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exchange_api_pull.hpp
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#pragma once
#include <iostream>
#include <fstream>
#include <curl/curl.h>
#include <nlohmann/json.hpp>
#include <unordered_map>
#include <vector>
#include <string>
#include <thread>
#include <mutex>
#include <chrono>
#include <algorithm>
using namespace std;
using namespace std::chrono;
/*
*
* Determines size for buffer needed for data received from API responses
*
*/
static size_t writeCallback(void *contents, size_t size, size_t nmemb, void *userp)
{
((string *)userp)->append((char *)contents, size * nmemb);
return size * nmemb;
}
/*
*
* Helper method that converts a string to lowercase
* (should be in the string library)
*
*/
string toLowerCase(string str) {
for (char& c : str) {
if (c >= 'A' && c <= 'Z') {
c = c + ('a' - 'A');
}
}
return str;
}
/*
*
* Develops a HashMap of predetermined viable trading pairs to add to
* an active graph of trading pair exchanges
* Map Structure: "Coin1Coin2" -> ["Coin1", "Coin2"]
*
*/
unordered_map<string, vector<string>> buildSymbolHashMap(string symbolPath)
{
// read from Symbol_Space_Split.txt and build a dictionary
//TODO: replace with updated path after scraping script has been created
ifstream input_file(symbolPath.c_str());
string line, lineCopy;
short int slashPos;
unordered_map<string, vector<string>> symbolMap;
if (input_file.is_open())
{
while (getline(input_file, line))
{
short strLen = line.length(), forSlashPos = line.find("/");
string firstCoin = line.substr(1, forSlashPos-1);
string secondCoin = line.substr(forSlashPos + 1, strLen - forSlashPos - 2);
vector<string> symbolsVec = {firstCoin, secondCoin};
string symbolKey = firstCoin + secondCoin;
// cout << "Key: " << symbolKey << " coins: " << firstCoin << ", " << secondCoin << endl;
symbolMap[symbolKey] = symbolsVec;
}
input_file.close();
}
else
{
cout << "Unable to open symbol pruning file" << endl;
}
return symbolMap;
}
/*
*
* Resize method to take the massive symbolMap unordered_map of random combinations
* of possible viable trading pairs to fixed in size to only the trading pairs
* that are identified as active on exchanges
*
*/
void symbolHashMapResize(unordered_map<string, vector<string>> &symbolMap, unordered_set<string> &seenSymbols)
{
vector<string> toErase;
string tradingPairSymbol;
// iterate over the keys of symbolMap
for (pair<string, vector<string>> symbolEntry : symbolMap)
{
// if tradingPair is not deemed as active by API pull then mark it for erase
tradingPairSymbol = symbolEntry.first;
if (seenSymbols.find(tradingPairSymbol) == seenSymbols.end())
{
toErase.push_back(tradingPairSymbol);
}
}
// erase all symbols in the symbolMap that do not relate to active trading pairs
for(string eraseStr : toErase)
{
symbolMap.erase(eraseStr);
}
}
/*
*
* Helper method for identifying which buy and sell side of orderbook
* by the units for coin amount and coin price
*
*/
void updateOrderBookSides(vector<string> &orderBookSides, string &symbol, TrackProfit &spotTrade, string &delimiter)
{
// check naming variations for different exchanges
if (symbol == spotTrade.to + delimiter + spotTrade.from ||
toLowerCase(symbol) == toLowerCase(spotTrade.to) + delimiter + toLowerCase(spotTrade.from))
{
orderBookSides[0] = spotTrade.to; // Amount unit
orderBookSides[1] = spotTrade.from; // Price unit
}
else
{
orderBookSides[0] = spotTrade.from; // Amount unit
orderBookSides[1] = spotTrade.to; // Price unit
}
}
/*
*
* Develops a HashMap of exchanges and their spot trading fees
* Map Structure: Binance -> [0.002]
* TODO: Consider logging the fee map entries
*
*/
unordered_map<string, double> buildFeeMap(){
unordered_map<string, double> feeMap;
feeMap["binance"] = 0.002;
feeMap["bitget"] = 0.002;
feeMap["bitmart"] = 0.005;
feeMap["gateio"] = 0.003;
feeMap["huobi"] = 0.002;
feeMap["kucoin"] = 0.002;
return feeMap;
}
/*
*
* Pull spot ticker data from Binance Exchange via API
* and add data to Graph
*
*/
void pullBinance(unordered_map<string, vector<string> > &symbolMap, Graph &g, bool setGraph, unordered_set<string> &seenSymbols, mutex &seenSymbols_mutex)
{
CURL *curl;
CURLcode res;
string response;
string exchange = "binance";
double exchangeFee = 0.002;
curl = curl_easy_init();
if (curl)
{
// cout << "Start pull from " << exchange << "...";
const char* exchangeURL = "https://api.binance.com/api/v3/ticker/bookTicker";
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
try
{
nlohmann::json json_data = nlohmann::json::parse(response);
for (const auto &item : json_data)
{
string tradeSymbol = string(item["symbol"]);
vector<string> assets = symbolMap[tradeSymbol];
assets = symbolMap[tradeSymbol];
// Trading pair is not viable by user settings
if (assets.size() != 2)
continue;
string fromAsset = assets[0], toAsset = assets[1];
string strBidPrice = item["bidPrice"], strAskPrice = item["askPrice"];
double bidPrice = stod(strBidPrice), askPrice = stod(strAskPrice);
if ((bidPrice == 0.0) || (askPrice == 0.0))
{
continue;
}
if (setGraph)
{
g.addEdge(fromAsset, toAsset, exchangeFee, exchange);
// Record what trading symbol was used to resize symbolMap later
// mark TradingPair as seen; symbolMap will be resized at set up with this information
seenSymbols_mutex.lock();
seenSymbols.insert(tradeSymbol);
seenSymbols.insert(toAsset + fromAsset);
seenSymbols_mutex.unlock();
}
else
{
g.updateEdge(fromAsset, toAsset, bidPrice, askPrice, exchange);
}
}
}
catch (const exception &e)
{
cout << exchange << " SSL EXCEPTION DETECTED" << endl;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull order book data from Binance Exchange via API
* and return info
*
*/
void pullBinanceOrderBook(TrackProfit &spotTrade, vector<vector<double>> &orderBookData, vector<string> &orderBookSides, int &nDepth)
{
CURL *curl;
CURLcode res;
string response;
vector<string> symbolCombo; string delimiter = "";
symbolCombo.push_back(spotTrade.to + spotTrade.from); symbolCombo.push_back(spotTrade.from + spotTrade.to);
string baseURL = "https://api.binance.com/api/v3/depth", query, URL;
curl = curl_easy_init();
if (curl)
{
for(string &symbol : symbolCombo)
{
query = "?symbol=" + symbol + "&limit=" + to_string(nDepth);
URL = baseURL + query;
const char* exchangeURL = URL.c_str();
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
nlohmann::json json_data = nlohmann::json::parse(response);
// cout << "exchange: " << spotTrade.exchange << "response: " << response << endl;
response.clear(); // Clear the response variable
// invalid combination
if (json_data.find("msg") != json_data.end())
continue;
int jsonDataBidCtn = json_data["bids"].size();
int jsonDataAskCtn = json_data["asks"].size();
int nDepthCopy = min(min(nDepth, jsonDataAskCtn), jsonDataBidCtn);
// parse out each active order in orderbook
for (int i = 0; i < nDepthCopy; i++)
{
string strBidPrice = json_data["bids"][i][0], strBidAmt = json_data["bids"][i][1];
double bidPrice = stod(strBidPrice), bidAmt = stod(strBidAmt);
string strAskPrice = json_data["asks"][i][0], strAskAmt = json_data["asks"][i][1];
double askPrice = stod(strAskPrice), askAmt = stod(strAskAmt);
orderBookData[0][i] = log(bidPrice); orderBookData[1][i] = bidAmt;
orderBookData[2][i] = log(askPrice); orderBookData[3][i] = log(askPrice) + askAmt;
}
// resize the array when needed
if (nDepthCopy != nDepth)
{
orderBookData[0].resize(nDepthCopy); orderBookData[1].resize(nDepthCopy);
orderBookData[2].resize(nDepthCopy); orderBookData[3].resize(nDepthCopy);
}
updateOrderBookSides(orderBookSides, symbol, spotTrade, delimiter);
break;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull spot ticker data from bitget Exchange via API
* and add data to Graph
*
*/
void pullBitget(unordered_map<string, vector<string> > &symbolMap, Graph &g, bool setGraph, unordered_set<string> &seenSymbols, mutex &seenSymbols_mutex)
{
CURL *curl;
CURLcode res;
string response;
string exchange = "bitget";
double exchangeFee = 0.002;
curl = curl_easy_init();
if (curl)
{
// cout << "Start pull from " << exchange << "...";
const char* exchangeURL = "https://api.bitget.com/api/spot/v1/market/tickers";
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
try {
nlohmann::json json_data = nlohmann::json::parse(response);
for (auto& item : json_data["data"]) {
// symbol comes in uppercase with the coins seperated by a hyphen
string tradeSymbol = item["symbol"];
vector<string> assets = symbolMap[tradeSymbol];
if (assets.size() != 2)
{
continue;
}
string fromAsset = assets[0], toAsset = assets[1];
string strBidPrice = item["buyOne"], strAskPrice = item["sellOne"];
long double bidPrice = stod(strBidPrice), askPrice = stod(strAskPrice);
if ((bidPrice == 0.0) || (askPrice == 0.0)){
continue;
}
if (setGraph){
g.addEdge(fromAsset, toAsset, exchangeFee, exchange);
// mark TradingPair as seen; symbolMap will be resized at set up with this information
seenSymbols_mutex.lock();
seenSymbols.insert(tradeSymbol);
seenSymbols.insert(toAsset + fromAsset);
seenSymbols_mutex.unlock();
}
else{
g.updateEdge(fromAsset, toAsset, bidPrice, askPrice, exchange);
}
}
}
catch (const exception &e)
{
cout << exchange << " SSL EXCEPTION DETECTED" << endl;
}
// cout << "Finished pull from " << exchange << "\n" << endl;
curl_easy_cleanup(curl);
}
}
/*
*
* Pull order book data from bitget Exchange via API
* and add data to Graph
*
*/
void pullBitgetOrderBook(TrackProfit &spotTrade, vector<vector<double>> &orderBookData, vector<string> &orderBookSides, int nDepth)
{
CURL *curl;
CURLcode res;
string response;
vector<string> symbolCombo; string delimiter = "";
symbolCombo.push_back(spotTrade.to + spotTrade.from); symbolCombo.push_back(spotTrade.from + spotTrade.to);
string baseURL = "https://capi.bitget.com/data/v1/market/depth", query, URL;
curl = curl_easy_init();
if (curl)
{
for(string &symbol : symbolCombo)
{
query = "?symbol=" + symbol;
URL = baseURL + query;
const char* exchangeURL = URL.c_str();
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
nlohmann::json json_data = nlohmann::json::parse(response);
// cout << "exchange: " << spotTrade.exchange << "response: " << response << endl;
response.clear(); // Clear the response variable
// invalid API request
if (json_data["data"]["asks"].size() == 0)
{
continue;
}
int jsonDataBidCtn = json_data["data"]["bids"].size();
int jsonDataAskCtn = json_data["data"]["asks"].size();
int nDepthCopy = min(min(nDepth, jsonDataAskCtn), jsonDataBidCtn);
// parse out each active order in orderbook
for (int i = 0; i < nDepthCopy; i++)
{
string strBidPrice = json_data["data"]["bids"][i][0], strBidAmt = json_data["data"]["bids"][i][1];
double bidPrice = stod(strBidPrice), bidAmt = stod(strBidAmt);
string strAskPrice = json_data["data"]["asks"][i][0], strAskAmt = json_data["data"]["asks"][i][1];
double askPrice = stod(strAskPrice), askAmt = stod(strAskAmt);
orderBookData[0][i] = log(bidPrice); orderBookData[1][i] = bidAmt;
orderBookData[2][i] = log(askPrice); orderBookData[3][i] = askAmt;
}
// resize the array when needed
if (nDepthCopy != nDepth)
{
orderBookData[0].resize(nDepthCopy); orderBookData[1].resize(nDepthCopy);
orderBookData[2].resize(nDepthCopy); orderBookData[3].resize(nDepthCopy);
}
updateOrderBookSides(orderBookSides, symbol, spotTrade, delimiter);
// correct url has been traversed
break;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull spot ticker data from BitMart Exchange via API
*
*/
void pullBitMart(unordered_map<string, vector<string> > &symbolMap, Graph &g, bool setGraph, unordered_set<string> &seenSymbols, mutex &seenSymbols_mutex)
{
CURL *curl;
CURLcode res;
string response;
string exchange = "bitmart";
double exchangeFee = 0.005;
curl = curl_easy_init();
if (curl)
{
// cout << "Start pull from " << exchange << "...";
const char* exchangeURL = "https://api-cloud.bitmart.com/spot/v2/ticker";
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
try{
nlohmann::json json_data = nlohmann::json::parse(response);
for (auto& item : json_data["data"]["tickers"]) {
// symbol comes in uppercase with the coins seperated by a hyphen
string tradeSymbol = item["symbol"];
int delimeterPos = tradeSymbol.find("_");
tradeSymbol = tradeSymbol.substr(0, delimeterPos) + tradeSymbol.substr(delimeterPos+1);
vector<string> assets = symbolMap[tradeSymbol];
if (assets.size() != 2)
{
continue;
}
string fromAsset = assets[0], toAsset = assets[1];
string strBidPrice = item["best_bid"], strAskPrice = item["best_ask"];
long double bidPrice = stod(strBidPrice), askPrice = stod(strAskPrice);
if ((bidPrice == 0.0) || (askPrice == 0.0)){
continue;
}
if (setGraph){
g.addEdge(fromAsset, toAsset, exchangeFee, exchange);
// mark TradingPair as seen; symbolMap will be resized at set up with this information
seenSymbols_mutex.lock();
seenSymbols.insert(tradeSymbol);
seenSymbols.insert(toAsset + fromAsset);
seenSymbols_mutex.unlock();
}
else{
g.updateEdge(fromAsset, toAsset, bidPrice, askPrice, exchange);
}
}
}
catch (const exception &e)
{
cout << exchange << " SSL EXCEPTION DETECTED" << endl;
}
// cout << "Finished pull from " << exchange << "\n" << endl;
curl_easy_cleanup(curl);
}
}
/*
*
* Pull order book data from BitMart Exchange via API
*
*/
void pullBitMartOrderBook(TrackProfit &spotTrade, vector<vector<double>> &orderBookData, vector<string> &orderBookSides, int nDepth)
{
CURL *curl;
CURLcode res;
string response;
vector<string> symbolCombo; string delimiter = "_";
symbolCombo.push_back(spotTrade.to + "_" +spotTrade.from); symbolCombo.push_back(spotTrade.from + "_" + spotTrade.to);
string baseURL = "https://api-cloud.bitmart.com/spot/v1/symbols/book", query, URL;
curl = curl_easy_init();
if (curl)
{
for(string &symbol : symbolCombo)
{
query = "?symbol=" + symbol + "&size=" + to_string(nDepth);
URL = baseURL + query;
const char* exchangeURL = URL.c_str();
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
nlohmann::json json_data = nlohmann::json::parse(response);
// cout << "exchange: " << spotTrade.exchange << "response: " << response << endl;
response.clear(); // Clear the response variable
// invalid API request
if (json_data["message"] != "OK")
{
continue;
}
int jsonDataBidCtn = json_data["data"]["buys"].size();
int jsonDataAskCtn = json_data["data"]["sells"].size();
int nDepthCopy = min(min(nDepth, jsonDataAskCtn), jsonDataBidCtn);
// parse out each active order in orderbook
for (int i = 0; i < nDepthCopy; i++)
{
string strBidPrice = json_data["data"]["buys"][i]["price"], strBidAmt = json_data["data"]["buys"][i]["amount"];
double bidPrice = stod(strBidPrice), bidAmt = stod(strBidAmt);
string strAskPrice = json_data["data"]["sells"][i]["price"], strAskAmt = json_data["data"]["sells"][i]["amount"];
double askPrice = stod(strAskPrice), askAmt = stod(strAskAmt);
orderBookData[0][i] = log(bidPrice); orderBookData[1][i] = bidAmt;
orderBookData[2][i] = log(askPrice); orderBookData[3][i] = askAmt;
}
// resize the array when needed
if (nDepthCopy != nDepth)
{
orderBookData[0].resize(nDepthCopy); orderBookData[1].resize(nDepthCopy);
orderBookData[2].resize(nDepthCopy); orderBookData[3].resize(nDepthCopy);
}
updateOrderBookSides(orderBookSides, symbol, spotTrade, delimiter);
// correct url has been traversed
break;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull spot ticker data from Gate.io Exchange via API
* and add data to Graph
*
*/
void pullGateio(unordered_map<string, vector<string> > &symbolMap, Graph &g, bool setGraph, unordered_set<string> &seenSymbols, mutex &seenSymbols_mutex)
{
CURL *curl;
CURLcode res;
string response;
string exchange = "gateio";
double exchangeFee = 0.003;
curl = curl_easy_init();
if (curl)
{
const char* exchangeURL = "https://api.gateio.ws/api/v4/spot/tickers";
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
try
{
nlohmann::json json_data = nlohmann::json::parse(response);
for (auto& item : json_data)
{
// symbol comes in uppercase with the coins seperated by a hyphen
string tradeSymbol = item["currency_pair"];
int delimeterPos = tradeSymbol.find("_");
tradeSymbol = tradeSymbol.substr(0, delimeterPos) + tradeSymbol.substr(delimeterPos+1);
vector<string> assets = symbolMap[tradeSymbol];
if (assets.size() != 2)
continue;
string fromAsset = assets[0], toAsset = assets[1];
string strBidPrice = item["highest_bid"], strAskPrice = item["lowest_ask"];
if ((strBidPrice == "") || (strAskPrice == ""))
continue;
long double bidPrice = stod(strBidPrice), askPrice = stod(strAskPrice);
if ((bidPrice == 0.0) || (askPrice == 0.0))
continue;
if (setGraph)
{
g.addEdge(fromAsset, toAsset, exchangeFee, exchange);
// mark TradingPair as seen; symbolMap will be resized at set up with this information
seenSymbols_mutex.lock();
seenSymbols.insert(tradeSymbol);
seenSymbols.insert(toAsset + fromAsset);
seenSymbols_mutex.unlock();
}
else
g.updateEdge(fromAsset, toAsset, bidPrice, askPrice, exchange);
}
}
catch (const exception &e)
{
cout << exchange << " SSL EXCEPTION DETECTED" << endl;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull order book data from Gate.io Exchange via API
*
*/
void pullGateioOrderBook(TrackProfit &spotTrade, vector<vector<double>> &orderBookData, vector<string> &orderBookSides, int nDepth)
{
CURL *curl;
CURLcode res;
string response;
vector<string> symbolCombo; string delimiter = "_";
symbolCombo.push_back(spotTrade.to + "_" +spotTrade.from); symbolCombo.push_back(spotTrade.from + "_" + spotTrade.to);
string baseURL = "https://api.gateio.ws/api/v4/spot/order_book", query, URL;
curl = curl_easy_init();
if (curl)
{
for(string &symbol : symbolCombo)
{
query = "?currency_pair=" + symbol + "&limit=" + to_string(nDepth);
URL = baseURL + query;
const char* exchangeURL = URL.c_str();
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
nlohmann::json json_data = nlohmann::json::parse(response);
// cout << "exchange: " << spotTrade.exchange << "response: " << response << endl;
response.clear(); // Clear the response variable
// invalid API request
if (json_data.find("message") != json_data.end())
continue;
int jsonDataBidCtn = json_data["bids"].size();
int jsonDataAskCtn = json_data["asks"].size();
int nDepthCopy = min(min(nDepth, jsonDataAskCtn), jsonDataBidCtn);
// parse out each active order in orderbook
for (int i = 0; i < nDepthCopy; i++)
{
string strBidPrice = json_data["bids"][i][0], strBidAmt = json_data["bids"][i][1];
double bidPrice = stod(strBidPrice), bidAmt = stod(strBidAmt);
string strAskPrice = json_data["asks"][i][0], strAskAmt = json_data["asks"][i][1];
double askPrice = stod(strAskPrice), askAmt = stod(strAskAmt);
orderBookData[0][i] = log(bidPrice); orderBookData[1][i] = bidAmt;
orderBookData[2][i] = log(askPrice); orderBookData[3][i] = askAmt;
}
// resize the array when needed
if (nDepthCopy != nDepth)
{
orderBookData[0].resize(nDepthCopy); orderBookData[1].resize(nDepthCopy);
orderBookData[2].resize(nDepthCopy); orderBookData[3].resize(nDepthCopy);
}
updateOrderBookSides(orderBookSides, symbol, spotTrade, delimiter);
// correct url has been traversed
break;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull spot ticker data from Huobi Exchange via API
* and add data to Graph
*
*/
void pullHuobi(unordered_map<string, vector<string> > &symbolMap, Graph &g, bool setGraph, unordered_set<string> &seenSymbols, mutex &seenSymbols_mutex)
{
CURL *curl;
CURLcode res;
string response;
string exchange = "huobi";
double exchangeFee = 0.002;
curl = curl_easy_init();
if (curl)
{
const char* exchangeURL = "https://api.huobi.pro/market/tickers";
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
try
{
nlohmann::json json_data = nlohmann::json::parse(response);
for (auto& item : json_data["data"]) {
// Huobi returns symbol name in all lower case where my hashmap is all uppercase
string tradeSymbol = item["symbol"];
string tradeSymbolUpper;
for (char c : tradeSymbol){
tradeSymbolUpper += toupper(c);
}
vector<string> assets = symbolMap[tradeSymbolUpper];
if (assets.size() != 2)
continue;
string fromAsset = assets[0], toAsset = assets[1];
double bidPrice = item["bid"], askPrice = item["ask"];
if ((bidPrice == 0.0) || (askPrice == 0.0)){
continue;
}
if (setGraph){
g.addEdge(fromAsset, toAsset, exchangeFee, exchange);
// Record what trading symbol was used to resize symbolMap later
// mark TradingPair as seen; symbolMap will be resized at set up with this information
seenSymbols_mutex.lock();
seenSymbols.insert(tradeSymbolUpper);
seenSymbols.insert(toAsset + fromAsset);
seenSymbols_mutex.unlock();
}
else
{
g.updateEdge(fromAsset, toAsset, bidPrice, askPrice, exchange);
}
}
}
catch (const exception &e)
{
cout << exchange << " SSL EXCEPTION DETECTED" << endl;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull order book data from Huobi Exchange via API
*
*/
void pullHuobiOrderBook(TrackProfit &spotTrade, vector<vector<double>> &orderBookData, vector<string> &orderBookSides, int nDepth)
{
CURL *curl;
CURLcode res;
string response;
vector<string> symbolCombo; string delimiter = "";
symbolCombo.push_back(toLowerCase(spotTrade.to + spotTrade.from));
symbolCombo.push_back(toLowerCase(spotTrade.from + spotTrade.to));
string baseURL = "https://api.huobi.pro/market/depth?", query, URL;
curl = curl_easy_init();
if (curl)
{
for(string &symbol : symbolCombo)
{
query = "symbol=" + symbol + "&type=step0";
URL = baseURL + query;
const char* exchangeURL = URL.c_str();
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
nlohmann::json json_data = nlohmann::json::parse(response);
// cout << "exchange: " << spotTrade.exchange << "response: " << response << endl;
response.clear(); // Clear the response variable
// invalid API request
if (json_data.find("err-msg") != json_data.end())
continue;
int jsonDataBidCtn = json_data["tick"]["bids"].size();
int jsonDataAskCtn = json_data["tick"]["asks"].size();
int nDepthCopy = min(min(nDepth, jsonDataAskCtn), jsonDataBidCtn);
// parse out each active order in orderbook
for (int i = 0; i < nDepthCopy; i++)
{
double bidPrice = json_data["tick"]["bids"][i][0], bidAmt = json_data["tick"]["bids"][i][1];
double askPrice = json_data["tick"]["asks"][i][0], askAmt = json_data["tick"]["asks"][i][1];
orderBookData[0][i] = log(bidPrice); orderBookData[1][i] = bidAmt;
orderBookData[2][i] = log(askPrice); orderBookData[3][i] = askAmt;
}
// resize the array when needed
if (nDepthCopy != nDepth)
{
orderBookData[0].resize(nDepthCopy); orderBookData[1].resize(nDepthCopy);
orderBookData[2].resize(nDepthCopy); orderBookData[3].resize(nDepthCopy);
}
updateOrderBookSides(orderBookSides, symbol, spotTrade, delimiter);
// correct url has been traversed
break;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull spot ticker data from Kucoin Exchange via API
* and add data to Graph
*
*/
void pullKucoin(unordered_map<string, vector<string> > &symbolMap, Graph &g, bool setGraph, unordered_set<string> &seenSymbols, mutex &seenSymbols_mutex)
{
CURL *curl;
CURLcode res;
string response;
string exchange = "kucoin";
double exchangeFee;
curl = curl_easy_init();
if (curl)
{
const char* exchangeURL = "https://api.kucoin.com/api/v1/market/allTickers";
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL );
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;
}
// TODO: Test to make sure something correct is returned from API call aka on the right VPN
try
{
nlohmann::json json_data = nlohmann::json::parse(response);
for (auto& item : json_data["data"]["ticker"]) {
// symbol comes in uppercase with the coins seperated by a hyphen
string tradeSymbol = item["symbol"];
int delimeterPos = tradeSymbol.find("-");
tradeSymbol = tradeSymbol.substr(0, delimeterPos) + tradeSymbol.substr(delimeterPos+1);
vector<string> assets = symbolMap[tradeSymbol];
if (assets.size() != 2)
continue;
string fromAsset = assets[0], toAsset = assets[1];
string strBidPrice = item["buy"], strAskPrice = item["sell"];
long double bidPrice = stod(strBidPrice), askPrice = stod(strAskPrice);
if ((bidPrice == 0.0) || (askPrice == 0.0)){
continue;
}
if (setGraph){
string strTakerFee = item["takerFeeRate"], strMakerFee = item["makerFeeRate"];
exchangeFee = stod(strTakerFee) + stod(strMakerFee);
g.addEdge(fromAsset, toAsset, exchangeFee, exchange);
// Record what trading symbol was used to resize symbolMap later
// mark TradingPair as seen; symbolMap will be resized at set up with this information
seenSymbols_mutex.lock();
seenSymbols.insert(tradeSymbol);
seenSymbols.insert(toAsset + fromAsset);
seenSymbols_mutex.unlock();
}
else{
g.updateEdge(fromAsset, toAsset, bidPrice, askPrice, exchange);
}
}
}
catch (const exception &e)
{
cout << exchange << " SSL EXCEPTION DETECTED" << endl;
}
curl_easy_cleanup(curl);
}
}
/*
*
* Pull order book data from Kucoin Exchange via API
*
*/
void pullKucoinOrderBook(TrackProfit &spotTrade, vector<vector<double>> &orderBookData, vector<string> &orderBookSides, int nDepth)
{
CURL *curl;
CURLcode res;
string response;
vector<string> symbolCombo; string delimiter = "-";
symbolCombo.push_back(spotTrade.to + "-" + spotTrade.from);
symbolCombo.push_back(spotTrade.from + "-" + spotTrade.to);
string baseURL = "https://api.kucoin.com/api/v1/market/orderbook/level2_100", query, URL;
curl = curl_easy_init();
if (curl)
{
for(string &symbol : symbolCombo)
{
query = "?symbol=" + symbol;
URL = baseURL + query;
const char* exchangeURL = URL.c_str();
curl_easy_setopt(curl, CURLOPT_URL, exchangeURL);
curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, writeCallback);
curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
res = curl_easy_perform(curl);
// Check for errors
if (res != CURLE_OK)
{
cerr << "curl_easy_perform() failed: " << curl_easy_strerror(res) << endl;