Merge pull request #27 from crypto-chassis/execution_management

Execution management
crypto-chassis · Dec 8, 2020 · 1dc5b9c · 1dc5b9c
2 parents bcf5fd2 + eee93b1
commit 1dc5b9c
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Showing 31 changed files with 935 additions and 348 deletions.
diff --git a/.github/workflows/build_cmake.yml b/.github/workflows/build_cmake.yml
@@ -16,6 +16,7 @@ env:
 
 jobs:
   build:
+    timeout-minutes: 5
     name: ${{ matrix.config.name }}
     runs-on: ${{ matrix.config.os }}
     strategy:
@@ -152,7 +153,8 @@ jobs:
 
         execute_process(
           COMMAND ${{ steps.cmake_and_ninja.outputs.cmake_dir }}/cmake
-            -S ./include
+            -DBUILD_BUILD_TEST=ON
+            -S test
             -B build
             -D CMAKE_BUILD_TYPE=$ENV{BUILD_TYPE}
             -G Ninja

diff --git a/.github/workflows/cpplint.yml b/.github/workflows/cpplint.yml
@@ -8,6 +8,7 @@ on:
       - master
 jobs:
   cpplint:
+    timeout-minutes: 5
     runs-on: ubuntu-latest
     steps:
     - uses: actions/checkout@v1

diff --git a/.github/workflows/release.yml b/.github/workflows/release.yml
@@ -5,6 +5,7 @@ on:
       - master
 jobs:
   release:
+    timeout-minutes: 5
     name: release
     runs-on: ubuntu-latest
     steps:

diff --git a/README.md b/README.md
@@ -72,13 +72,15 @@ For a specific exchange and instrument, whenever the top 10 bids' or asks' price
 ```
 #include "ccapi_cpp/ccapi_session.h"
 namespace ccapi {
-Logger* Logger::logger = 0;  // This line is needed.
+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()) {
         if (message.getRecapType() == Message::RecapType::NONE) {
-          std::cout << std::string("Top ") + CCAPI_EXCHANGE_VALUE_MARKET_DEPTH_MAX_DEFAULT + " bids and asks at " + UtilTime::getISOTimestamp(message.getTime()) + " are:" << std::endl;
+          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;
@@ -190,7 +192,7 @@ std::vector<Event> eventList = session.eventQueue.purge();
 Add one of the following macros in the compiler command line: ENABLE_LOG_TRACE, ENABLE_LOG_DEBUG, ENABLE_LOG_INFO, ENABLE_LOG_WARN, ENABLE_LOG_ERROR, ENABLE_LOG_FATAL. Extend a subclass, e.g. MyLogger, from class Logger and override method logMessage. Assign a MyLogger pointer to Logger::logger.
 ```
 namespace ccapi {
-  Logger* Logger::logger = 0;  // This line is needed.
+  Logger* Logger::logger = nullptr;  // This line is needed.
   class MyLogger final: public Logger {
    public:
     virtual void logMessage(Logger::Severity severity, std::thread::id threadId,

diff --git a/example/CMakeLists.txt b/example/CMakeLists.txt
@@ -1,5 +1,6 @@
 cmake_minimum_required(VERSION 3.14)
-project(example)
+set(NAME example)
+project(${NAME})
 set(CMAKE_CXX_STANDARD 14)
 if(NOT APPLE AND NOT MSVC)
   set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -pthread")
@@ -16,4 +17,5 @@ include_directories(${CCAPI_CPP_PROJECT_DIR}/include ${WEBSOCKETPP_INCLUDE_DIR}
 link_libraries(OpenSSL::Crypto OpenSSL::SSL)
 add_subdirectory(src/market_data_simple)
 add_subdirectory(src/market_data_advanced)
+add_subdirectory(src/execution_management_simple)
 add_subdirectory(src/sample_market_making)
diff --git a/example/src/execution_management_simple/CMakeLists.txt b/example/src/execution_management_simple/CMakeLists.txt
@@ -0,0 +1,5 @@
+set(NAME execution_management_simple)
+project(${NAME})
+add_definitions(-DENABLE_SERVICE_EXECUTION_MANAGEMENT)
+add_definitions(-DENABLE_EXCHANGE_BINANCE_US)
+add_executable(${NAME} main.cpp)
diff --git a/example/src/execution_management_simple/main.cpp b/example/src/execution_management_simple/main.cpp
@@ -1,50 +1,87 @@
-// #include "ccapi_cpp/ccapi_session.h"
-// namespace ccapi {
-// class ExampleLogger final: public Logger {
-//  public:
-//   void logMessage(Logger::Severity severity, std::thread::id threadId,
-//                           std::chrono::system_clock::time_point time,
-//                           std::string fileName, int lineNumber,
-//                           std::string message) override {
-//     lock.lock();
-//     std::cout << threadId << ": [" << UtilTime::getISOTimestamp(time) << "] {"
-//         << fileName << ":" << lineNumber << "} "
-//         << Logger::severityToString(severity) << std::string(8, ' ') << message
-//         << std::endl;
-//     lock.unlock();
-//   }
-//  private:
-//   std::mutex lock;
-// };
-// Logger* Logger::logger = 0;  // This line is needed.
-// class MyEventHandler : public EventHandler {
-//   bool processEvent(const Event& event, Session *session) override {
-//     CCAPI_LOGGER_TRACE(toString(event));
-//     return true;
-//   }
-// };
-// } /* namespace ccapi */
-// int main(int argc, char** argv) {
-//   using namespace ccapi;  // NOLINT(build/namespaces)
-//   ExampleLogger exampleLogger;
-//   Logger::logger = &exampleLogger;
-//   SessionOptions sessionOptions;
-//   SessionConfigs sessionConfigs;
-//   MyEventHandler eventHandler;
-//   Session session(sessionOptions, sessionConfigs, &eventHandler);
-//   Request::Operation operation = Request::Operation::CREATE_ORDER;
-//   std::map<std::string, std::string> credential = {
-//       {BINANCE_US_API_KEY, UtilSystem::getEnvAsString(BINANCE_US_API_KEY)},
-//       {BINANCE_US_API_SECRET, UtilSystem::getEnvAsString(BINANCE_US_API_SECRET)}
-//   };
-//   CorrelationId correlationId("this is my correlation id");
-//   Request request(operation, credential, CCAPI_EXCHANGE_NAME_BINANCE_US, "ETHUSD", correlationId);
-//   request.setParam(CCAPI_EM_SIDE, CCAPI_EM_SIDE_BUY);
-//   request.setParam(CCAPI_EM_QUANTITY, "0.04");
-//   request.setParam(CCAPI_EM_LIMIT_PRICE, "300");
-//   Queue<Event> eventQueue;
-//   session.sendRequest(request, &eventQueue);
-//   std::vector<Event> eventList = eventQueue.purge();
-//   CCAPI_LOGGER_TRACE("eventList = "+toString(eventList));
-//   return EXIT_SUCCESS;
-// }
+#include "ccapi_cpp/ccapi_session.h"
+namespace ccapi {
+Logger* Logger::logger = nullptr;  // This line is needed.
+class MyEventHandler : public EventHandler {
+  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::vector<std::string> modeList = { "create_order", "cancel_order", "get_order", "get_open_orders",
+      "cancel_open_orders" };
+  if (argc < 2 || std::find(modeList.begin(), modeList.end(), argv[1]) == modeList.end()) {
+    std::cerr << "Please provide the first command line argument from this list: " + toString(modeList) << std::endl;
+    return EXIT_FAILURE;
+  }
+  std::string mode(argv[1]);
+  std::string key = UtilSystem::getEnvAsString("BINANCE_US_API_KEY");
+  if (key.empty()) {
+    std::cerr << "Please provide 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 provide environment variable BINANCE_US_API_SECRET" << std::endl;
+    return EXIT_FAILURE;
+  }
+  std::map<std::string, std::string> credential = { { CCAPI_BINANCE_US_API_KEY, key }, { CCAPI_BINANCE_US_API_SECRET,
+      secret } };
+  SessionOptions sessionOptions;
+  SessionConfigs sessionConfigs;
+  MyEventHandler eventHandler;
+  Session session(sessionOptions, sessionConfigs, &eventHandler);
+  Queue<Event> eventQueue;
+  if (mode == "create_order") {
+    if (argc != 6) {
+      std::cerr << "Usage: <program name> create_order <symbol> <buy or sell> <order quantity> <limit price>\n"
+                << "Example:\n" << "    main create_order BTCUSD buy 0.0005 20000" << std::endl;
+      return EXIT_FAILURE;
+    }
+    Request request(Request::Operation::CREATE_ORDER, credential, "binance-us", argv[2]);
+    request.setParam("SIDE", strcmp(argv[3], "buy") == 0 ? "BUY" : "SELL");
+    request.setParam("QUANTITY", argv[4]);
+    request.setParam("LIMIT_PRICE", argv[5]);
+    session.sendRequest(request, &eventQueue);
+  } else if (mode == "cancel_order") {
+    if (argc != 4) {
+      std::cerr << "Usage: <program name> cancel_order <symbol> <order id>\n" << "Example:\n"
+                << "    main cancel_order BTCUSD 4" << std::endl;
+      return EXIT_FAILURE;
+    }
+    Request request(Request::Operation::CANCEL_ORDER, credential, "binance-us", argv[2]);
+    request.setParam("ORDER_ID", argv[3]);
+    session.sendRequest(request, &eventQueue);
+  } else if (mode == "get_order") {
+    if (argc != 4) {
+      std::cerr << "Usage: <program name> get_order <symbol> <order id>\n" << "Example:\n"
+                << "    main get_order BTCUSD 4" << std::endl;
+      return EXIT_FAILURE;
+    }
+    Request request(Request::Operation::GET_ORDER, credential, "binance-us", argv[2]);
+    request.setParam("ORDER_ID", argv[3]);
+    session.sendRequest(request, &eventQueue);
+  } else if (mode == "get_open_orders") {
+    if (argc != 3) {
+      std::cerr << "Usage: <program name> get_open_orders <symbol>\n" << "Example:\n"
+                << "    main get_open_orders BTCUSD" << std::endl;
+      return EXIT_FAILURE;
+    }
+    Request request(Request::Operation::GET_OPEN_ORDERS, credential, "binance-us", argv[2]);
+    session.sendRequest(request, &eventQueue);
+  } else if (mode == "cancel_open_orders") {
+    if (argc != 3) {
+      std::cerr << "Usage: <program name> cancel_open_orders <symbol>\n" << "Example:\n"
+                << "    main cancel_open_orders BTCUSD" << std::endl;
+      return EXIT_FAILURE;
+    }
+    Request request(Request::Operation::CANCEL_OPEN_ORDERS, credential, "binance-us", argv[2]);
+    session.sendRequest(request, &eventQueue);
+  }
+  std::this_thread::sleep_for(std::chrono::seconds(10));
+  session.stop();
+  std::cout << "Bye" << std::endl;
+  return EXIT_SUCCESS;
+}
diff --git a/example/src/market_data_advanced/CMakeLists.txt b/example/src/market_data_advanced/CMakeLists.txt
@@ -1,6 +1,6 @@
-project(market_data_advanced)
+set(NAME market_data_advanced)
+project(${NAME})
 add_definitions(-DENABLE_SERVICE_MARKET_DATA)
 add_definitions(-DENABLE_EXCHANGE_COINBASE)
 add_definitions(-DENABLE_EXCHANGE_BINANCE_US)
-file(GLOB SOURCES main.cpp)
-add_executable(market_data_advanced ${SOURCES})
+add_executable(${NAME} main.cpp)
diff --git a/example/src/market_data_advanced/main.cpp b/example/src/market_data_advanced/main.cpp
@@ -1,6 +1,6 @@
 #include "ccapi_cpp/ccapi_session.h"
 namespace ccapi {
-Logger* Logger::logger = 0;  // This line is needed.
+Logger* Logger::logger = nullptr;  // This line is needed.
 class MyEventHandler : public EventHandler {
  public:
   bool processEvent(const Event& event, Session *session) override {
@@ -11,19 +11,13 @@ class MyEventHandler : public EventHandler {
 } /* namespace ccapi */
 int main(int argc, char **argv) {
   using namespace ccapi;  // NOLINT(build/namespaces)
-  std::vector<std::string> modeList = {
-      "specify_correlation_id",
-      "normalize_instrument_name",
-      "multiple_exchanges_instruments",
-      "specify_market_depth",
-      "receive_events_at_periodic_intervals",
+  std::vector<std::string> modeList = { "specify_correlation_id", "normalize_instrument_name",
+      "multiple_exchanges_instruments", "specify_market_depth", "receive_events_at_periodic_intervals",
       "receive_events_at_periodic_intervals_including_when_the_market_depth_snapshot_has_not_changed",
-      "dispatch_events_to_multiple_threads",
-      "handle_events_synchronously"
-  };
+      "dispatch_events_to_multiple_threads", "handle_events_synchronously" };
   if (argc != 2 || std::find(modeList.begin(), modeList.end(), argv[1]) == modeList.end()) {
-    std::cout << "Please provide one command line argument from this list: "+toString(modeList) << std::endl;
-    return 0;
+    std::cerr << "Please provide one command line argument from this list: " + toString(modeList) << std::endl;
+    return EXIT_FAILURE;
   }
   std::string mode(argv[1]);
   if (mode == "specify_correlation_id") {
@@ -33,7 +27,7 @@ int main(int argc, char **argv) {
     Session session(sessionOptions, sessionConfigs, &eventHandler);
     Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "", "cool correlation id");
     session.subscribe(subscription);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     session.stop();
   } else if (mode == "normalize_instrument_name") {
     SessionOptions sessionOptions;
@@ -45,7 +39,7 @@ int main(int argc, char **argv) {
     Session session(sessionOptions, sessionConfigs, &eventHandler);
     Subscription subscription("coinbase", coolName, "MARKET_DEPTH");
     session.subscribe(subscription);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     session.stop();
   } else if (mode == "multiple_exchanges_instruments") {
     SessionOptions sessionOptions;
@@ -58,7 +52,7 @@ int main(int argc, char **argv) {
     Subscription subscription_2("binance-us", "ethusd", "MARKET_DEPTH", "", "binance-us|eth_usd");
     subscriptionList.push_back(subscription_2);
     session.subscribe(subscriptionList);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     session.stop();
   } else if (mode == "specify_market_depth") {
     SessionOptions sessionOptions;
@@ -67,7 +61,7 @@ int main(int argc, char **argv) {
     Session session(sessionOptions, sessionConfigs, &eventHandler);
     Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "MARKET_DEPTH_MAX=2");
     session.subscribe(subscription);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     session.stop();
   } else if (mode == "receive_events_at_periodic_intervals") {
     SessionOptions sessionOptions;
@@ -76,16 +70,17 @@ int main(int argc, char **argv) {
     Session session(sessionOptions, sessionConfigs, &eventHandler);
     Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "CONFLATE_INTERVAL_MILLISECONDS=1000");
     session.subscribe(subscription);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     session.stop();
   } else if (mode == "receive_events_at_periodic_intervals_including_when_the_market_depth_snapshot_has_not_changed") {
     SessionOptions sessionOptions;
     SessionConfigs sessionConfigs;
     MyEventHandler eventHandler;
     Session session(sessionOptions, sessionConfigs, &eventHandler);
-    Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "CONFLATE_INTERVAL_MILLISECONDS=1000&CONFLATE_GRACE_PERIOD_MILLISECONDS=0");
+    Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH",
+                              "CONFLATE_INTERVAL_MILLISECONDS=1000&CONFLATE_GRACE_PERIOD_MILLISECONDS=0");
     session.subscribe(subscription);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     session.stop();
   } else if (mode == "dispatch_events_to_multiple_threads") {
     SessionOptions sessionOptions;
@@ -95,7 +90,7 @@ int main(int argc, char **argv) {
     Session session(sessionOptions, sessionConfigs, &eventHandler, &eventDispatcher);
     Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH");
     session.subscribe(subscription);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     session.stop();
     eventDispatcher.stop();
   } else if (mode == "handle_events_synchronously") {
@@ -104,7 +99,7 @@ int main(int argc, char **argv) {
     Session session(sessionOptions, sessionConfigs);
     Subscription subscription("coinbase", "BTC-USD", "MARKET_DEPTH");
     session.subscribe(subscription);
-    std::this_thread::sleep_for(std::chrono::seconds(5));
+    std::this_thread::sleep_for(std::chrono::seconds(10));
     std::vector<Event> eventList = session.eventQueue.purge();
     for (const auto & event : eventList) {
       std::cout << toString(event) + "\n" << std::endl;

diff --git a/example/src/market_data_simple/CMakeLists.txt b/example/src/market_data_simple/CMakeLists.txt
@@ -1,5 +1,5 @@
-project(market_data_simple)
+set(NAME market_data_simple)
+project(${NAME})
 add_definitions(-DENABLE_SERVICE_MARKET_DATA)
 add_definitions(-DENABLE_EXCHANGE_COINBASE)
-file(GLOB SOURCES main.cpp)
-add_executable(market_data_simple ${SOURCES})
+add_executable(${NAME} main.cpp)
diff --git a/example/src/market_data_simple/main.cpp b/example/src/market_data_simple/main.cpp
@@ -1,13 +1,14 @@
 #include "ccapi_cpp/ccapi_session.h"
 namespace ccapi {
-Logger* Logger::logger = 0;  // This line is needed.
+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()) {
         if (message.getRecapType() == Message::RecapType::NONE) {
-          std::cout << std::string("Best bid and ask at " + UtilTime::getISOTimestamp(message.getTime()) + " are:" << std::endl;
+          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;

diff --git a/example/src/sample_market_making/CMakeLists.txt b/example/src/sample_market_making/CMakeLists.txt
@@ -1,6 +1,6 @@
-project(sample_market_making)
+set(NAME sample_market_making)
+project(${NAME})
 add_definitions(-DENABLE_SERVICE_MARKET_DATA)
 add_definitions(-DENABLE_SERVICE_EXECUTION_MANAGEMENT)
 add_definitions(-DENABLE_EXCHANGE_BINANCE_US)
-file(GLOB SOURCES main.cpp)
-add_executable(sample_market_making ${SOURCES})
+add_executable(${NAME} main.cpp)