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feat: add draft for rest query for trades, candlesticks, and market d…
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…epth - kucoin
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@cryptochassis
cryptochassis committed Oct 3, 2023
1 parent cfb7c91 commit a4c4d8e
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Showing 4 changed files with 117 additions and 4 deletions.
4 changes: 2 additions & 2 deletions example/src/fix_advanced/main.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -48,8 +48,8 @@ int main(int argc, char** argv) {
return EXIT_FAILURE;
}
SessionOptions sessionOptions;
sessionOptions.heartbeatFixIntervalMilliSeconds = 30000; // Note the unit is millisecond
sessionOptions.heartbeatFixTimeoutMilliSeconds = 5000; // Note the unit is millisecond, should be less than heartbeatFixIntervalMilliSeconds
sessionOptions.heartbeatFixIntervalMilliseconds = 30000; // Note the unit is millisecond
sessionOptions.heartbeatFixTimeoutMilliseconds = 5000; // Note the unit is millisecond, should be less than heartbeatFixIntervalMilliseconds
SessionConfigs sessionConfigs;
MyEventHandler eventHandler;
Session session(sessionOptions, sessionConfigs, &eventHandler);
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4 changes: 4 additions & 0 deletions include/ccapi_cpp/service/ccapi_market_data_service_kucoin.h
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Expand Up @@ -32,6 +32,10 @@ class MarketDataServiceKucoin : public MarketDataServiceKucoinBase {
this->apiPassphraseName = CCAPI_KUCOIN_API_PASSPHRASE;
this->setupCredential({this->apiKeyName, this->apiSecretName, this->apiPassphraseName});
this->getRecentTradesTarget = "/api/v1/market/histories";
this->getHistoricalTradesTarget = "/api/v1/market/histories";
this->getRecentCandlesticksTarget = "/api/v1/market/candles";
this->getHistoricalCandlesticksTarget = "/api/v1/market/candles";
this->getMarketDepthTarget = "/api/v1/market/orderbook/level2";
this->getInstrumentTarget = "/api/v1/symbols";
this->getInstrumentsTarget = "/api/v1/symbols";
this->channelMarketTicker = CCAPI_WEBSOCKET_KUCOIN_CHANNEL_MARKET_TICKER;
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109 changes: 107 additions & 2 deletions include/ccapi_cpp/service/ccapi_market_data_service_kucoin_base.h
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Original file line number Diff line number Diff line change
Expand Up @@ -502,14 +502,72 @@ class MarketDataServiceKucoinBase : public MarketDataService {
case Request::Operation::GENERIC_PUBLIC_REQUEST: {
MarketDataService::convertRequestForRestGenericPublicRequest(req, request, now, symbolId, credential);
} break;
case Request::Operation::GET_RECENT_TRADES: {
case Request::Operation::GET_RECENT_TRADES:
case Request::Operation::GET_HISTORICAL_TRADES: {
req.method(http::verb::get);
auto target = this->getRecentTradesTarget;
std::string queryString;
const std::map<std::string, std::string> param = request.getFirstParamWithDefault();
this->appendSymbolId(queryString, symbolId, "symbol");
req.target(target + "?" + queryString);
} break;
case Request::Operation::GET_RECENT_CANDLESTICKS:
case Request::Operation::GET_HISTORICAL_CANDLESTICKS: {
req.method(http::verb::get);
auto target = this->getRecentCandlesticksTarget;
std::string queryString;
const std::map<std::string, std::string> param = request.getFirstParamWithDefault();
if (this->isDerivatives) {
this->appendParam(queryString, param,
{
{CCAPI_CANDLESTICK_INTERVAL_SECONDS, "granularity"},
{CCAPI_START_TIME_SECONDS, "from"},
{CCAPI_END_TIME_SECONDS, "to"},
},
{
{CCAPI_CANDLESTICK_INTERVAL_SECONDS, [that = shared_from_base<MarketDataServiceKucoinBase>()](
const std::string& input) { return std::to_string(std::stoi(input) / 60); }},
{CCAPI_START_TIME_SECONDS, [that = shared_from_base<MarketDataServiceKucoinBase>()](
const std::string& input) { return that->convertParamTimeSecondsToTimeMilliseconds(input); }},
{CCAPI_END_TIME_SECONDS, [that = shared_from_base<MarketDataServiceKucoinBase>()](
const std::string& input) { return that->convertParamTimeSecondsToTimeMilliseconds(input); }},
});
} else {
this->appendParam(queryString, param,
{
{CCAPI_CANDLESTICK_INTERVAL_SECONDS, "type"},
{CCAPI_START_TIME_SECONDS, "startAt"},
{CCAPI_END_TIME_SECONDS, "endAt"},
},
{
{CCAPI_CANDLESTICK_INTERVAL_SECONDS,
[that = shared_from_base<MarketDataServiceKucoinBase>()](const std::string& input) {
return that->convertCandlestickIntervalSecondsToInterval(std::stoi(input), "", "min", "hour", "day", "week");
}},
});
}
this->appendSymbolId(queryString, symbolId, "symbol");
req.target(target + "?" + queryString);
} break;
case Request::Operation::GET_MARKET_DEPTH: {
req.method(http::verb::get);
auto target = this->getMarketDepthTarget;
;
std::string queryString;
const std::map<std::string, std::string> param = request.getFirstParamWithDefault();
this->appendSymbolId(queryString, symbolId, "symbol");
std::string maxMarketDepthStr = mapGetWithDefault(param, std::string(CCAPI_MARKET_DEPTH_MAX));
if (maxMarketDepthStr.empty()) {
if (this->isDerivatives) {
std::string toReplace = "depth";
target.replace(target.find(toReplace), toReplace.length(), "snapshot");
}
} else {
target = this->getMarketDepthTarget + (this->isDerivatives ? "" : "_") +
std::to_string(this->calculateMarketDepthAllowedByExchange(std::stoi(maxMarketDepthStr), std::vector<int>({20, 100})));
}
req.target(target + "?" + queryString);
} break;
case Request::Operation::GET_INSTRUMENT: {
req.method(http::verb::get);
auto target = this->getInstrumentTarget;
Expand All @@ -529,7 +587,8 @@ class MarketDataServiceKucoinBase : public MarketDataService {
rj::Document document;
document.Parse<rj::kParseNumbersAsStringsFlag>(textMessage.c_str());
switch (request.getOperation()) {
case Request::Operation::GET_RECENT_TRADES: {
case Request::Operation::GET_RECENT_TRADES:
case Request::Operation::GET_HISTORICAL_TRADES: {
for (const auto& x : document["data"].GetArray()) {
MarketDataMessage marketDataMessage;
marketDataMessage.type = MarketDataMessage::Type::MARKET_DATA_EVENTS_TRADE;
Expand All @@ -543,6 +602,52 @@ class MarketDataServiceKucoinBase : public MarketDataService {
marketDataMessageList.emplace_back(std::move(marketDataMessage));
}
} break;
case Request::Operation::GET_RECENT_CANDLESTICKS:
case Request::Operation::GET_HISTORICAL_CANDLESTICKS: {
for (const auto& x : document["data"].GetArray()) {
MarketDataMessage marketDataMessage;
marketDataMessage.type = MarketDataMessage::Type::MARKET_DATA_EVENTS_CANDLESTICK;
marketDataMessage.tp = this->isDerivatives ? TimePoint(std::chrono::milliseconds(std::stoll(x[0].GetString())))
: TimePoint(std::chrono::seconds(std::stoll(x[0].GetString())));
MarketDataMessage::TypeForDataPoint dataPoint;
if (this->isDerivatives) {
dataPoint.insert({MarketDataMessage::DataFieldType::OPEN_PRICE, std::string(x[1].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::HIGH_PRICE, std::string(x[2].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::LOW_PRICE, std::string(x[3].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::CLOSE_PRICE, std::string(x[4].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::VOLUME, std::string(x[5].GetString())});
} else {
dataPoint.insert({MarketDataMessage::DataFieldType::OPEN_PRICE, std::string(x[1].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::HIGH_PRICE, std::string(x[3].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::LOW_PRICE, std::string(x[4].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::CLOSE_PRICE, std::string(x[2].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::VOLUME, std::string(x[5].GetString())});
dataPoint.insert({MarketDataMessage::DataFieldType::QUOTE_VOLUME, std::string(x[6].GetString())});
}
marketDataMessage.data[MarketDataMessage::DataType::CANDLESTICK].emplace_back(std::move(dataPoint));
marketDataMessageList.emplace_back(std::move(marketDataMessage));
}
} break;
case Request::Operation::GET_MARKET_DEPTH: {
const rj::Value& data = document["data"];
MarketDataMessage marketDataMessage;
marketDataMessage.type = MarketDataMessage::Type::MARKET_DATA_EVENTS_MARKET_DEPTH;
marketDataMessage.tp = this->isDerivatives ? TimePoint(std::chrono::nanoseconds(std::stoll(data["ts"].GetString())))
: TimePoint(std::chrono::milliseconds(std::stoll(data["time"].GetString())));
for (const auto& x : data["bids"].GetArray()) {
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.insert({MarketDataMessage::DataFieldType::PRICE, x[0].GetString()});
dataPoint.insert({MarketDataMessage::DataFieldType::SIZE, x[1].GetString()});
marketDataMessage.data[MarketDataMessage::DataType::BID].emplace_back(std::move(dataPoint));
}
for (const auto& x : data["asks"].GetArray()) {
MarketDataMessage::TypeForDataPoint dataPoint;
dataPoint.insert({MarketDataMessage::DataFieldType::PRICE, x[0].GetString()});
dataPoint.insert({MarketDataMessage::DataFieldType::SIZE, x[1].GetString()});
marketDataMessage.data[MarketDataMessage::DataType::ASK].emplace_back(std::move(dataPoint));
}
marketDataMessageList.emplace_back(std::move(marketDataMessage));
} break;
case Request::Operation::GET_INSTRUMENT: {
Message message;
message.setTimeReceived(timeReceived);
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4 changes: 4 additions & 0 deletions include/ccapi_cpp/service/ccapi_market_data_service_kucoin_futures.h
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Original file line number Diff line number Diff line change
Expand Up @@ -28,6 +28,10 @@ class MarketDataServiceKucoinFutures : public MarketDataServiceKucoinBase {
// }
// #endif
this->getRecentTradesTarget = "/api/v1/trade/history";
this->getHistoricalTradesTarget = "/api/v1/trade/history";
this->getRecentCandlesticksTarget = "/api/v1/kline/query";
this->getHistoricalCandlesticksTarget = "/api/v1/kline/query";
this->getMarketDepthTarget = "/api/v1/level2/depth";
this->getInstrumentTarget = "/api/v1/contracts/active";
this->getInstrumentsTarget = "/api/v1/contracts/active";
this->isDerivatives = true;
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