT", "CANDLESTICK", "CANDLESTICK_INTERVAL_SECONDS=60");
+```
+
 #### 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`.

include/ccapi_cpp/ccapi_macro.h

@@ -209,16 +209,16 @@
 #define CCAPI_CANDLESTICK_EMPTY ""
 #endif
 #ifndef CCAPI_OPEN_PRICE
-#define CCAPI_OPEN_PRICE "OPEN"
+#define CCAPI_OPEN_PRICE "OPEN_PRICE"
 #endif
 #ifndef CCAPI_HIGH_PRICE
-#define CCAPI_HIGH_PRICE "HIGH"
+#define CCAPI_HIGH_PRICE "HIG_PRICEH"
 #endif
 #ifndef CCAPI_LOW_PRICE
-#define CCAPI_LOW_PRICE "LOW"
+#define CCAPI_LOW_PRICE "LOW_PRICE"
 #endif
 #ifndef CCAPI_CLOSE_PRICE
-#define CCAPI_CLOSE_PRICE "CLOSE"
+#define CCAPI_CLOSE_PRICE "CLOSE_PRICE"
 #endif
 #ifndef CCAPI_VOLUME
 #define CCAPI_VOLUME "VOLUME"
@@ -267,12 +267,14 @@
 #define CCAPI_WEBSOCKET_GEMINI_PARAMETER_TOP_OF_BOOK "top_of_book"
 #define CCAPI_WEBSOCKET_KRAKEN_CHANNEL_TRADE "trade"
 #define CCAPI_WEBSOCKET_KRAKEN_CHANNEL_BOOK "book"
+#define CCAPI_WEBSOCKET_KRAKEN_CHANNEL_OHLC "ohlc"
 #define CCAPI_WEBSOCKET_KRAKEN_FUTURES_CHANNEL_TRADE "trade"
 #define CCAPI_WEBSOCKET_KRAKEN_FUTURES_CHANNEL_BOOK "book"
 #define CCAPI_WEBSOCKET_BITSTAMP_CHANNEL_LIVE_TRADES "live_trades"
 #define CCAPI_WEBSOCKET_BITSTAMP_CHANNEL_ORDER_BOOK "order_book"
 #define CCAPI_WEBSOCKET_BITFINEX_CHANNEL_TRADES "trades"
-#define CCAPI_WEBSOCKET_BITFINEX_CHANNEL_BOOK "book"
+#define CCAPI_WEBSOCKET_BITFINEX_CHANNEL_BOOKS "book"
+#define CCAPI_WEBSOCKET_BITFINEX_CHANNEL_CANDLES "candles"
 #define CCAPI_WEBSOCKET_BITMEX_CHANNEL_TRADE "trade"
 #define CCAPI_WEBSOCKET_BITMEX_CHANNEL_QUOTE "quote"
 #define CCAPI_WEBSOCKET_BITMEX_CHANNEL_ORDER_BOOK_10 "orderBook10"
@@ -305,6 +307,7 @@
 #define CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_TICKER "/market/ticker"
 #define CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_LEVEL2DEPTH5 "/spotMarket/level2Depth5"
 #define CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_LEVEL2DEPTH50 "/spotMarket/level2Depth50"
+#define CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_KLINES "/market/candles"
 #define CCAPI_WEBSOCKET_KUCOIN_FUTURES_CHANNEL_MARKET_MATCH "/contractMarket/execution"
 #define CCAPI_WEBSOCKET_KUCOIN_FUTURES_CHANNEL_MARKET_LEVEL2 "/contractMarket/level2"
 #define CCAPI_WEBSOCKET_KUCOIN_FUTURES_CHANNEL_MARKET_TICKER "/contractMarket/tickerV2"
@@ -320,9 +323,11 @@
 #define CCAPI_WEBSOCKET_GATEIO_CHANNEL_TRADES "spot.trades"
 #define CCAPI_WEBSOCKET_GATEIO_CHANNEL_BOOK_TICKER "spot.book_ticker"
 #define CCAPI_WEBSOCKET_GATEIO_CHANNEL_ORDER_BOOK "spot.order_book"
+#define CCAPI_WEBSOCKET_GATEIO_CHANNEL_CANDLESTICKS "spot.candlesticks"
 #define CCAPI_WEBSOCKET_GATEIO_PERPETUAL_FUTURES_CHANNEL_TRADES "futures.trades"
 #define CCAPI_WEBSOCKET_GATEIO_PERPETUAL_FUTURES_CHANNEL_BOOK_TICKER "futures.book_ticker"
 #define CCAPI_WEBSOCKET_GATEIO_PERPETUAL_FUTURES_CHANNEL_ORDER_BOOK "futures.order_book"
+#define CCAPI_WEBSOCKET_GATEIO_PERPETUAL_FUTURES_CHANNEL_CANDLESTICKS "futures.candlesticks"
 #define CCAPI_WEBSOCKET_CRYPTOCOM_CHANNEL_TRADE "trade.{instrument_name}"
 #define CCAPI_WEBSOCKET_CRYPTOCOM_CHANNEL_BOOK "book.{instrument_name}.{depth}"
 #define CCAPI_WEBSOCKET_BYBIT_CHANNEL_TRADE "trade.{symbol}"
@@ -337,6 +342,7 @@
 #define CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_TRADES "trades"
 #define CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_BBO "bbo"
 #define CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_DEPTH "depth"
+#define CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_BAR "bar"
 #define CCAPI_WEBSOCKET_BITGET_BASE_CHANNEL_TRADES "trade"
 #define CCAPI_WEBSOCKET_BITGET_BASE_CHANNEL_BOOKS "books"
 #define CCAPI_WEBSOCKET_BITGET_BASE_CHANNEL_BOOKS1 "books1"

include/ccapi_cpp/ccapi_session_configs.h

@@ -47,6 +47,7 @@ class SessionConfigs CCAPI_FINAL {
     std::map<std::string, std::string> fieldWebsocketChannelMapKraken = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_KRAKEN_CHANNEL_TRADE},
         {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_KRAKEN_CHANNEL_BOOK},
+        {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_KRAKEN_CHANNEL_OHLC},
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapKrakenFutures = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_KRAKEN_FUTURES_CHANNEL_TRADE},
@@ -58,7 +59,8 @@ class SessionConfigs CCAPI_FINAL {
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapBitfinex = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_BITFINEX_CHANNEL_TRADES},
-        {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_BITFINEX_CHANNEL_BOOK},
+        {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_BITFINEX_CHANNEL_BOOKS},
+        {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_BITFINEX_CHANNEL_CANDLES},
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapBitmex = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_BITMEX_CHANNEL_TRADE},
@@ -110,6 +112,7 @@ class SessionConfigs CCAPI_FINAL {
     std::map<std::string, std::string> fieldWebsocketChannelMapKucoin = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_MATCH},
         {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_LEVEL2},
+        {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_KLINES},
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapKucoinFutures = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_KUCOIN_FUTURES_CHANNEL_MARKET_MATCH},
@@ -130,10 +133,12 @@ class SessionConfigs CCAPI_FINAL {
     std::map<std::string, std::string> fieldWebsocketChannelMapGateio = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_GATEIO_CHANNEL_TRADES},
         {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_GATEIO_CHANNEL_ORDER_BOOK},
+        {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_GATEIO_CHANNEL_CANDLESTICKS},
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapGateioPerpetualFutures = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_GATEIO_PERPETUAL_FUTURES_CHANNEL_TRADES},
         {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_GATEIO_PERPETUAL_FUTURES_CHANNEL_ORDER_BOOK},
+        {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_GATEIO_PERPETUAL_FUTURES_CHANNEL_CANDLESTICKS},
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapCryptocom = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_CRYPTOCOM_CHANNEL_TRADE},
@@ -152,6 +157,7 @@ class SessionConfigs CCAPI_FINAL {
     std::map<std::string, std::string> fieldWebsocketChannelMapAscendex = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_TRADES},
         {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_DEPTH},
+        {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_BAR},
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapBitget = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_BITGET_BASE_CHANNEL_TRADES},

include/ccapi_cpp/service/ccapi_market_data_service.h

@@ -473,15 +473,21 @@ class MarketDataService : public Service {
         std::string& exchangeSubscriptionId = marketDataMessage.exchangeSubscriptionId;
         CCAPI_LOGGER_TRACE("this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap = " +
                            toString(this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap));
+        CCAPI_LOGGER_TRACE("this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap.at(wsConnection.id) = " +
+                           toString(this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap.at(wsConnection.id)));
+        CCAPI_LOGGER_TRACE("exchangeSubscriptionId = " + exchangeSubscriptionId);
         std::string& channelId =
             this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap.at(wsConnection.id).at(exchangeSubscriptionId).at(CCAPI_CHANNEL_ID);
+        CCAPI_LOGGER_TRACE("channelId = " + toString(channelId));
         std::string& symbolId =
             this->channelIdSymbolIdByConnectionIdExchangeSubscriptionIdMap.at(wsConnection.id).at(exchangeSubscriptionId).at(CCAPI_SYMBOL_ID);
+        CCAPI_LOGGER_TRACE("symbolId = " + toString(symbolId));
+        CCAPI_LOGGER_TRACE("this->fieldByConnectionIdChannelIdSymbolIdMap = " + toString(this->fieldByConnectionIdChannelIdSymbolIdMap));
+        CCAPI_LOGGER_TRACE("this->fieldByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id) = " +
+                           toString(this->fieldByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id)));
         auto& field = this->fieldByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId);
         CCAPI_LOGGER_TRACE("this->optionMapByConnectionIdChannelIdSymbolIdMap = " + toString(this->optionMapByConnectionIdChannelIdSymbolIdMap));
         CCAPI_LOGGER_TRACE("wsConnection = " + toString(wsConnection));
-        CCAPI_LOGGER_TRACE("channelId = " + toString(channelId));
-        CCAPI_LOGGER_TRACE("symbolId = " + toString(symbolId));
         auto& optionMap = this->optionMapByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId);
         CCAPI_LOGGER_TRACE("optionMap = " + toString(optionMap));
         auto& correlationIdList = this->correlationIdListByConnectionIdChannelIdSymbolIdMap.at(wsConnection.id).at(channelId).at(symbolId);

include/ccapi_cpp/service/ccapi_market_data_service_ascendex.h

@@ -44,6 +44,9 @@ class MarketDataServiceAscendex : public MarketDataService {
       if (marketDepthRequested == 1) {
         channelId = CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_BBO;
       }
+    } else if (field == CCAPI_CANDLESTICK) {
+      std::string interval = std::to_string(std::stoi(optionMap.at(CCAPI_CANDLESTICK_INTERVAL_SECONDS)) / 60);
+      channelId += ":" + interval;
     }
   }
 #ifdef CCAPI_LEGACY_USE_WEBSOCKETPP
@@ -160,6 +163,24 @@ class MarketDataServiceAscendex : public MarketDataService {
         marketDataMessage.data[MarketDataMessage::DataType::TRADE].emplace_back(std::move(dataPoint));
         marketDataMessageList.emplace_back(std::move(marketDataMessage));
       }
+    } else if (m == "bar") {
+      std::string channelId = m;
+      const rj::Value& data = document["data"];
+      std::string symbolId = document["s"].GetString();
+      std::string exchangeSubscriptionId = channelId + ":" + std::string(data["i"].GetString()) + ":" + symbolId;
+      MarketDataMessage marketDataMessage;
+      marketDataMessage.type = MarketDataMessage::Type::MARKET_DATA_EVENTS_CANDLESTICK;
+      marketDataMessage.recapType = MarketDataMessage::RecapType::NONE;
+      marketDataMessage.exchangeSubscriptionId = exchangeSubscriptionId;
+      marketDataMessage.tp = TimePoint(std::chrono::milliseconds(std::stoll(data["ts"].GetString())));
+      MarketDataMessage::TypeForDataPoint dataPoint;
+      dataPoint.insert({MarketDataMessage::DataFieldType::OPEN_PRICE, data["o"].GetString()});
+      dataPoint.insert({MarketDataMessage::DataFieldType::HIGH_PRICE, data["h"].GetString()});
+      dataPoint.insert({MarketDataMessage::DataFieldType::LOW_PRICE, data["l"].GetString()});
+      dataPoint.insert({MarketDataMessage::DataFieldType::CLOSE_PRICE, data["c"].GetString()});
+      dataPoint.insert({MarketDataMessage::DataFieldType::VOLUME, data["v"].GetString()});
+      marketDataMessage.data[MarketDataMessage::DataType::CANDLESTICK].emplace_back(std::move(dataPoint));
+      marketDataMessageList.emplace_back(std::move(marketDataMessage));
     } else if (m == "ping") {
       ErrorCode ec;
 #ifdef CCAPI_LEGACY_USE_WEBSOCKETPP