crypto-connect

An opinionated project for connecting to Crypto Exchanges in C++20.

Summary

This project aims to provide a common interface between the different crypto exchanges (more to come), with an opinionated approach as to what event streams are consumed and what orders can be made (GTC-only).

It is strongly advised to heavily test it in the sandbox before using it in live.

Dependencies

1. Boost (v1.71.0+)
2. libssl-dev

Features

• Retrieve Available Products and Product Details
• Market Data Stream (Bars, Ticks, Trades, OrderStatuses, Transactions)
• Historical Bar Data Queries
• Order Placing (GTC-only) for Market and Limit (non-margin)
• Order Cancellation
• Order Tracking (both as streamed event and querying it directly with REST)
• Accounts

Build

This project is developed in Linux and should work on Unix-based systems.

Build the shared object and link it.

$ mkdir build && cd build
$ cmake .. -B . -DEXCHANGE=cbpro -DMODE=[sandbox|live]
$ make

You can now move the libcryptoconnect-cbpro.so shared object to either your /usr/include or your project's directory

Usage

1. Copy the header files include/cryptoconnect into your project.

2. Include the adapter and implement the base strategy to handle the market events.

3. A config.yaml file is also expected in your project root for the provision of API keys, secrets, and passphrases as seen in config.template.yaml.

#include "cryptoconnect/strategy.hpp"           // The base strategy class to implement
#include "cryptoconnect/structs/events.hpp"     // Event structs
#include "cryptoconnect/structs/orders.hpp"     // Order structs
#include "cryptoconnect/structs/universe.hpp"   // Universe struct

class MyStrategy : public CryptoConnect::BaseStrategy
{
public:
    void onInit()
    {
        // Some initializing logic here
    }

    void onStart()
    {
        // Logic to filter and set the trading universe
        Universe::Universe availableUniverse;
        this->adapter_->getAvailableUniverse(availableUniverse);
        ...
        Universe::Universe myUniverse({"BTC-USD", "ETH-USD"});
        this->adapter_->updateUniverse(myUniverse);
    }

    void onBar(Events::Bar bar)
    {
        // Do something when a new minute bar is aggregated
    }

    void onTick(Events::Tick tick)
    {
        // Do something when the best bid/ask is updated
    }

    void onTrade(Events::Trade trade)
    {
        // Do something when there is a trade/match in the market
        if (trade.productId_ == "BTC-USD" && trade.lastPrice_ < 40000)
        {
            Orders::MarketOrder order(Orders::Side::BUY, "BTC-USD", 1.23);
            Orders::OrderResponse response;
            this->adapter_.placeOrder(order, response);
            std::cout << response << '\n';
        }
    }

    void onOrderStatus(Events::OrderStatus orderStatus)
    {
        // Track my order statuses (received/open/done)
    }

    void onTransaction(Events::Transaction transaction)
    {
        // Get notified when my order matches
    }

    void onExit()
    {
        // Some closing logic here
    }
};

#include "cryptoconnect/adapters/coinbasepro.hpp"   // The adapter

int main()
{
    MyStrategy myStrategy;
    CryptoConnect::CoinbasePro::Adapter adapter(&myStrategy);

    adapter.start();
}

Example of simply logging out the events received from the stream:

More details can be found in examples.

Future developments

1. To test the stability of the project and improve error handling
2. More exchanges
3. Possible extension for use in Python

Contributors

• Cheong Shiu Hong