Table of Contents generated with DocToc

• ccapi
  • Usage
  • Build
    • C++
    • Python
  • Constants
  • Examples
    • Simple Market Data
    • Advanced Market Data
      • Specify market depth
      • Specify correlation id
      • Normalize instrument name
      • Multiple exchanges and/or instruments
      • Receive events at periodic intervals
      • Receive events at periodic intervals including when the market depth snapshot hasn't changed
      • Receive market depth updates
      • Receive trade events
      • Receive OHLC events at periodic intervals
    • Simple Execution Management
    • Advanced Execution Management
      • Specify correlation id
      • Normalize instrument name
      • Multiple exchanges and/or instruments
      • Make Session::sendRequest blocking
      • Multiple sets of API credentials for the same exchange
      • Override exchange urls
      • Complex request parameters
    • More Advanced Topics
      • Handle events in "immediate" vs. "batching" mode
      • Thread safety
      • Enable library logging
    • Performance Tuning
    • Contributing

Small breaking change in v3.2.x: SessionOptions enableCheckPingPong(default to false) has been replaced by enableCheckPingPongWebsocketProtocolLevel(default to true) and enableCheckPingPongWebsocketApplicationLevel(default to true).

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, bitstamp, bitfinex, bitmex, binance-us, binance, binance-futures, huobi, okex, erisx, kucoin.
  • Execution Management: coinbase, gemini, bitmex, binance-us, binance, binance-futures, huobi, erisx.
• 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.
• Since symbol normalization is a tedious task, you can choose to use a reference file at https://marketdata-e0323a9039add2978bf5b49550572c7c-public.s3.amazonaws.com/supported_exchange_instrument_subscription_data.csv.gz which we frequently update.
• Please contact us for general questions, issue reporting, consultative services, and/or custom engineering work. To subscribe to our mailing list, simply send us an email with subject "subscribe".
• Join us on Medium https://cryptochassis.medium.com and Telegram https://t.me/cryptochassis.

Usage

• Real-time market data fetching, high frequency market making, cross exchange arbitrage, etc.
• For stability, please usa stable releases. Master branch might contain experimental features.

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, 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
• Link libraries:
  • OpenSSL: libssl
  • OpenSSL: libcrypto
  • If you need huobi or okex, 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:
  • "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 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.

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, etc. and exchange enablement macros such as CCAPI_ENABLE_EXCHANGE_COINBASE, etc. If you need huobi or okex, also uncomment the lines corresponding to finding ZLIB.
• Run the following commands.

mkdir binding/build
cd binding/build
cmake -DCMAKE_PROJECT_INCLUDE=<path-to-user_specified_cmake_include> -DBUILD_VERSION=... -DBUILD_PYTHON=ON -DINSTALL_PYTHON=ON ..
cmake --build . -j
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.

Constants

include/ccapi_cpp/ccapi_macro.h

Examples

C++ / Python

Python API is nearly identical to C++ API, please refer to C++ for more examples.

Simple Market Data

C++ / Python

Objective:

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:

#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 */
int main(int argc, char **argv) {
  using namespace ccapi;  // NOLINT(build/namespaces)
  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:

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.

Advanced Market Data

Specify 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 Subscription with the desired correlationId.

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

Normalize instrument name

Instantiate SessionConfigs with a map mapping the exchange name and the normalized instrument name to the instrument's symbol on the exchange.

std::map<std::string, std::map<std::string, std::string> > exchangeInstrumentSymbolMap;
std::string coolName = "btc_usd";
exchangeInstrumentSymbolMap["coinbase"][coolName] = "BTC-USD";
SessionConfigs sessionConfigs(exchangeInstrumentSymbolMap);
Session session(sessionOptions, sessionConfigs, &eventHandler);

Multiple exchanges and/or instruments

Subscribe a std::vector<Subscription>.

std::vector<Subscription> subscriptionList;
Subscription subscription_1("coinbase", "BTC-USD", "MARKET_DEPTH");
subscriptionList.push_back(subscription_1);
Subscription subscription_2("binance-us", "ethusd", "MARKET_DEPTH");
subscriptionList.push_back(subscription_2);
session.subscribe(subscriptionList);

Receive 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 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 your network latency.

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

Receive market depth updates

Instantiate Subscription with option MARKET_DEPTH_RETURN_UPDATE set to 1.

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

Receive trade events

Instantiate Subscription with field TRADE.

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

Receive 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");

Simple Execution Management

C++ / Python

Objective:

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

Code:

#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: " + toString(event) << std::endl;
    return true;
  }
};
} /* namespace ccapi */
int main(int argc, char** argv) {
  using namespace ccapi;  // NOLINT(build/namespaces)
  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:

Received an event:
  Event [
    type = RESPONSE,
    messageList = [
      Message [
        type = CREATE_ORDER,
        recapType = UNKNOWN,
        time = 1970-01-01T00:00:00.000000000Z,
        timeReceived = 2021-01-04T04:15:04.710133000Z,
        elementList = [
          Element [
            nameValueMap = {
              CLIENT_ORDER_ID = MbdTQCHc0EQgLKry0Ryrhr,
              CUMULATIVE_FILLED_PRICE_TIMES_QUANTITY = 0.0000,
              CUMULATIVE_FILLED_QUANTITY = 0.00000000,
              INSTRUMENT = BTCUSD,
              LIMIT_PRICE = 20000.0000,
              ORDER_ID = 187143156,
              QUANTITY = 0.00050000,
              SIDE = BUY,
              STATUS = OPEN
            }
          ]
        ],
        correlationIdList = [ 5PN2qmWqBlQ9wQj99nsQzldVI5ZuGXbE ]
      ]
    ]
  ]
Bye

• Request operation types: CREATE_ORDER, CANCEL_ORDER, GET_ORDER, GET_OPEN_ORDERS, CANCEL_OPEN_ORDERS.
• Request parameter names: SIDE, QUANTITY, LIMIT_PRICE, ACCOUNT_ID, ORDER_ID, CLIENT_ORDER_ID, PARTY_ID, CCAPI_EM_ORDER_POSITION_EFFECT.

Advanced Execution Management

Specify correlation id

Instantiate Request with the desired correlationId.

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

Normalize instrument name

Instantiate SessionConfigs with a map mapping the exchange name and the normalized instrument name to the instrument's symbol on the exchange.

std::map<std::string, std::map<std::string, std::string> > exchangeInstrumentSymbolMap;
std::string coolName = "btc_usd";
exchangeInstrumentSymbolMap["coinbase"][coolName] = "BTC-USD";
SessionConfigs sessionConfigs(exchangeInstrumentSymbolMap);
Session session(sessionOptions, sessionConfigs, &eventHandler);

Multiple exchanges and/or instruments

Send a std::vector<Request>.

std::vector<Request> requestList;
Request request_1(Request::Operation::CREATE_ORDER, "binance-us", "BTCUSD");
request_1.appendParam(...);
requestList.push_back(request_1);
Request request_2(Request::Operation::CREATE_ORDER, "binance-us", "ETHUSD");
request_2.appendParam(...);
requestList.push_back(request_2);
session.sendRequest(requestList);

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();

Multiple sets of API credentials for the same exchange

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

• Set the relevent environment variables (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.

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

Override exchange urls

See section "exchange REST 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"}
});

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 executed 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);

• 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();

Thread safety

The following methods are implemented to be thread-safe: Session::subscribe, Session::sendRequest, all public methods in Queue.

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.

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

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).
• 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.

Contributing

• (Required) Submit a pull request to the master branch.
• (Optional) Commit message format: https://conventionalcommits.org.