Merge pull request #429 from crypto-chassis/develop

Release
crypto-chassis · Sep 15, 2023 · e978bd7 · e978bd7
2 parents fa1f634 + 11b0449
commit e978bd7
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Showing 25 changed files with 500 additions and 135 deletions.
diff --git a/binding/python/CMakeLists.txt b/binding/python/CMakeLists.txt
@@ -44,6 +44,7 @@ add_custom_target(${PYTHON_PACKAGING_TARGET_NAME} ALL
   COMMAND ${CMAKE_COMMAND} -E copy ${CMAKE_CURRENT_BINARY_DIR}/setup.py ${PACKAGING_DIR_FULL}
   COMMAND ${CMAKE_COMMAND} -E copy ${CMAKE_CURRENT_BINARY_DIR}/${SWIG_TARGET_NAME}/ccapi.py ${PACKAGING_DIR_FULL}
   COMMAND ${CMAKE_COMMAND} -E copy $<TARGET_FILE:${SWIG_TARGET_NAME}> ${PACKAGING_DIR_FULL}
+  COMMAND ${Python_EXECUTABLE} -m pip install --upgrade setuptools wheel
   COMMAND ${Python_EXECUTABLE} setup.py bdist_wheel
   COMMAND ${Python_EXECUTABLE} -m pip install --upgrade .
   WORKING_DIRECTORY ${PACKAGING_DIR_FULL}

diff --git a/binding/python/example/data_visualization/main.py b/binding/python/example/data_visualization/main.py
@@ -0,0 +1,55 @@
+import time
+from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Subscription, Event
+import matplotlib.pyplot as plt
+import seaborn as sns
+import time
+
+if __name__ == "__main__":
+    option = SessionOptions()
+    config = SessionConfigs()
+    session = Session(option, config)
+    exchange = "okx"
+    instrument = "BTC-USDT"
+    subscription = Subscription(exchange, instrument, "MARKET_DEPTH", "MARKET_DEPTH_MAX=400&CONFLATE_INTERVAL_MILLISECONDS=100")
+    session.subscribe(subscription)
+    fig, ax = plt.subplots()
+    startTime = time.time()
+    while True:
+        bids = {"price": [], "size": []}
+        asks = {"price": [], "size": []}
+        eventList = session.getEventQueue().purge()
+        if eventList:
+            event = eventList[-1]
+            if event.getType() == Event.Type_SUBSCRIPTION_DATA:
+                for message in event.getMessageList():
+                    for element in message.getElementList():
+                        elementNameValueMap = element.getNameValueMap()
+                        for name, value in elementNameValueMap.items():
+                            if name == "BID_PRICE":
+                                bids["price"].append(float(value))
+                            if name == "BID_SIZE":
+                                bids["size"].append(float(value))
+                            if name == "ASK_PRICE":
+                                asks["price"].append(float(value))
+                            if name == "ASK_SIZE":
+                                asks["size"].append(float(value))
+                    ax.clear()
+                    ax.set_title(f"{instrument} Order Book On {exchange.title()} at {message.getTimeISO()}")
+                    ax.set_xlabel("Price")
+                    ax.set_ylabel("Amount")
+                    sns.ecdfplot(
+                        x="price",
+                        weights="size",
+                        legend=False,
+                        stat="count",
+                        complementary=True,
+                        data={"price": bids["price"], "size": bids["size"]},
+                        ax=ax,
+                        color="g",
+                    )
+                    sns.ecdfplot(x="price", weights="size", legend=False, stat="count", data={"price": asks["price"], "size": asks["size"]}, ax=ax, color="r")
+        plt.pause(0.1)
+        if time.time() - startTime > 10:
+            break
+    session.stop()
+    print("Bye")
diff --git a/binding/python/example/enable_library_logging/main.py b/binding/python/example/enable_library_logging/main.py
@@ -2,21 +2,26 @@
 from threading import Lock
 import time
 from ccapi import Logger, Session, Subscription
+
+
 class MyLogger(Logger):
     def __init__(self):
         super().__init__()
         self._lock = Lock()
+
     def logMessage(self, severity: str, threadId: str, timeISO: str, fileName: str, lineNumber: str, message: str) -> None:
         self._lock.acquire()
         print(f'{threadId}: [{timeISO}] {{{fileName}:{lineNumber}}} {severity}{" " * 8}{message}')
         self._lock.release()
+
+
 myLogger = MyLogger()
 Logger.logger = myLogger
-if __name__ == '__main__':
+if __name__ == "__main__":
     session = Session()
-    subscription = Subscription('coinbase', 'BTC-USD', 'MARKET_DEPTH')
+    subscription = Subscription("coinbase", "BTC-USD", "MARKET_DEPTH")
     session.subscribe(subscription)
     time.sleep(10)
     session.stop()
-    print('Bye')
+    print("Bye")
     Logger.logger = None
diff --git a/binding/python/example/execution_management_simple_request/main.py b/binding/python/example/execution_management_simple_request/main.py
@@ -2,30 +2,37 @@
 import sys
 import time
 from ccapi import Event, SessionOptions, SessionConfigs, Session, EventHandler, Request
+
+
 class MyEventHandler(EventHandler):
     def __init__(self):
         super().__init__()
+
     def processEvent(self, event: Event, session: Session) -> bool:
-        print(f'Received an event:\n{event.toStringPretty(2, 2)}')
+        print(f"Received an event:\n{event.toStringPretty(2, 2)}")
         return True  # This line is needed.
-if __name__ == '__main__':
-    if not os.environ.get('BINANCE_US_API_KEY'):
-        print('Please set environment variable BINANCE_US_API_KEY', file=sys.stderr)
+
+
+if __name__ == "__main__":
+    if not os.environ.get("BINANCE_US_API_KEY"):
+        print("Please set environment variable BINANCE_US_API_KEY", file=sys.stderr)
         sys.exit(1)
-    if not os.environ.get('BINANCE_US_API_SECRET'):
-        print('Please set environment variable BINANCE_US_API_SECRET', file=sys.stderr)
+    if not os.environ.get("BINANCE_US_API_SECRET"):
+        print("Please set environment variable BINANCE_US_API_SECRET", file=sys.stderr)
         sys.exit(1)
     eventHandler = MyEventHandler()
     option = SessionOptions()
     config = SessionConfigs()
     session = Session(option, config, eventHandler)
-    request = Request(Request.Operation_CREATE_ORDER, 'binance-us', 'BTCUSD')
-    request.appendParam({
-        'SIDE':'BUY',
-        'QUANTITY':'0.0005',
-        'LIMIT_PRICE':'20000',
-    })
+    request = Request(Request.Operation_CREATE_ORDER, "binance-us", "BTCUSD")
+    request.appendParam(
+        {
+            "SIDE": "BUY",
+            "QUANTITY": "0.0005",
+            "LIMIT_PRICE": "20000",
+        }
+    )
     session.sendRequest(request)
     time.sleep(10)
     session.stop()
-    print('Bye')
+    print("Bye")
diff --git a/binding/python/example/execution_management_simple_subscription/main.py b/binding/python/example/execution_management_simple_subscription/main.py
@@ -2,40 +2,47 @@
 import sys
 import time
 from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Subscription, Request, Event, Message
+
+
 class MyEventHandler(EventHandler):
     def __init__(self):
         super().__init__()
+
     def processEvent(self, event: Event, session: Session) -> bool:
         if event.getType() == Event.Type_SUBSCRIPTION_STATUS:
-          print(f'Received an event of type SUBSCRIPTION_STATUS:\n{event.toStringPretty(2, 2)}')
-          message = event.getMessageList()[0]
-          if message.getType() == Message.Type_SUBSCRIPTION_STARTED:
-              request = Request(Request.Operation_CREATE_ORDER, 'coinbase', 'BTC-USD')
-              request.appendParam({
-                  'SIDE':'BUY',
-                  'LIMIT_PRICE':'20000',
-                  'QUANTITY':'0.001',
-              })
-              session.sendRequest(request)
+            print(f"Received an event of type SUBSCRIPTION_STATUS:\n{event.toStringPretty(2, 2)}")
+            message = event.getMessageList()[0]
+            if message.getType() == Message.Type_SUBSCRIPTION_STARTED:
+                request = Request(Request.Operation_CREATE_ORDER, "coinbase", "BTC-USD")
+                request.appendParam(
+                    {
+                        "SIDE": "BUY",
+                        "LIMIT_PRICE": "20000",
+                        "QUANTITY": "0.001",
+                    }
+                )
+                session.sendRequest(request)
         elif event.getType() == Event.Type_SUBSCRIPTION_DATA:
-          print(f'Received an event of type SUBSCRIPTION_DATA:\n{event.toStringPretty(2, 2)}')
+            print(f"Received an event of type SUBSCRIPTION_DATA:\n{event.toStringPretty(2, 2)}")
         return True  # This line is needed.
-if __name__ == '__main__':
-    if not os.environ.get('COINBASE_API_KEY'):
-        print('Please set environment variable COINBASE_API_KEY', file=sys.stderr)
+
+
+if __name__ == "__main__":
+    if not os.environ.get("COINBASE_API_KEY"):
+        print("Please set environment variable COINBASE_API_KEY", file=sys.stderr)
         sys.exit(1)
-    if not os.environ.get('COINBASE_API_SECRET'):
-        print('Please set environment variable COINBASE_API_SECRET', file=sys.stderr)
+    if not os.environ.get("COINBASE_API_SECRET"):
+        print("Please set environment variable COINBASE_API_SECRET", file=sys.stderr)
         sys.exit(1)
-    if not os.environ.get('COINBASE_API_PASSPHRASE'):
-        print('Please set environment variable COINBASE_API_PASSPHRASE', file=sys.stderr)
+    if not os.environ.get("COINBASE_API_PASSPHRASE"):
+        print("Please set environment variable COINBASE_API_PASSPHRASE", file=sys.stderr)
         sys.exit(1)
     eventHandler = MyEventHandler()
     option = SessionOptions()
     config = SessionConfigs()
     session = Session(option, config, eventHandler)
-    subscription = Subscription('coinbase', 'BTC-USD', 'ORDER_UPDATE')
+    subscription = Subscription("coinbase", "BTC-USD", "ORDER_UPDATE")
     session.subscribe(subscription)
     time.sleep(10)
     session.stop()
-    print('Bye')
+    print("Bye")
diff --git a/binding/python/example/fix_simple/main.py b/binding/python/example/fix_simple/main.py
@@ -2,45 +2,52 @@
 import sys
 import time
 from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Subscription, Request, Event, Message
+
+
 class MyEventHandler(EventHandler):
     def __init__(self):
         super().__init__()
+
     def processEvent(self, event: Event, session: Session) -> bool:
         if event.getType() == Event.Type_AUTHORIZATION_STATUS:
-            print(f'Received an event of type AUTHORIZATION_STATUS:\n{event.toStringPretty(2, 2)}')
+            print(f"Received an event of type AUTHORIZATION_STATUS:\n{event.toStringPretty(2, 2)}")
             message = event.getMessageList()[0]
             if message.getType() == Message.Type_AUTHORIZATION_SUCCESS:
-                request = Request(Request.Operation_FIX, 'coinbase', '', 'same correlation id for subscription and request')
-                request.appendParamFix([
-                    (35,'D'),
-                    (11,'6d4eb0fb-2229-469f-873e-557dd78ac11e'),
-                    (55,'BTC-USD'),
-                    (54,'1'),
-                    (44,'20000'),
-                    (38,'0.001'),
-                    (40,'2'),
-                    (59,'1'),
-                ])
+                request = Request(Request.Operation_FIX, "coinbase", "", "same correlation id for subscription and request")
+                request.appendParamFix(
+                    [
+                        (35, "D"),
+                        (11, "6d4eb0fb-2229-469f-873e-557dd78ac11e"),
+                        (55, "BTC-USD"),
+                        (54, "1"),
+                        (44, "20000"),
+                        (38, "0.001"),
+                        (40, "2"),
+                        (59, "1"),
+                    ]
+                )
                 session.sendRequestByFix(request)
         elif event.getType() == Event.Type_FIX:
-            print(f'Received an event of type FIX:\n{event.toStringPretty(2, 2)}')
+            print(f"Received an event of type FIX:\n{event.toStringPretty(2, 2)}")
         return True  # This line is needed.
-if __name__ == '__main__':
-    if not os.environ.get('COINBASE_API_KEY'):
-        print('Please set environment variable COINBASE_API_KEY', file=sys.stderr)
+
+
+if __name__ == "__main__":
+    if not os.environ.get("COINBASE_API_KEY"):
+        print("Please set environment variable COINBASE_API_KEY", file=sys.stderr)
         sys.exit(1)
-    if not os.environ.get('COINBASE_API_SECRET'):
-        print('Please set environment variable COINBASE_API_SECRET', file=sys.stderr)
+    if not os.environ.get("COINBASE_API_SECRET"):
+        print("Please set environment variable COINBASE_API_SECRET", file=sys.stderr)
         sys.exit(1)
-    if not os.environ.get('COINBASE_API_PASSPHRASE'):
-        print('Please set environment variable COINBASE_API_PASSPHRASE', file=sys.stderr)
+    if not os.environ.get("COINBASE_API_PASSPHRASE"):
+        print("Please set environment variable COINBASE_API_PASSPHRASE", file=sys.stderr)
         sys.exit(1)
     eventHandler = MyEventHandler()
     option = SessionOptions()
     config = SessionConfigs()
     session = Session(option, config, eventHandler)
-    subscription = Subscription('coinbase', '', 'FIX', '', 'same correlation id for subscription and request')
+    subscription = Subscription("coinbase", "", "FIX", "", "same correlation id for subscription and request")
     session.subscribeByFix(subscription)
     time.sleep(10)
     session.stop()
-    print('Bye')
+    print("Bye")
diff --git a/binding/python/example/handle_exception/main.py b/binding/python/example/handle_exception/main.py
@@ -2,23 +2,28 @@
 import time
 import traceback
 from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Subscription, Event
+
+
 class MyEventHandler(EventHandler):
     def __init__(self):
         super().__init__()
+
     def processEvent(self, event: Event, session: Session) -> bool:
         try:
-            raise Exception('oops')
+            raise Exception("oops")
         except Exception:
             print(traceback.format_exc())
             sys.exit(1)
         return True  # This line is needed.
-if __name__ == '__main__':
+
+
+if __name__ == "__main__":
     eventHandler = MyEventHandler()
     option = SessionOptions()
     config = SessionConfigs()
     session = Session(option, config, eventHandler)
-    subscription = Subscription('coinbase', 'BTC-USD', 'MARKET_DEPTH')
+    subscription = Subscription("coinbase", "BTC-USD", "MARKET_DEPTH")
     session.subscribe(subscription)
     time.sleep(10)
     session.stop()
-    print('Bye')
+    print("Bye")
diff --git a/binding/python/example/market_data_multiple_subscription/main.py b/binding/python/example/market_data_multiple_subscription/main.py
@@ -1,27 +1,32 @@
 import time
 from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Subscription, Event, SubscriptionList
+
+
 class MyEventHandler(EventHandler):
     def __init__(self):
         super().__init__()
+
     def processEvent(self, event: Event, session: Session) -> bool:
         if event.getType() == Event.Type_SUBSCRIPTION_DATA:
             for message in event.getMessageList():
                 correlationId = message.getCorrelationIdList()[0]
-                print(f'{correlationId}: Best bid and ask at {message.getTimeISO()} are:')
+                print(f"{correlationId}: Best bid and ask at {message.getTimeISO()} are:")
                 for element in message.getElementList():
                     elementNameValueMap = element.getNameValueMap()
                     for name, value in elementNameValueMap.items():
-                        print(f'  {name} = {value}')
+                        print(f"  {name} = {value}")
         return True  # This line is needed.
-if __name__ == '__main__':
+
+
+if __name__ == "__main__":
     eventHandler = MyEventHandler()
     option = SessionOptions()
     config = SessionConfigs()
     session = Session(option, config, eventHandler)
     subscriptionList = SubscriptionList()
-    subscriptionList.append(Subscription('coinbase', 'BTC-USD', 'MARKET_DEPTH', '', 'BTC'))
-    subscriptionList.append(Subscription('coinbase', 'ETH-USD', 'MARKET_DEPTH', '', 'ETH'))
+    subscriptionList.append(Subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "", "BTC"))
+    subscriptionList.append(Subscription("coinbase", "ETH-USD", "MARKET_DEPTH", "", "ETH"))
     session.subscribe(subscriptionList)
     time.sleep(10)
     session.stop()
-    print('Bye')
+    print("Bye")
diff --git a/binding/python/example/market_data_simple_request/main.py b/binding/python/example/market_data_simple_request/main.py
@@ -1,21 +1,28 @@
 import time
 from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Request, Event
+
+
 class MyEventHandler(EventHandler):
     def __init__(self):
         super().__init__()
+
     def processEvent(self, event: Event, session: Session) -> bool:
-        print(f'Received an event:\n{event.toStringPretty(2, 2)}')
+        print(f"Received an event:\n{event.toStringPretty(2, 2)}")
         return True  # This line is needed.
-if __name__ == '__main__':
+
+
+if __name__ == "__main__":
     eventHandler = MyEventHandler()
     option = SessionOptions()
     config = SessionConfigs()
     session = Session(option, config, eventHandler)
-    request = Request(Request.Operation_GET_RECENT_TRADES, 'coinbase', 'BTC-USD')
-    request.appendParam({
-        'LIMIT':'1',
-    })
+    request = Request(Request.Operation_GET_RECENT_TRADES, "coinbase", "BTC-USD")
+    request.appendParam(
+        {
+            "LIMIT": "1",
+        }
+    )
     session.sendRequest(request)
     time.sleep(10)
     session.stop()
-    print('Bye')
+    print("Bye")