Merge pull request #362 from crypto-chassis/develop

Release

README.md

@@ -55,7 +55,7 @@
 * Code closely follows Bloomberg's API: https://www.bloomberg.com/professional/support/api-library/.
 * It is ultra fast thanks to very careful optimizations: move semantics, regex optimization, locality of reference, lock contention minimization, etc.
 * Supported exchanges:
-  * Market data: coinbase, gemini, kraken, kraken-futures, bitstamp, bitfinex, bitmex, binance-us, binance, binance-usds-futures, binance-coin-futures, huobi, huobi-usdt-swap, huobi-coin-swap, okx, erisx, kucoin, kucoin-futures, deribit, gateio, gateio-perpetual-futures, cryptocom, bybit, bybit-derivatives, ascendex, bitget, bitget-futures, bitmart, mexc, mexc-futures.
+  * Market data: coinbase, gemini, kraken, kraken-futures, bitstamp, bitfinex, bitmex, binance-us, binance, binance-usds-futures, binance-coin-futures, huobi, huobi-usdt-swap, huobi-coin-swap, okx, erisx, kucoin, kucoin-futures, deribit, gateio, gateio-perpetual-futures, cryptocom, bybit, bybit-derivatives, ascendex, bitget, bitget-futures, bitmart, mexc, mexc-futures, whitebit.
   * Execution Management: coinbase, gemini, kraken, kraken-futures, bitstamp, bitfinex, bitmex, binance-us, binance, binance-usds-futures, binance-coin-futures, huobi, huobi-usdt-swap, huobi-coin-swap, okx, erisx, kucoin, kucoin-futures, deribit, gateio, gateio-perpetual-futures, cryptocom, bybit, bybit-derivatives, ascendex, bitget, bitget-futures, bitmart, mexc.
   * FIX: coinbase, gemini.
 * A spot market making application is provided as an end-to-end solution for liquidity providers.

binding/user_specified_cmake_include.cmake.example

@@ -61,6 +61,8 @@ include_guard(DIRECTORY)
 #
 # add_compile_definitions(CCAPI_ENABLE_EXCHANGE_MEXC_FUTURES)
 #
+# add_compile_definitions(CCAPI_ENABLE_EXCHANGE_WHITEBIT)
+#
 # add_compile_definitions(CCAPI_ENABLE_LOG_TRACE)
 #
 # add_compile_definitions(CCAPI_ENABLE_LOG_DEBUG)

include/ccapi_cpp/ccapi_macro.h

@@ -148,6 +148,9 @@
 #ifndef CCAPI_EXCHANGE_NAME_MEXC_FUTURES
 #define CCAPI_EXCHANGE_NAME_MEXC_FUTURES "mexc-futures"
 #endif
+#ifndef CCAPI_EXCHANGE_NAME_WHITEBIT
+#define CCAPI_EXCHANGE_NAME_WHITEBIT "whitebit"
+#endif
 #ifndef CCAPI_LAST_PRICE
 #define CCAPI_LAST_PRICE "LAST_PRICE"
 #endif
@@ -325,6 +328,8 @@
 #define CCAPI_WEBSOCKET_MEXC_CHANNEL_DIFF_DEPTH "[email protected]"
 #define CCAPI_WEBSOCKET_MEXC_FUTURES_CHANNEL_TRANSACTION "deal"
 #define CCAPI_WEBSOCKET_MEXC_FUTURES_CHANNEL_DEPTH "depth"
+#define CCAPI_WEBSOCKET_WHITEBIT_CHANNEL_MARKET_TRADES "trades"
+#define CCAPI_WEBSOCKET_WHITEBIT_CHANNEL_MARKET_DEPTH "depth"
 #ifndef CCAPI_CHANNEL_ID
 #define CCAPI_CHANNEL_ID "channelId"
 #endif
@@ -465,6 +470,9 @@
 #ifndef CCAPI_EM_ORDER_CUMULATIVE_FILLED_PRICE_TIMES_QUANTITY
 #define CCAPI_EM_ORDER_CUMULATIVE_FILLED_PRICE_TIMES_QUANTITY "CUMULATIVE_FILLED_PRICE_TIMES_QUANTITY"
 #endif
+#ifndef CCAPI_EM_ORDER_AVERAGE_FILLED_PRICE
+#define CCAPI_EM_ORDER_AVERAGE_FILLED_PRICE "AVERAGE_FILLED_PRICE"
+#endif
 #ifndef CCAPI_EM_ORDER_INSTRUMENT
 #define CCAPI_EM_ORDER_INSTRUMENT "INSTRUMENT"
 #endif
@@ -714,6 +722,9 @@
 #ifndef CCAPI_MEXC_FUTURES_URL_REST_BASE
 #define CCAPI_MEXC_FUTURES_URL_REST_BASE "https://contract.mexc.com"
 #endif
+#ifndef CCAPI_WHITEBIT_URL_REST_BASE
+#define CCAPI_WHITEBIT_URL_REST_BASE "https://whitebit.com"
+#endif
 // end: exchange REST urls
 
 // start: exchange WS urls
@@ -831,6 +842,9 @@
 #ifndef CCAPI_MEXC_FUTURES_URL_WS_BASE
 #define CCAPI_MEXC_FUTURES_URL_WS_BASE "wss://contract.mexc.com"
 #endif
+#ifndef CCAPI_WHITEBIT_URL_WS_BASE
+#define CCAPI_WHITEBIT_URL_WS_BASE "wss://api.whitebit.com"
+#endif
 // end: exchange WS urls
 
 // start: exchange FIX urls

include/ccapi_cpp/ccapi_message.h

@@ -16,8 +16,8 @@ class Message CCAPI_FINAL {
  public:
   enum class RecapType {
     UNKNOWN,
-    NONE,       // normal data tick; not a recap
-    SOLICITED,  // generated on request by subscriber
+    NONE,       // Normal data tick, not a recap. For market depth, it represents the new snapshot. For public trade, it represents the new trades.
+    SOLICITED,  // A recap. For market depth, it represents the initial snapshot. For public trade, it represents the recent trades.
   };
   static std::string recapTypeToString(RecapType recapType) {
     std::string output;

include/ccapi_cpp/ccapi_session.h

@@ -100,6 +100,9 @@
 #ifdef CCAPI_ENABLE_EXCHANGE_MEXC_FUTURES
 #include "ccapi_cpp/service/ccapi_market_data_service_mexc_futures.h"
 #endif
+#ifdef CCAPI_ENABLE_EXCHANGE_WHITEBIT
+#include "ccapi_cpp/service/ccapi_market_data_service_whitebit.h"
+#endif
 #endif
 // end: enable exchanges for market data
 
@@ -204,6 +207,9 @@
 // #ifdef CCAPI_ENABLE_EXCHANGE_MEXC_FUTURES
 // #include "ccapi_cpp/service/ccapi_execution_management_service_mexc_futures.h"
 // #endif
+#ifdef CCAPI_ENABLE_EXCHANGE_WHITEBIT
+#include "ccapi_cpp/service/ccapi_execution_management_service_whitebit.h"
+#endif
 #endif
 // end: enable exchanges for execution management
 
@@ -421,6 +427,10 @@ class Session {
     this->serviceByServiceNameExchangeMap[CCAPI_MARKET_DATA][CCAPI_EXCHANGE_NAME_MEXC_FUTURES] =
         std::make_shared<MarketDataServiceMexcFutures>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
 #endif
+#ifdef CCAPI_ENABLE_EXCHANGE_WHITEBIT
+    this->serviceByServiceNameExchangeMap[CCAPI_MARKET_DATA][CCAPI_EXCHANGE_NAME_WHITEBIT] =
+        std::make_shared<MarketDataServiceWhitebit>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
+#endif
 #endif
 #ifdef CCAPI_ENABLE_SERVICE_EXECUTION_MANAGEMENT
 #ifdef CCAPI_ENABLE_EXCHANGE_COINBASE
@@ -555,7 +565,12 @@ class Session {
 //     this->serviceByServiceNameExchangeMap[CCAPI_EXECUTION_MANAGEMENT][CCAPI_EXCHANGE_NAME_MEXC_FUTURES] =
 //         std::make_shared<ExecutionManagementServiceMexcFutures>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
 // #endif
+// #ifdef CCAPI_ENABLE_EXCHANGE_WHITEBIT
+//     this->serviceByServiceNameExchangeMap[CCAPI_EXECUTION_MANAGEMENT][CCAPI_EXCHANGE_NAME_WHITEBIT] =
+//         std::make_shared<ExecutionManagementServiceWhitebit>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
+// #endif
 #endif
+
 #ifdef CCAPI_ENABLE_SERVICE_FIX
 #ifdef CCAPI_ENABLE_EXCHANGE_COINBASE
     this->serviceByServiceNameExchangeMap[CCAPI_FIX][CCAPI_EXCHANGE_NAME_COINBASE] =

include/ccapi_cpp/ccapi_session_configs.h

@@ -163,6 +163,10 @@ class SessionConfigs CCAPI_FINAL {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_MEXC_FUTURES_CHANNEL_TRANSACTION},
         {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_MEXC_FUTURES_CHANNEL_DEPTH},
     };
+    std::map<std::string, std::string> fieldWebsocketChannelMapWhitebit = {
+        {CCAPI_TRADE, CCAPI_WEBSOCKET_WHITEBIT_CHANNEL_MARKET_TRADES},
+        {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_WHITEBIT_CHANNEL_MARKET_DEPTH},
+    };
     for (auto const& fieldWebsocketChannel : fieldWebsocketChannelMapCoinbase) {
       this->exchangeFieldMap[CCAPI_EXCHANGE_NAME_COINBASE].push_back(fieldWebsocketChannel.first);
     }
@@ -259,6 +263,9 @@ class SessionConfigs CCAPI_FINAL {
     for (auto const& fieldWebsocketChannel : fieldWebsocketChannelMapMexcFutures) {
       this->exchangeFieldMap[CCAPI_EXCHANGE_NAME_MEXC_FUTURES].push_back(fieldWebsocketChannel.first);
     }
+    for (auto const& fieldWebsocketChannel : fieldWebsocketChannelMapWhitebit) {
+      this->exchangeFieldMap[CCAPI_EXCHANGE_NAME_WHITEBIT].push_back(fieldWebsocketChannel.first);
+    }
     for (auto& x : this->exchangeFieldMap) {
       x.second.push_back(CCAPI_GENERIC_PUBLIC_SUBSCRIPTION);
     }
@@ -296,6 +303,7 @@ class SessionConfigs CCAPI_FINAL {
         {CCAPI_EXCHANGE_NAME_BITMART, fieldWebsocketChannelMapBitmart},
         {CCAPI_EXCHANGE_NAME_MEXC, fieldWebsocketChannelMapMexc},
         {CCAPI_EXCHANGE_NAME_MEXC_FUTURES, fieldWebsocketChannelMapMexcFutures},
+        {CCAPI_EXCHANGE_NAME_WHITEBIT, fieldWebsocketChannelMapWhitebit},
     };
     this->urlWebsocketBase = {
         {CCAPI_EXCHANGE_NAME_COINBASE, CCAPI_COINBASE_URL_WS_BASE},
@@ -334,6 +342,7 @@ class SessionConfigs CCAPI_FINAL {
         {CCAPI_EXCHANGE_NAME_BITMART, CCAPI_BITMART_URL_WS_BASE},
         {CCAPI_EXCHANGE_NAME_MEXC, CCAPI_MEXC_URL_WS_BASE},
         {CCAPI_EXCHANGE_NAME_MEXC_FUTURES, CCAPI_MEXC_FUTURES_URL_WS_BASE},
+        {CCAPI_EXCHANGE_NAME_WHITEBIT, CCAPI_WHITEBIT_URL_WS_BASE},
     };
     this->initialSequenceByExchangeMap = {{CCAPI_EXCHANGE_NAME_GEMINI, 0}, {CCAPI_EXCHANGE_NAME_BITFINEX, 1}};
   }
@@ -370,9 +379,10 @@ class SessionConfigs CCAPI_FINAL {
         {CCAPI_EXCHANGE_NAME_ASCENDEX, CCAPI_ASCENDEX_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_BITGET, CCAPI_BITGET_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_BITGET_FUTURES, CCAPI_BITGET_FUTURES_URL_REST_BASE},
+        {CCAPI_EXCHANGE_NAME_BITMART, CCAPI_BITMART_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_MEXC, CCAPI_MEXC_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_MEXC_FUTURES, CCAPI_MEXC_FUTURES_URL_REST_BASE},
-        {CCAPI_EXCHANGE_NAME_BITMART, CCAPI_BITMART_URL_REST_BASE},
+        {CCAPI_EXCHANGE_NAME_WHITEBIT, CCAPI_WHITEBIT_URL_REST_BASE},
     };
   }
   void initializUrlFixBase() {

include/ccapi_cpp/service/ccapi_execution_management_service_kraken_futures.h

@@ -280,62 +280,64 @@ class ExecutionManagementServiceKrakenFutures : public ExecutionManagementServic
     if (document.FindMember("event") == document.MemberEnd()) {
       if (document.FindMember("feed") != document.MemberEnd()) {
         std::string feed = document["feed"].GetString();
-        std::string field;
-        if (feed == "fills") {
-          field = CCAPI_EM_PRIVATE_TRADE;
-        } else if (feed == "open_orders") {
-          field = CCAPI_EM_ORDER_UPDATE;
-        }
-        const auto& fieldSet = subscription.getFieldSet();
-        if (fieldSet.find(field) != fieldSet.end()) {
-          const auto& instrumentSet = subscription.getInstrumentSet();
-          if (field == CCAPI_EM_PRIVATE_TRADE) {
-            for (const auto& x : document["fills"].GetArray()) {
+        if (feed == "fills" || feed == "open_orders") {
+          std::string field;
+          if (feed == "fills") {
+            field = CCAPI_EM_PRIVATE_TRADE;
+          } else if (feed == "open_orders") {
+            field = CCAPI_EM_ORDER_UPDATE;
+          }
+          const auto& fieldSet = subscription.getFieldSet();
+          if (fieldSet.find(field) != fieldSet.end()) {
+            const auto& instrumentSet = subscription.getInstrumentSet();
+            if (field == CCAPI_EM_PRIVATE_TRADE) {
+              for (const auto& x : document["fills"].GetArray()) {
+                std::string instrument = x["instrument"].GetString();
+                if (instrumentSet.empty() || instrumentSet.find(instrument) != instrumentSet.end()) {
+                  Message message;
+                  message.setType(Message::Type::EXECUTION_MANAGEMENT_EVENTS_PRIVATE_TRADE);
+                  message.setTime(UtilTime::makeTimePointFromMilliseconds(std::stoll(x["time"].GetString())));
+                  message.setTimeReceived(timeReceived);
+                  message.setCorrelationIdList({subscription.getCorrelationId()});
+                  std::vector<Element> elementList;
+                  Element element;
+                  element.insert(CCAPI_EM_ORDER_LAST_EXECUTED_PRICE, x["price"].GetString());
+                  element.insert(CCAPI_EM_ORDER_LAST_EXECUTED_SIZE, x["qty"].GetString());
+                  element.insert(CCAPI_EM_ORDER_SIDE, x["buy"].GetBool() ? CCAPI_EM_ORDER_SIDE_BUY : CCAPI_EM_ORDER_SIDE_SELL);
+                  element.insert(CCAPI_EM_ORDER_ID, std::string(x["order_id"].GetString()));
+                  element.insert(CCAPI_EM_CLIENT_ORDER_ID, std::string(x["cli_ord_id"].GetString()));
+                  element.insert(CCAPI_IS_MAKER, std::string(x["fill_type"].GetString()) == "maker" ? "1" : "0");
+                  element.insert(CCAPI_EM_ORDER_INSTRUMENT, instrument);
+                  element.insert(CCAPI_EM_ORDER_FEE_QUANTITY, std::string(x["fee_paid"].GetString()));
+                  element.insert(CCAPI_EM_ORDER_FEE_ASSET, std::string(x["fee_currency"].GetString()));
+                  elementList.emplace_back(std::move(element));
+                  message.setElementList(elementList);
+                  messageList.emplace_back(std::move(message));
+                }
+              }
+            } else if (field == CCAPI_EM_ORDER_UPDATE) {
+              const rj::Value& x = document["order"];
               std::string instrument = x["instrument"].GetString();
               if (instrumentSet.empty() || instrumentSet.find(instrument) != instrumentSet.end()) {
                 Message message;
-                message.setType(Message::Type::EXECUTION_MANAGEMENT_EVENTS_PRIVATE_TRADE);
-                message.setTime(UtilTime::makeTimePointFromMilliseconds(std::stoll(x["time"].GetString())));
+                message.setType(Message::Type::EXECUTION_MANAGEMENT_EVENTS_ORDER_UPDATE);
+                message.setTime(UtilTime::makeTimePointFromMilliseconds(std::stoll(x["last_update_time"].GetString())));
                 message.setTimeReceived(timeReceived);
                 message.setCorrelationIdList({subscription.getCorrelationId()});
                 std::vector<Element> elementList;
                 Element element;
-                element.insert(CCAPI_EM_ORDER_LAST_EXECUTED_PRICE, x["price"].GetString());
-                element.insert(CCAPI_EM_ORDER_LAST_EXECUTED_SIZE, x["qty"].GetString());
-                element.insert(CCAPI_EM_ORDER_SIDE, x["buy"].GetBool() ? CCAPI_EM_ORDER_SIDE_BUY : CCAPI_EM_ORDER_SIDE_SELL);
-                element.insert(CCAPI_EM_ORDER_ID, std::string(x["order_id"].GetString()));
-                element.insert(CCAPI_EM_CLIENT_ORDER_ID, std::string(x["cli_ord_id"].GetString()));
-                element.insert(CCAPI_IS_MAKER, std::string(x["fill_type"].GetString()) == "maker" ? "1" : "0");
                 element.insert(CCAPI_EM_ORDER_INSTRUMENT, instrument);
-                element.insert(CCAPI_EM_ORDER_FEE_QUANTITY, std::string(x["fee_paid"].GetString()));
-                element.insert(CCAPI_EM_ORDER_FEE_ASSET, std::string(x["fee_currency"].GetString()));
+                element.insert(CCAPI_EM_ORDER_QUANTITY, x["qty"].GetString());
+                element.insert(CCAPI_EM_ORDER_CUMULATIVE_FILLED_QUANTITY, x["filled"].GetString());
+                element.insert(CCAPI_EM_ORDER_LIMIT_PRICE, x["limit_price"].GetString());
+                element.insert(CCAPI_EM_ORDER_ID, x["order_id"].GetString());
+                element.insert(CCAPI_EM_ORDER_SIDE, std::string(x["direction"].GetString()) == "0" ? CCAPI_EM_ORDER_SIDE_BUY : CCAPI_EM_ORDER_SIDE_SELL);
+                element.insert("is_cancel", document["is_cancel"].GetBool() ? "1" : "0");
                 elementList.emplace_back(std::move(element));
                 message.setElementList(elementList);
                 messageList.emplace_back(std::move(message));
               }
             }
-          } else if (field == CCAPI_EM_ORDER_UPDATE) {
-            const rj::Value& x = document["order"];
-            std::string instrument = x["instrument"].GetString();
-            if (instrumentSet.empty() || instrumentSet.find(instrument) != instrumentSet.end()) {
-              Message message;
-              message.setType(Message::Type::EXECUTION_MANAGEMENT_EVENTS_ORDER_UPDATE);
-              message.setTime(UtilTime::makeTimePointFromMilliseconds(std::stoll(x["last_update_time"].GetString())));
-              message.setTimeReceived(timeReceived);
-              message.setCorrelationIdList({subscription.getCorrelationId()});
-              std::vector<Element> elementList;
-              Element element;
-              element.insert(CCAPI_EM_ORDER_INSTRUMENT, instrument);
-              element.insert(CCAPI_EM_ORDER_QUANTITY, x["qty"].GetString());
-              element.insert(CCAPI_EM_ORDER_CUMULATIVE_FILLED_QUANTITY, x["filled"].GetString());
-              element.insert(CCAPI_EM_ORDER_LIMIT_PRICE, x["limit_price"].GetString());
-              element.insert(CCAPI_EM_ORDER_ID, x["order_id"].GetString());
-              element.insert(CCAPI_EM_ORDER_SIDE, std::string(x["direction"].GetString()) == "0" ? CCAPI_EM_ORDER_SIDE_BUY : CCAPI_EM_ORDER_SIDE_SELL);
-              element.insert("is_cancel", document["is_cancel"].GetBool() ? "1" : "0");
-              elementList.emplace_back(std::move(element));
-              message.setElementList(elementList);
-              messageList.emplace_back(std::move(message));
-            }
           }
         }
       }
@@ -353,25 +355,39 @@ class ExecutionManagementServiceKrakenFutures : public ExecutionManagementServic
         auto signature = UtilAlgorithm::base64Encode(Hmac::hmac(Hmac::ShaVersion::SHA512, UtilAlgorithm::base64Decode(apiSecret), challengeToSignSha256));
         std::vector<std::string> sendStringList;
         for (const auto& field : subscription.getFieldSet()) {
-          std::string feed;
-          if (field == CCAPI_EM_PRIVATE_TRADE) {
-            feed = "fills";
-          } else if (field == CCAPI_EM_ORDER_UPDATE) {
-            feed = "open_orders";
+          {
+            std::string feed;
+            if (field == CCAPI_EM_PRIVATE_TRADE) {
+              feed = "fills";
+            } else if (field == CCAPI_EM_ORDER_UPDATE) {
+              feed = "open_orders";
+            }
+            rj::Document document;
+            document.SetObject();
+            auto& allocator = document.GetAllocator();
+            document.AddMember("event", rj::Value("subscribe").Move(), allocator);
+            document.AddMember("feed", rj::Value(feed.c_str(), allocator).Move(), allocator);
+            document.AddMember("api_key", rj::Value(apiKey.c_str(), allocator).Move(), allocator);
+            document.AddMember("original_challenge", rj::Value(challengeToSign.c_str(), allocator).Move(), allocator);
+            document.AddMember("signed_challenge", rj::Value(signature.c_str(), allocator).Move(), allocator);
+            rj::StringBuffer stringBuffer;
+            rj::Writer<rj::StringBuffer> writer(stringBuffer);
+            document.Accept(writer);
+            std::string sendString = stringBuffer.GetString();
+            sendStringList.push_back(sendString);
+          }
+          {
+            rj::Document document;
+            document.SetObject();
+            auto& allocator = document.GetAllocator();
+            document.AddMember("event", rj::Value("subscribe").Move(), allocator);
+            document.AddMember("feed", rj::Value("heartbeat").Move(), allocator);
+            rj::StringBuffer stringBuffer;
+            rj::Writer<rj::StringBuffer> writer(stringBuffer);
+            document.Accept(writer);
+            std::string sendString = stringBuffer.GetString();
+            sendStringList.push_back(sendString);
           }
-          rj::Document document;
-          document.SetObject();
-          auto& allocator = document.GetAllocator();
-          document.AddMember("event", rj::Value("subscribe").Move(), allocator);
-          document.AddMember("feed", rj::Value(feed.c_str(), allocator).Move(), allocator);
-          document.AddMember("api_key", rj::Value(apiKey.c_str(), allocator).Move(), allocator);
-          document.AddMember("original_challenge", rj::Value(challengeToSign.c_str(), allocator).Move(), allocator);
-          document.AddMember("signed_challenge", rj::Value(signature.c_str(), allocator).Move(), allocator);
-          rj::StringBuffer stringBuffer;
-          rj::Writer<rj::StringBuffer> writer(stringBuffer);
-          document.Accept(writer);
-          std::string sendString = stringBuffer.GetString();
-          sendStringList.push_back(sendString);
         }
         for (const auto& sendString : sendStringList) {
           ErrorCode ec;