Merge pull request #379 from crypto-chassis/develop

Release

include/ccapi_cpp/service/ccapi_execution_management_service_huobi.h

@@ -192,6 +192,10 @@ class ExecutionManagementServiceHuobi : public ExecutionManagementServiceHuobiBa
     } else if (data.IsObject()) {
       Element element;
       this->extractOrderInfo(element, data, extractionFieldNameMap);
+      if (operation == Request::Operation::GET_ORDER) {
+        element.insert(CCAPI_EM_ORDER_CUMULATIVE_FILLED_QUANTITY, std::string(data["field-amount"].GetString()));
+        element.insert(CCAPI_EM_ORDER_CUMULATIVE_FILLED_PRICE_TIMES_QUANTITY, std::string(data["field-cash-amount"].GetString()));
+      }
       elementList.emplace_back(std::move(element));
     } else {
       for (const auto& x : data.GetArray()) {
@@ -286,9 +290,9 @@ class ExecutionManagementServiceHuobi : public ExecutionManagementServiceHuobiBa
               auto& allocator = document.GetAllocator();
               document.AddMember("action", rj::Value("sub").Move(), allocator);
               std::string ch;
-              if (fieldSet.find(CCAPI_EM_ORDER_UPDATE) != fieldSet.end()) {
+              if (field == CCAPI_EM_ORDER_UPDATE) {
                 ch = "orders#" + symbol;
-              } else if (fieldSet.find(CCAPI_EM_PRIVATE_TRADE) != fieldSet.end()) {
+              } else if (field == CCAPI_EM_PRIVATE_TRADE) {
                 ch = "trade.clearing#" + symbol;
               }
               document.AddMember("ch", rj::Value(ch.c_str(), allocator).Move(), allocator);
@@ -370,6 +374,11 @@ class ExecutionManagementServiceHuobi : public ExecutionManagementServiceHuobiBa
           std::string dataEventType = data["eventType"].GetString();
           if (dataEventType == "trigger" || dataEventType == "deletion") {
             info.insert(CCAPI_EM_ORDER_SIDE, std::string(data["orderSide"].GetString()) == "buy" ? CCAPI_EM_ORDER_SIDE_BUY : CCAPI_EM_ORDER_SIDE_SELL);
+          } else if (dataEventType == "trade") {
+            info.insert(CCAPI_TRADE_ID, std::string(data["tradeId"].GetString()));
+            info.insert(CCAPI_EM_ORDER_LAST_EXECUTED_PRICE, data["tradePrice"].GetString());
+            info.insert(CCAPI_EM_ORDER_LAST_EXECUTED_SIZE, data["tradeVolume"].GetString());
+            info.insert(CCAPI_IS_MAKER, data["aggressor"].GetBool() ? "0" : "1");
           }
           std::vector<Element> elementList;
           elementList.emplace_back(std::move(info));

include/ccapi_cpp/service/ccapi_execution_management_service_huobi_base.h

@@ -14,10 +14,6 @@ class ExecutionManagementServiceHuobiBase : public ExecutionManagementService {
 
  protected:
 #endif
-  void pingOnApplicationLevel(wspp::connection_hdl hdl, ErrorCode& ec) override {
-    auto now = UtilTime::now();
-    this->send(hdl, "{\"ping\":" + std::to_string(UtilTime::getUnixTimestamp(now)) + "}", wspp::frame::opcode::text, ec);
-  }
   void createSignature(std::string& signature, std::string& queryString, const std::string& reqMethod, const std::string& host, const std::string& path,
                        const std::map<std::string, std::string>& queryParamMap, const std::map<std::string, std::string>& credential) {
     std::string preSignedText;
@@ -51,6 +47,12 @@ class ExecutionManagementServiceHuobiBase : public ExecutionManagementService {
         queryParamMap.insert(std::make_pair(y.at(0), y.at(1)));
       }
     }
+    auto apiKey = mapGetWithDefault(credential, this->apiKeyName);
+    queryParamMap.insert(std::make_pair("AccessKeyId", apiKey));
+    queryParamMap.insert(std::make_pair("SignatureMethod", "HmacSHA256"));
+    queryParamMap.insert(std::make_pair("SignatureVersion", "2"));
+    std::string timestamp = UtilTime::getISOTimestamp<std::chrono::seconds>(now, "%FT%T");
+    queryParamMap.insert(std::make_pair("Timestamp", Url::urlEncode(timestamp)));
     std::string signature;
     this->createSignature(signature, queryString, methodString, this->hostRest, path, queryParamMap, credential);
     if (!queryString.empty()) {

include/ccapi_cpp/service/ccapi_execution_management_service_huobi_derivatives_base.h

@@ -256,9 +256,9 @@ class ExecutionManagementServiceHuobiDerivativesBase : public ExecutionManagemen
             auto& allocator = document.GetAllocator();
             document.AddMember("op", rj::Value("sub").Move(), allocator);
             std::string topic;
-            if (fieldSet.find(CCAPI_EM_ORDER_UPDATE) != fieldSet.end()) {
+            if (field == CCAPI_EM_ORDER_UPDATE) {
               topic = this->orderDataTopic + "." + instrument;
-            } else if (fieldSet.find(CCAPI_EM_PRIVATE_TRADE) != fieldSet.end()) {
+            } else if (field == CCAPI_EM_PRIVATE_TRADE) {
               topic = this->matchOrderDataTopic + "." + instrument;
             }
             document.AddMember("topic", rj::Value(topic.c_str(), allocator).Move(), allocator);
@@ -335,6 +335,12 @@ class ExecutionManagementServiceHuobiDerivativesBase : public ExecutionManagemen
                           std::to_string(std::stod(it1->value.GetString()) * std::stod(it2->value.GetString())));
             }
           }
+          for (const auto& x : document["trade"].GetArray()) {
+            info.insert(CCAPI_TRADE_ID, std::string(x["trade_id"].GetString()));
+            info.insert(CCAPI_EM_ORDER_LAST_EXECUTED_PRICE, x["trade_price"].GetString());
+            info.insert(CCAPI_EM_ORDER_LAST_EXECUTED_SIZE, x["trade_volume"].GetString());
+            info.insert(CCAPI_IS_MAKER, std::string(x["role"].GetString()) == "maker" ? "1" : "0");
+          }
           std::vector<Element> elementList;
           elementList.emplace_back(std::move(info));
           message.setElementList(elementList);

include/ccapi_cpp/service/ccapi_execution_management_service_kucoin.h

@@ -32,11 +32,13 @@ class ExecutionManagementServiceKucoin : public ExecutionManagementServiceKucoin
     this->createOrderTarget = "/api/v1/orders";
     this->cancelOrderTarget = "/api/v1/orders/<id>";
     this->getOrderTarget = "/api/v1/orders/<id>";
+    this->getOrderByClientOrderIdTarget = "/api/v1/order/client-order/<id>";
     this->getOpenOrdersTarget = "/api/v1/orders";
     this->cancelOpenOrdersTarget = "/api/v1/orders";
     this->getAccountsTarget = "/api/v1/accounts";
     this->getAccountBalancesTarget = "/api/v1/accounts/<accountId>";
     this->topicTradeOrders = "/spotMarket/tradeOrders";
+    this->createOrderMarginTarget = "/api/v1/margin/order";
   }
   virtual ~ExecutionManagementServiceKucoin() {}
 #ifndef CCAPI_EXPOSE_INTERNAL

include/ccapi_cpp/service/ccapi_execution_management_service_kucoin_base.h

@@ -166,7 +166,9 @@ class ExecutionManagementServiceKucoinBase : public ExecutionManagementService {
       case Request::Operation::CREATE_ORDER: {
         req.method(http::verb::post);
         const std::map<std::string, std::string> param = request.getFirstParamWithDefault();
-        req.target(this->createOrderTarget);
+        req.target(request.getMarginType() == CCAPI_EM_MARGIN_TYPE_CROSS_MARGIN || request.getMarginType() == CCAPI_EM_MARGIN_TYPE_ISOLATED_MARGIN
+                       ? this->createOrderMarginTarget
+                       : this->createOrderTarget);
         rj::Document document;
         document.SetObject();
         rj::Document::AllocatorType& allocator = document.GetAllocator();
@@ -196,17 +198,21 @@ class ExecutionManagementServiceKucoinBase : public ExecutionManagementService {
         const std::map<std::string, std::string> param = request.getFirstParamWithDefault();
         bool useOrderId = param.find(CCAPI_EM_ORDER_ID) != param.end();
         std::string id = useOrderId                                            ? param.at(CCAPI_EM_ORDER_ID)
-                         : param.find(CCAPI_EM_CLIENT_ORDER_ID) != param.end() ? "client-order/" + param.at(CCAPI_EM_CLIENT_ORDER_ID)
+                         : param.find(CCAPI_EM_CLIENT_ORDER_ID) != param.end() ? param.at(CCAPI_EM_CLIENT_ORDER_ID)
                                                                                : "";
         auto target =
-            useOrderId ? std::regex_replace(this->getOrderTarget, std::regex("<id>"), id) : std::regex_replace("/api/v1/order/<id>", std::regex("<id>"), id);
+            std::regex_replace(useOrderId ? this->getOrderTarget : this->getOrderByClientOrderIdTarget, std::regex("<id>"), Url::urlEncode(id));
         req.target(target);
         this->signRequest(req, "", credential);
       } break;
       case Request::Operation::GET_OPEN_ORDERS: {
         req.method(http::verb::get);
         auto target = this->getOpenOrdersTarget;
         target += "?status=active";
+        target += std::string("&tradeType=") +
+            (request.getMarginType() == CCAPI_EM_MARGIN_TYPE_CROSS_MARGIN      ? "MARGIN_TRADE"
+             : request.getMarginType() == CCAPI_EM_MARGIN_TYPE_ISOLATED_MARGIN ? "MARGIN_ISOLATED_TRADE"
+                                                                               : "TRADE");
         if (!symbolId.empty()) {
           target += "&symbol=";
           target += symbolId;
@@ -217,8 +223,12 @@ class ExecutionManagementServiceKucoinBase : public ExecutionManagementService {
       case Request::Operation::CANCEL_OPEN_ORDERS: {
         req.method(http::verb::delete_);
         auto target = this->cancelOpenOrdersTarget;
+        target += std::string("?tradeType=") +
+            (request.getMarginType() == CCAPI_EM_MARGIN_TYPE_CROSS_MARGIN      ? "MARGIN_TRADE"
+             : request.getMarginType() == CCAPI_EM_MARGIN_TYPE_ISOLATED_MARGIN ? "MARGIN_ISOLATED_TRADE"
+                                                                               : "TRADE");
         if (!symbolId.empty()) {
-          target += "?symbol=";
+          target += "&symbol=";
           target += symbolId;
         }
         req.target(target);
@@ -280,6 +290,8 @@ class ExecutionManagementServiceKucoinBase : public ExecutionManagementService {
         {CCAPI_EM_ORDER_SIDE, std::make_pair("side", JsonDataType::STRING)},
         {CCAPI_EM_ORDER_QUANTITY, std::make_pair("size", JsonDataType::STRING)},
         {CCAPI_EM_ORDER_LIMIT_PRICE, std::make_pair("price", JsonDataType::STRING)},
+        {CCAPI_EM_ORDER_CUMULATIVE_FILLED_QUANTITY, std::make_pair("dealSize", JsonDataType::STRING)},
+        {CCAPI_EM_ORDER_CUMULATIVE_FILLED_PRICE_TIMES_QUANTITY, std::make_pair("dealFunds", JsonDataType::STRING)},
         {CCAPI_EM_ORDER_INSTRUMENT, std::make_pair("symbol", JsonDataType::STRING)}};
     const rj::Value& data = document["data"];
     if (operation == Request::Operation::CANCEL_ORDER || operation == Request::Operation::CANCEL_OPEN_ORDERS) {
@@ -450,6 +462,8 @@ class ExecutionManagementServiceKucoinBase : public ExecutionManagementService {
   std::string apiPassphraseName;
   bool isDerivatives{};
   std::string topicTradeOrders;
+  std::string createOrderMarginTarget;
+  std::string getOrderByClientOrderIdTarget;
 };
 } /* namespace ccapi */
 #endif

include/ccapi_cpp/service/ccapi_execution_management_service_kucoin_futures.h

@@ -32,6 +32,7 @@ class ExecutionManagementServiceKucoinFutures : public ExecutionManagementServic
     this->createOrderTarget = "/api/v1/orders";
     this->cancelOrderTarget = "/api/v1/orders/<id>";
     this->getOrderTarget = "/api/v1/orders/<id>";
+    this->getOrderByClientOrderIdTarget = "/api/v1/orders/byClientOid?clientOid=<id>";
     this->getOpenOrdersTarget = "/api/v1/orders";
     this->cancelOpenOrdersTarget = "/api/v1/orders";
     this->getAccountBalancesTarget = "/api/v1/account-overview";

include/ccapi_cpp/service/ccapi_market_data_service_huobi.h

@@ -81,23 +81,6 @@ class MarketDataServiceHuobi : public MarketDataServiceHuobiBase {
         MarketDataServiceHuobiBase::convertRequestForRest(req, request, now, symbolId, credential);
     }
   }
-  void extractInstrumentInfo(Element& element, const rj::Value& x) {
-    element.insert(CCAPI_INSTRUMENT, x["symbol"].GetString());
-    element.insert(CCAPI_BASE_ASSET, x["base-currency"].GetString());
-    element.insert(CCAPI_QUOTE_ASSET, x["quote-currency"].GetString());
-    int pricePrecision = std::stoi(x["price-precision"].GetString());
-    if (pricePrecision > 0) {
-      element.insert(CCAPI_ORDER_PRICE_INCREMENT, "0." + std::string(pricePrecision - 1, '0') + "1");
-    } else {
-      element.insert(CCAPI_ORDER_PRICE_INCREMENT, "1");
-    }
-    int amountPrecision = std::stoi(x["amount-precision"].GetString());
-    if (amountPrecision > 0) {
-      element.insert(CCAPI_ORDER_QUANTITY_INCREMENT, "0." + std::string(amountPrecision - 1, '0') + "1");
-    } else {
-      element.insert(CCAPI_ORDER_QUANTITY_INCREMENT, "1");
-    }
-  }
   void convertTextMessageToMarketDataMessage(const Request& request, const std::string& textMessage, const TimePoint& timeReceived, Event& event,
                                              std::vector<MarketDataMessage>& marketDataMessageList) override {
     switch (request.getOperation()) {

include/ccapi_cpp/service/ccapi_market_data_service_huobi_base.h

@@ -327,6 +327,7 @@ class MarketDataServiceHuobiBase : public MarketDataService {
     }
   }
   void extractInstrumentInfo(Element& element, const rj::Value& x) {
+    element.insert(CCAPI_INSTRUMENT, x["symbol"].GetString());
     element.insert(CCAPI_BASE_ASSET, x["base-currency"].GetString());
     element.insert(CCAPI_QUOTE_ASSET, x["quote-currency"].GetString());
     int pricePrecision = std::stoi(x["price-precision"].GetString());

include/ccapi_cpp/service/ccapi_market_data_service_huobi_derivatives_base.h

@@ -51,7 +51,7 @@ class MarketDataServiceHuobiDerivativesBase : public MarketDataServiceHuobiBase
   void extractInstrumentInfo(Element& element, const rj::Value& x) {
     element.insert(CCAPI_INSTRUMENT, x["symbol"].GetString());
     element.insert(CCAPI_ORDER_PRICE_INCREMENT, UtilString::normalizeDecimalString(x["price_tick"].GetString()));
-    element.insert(CCAPI_ORDER_QUANTITY_INCREMENT, UtilString::normalizeDecimalString(x["contract_size"].GetString()));
+    element.insert(CCAPI_CONTRACT_SIZE, UtilString::normalizeDecimalString(x["contract_size"].GetString()));
   }
   void convertTextMessageToMarketDataMessage(const Request& request, const std::string& textMessage, const TimePoint& timeReceived, Event& event,
                                              std::vector<MarketDataMessage>& marketDataMessageList) override {

include/ccapi_cpp/service/ccapi_market_data_service_kucoin.h

@@ -57,6 +57,7 @@ class MarketDataServiceKucoin : public MarketDataServiceKucoinBase {
     element.insert(CCAPI_ORDER_PRICE_INCREMENT, x["priceIncrement"].GetString());
     element.insert(CCAPI_ORDER_QUANTITY_INCREMENT, x["baseIncrement"].GetString());
     element.insert(CCAPI_ORDER_QUANTITY_MIN, x["baseMinSize"].GetString());
+    element.insert(CCAPI_ORDER_PRICE_TIMES_QUANTITY_MIN, x["quoteMinSize"].GetString());
   }
 };
 } /* namespace ccapi */

test/test_unit/src/execution_management/huobi/test.cpp

@@ -215,9 +215,9 @@ TEST_F(ExecutionManagementServiceHuobiTest, convertTextMessageToMessageRestGetOr
       "price": "100.1000000000",
       "created-at": 1494901162595,
       "type": "buy-limit",
-      "filled-amount": "10.1000000000",
-      "filled-cash-amount": "1011.0100000000",
-      "filled-fees": "0.0202000000",
+      "field-amount": "10.1000000000",
+      "field-cash-amount": "1011.0100000000",
+      "field-fees": "0.0202000000",
       "finished-at": 1494901400468,
       "user-id": 1000,
       "source": "api",