BTCC Pro Exchange FIX API Trading Engine

Introduction

This Repository include multiple branches, trade-engine is a FIX wrapper for BTCC Pro-exchange FIX API unit-test is FIX api performance routine test

If you are a developer who wants to improve this client-engine or you simply want to implement your strategy with FIX Engine, trade-engine branch is a good one to start with. We will keep maintaining on it. If you want to contribute to this branch, we will happy to see you folk.

This FIX engine is build on top of open source java library quickfix/j , check their github repository for more detail https://github.com/quickfix-j/quickfixj.

We have a simple java demo version,check the github repository for more details [https://github.com/JoanJia/btcc-pro-fix-java-simplified]

Documentation

There are currently two documents for BTCC Pro-exchange FIX API

Pro Exchange Market Data API Documentation

This document include general Market Data

• price data (bid / ask)
• market depth (level 1 order book) check MarketData Class later for more detail

Pro Exchange Trade API Documentation

This document include all the trading instructions you are allowed to through FIX API

• Buy / Sell
• Update Personal Account Info
• Cancel Order
• AccountInfo

Installation

checkout repository first

git clone https://github.com/BTCChina/btcc-fix-client.git

switch to trade-engine branch

git fetch

git checkout trade-engine

Configuration

go the quickfix-client.properties to configure your trade engine Give your bot a unique name like

SenderCompID=CLIENT-WenqingYu

It is important to keep this name unique, since two session with same name cannot connect to server with same name

Then fill up your access key and secret key at bottom

AccessKey=6446fa83-803e-42f0-986b-3q4273e18107

SecretKey=89146e5a-0344-4af2-8d16-23c681641219

Start FIX Trade

Using FIX API have many benefits on professional trading. Standardize request and response format is one. Also, since there is only one hand-shake confirmation need to start a session, it saves precious time from hand-shake confirm in each execution. Our FIX API support clinet-side send many requests at very short period of time gap, and the response will send back asynchronously, as long as your client could handle it otherwise it will queued up and cause packet miss or congestion.

This Trade Client Engine is a single process design follows a simple rule, first-in-first-out, and execute one by one. This might not the best design, but is a basic one to start with.

You can add all the instructions into an instruction queue in bot then call the bot.scheduler to execute these instructions one by one and handle the responses

Here is the sample code:

`System.out.println("Start!");

Initialize ProexTrader Bot

	ProexTrader bot = new ProexTrader();

Start Bot

	System.out.println("Bot: " + bot.startTrader());

1. buy / sell order (limit, market, stop)

	bot.sellLimit(2500, 2);
	bot.buyLimit(1500, 2);
	bot.buyMarket(2000, 12); // for mkt order, price is not used, just fill up a int number
	bot.sellMarket(200, 12); // for mkt order, price is not used, just fill up a int number
	bot.buyStop(2000, 12);
	bot.sellStop(123, 23);
	
	bot.scheduler();
	/* Once you called buy/sell instruction, this instruction will be push into a execution queue
	 *  and wait until bot.scheduler called, all the instructions in the queue will be executed one by one */

2. update mkt data, get personal order list

	// data updating also follow the instruction queue approach

	bot.updateMarketData();
	bot.updateOrderList();
	// updating mktData and OrderList
	bot.scheduler();
	// retrieve mktData and OrderList from order
	// play with them in your own strategy
	ArrayList<Order> orderList = bot.getOrderList();
	MarketData mktData = bot.getMktData();

NOTICE: IN THESE TWO EXECUTION, IT MIGHT TAKE A WHILE TO DIGEST FIX RESPONSE SCHEDULER HAS A BUILD IN WAITTING FUNCTION TO PREVENT BOT FROM RESPONSE CONGESTION TO HAVE A STABLE PERFORMANCE, IT IS BETTER TO HAVE ADDITIONAL COUPLE SECONDS WAIT AFTER CALL THESE TWO INSTRUCTIONs

At beginning mktData and orderList is empty in bot, you need to call updateMktData and updateOrderList instruction and execute them first by calling bot.shceduler(), then you can get fresh mktData and orderList

3. Cancel Order

order can be cancelled with adding cancel order instruction into instruction queue order id is required, it is contain in Order object

assume we will cancel the first two orders from fresh order list we got in last step

        bot.addCancelOrder(orderList.get(0));
	bot.addCancelOrder(orderList.get(1));

Having bot update orderlist at end of execution queue

	bot.updateOrderList();
	bot.scheduler();

get fresh order list after you canceled two orders

        orderList = bot.getOrderList();	
	Thread.sleep(3000);

By calling bot.stopTrader(), bot will force quit session to ensure connection is over To ensure your last execution being finished, have a reasonable wait in Tread.sleep() in a wise action

            bot.stopTrader();
	System.out.println("End");

`

FAQ

The program blocked on the login state

Sometimes due to last program did not stop properly, then the bot.stopTrader() haven't been executed before program stopped. Kill last process manually to kill FIX session then try to run it again, if it still not logon, check if your internet on and access-key is generated correctly.

How to generate Access-key pair

Pro-exchange using same access key pair as Spot change. You can generate from API in Spot exchange.

What if I have question about this bot or FIX API?

Feel free to send email to ask [email protected] at anytime.