Merge pull request #437 from crypto-chassis/develop

Release

README.md

@@ -1,5 +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.
-
+# Notifications:
+* New features: added REST endpoints for fetching historical public trades, historical/recent candlesticks, and market depth (i.e. order book snapshot).
+* Small breaking change to correct an English typo: In `SessionOptions`, the substring "MilliSeconds" has been renamed to "Milliseconds".
 
 <!-- START doctoc generated TOC please keep comment here to allow auto update -->
 <!-- DON'T EDIT THIS SECTION, INSTEAD RE-RUN doctoc TO UPDATE -->
@@ -279,8 +280,8 @@ Received an event:
   ]
 Bye
 ```
-* Request operation types: `GET_INSTRUMENT`, `GET_INSTRUMENTS`, `GET_RECENT_TRADES`, `GET_RECENT_AGG_TRADES`(only applicable to binance family: https://binance-docs.github.io/apidocs/spot/en/#compressed-aggregate-trades-list).
-* Request parameter names: `LIMIT`, `INSTRUMENT_TYPE`. Instead of these convenient names you can also choose to use arbitrary parameter names and they will be passed to the exchange's native API. See [this example](example/src/market_data_advanced_request/main.cpp).
+* Request operation types: `GET_INSTRUMENT`, `GET_INSTRUMENTS`, `GET_RECENT_TRADES`, `GET_HISTORICAL_TRADES`, `GET_RECENT_CANDLESTICKS`, `GET_HISTORICAL_CANDLESTICKS`, `GET_RECENT_AGG_TRADES`, `GET_HISTORICAL_AGG_TRADES`(only applicable to binance family: https://binance-docs.github.io/apidocs/spot/en/#compressed-aggregate-trades-list), ``.
+* Request parameter names: `LIMIT`, `INSTRUMENT_TYPE`, `CANDLESTICK_INTERVAL_SECONDS`, `START_TIME_SECONDS`, `END_TIME_SECONDS`, `START_TRADE_ID`, `END_TRADE_ID`, `START_AGG_TRADE_ID`, `END_AGG_TRADE_ID`. Instead of these convenient names you can also choose to use arbitrary parameter names and they will be passed to the exchange's native API. See [this example](example/src/market_data_advanced_request/main.cpp).
 * Message's `time` represents the exchange's reported timestamp. Its `timeReceived` represents the library's receiving timestamp. `time` can be retrieved by `getTime` method and `timeReceived` can be retrieved by `getTimeReceived` method. (For non-C++, please use `getTimeUnix` and `getTimeReceivedUnix` methods or `getTimeISO` and `getTimeReceivedISO` methods).
 
 **Objective 2:**
@@ -338,7 +339,7 @@ Best bid and ask at 2020-07-27T23:56:51.884855000Z are:
 Best bid and ask at 2020-07-27T23:56:51.935993000Z are:
   ...
 ```
-* Subscription fields: `MARKET_DEPTH`, `TRADE`, `AGG_TRADE`(only applicable to binance family: https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams).
+* Subscription fields: `MARKET_DEPTH`, `TRADE`, `CANDLESTICK`, `AGG_TRADE`(only applicable to binance family: https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams).
 
 ### Advanced Market Data
 

app/src/single_order_execution/main.cpp

@@ -132,7 +132,7 @@ int main(int argc, char** argv) {
   eventHandler.promisePtr = promisePtr;
 #ifndef CCAPI_APP_IS_BACKTEST
   SessionOptions sessionOptions;
-  sessionOptions.httpConnectionPoolIdleTimeoutMilliSeconds = 1;
+  sessionOptions.httpConnectionPoolIdleTimeoutMilliseconds = 1;
   sessionOptions.httpMaxNumRetry = 0;
   sessionOptions.httpMaxNumRedirect = 0;
   SessionConfigs sessionConfigs;

app/src/spot_market_making/main.cpp

@@ -168,7 +168,7 @@ int main(int argc, char** argv) {
   eventHandler.promisePtr = promisePtr;
 #ifndef CCAPI_APP_IS_BACKTEST
   SessionOptions sessionOptions;
-  sessionOptions.httpConnectionPoolIdleTimeoutMilliSeconds = 1 + eventHandler.accountBalanceRefreshWaitSeconds;
+  sessionOptions.httpConnectionPoolIdleTimeoutMilliseconds = 1 + eventHandler.accountBalanceRefreshWaitSeconds;
   sessionOptions.httpMaxNumRetry = 0;
   sessionOptions.httpMaxNumRedirect = 0;
   SessionConfigs sessionConfigs;

example/src/fix_advanced/main.cpp

@@ -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);

include/ccapi_cpp/ccapi_macro.h

@@ -229,6 +229,21 @@
 #ifndef CCAPI_LIMIT
 #define CCAPI_LIMIT "LIMIT"
 #endif
+#ifndef CCAPI_START_TRADE_ID
+#define CCAPI_START_TRADE_ID "START_TRADE_ID"
+#endif
+#ifndef CCAPI_END_TRADE_ID
+#define CCAPI_END_TRADE_ID "END_TRADE_ID"
+#endif
+#ifndef CCAPI_START_AGG_TRADE_ID
+#define CCAPI_START_AGG_TRADE_ID "START_AGG_TRADE_ID"
+#endif
+#ifndef CCAPI_START_TIME_SECONDS
+#define CCAPI_START_TIME_SECONDS "START_TIME_SECONDS"
+#endif
+#ifndef CCAPI_END_TIME_SECONDS
+#define CCAPI_END_TIME_SECONDS "END_TIME_SECONDS"
+#endif
 #ifndef CCAPI_BASE_ASSET
 #define CCAPI_BASE_ASSET "BASE_ASSET"
 #endif

include/ccapi_cpp/ccapi_message.h

@@ -62,7 +62,12 @@ class Message CCAPI_FINAL {
     GET_ACCOUNT_BALANCES,
     GET_ACCOUNT_POSITIONS,
     GET_RECENT_TRADES,
+    GET_HISTORICAL_TRADES,
     GET_RECENT_AGG_TRADES,
+    GET_HISTORICAL_AGG_TRADES,
+    GET_RECENT_CANDLESTICKS,
+    GET_HISTORICAL_CANDLESTICKS,
+    GET_MARKET_DEPTH,
     GET_INSTRUMENT,
     GET_INSTRUMENTS,
     RESPONSE_ERROR,
@@ -147,9 +152,24 @@ class Message CCAPI_FINAL {
       case Type::GET_RECENT_TRADES:
         output = "GET_RECENT_TRADES";
         break;
+      case Type::GET_HISTORICAL_TRADES:
+        output = "GET_HISTORICAL_TRADES";
+        break;
       case Type::GET_RECENT_AGG_TRADES:
         output = "GET_RECENT_AGG_TRADES";
         break;
+      case Type::GET_HISTORICAL_AGG_TRADES:
+        output = "GET_HISTORICAL_AGG_TRADES";
+        break;
+      case Type::GET_RECENT_CANDLESTICKS:
+        output = "GET_RECENT_CANDLESTICKS";
+        break;
+      case Type::GET_HISTORICAL_CANDLESTICKS:
+        output = "GET_HISTORICAL_CANDLESTICKS";
+        break;
+      case Type::GET_MARKET_DEPTH:
+        output = "GET_MARKET_DEPTH";
+        break;
       case Type::GET_INSTRUMENT:
         output = "GET_INSTRUMENT";
         break;

include/ccapi_cpp/ccapi_request.h

@@ -31,7 +31,12 @@ class Request CCAPI_FINAL {
     GENERIC_PRIVATE_REQUEST = CCAPI_REQUEST_OPERATION_TYPE_GENERIC_PRIVATE_REQUEST,
     FIX = CCAPI_REQUEST_OPERATION_TYPE_FIX,
     GET_RECENT_TRADES = CCAPI_REQUEST_OPERATION_TYPE_MARKET_DATA,
+    GET_HISTORICAL_TRADES,
     GET_RECENT_AGG_TRADES,
+    GET_HISTORICAL_AGG_TRADES,
+    GET_RECENT_CANDLESTICKS,
+    GET_HISTORICAL_CANDLESTICKS,
+    GET_MARKET_DEPTH,
     GET_INSTRUMENT,
     GET_INSTRUMENTS,
     CREATE_ORDER = CCAPI_REQUEST_OPERATION_TYPE_EXECUTION_MANAGEMENT_ORDER,
@@ -61,9 +66,24 @@ class Request CCAPI_FINAL {
       case Operation::GET_RECENT_TRADES:
         output = "GET_RECENT_TRADES";
         break;
+      case Operation::GET_HISTORICAL_TRADES:
+        output = "GET_HISTORICAL_TRADES";
+        break;
       case Operation::GET_RECENT_AGG_TRADES:
         output = "GET_RECENT_AGG_TRADES";
         break;
+      case Operation::GET_HISTORICAL_AGG_TRADES:
+        output = "GET_HISTORICAL_AGG_TRADES";
+        break;
+      case Operation::GET_RECENT_CANDLESTICKS:
+        output = "GET_RECENT_CANDLESTICKS";
+        break;
+      case Operation::GET_HISTORICAL_CANDLESTICKS:
+        output = "GET_HISTORICAL_CANDLESTICKS";
+        break;
+      case Operation::GET_MARKET_DEPTH:
+        output = "GET_MARKET_DEPTH";
+        break;
       case Operation::GET_INSTRUMENT:
         output = "GET_INSTRUMENT";
         break;

include/ccapi_cpp/ccapi_session.h

@@ -821,13 +821,13 @@ class Session {
       this->sendRequestByWebsocket(x);
     }
   }
-  virtual void sendRequest(Request& request, Queue<Event>* eventQueuePtr = nullptr, long delayMilliSeconds = 0) {
+  virtual void sendRequest(Request& request, Queue<Event>* eventQueuePtr = nullptr, long delayMilliseconds = 0) {
     CCAPI_LOGGER_FUNCTION_ENTER;
     std::vector<Request> requestList({request});
-    this->sendRequest(requestList, eventQueuePtr, delayMilliSeconds);
+    this->sendRequest(requestList, eventQueuePtr, delayMilliseconds);
     CCAPI_LOGGER_FUNCTION_EXIT;
   }
-  virtual void sendRequest(std::vector<Request>& requestList, Queue<Event>* eventQueuePtr = nullptr, long delayMilliSeconds = 0) {
+  virtual void sendRequest(std::vector<Request>& requestList, Queue<Event>* eventQueuePtr = nullptr, long delayMilliseconds = 0) {
     CCAPI_LOGGER_FUNCTION_ENTER;
     std::vector<std::shared_ptr<std::future<void> > > futurePtrList;
     // std::set<std::string> serviceNameExchangeSet;
@@ -854,7 +854,7 @@ class Session {
       //   serviceNameExchangeSet.insert(key);
       // }
       auto now = UtilTime::now();
-      auto futurePtr = servicePtr->sendRequest(request, !!eventQueuePtr, now, delayMilliSeconds, eventQueuePtr);
+      auto futurePtr = servicePtr->sendRequest(request, !!eventQueuePtr, now, delayMilliseconds, eventQueuePtr);
       if (eventQueuePtr) {
         futurePtrList.push_back(futurePtr);
       }
@@ -886,10 +886,10 @@ class Session {
     this->onEvent(event, eventQueuePtr);
   }
 #ifndef SWIG
-  virtual void setTimer(const std::string& id, long delayMilliSeconds, std::function<void(const boost::system::error_code&)> errorHandler,
+  virtual void setTimer(const std::string& id, long delayMilliseconds, std::function<void(const boost::system::error_code&)> errorHandler,
                         std::function<void()> successHandler) {
-    boost::asio::post(*this->serviceContextPtr->ioContextPtr, [this, id, delayMilliSeconds, errorHandler, successHandler]() {
-      std::shared_ptr<steady_timer> timerPtr(new steady_timer(*this->serviceContextPtr->ioContextPtr, boost::asio::chrono::milliseconds(delayMilliSeconds)));
+    boost::asio::post(*this->serviceContextPtr->ioContextPtr, [this, id, delayMilliseconds, errorHandler, successHandler]() {
+      std::shared_ptr<steady_timer> timerPtr(new steady_timer(*this->serviceContextPtr->ioContextPtr, boost::asio::chrono::milliseconds(delayMilliseconds)));
       timerPtr->async_wait([this, id, errorHandler, successHandler](const boost::system::error_code& ec) {
         if (this->eventHandler) {
 #ifdef CCAPI_USE_SINGLE_THREAD

include/ccapi_cpp/ccapi_session_options.h

@@ -18,44 +18,44 @@ class SessionOptions CCAPI_FINAL {
                          ", enableCheckPingPongWebsocketProtocolLevel = " + ccapi::toString(enableCheckPingPongWebsocketProtocolLevel) +
                          ", enableCheckPingPongWebsocketApplicationLevel = " + ccapi::toString(enableCheckPingPongWebsocketApplicationLevel) +
                          ", enableCheckHeartbeatFix = " + ccapi::toString(enableCheckHeartbeatFix) +
-                         ", pingWebsocketProtocolLevelIntervalMilliSeconds = " + ccapi::toString(pingWebsocketProtocolLevelIntervalMilliSeconds) +
-                         ", pongWebsocketProtocolLevelTimeoutMilliSeconds = " + ccapi::toString(pongWebsocketProtocolLevelTimeoutMilliSeconds) +
-                         ", pingWebsocketApplicationLevelIntervalMilliSeconds = " + ccapi::toString(pingWebsocketApplicationLevelIntervalMilliSeconds) +
-                         ", pongWebsocketApplicationLevelTimeoutMilliSeconds = " + ccapi::toString(pongWebsocketApplicationLevelTimeoutMilliSeconds) +
-                         ", heartbeatFixIntervalMilliSeconds = " + ccapi::toString(heartbeatFixIntervalMilliSeconds) +
-                         ", heartbeatFixTimeoutMilliSeconds = " + ccapi::toString(heartbeatFixTimeoutMilliSeconds) +
+                         ", pingWebsocketProtocolLevelIntervalMilliseconds = " + ccapi::toString(pingWebsocketProtocolLevelIntervalMilliseconds) +
+                         ", pongWebsocketProtocolLevelTimeoutMilliseconds = " + ccapi::toString(pongWebsocketProtocolLevelTimeoutMilliseconds) +
+                         ", pingWebsocketApplicationLevelIntervalMilliseconds = " + ccapi::toString(pingWebsocketApplicationLevelIntervalMilliseconds) +
+                         ", pongWebsocketApplicationLevelTimeoutMilliseconds = " + ccapi::toString(pongWebsocketApplicationLevelTimeoutMilliseconds) +
+                         ", heartbeatFixIntervalMilliseconds = " + ccapi::toString(heartbeatFixIntervalMilliseconds) +
+                         ", heartbeatFixTimeoutMilliseconds = " + ccapi::toString(heartbeatFixTimeoutMilliseconds) +
                          ", maxEventQueueSize = " + ccapi::toString(maxEventQueueSize) + ", httpMaxNumRetry = " + ccapi::toString(httpMaxNumRetry) +
                          ", httpMaxNumRedirect = " + ccapi::toString(httpMaxNumRedirect) +
-                         ", httpRequestTimeoutMilliSeconds = " + ccapi::toString(httpRequestTimeoutMilliSeconds) +
+                         ", httpRequestTimeoutMilliseconds = " + ccapi::toString(httpRequestTimeoutMilliseconds) +
                          ", httpConnectionPoolMaxSize = " + ccapi::toString(httpConnectionPoolMaxSize) +
-                         ", httpConnectionPoolIdleTimeoutMilliSeconds = " + ccapi::toString(httpConnectionPoolIdleTimeoutMilliSeconds) +
+                         ", httpConnectionPoolIdleTimeoutMilliseconds = " + ccapi::toString(httpConnectionPoolIdleTimeoutMilliseconds) +
                          ", enableOneHttpConnectionPerRequest = " + ccapi::toString(enableOneHttpConnectionPerRequest) + "]";
     return output;
   }
-  // long warnLateEventMaxMilliSeconds{};                      // used to print a warning log message if en event arrives late
+  // long warnLateEventMaxMilliseconds{};                      // used to print a warning log message if en event arrives late
   bool enableCheckSequence{};                               // used to check sequence number discontinuity
   bool enableCheckOrderBookChecksum{};                      // used to check order book checksum
   bool enableCheckOrderBookCrossed{true};                   // used to check order book cross, usually this should be set to true
   bool enableCheckPingPongWebsocketProtocolLevel{true};     // used to check ping-pong health for exchange connections on websocket protocol level
   bool enableCheckPingPongWebsocketApplicationLevel{true};  // used to check ping-pong health for exchange connections on websocket application level
   bool enableCheckHeartbeatFix{true};                       // used to check heartbeat health for exchange connections on FIX
-  long pingWebsocketProtocolLevelIntervalMilliSeconds{60000};
-  long pongWebsocketProtocolLevelTimeoutMilliSeconds{30000};  // should be less than pingWebsocketProtocolLevelIntervalMilliSeconds
-  long pingWebsocketApplicationLevelIntervalMilliSeconds{60000};
-  long pongWebsocketApplicationLevelTimeoutMilliSeconds{30000};  // should be less than pingWebsocketApplicationLevelIntervalMilliSeconds
-  long heartbeatFixIntervalMilliSeconds{60000};
-  long heartbeatFixTimeoutMilliSeconds{30000};  // should be less than heartbeatFixIntervalMilliSeconds
+  long pingWebsocketProtocolLevelIntervalMilliseconds{60000};
+  long pongWebsocketProtocolLevelTimeoutMilliseconds{30000};  // should be less than pingWebsocketProtocolLevelIntervalMilliseconds
+  long pingWebsocketApplicationLevelIntervalMilliseconds{60000};
+  long pongWebsocketApplicationLevelTimeoutMilliseconds{30000};  // should be less than pingWebsocketApplicationLevelIntervalMilliseconds
+  long heartbeatFixIntervalMilliseconds{60000};
+  long heartbeatFixTimeoutMilliseconds{30000};  // should be less than heartbeatFixIntervalMilliseconds
   int maxEventQueueSize{0};                     // if set to a positive integer, the event queue will throw an exception when overflown
   int httpMaxNumRetry{1};
   int httpMaxNumRedirect{1};
-  long httpRequestTimeoutMilliSeconds{10000};
+  long httpRequestTimeoutMilliseconds{10000};
   int httpConnectionPoolMaxSize{1};  // used to set the maximal number of http connections to be kept in the pool (connections in the pool are idle)
-  long httpConnectionPoolIdleTimeoutMilliSeconds{0};  // used to purge the http connection pool if all connections in the
+  long httpConnectionPoolIdleTimeoutMilliseconds{0};  // used to purge the http connection pool if all connections in the
                                                       // pool have stayed idle for at least this amount of time
   bool enableOneHttpConnectionPerRequest{};           // create a new http connection for each request
 #ifdef CCAPI_LEGACY_USE_WEBSOCKETPP
 #else
-  long websocketConnectTimeoutMilliSeconds{10000};
+  long websocketConnectTimeoutMilliseconds{10000};
 #endif
 };
 } /* namespace ccapi */

include/ccapi_cpp/service/ccapi_execution_management_service_binance_base.h

@@ -74,7 +74,7 @@ class ExecutionManagementServiceBinanceBase : public ExecutionManagementService
           }
           that->onFail_(thisWsConnection);
         },
-        this->sessionOptions.httpRequestTimeoutMilliSeconds);
+        this->sessionOptions.httpRequestTimeoutMilliseconds);
   }
   void onOpen(wspp::connection_hdl hdl) override {
     ExecutionManagementService::onOpen(hdl);
@@ -138,7 +138,7 @@ class ExecutionManagementServiceBinanceBase : public ExecutionManagementService
               [wsConnection, that_2 = that->shared_from_base<ExecutionManagementServiceBinanceBase>()](const http::response<http::string_body>& res) {
                 CCAPI_LOGGER_DEBUG("ping listen key success");
               },
-              that->sessionOptions.httpRequestTimeoutMilliSeconds);
+              that->sessionOptions.httpRequestTimeoutMilliseconds);
         });
   }
   void onClose(wspp::connection_hdl hdl) override {
@@ -201,7 +201,7 @@ class ExecutionManagementServiceBinanceBase : public ExecutionManagementService
           }
           that->onFail_(wsConnectionPtr);
         },
-        this->sessionOptions.httpRequestTimeoutMilliSeconds);
+        this->sessionOptions.httpRequestTimeoutMilliseconds);
   }
   void onOpen(std::shared_ptr<WsConnection> wsConnectionPtr) override {
     ExecutionManagementService::onOpen(wsConnectionPtr);
@@ -265,7 +265,7 @@ class ExecutionManagementServiceBinanceBase : public ExecutionManagementService
           [wsConnectionPtr, that_2 = that->shared_from_base<ExecutionManagementServiceBinanceBase>()](const http::response<http::string_body>& res) {
             CCAPI_LOGGER_DEBUG("ping listen key success");
           },
-          that->sessionOptions.httpRequestTimeoutMilliSeconds);
+          that->sessionOptions.httpRequestTimeoutMilliseconds);
     });
     this->pingListenKeyTimerMapByConnectionIdMap[wsConnectionPtr->id] = timerPtr;
   }

include/ccapi_cpp/service/ccapi_execution_management_service_bitstamp.h

@@ -329,7 +329,7 @@ class ExecutionManagementServiceBitstamp : public ExecutionManagementService {
           }
           that->onFail_(thisWsConnection);
         },
-        this->sessionOptions.httpRequestTimeoutMilliSeconds);
+        this->sessionOptions.httpRequestTimeoutMilliseconds);
   }
 #else
   void prepareConnect(std::shared_ptr<WsConnection> wsConnectionPtr) override {
@@ -381,7 +381,7 @@ class ExecutionManagementServiceBitstamp : public ExecutionManagementService {
           }
           that->onFail_(wsConnectionPtr);
         },
-        this->sessionOptions.httpRequestTimeoutMilliSeconds);
+        this->sessionOptions.httpRequestTimeoutMilliseconds);
   }
 #endif
   std::vector<std::string> createSendStringListFromSubscription(const WsConnection& wsConnection, const Subscription& subscription, const TimePoint& now,