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Merge pull request #295 from crypto-chassis/develop
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@cryptochassis
cryptochassis authored Aug 8, 2022
2 parents d5146f8 + b45b0d8 commit 8eeecf3
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Showing 2 changed files with 56 additions and 48 deletions.
99 changes: 52 additions & 47 deletions app/include/app/event_handler_base.h
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Original file line number Diff line number Diff line change
Expand Up @@ -45,7 +45,7 @@ namespace ccapi {
class Session {
public:
virtual void subscribe(std::vector<Subscription>& subscriptionList) {}
virtual void sendRequest(std::vector<Request>& requestList) {}
virtual void sendRequest(const Event& event, Session* session, std::vector<Request>& requestList) {}
virtual void sendRequest(Request& request) {}
virtual void sendRequestByWebsocket(Request& request) {}
virtual void stop() {}
Expand Down Expand Up @@ -83,7 +83,6 @@ class EventHandlerBase : public EventHandler {
};
virtual ~EventHandlerBase() {}
virtual void onInit(Session* session) {}
virtual void processEventFurther(const Event& event, Session* session, std::vector<Request>& requestList) {}
bool processEvent(const Event& event, Session* session) override {
if (this->skipProcessEvent) {
return true;
Expand Down Expand Up @@ -503,12 +502,12 @@ class EventHandlerBase : public EventHandler {
(this->orderRefreshIntervalOffsetSeconds >= 0 &&
std::chrono::duration_cast<std::chrono::seconds>(messageTime.time_since_epoch()).count() % this->orderRefreshIntervalSeconds ==
this->orderRefreshIntervalOffsetSeconds)) {
this->cancelOpenOrders(requestList, messageTime, messageTimeISO, false);
this->cancelOpenOrders(event, session, requestList, messageTime, messageTimeISO, false);
} else if (std::chrono::duration_cast<std::chrono::seconds>(messageTime - this->cancelOpenOrdersLastTime).count() >=
this->accountBalanceRefreshWaitSeconds &&
this->getAccountBalancesLastTime < this->cancelOpenOrdersLastTime &&
this->cancelOpenOrdersLastTime + std::chrono::seconds(this->accountBalanceRefreshWaitSeconds) >= this->orderRefreshLastTime) {
this->getAccountBalances(requestList, messageTime, messageTimeISO);
this->getAccountBalances(event, session, requestList, messageTime, messageTimeISO);
}
this->postProcessMessageMarketDataEventMarketDepth(message, messageTime);
}
Expand Down Expand Up @@ -553,12 +552,12 @@ class EventHandlerBase : public EventHandler {
}
if (!this->openBuyOrder && !this->openSellOrder) {
if (this->accountBalanceRefreshWaitSeconds == 0) {
this->getAccountBalances(requestList, messageTimeReceived, messageTimeReceivedISO);
this->getAccountBalances(event, session, requestList, messageTimeReceived, messageTimeReceivedISO);
}
}
} else if (std::find(correlationIdList.begin(), correlationIdList.end(), this->cancelOpenOrdersRequestCorrelationId) != correlationIdList.end()) {
if (this->accountBalanceRefreshWaitSeconds == 0) {
this->getAccountBalances(requestList, messageTimeReceived, messageTimeReceivedISO);
this->getAccountBalances(event, session, requestList, messageTimeReceived, messageTimeReceivedISO);
}
} else if (std::find(correlationIdList.begin(), correlationIdList.end(), this->getAccountBalancesRequestCorrelationId) != correlationIdList.end()) {
if (this->tradingMode == TradingMode::LIVE) {
Expand All @@ -581,7 +580,7 @@ class EventHandlerBase : public EventHandler {
}
if (this->numOpenOrders == 0) {
size_t oldRequestListSize = requestList.size();
this->placeOrders(requestList, messageTimeReceived);
this->placeOrders(event, session, requestList, messageTimeReceived);
this->numOpenOrders = requestList.size() - oldRequestListSize;
}
} else if (std::find(correlationIdList.begin(), correlationIdList.end(), "GET_INSTRUMENT") != correlationIdList.end()) {
Expand Down Expand Up @@ -656,37 +655,7 @@ class EventHandlerBase : public EventHandler {
}
} else {
std::vector<Subscription> subscriptionList;
{
std::string options;
if (this->tradingMode == TradingMode::LIVE) {
options += std::string(CCAPI_MARKET_DEPTH_MAX) + "=1";
} else if (this->tradingMode == TradingMode::PAPER) {
if (this->appMode == AppMode::MARKET_MAKING) {
options += std::string(CCAPI_MARKET_DEPTH_MAX) + "=1";
} else if (this->appMode == AppMode::SINGLE_ORDER_EXECUTION) {
options += std::string(CCAPI_MARKET_DEPTH_MAX) + "=1000";
}
}
if (!this->enableUpdateOrderBookTickByTick) {
options += "&" + std::string(CCAPI_CONFLATE_INTERVAL_MILLISECONDS) + "=" + std::to_string(this->clockStepMilliseconds) + "&" +
CCAPI_CONFLATE_GRACE_PERIOD_MILLISECONDS + "=0";
}
subscriptionList.emplace_back(this->exchange, this->instrumentWebsocket, CCAPI_MARKET_DEPTH, options,
PUBLIC_SUBSCRIPTION_DATA_MARKET_DEPTH_CORRELATION_ID);
}
{
std::string field = CCAPI_TRADE;
if (this->exchange.rfind("binance", 0) == 0) {
field = CCAPI_AGG_TRADE;
}
subscriptionList.emplace_back(this->exchange, this->instrumentWebsocket, field, "", PUBLIC_SUBSCRIPTION_DATA_TRADE_CORRELATION_ID);
}
{
if (this->tradingMode == TradingMode::LIVE) {
subscriptionList.emplace_back(this->exchange, this->instrumentWebsocket, std::string(CCAPI_EM_PRIVATE_TRADE) + "," + CCAPI_EM_ORDER_UPDATE, "",
PRIVATE_SUBSCRIPTION_DATA_CORRELATION_ID);
}
}
this->createSubscriptionList(subscriptionList);
session->subscribe(subscriptionList);
}
}
Expand All @@ -697,7 +666,7 @@ class EventHandlerBase : public EventHandler {
if (correlationId == PRIVATE_SUBSCRIPTION_DATA_CORRELATION_ID) {
const auto& messageTimeReceived = message.getTimeReceived();
const auto& messageTimeReceivedISO = UtilTime::getISOTimestamp(messageTimeReceived);
this->cancelOpenOrders(requestList, messageTimeReceived, messageTimeReceivedISO, true);
this->cancelOpenOrders(event, session, requestList, messageTimeReceived, messageTimeReceivedISO, true);
}
}
}
Expand Down Expand Up @@ -1080,6 +1049,40 @@ class EventHandlerBase : public EventHandler {
// end: only applicable to backtest

protected:
virtual void processEventFurther(const Event& event, Session* session, std::vector<Request>& requestList) {}
virtual void createSubscriptionList(std::vector<Subscription>& subscriptionList) {
{
std::string options;
if (this->tradingMode == TradingMode::LIVE) {
options += std::string(CCAPI_MARKET_DEPTH_MAX) + "=1";
} else if (this->tradingMode == TradingMode::PAPER) {
if (this->appMode == AppMode::MARKET_MAKING) {
options += std::string(CCAPI_MARKET_DEPTH_MAX) + "=1";
} else if (this->appMode == AppMode::SINGLE_ORDER_EXECUTION) {
options += std::string(CCAPI_MARKET_DEPTH_MAX) + "=1000";
}
}
if (!this->enableUpdateOrderBookTickByTick) {
options += "&" + std::string(CCAPI_CONFLATE_INTERVAL_MILLISECONDS) + "=" + std::to_string(this->clockStepMilliseconds) + "&" +
CCAPI_CONFLATE_GRACE_PERIOD_MILLISECONDS + "=0";
}
subscriptionList.emplace_back(this->exchange, this->instrumentWebsocket, CCAPI_MARKET_DEPTH, options,
PUBLIC_SUBSCRIPTION_DATA_MARKET_DEPTH_CORRELATION_ID);
}
{
std::string field = CCAPI_TRADE;
if (this->exchange.rfind("binance", 0) == 0) {
field = CCAPI_AGG_TRADE;
}
subscriptionList.emplace_back(this->exchange, this->instrumentWebsocket, field, "", PUBLIC_SUBSCRIPTION_DATA_TRADE_CORRELATION_ID);
}
{
if (this->tradingMode == TradingMode::LIVE) {
subscriptionList.emplace_back(this->exchange, this->instrumentWebsocket, std::string(CCAPI_EM_PRIVATE_TRADE) + "," + CCAPI_EM_ORDER_UPDATE, "",
PRIVATE_SUBSCRIPTION_DATA_CORRELATION_ID);
}
}
}
virtual void postProcessMessageMarketDataEventMarketDepth(const Message& message, const TimePoint& messageTime) {}
virtual void postProcessMessageMarketDataEventTrade(const Message& message, const TimePoint& messageTime) {
if (this->enableAdverseSelectionGuard) {
Expand Down Expand Up @@ -1130,7 +1133,8 @@ class EventHandlerBase : public EventHandler {
this->quoteBalance -= feeQuantity;
}
}
virtual void cancelOpenOrders(std::vector<Request>& requestList, const TimePoint& messageTime, const std::string& messageTimeISO, bool alwaysCancel) {
virtual void cancelOpenOrders(const Event& event, Session* session, std::vector<Request>& requestList, const TimePoint& messageTime,
const std::string& messageTimeISO, bool alwaysCancel) {
if (alwaysCancel || this->numOpenOrders != 0) {
if (this->useCancelOrderToCancelOpenOrders) {
if (this->openBuyOrder && !this->openBuyOrder.get().orderId.empty()) {
Expand Down Expand Up @@ -1180,12 +1184,13 @@ class EventHandlerBase : public EventHandler {
this->numOpenOrders = 0;
APP_LOGGER_INFO("Cancel open orders.");
} else {
this->getAccountBalances(requestList, messageTime, messageTimeISO);
this->getAccountBalances(event, session, requestList, messageTime, messageTimeISO);
}
this->orderRefreshLastTime = messageTime;
this->cancelOpenOrdersLastTime = messageTime;
}
virtual void getAccountBalances(std::vector<Request>& requestList, const TimePoint& messageTime, const std::string& messageTimeISO) {
virtual void getAccountBalances(const Event& event, Session* session, std::vector<Request>& requestList, const TimePoint& messageTime,
const std::string& messageTimeISO) {
#ifdef GET_ACCOUNT_BALANCES_REQUEST_CORRELATION_ID
this->getAccountBalancesRequestCorrelationId = GET_ACCOUNT_BALANCES_REQUEST_CORRELATION_ID;
#else
Expand Down Expand Up @@ -1229,7 +1234,7 @@ class EventHandlerBase : public EventHandler {
this->skipProcessEvent = true;
}
}
virtual void placeOrders(std::vector<Request>& requestList, const TimePoint& now) {
virtual void placeOrders(const Event& event, Session* session, std::vector<Request>& requestList, const TimePoint& now) {
if (this->midPrice == 0) {
APP_LOGGER_INFO("At least one side of the order book is empty. Skip.");
return;
Expand All @@ -1240,15 +1245,15 @@ class EventHandlerBase : public EventHandler {
APP_LOGGER_INFO("Best bid price is " + this->bestBidPrice + ", best bid size is " + this->bestBidSize + ", best ask price is " + this->bestAskPrice +
", best ask size is " + this->bestAskSize + ".");
if (this->appMode == AppMode::MARKET_MAKING) {
this->placeOrdersMarketMaking(requestList, now);
this->placeOrdersMarketMaking(event, session, requestList, now);
} else if (this->appMode == AppMode::SINGLE_ORDER_EXECUTION) {
this->placeOrdersSingleOrderExecution(requestList, now);
this->placeOrdersSingleOrderExecution(event, session, requestList, now);
}
} else {
APP_LOGGER_INFO("Account has no assets. Skip.");
}
}
virtual void placeOrdersMarketMaking(std::vector<Request>& requestList, const TimePoint& now) {
virtual void placeOrdersMarketMaking(const Event& event, Session* session, std::vector<Request>& requestList, const TimePoint& now) {
double totalBalance = this->baseBalance * this->midPrice + this->quoteBalance;
if (totalBalance > this->totalBalancePeak) {
this->totalBalancePeak = totalBalance;
Expand Down Expand Up @@ -1408,7 +1413,7 @@ class EventHandlerBase : public EventHandler {
this->orderRefreshIntervalSeconds = this->originalOrderRefreshIntervalSeconds;
}
}
virtual void placeOrdersSingleOrderExecution(std::vector<Request>& requestList, const TimePoint& now) {
virtual void placeOrdersSingleOrderExecution(const Event& event, Session* session, std::vector<Request>& requestList, const TimePoint& now) {
double price = 0;
if (this->orderSide == CCAPI_EM_ORDER_SIDE_BUY) {
price = std::min(midPrice * (1 + this->orderPriceLimitRelativeToMidPrice), this->orderPriceLimit == 0 ? INT_MAX : this->orderPriceLimit);
Expand Down
5 changes: 4 additions & 1 deletion include/ccapi_cpp/service/ccapi_execution_management_service_huobi_base.h
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Original file line number Diff line number Diff line change
Expand Up @@ -79,7 +79,10 @@ class ExecutionManagementServiceHuobiBase : public ExecutionManagementService {
}
} else {
if (key == "type") {
value = (value == CCAPI_EM_ORDER_SIDE_BUY || value == "buy-limit") ? "buy-limit" : "sell-limit";
if (value == CCAPI_EM_ORDER_SIDE_BUY)
value = "buy-limit";
else if (value == CCAPI_EM_ORDER_SIDE_SELL)
value = "sell-limit";
}
}
document.AddMember(rj::Value(key.c_str(), allocator).Move(), rj::Value(value.c_str(), allocator).Move(), allocator);
Expand Down

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