Support websocket api to receive order updates (i.e. execution report)

[cryptochassis]

Is your feature request related to a problem? Please describe. Receiving execution reports on order and trade status in real time is important for high frequency trading.

Describe the solution you'd like In include/ccapi_cpp/service/ccapi_execution_management_service.h some skeleton code was copy/paste'd from include/ccapi_cpp/service/ccapi_market_data_service.h which already support websocket api. To add support for a given exchange, we would override function void logonToExchange(const WsConnection& wsConnection, const TimePoint& tp) and function void onTextMessage(wspp::connection_hdl hdl, const std::string& textMessage, const TimePoint& timeReceived) in a concrete exchange implementation.

• For logonToExchange implementation, depending on the exchange, it might need to send messages to the websocket connection which can be achieved by calling its existing void send(wspp::connection_hdl hdl, std::string const& payload, wspp::frame::opcode::value op, ErrorCode& ec). It might also need to send requests to some restful API endpoint, which can be achieved by calling its existing void sendRequest(const std::string& host, const std::string& port, const http::request<http::string_body>& req, std::function<void(const beast::error_code&)> errorHandler, std::function<void(const http::response<http::string_body>&)> responseHandler, long timeoutMilliSeconds). In particular the implementation will need to take care of authentication.
• For onTextMessage, it would need to handle various text messages received from the websocket connection (protocol level and application level ping/pong/heartbeats have already been taken care of in the skeleton code). In particular, when a websocket message with data related to order updates (i.e. execution report) is received, the implementation needs to parse the websocket message using rapidjson, and create a Event with type SUBSCRIPTION_DATA which has one Message with type EXECUTION_MANAGEMENT_EVENTS which has many Elements with each element having its nameValueMap containing the final results (We'd discuss how to standardize the keys in this map). The Event is emitted via a call to this->eventHandler(event);.
• Test the implementation end-to-end with one or more possible Events (e.g. create order). For other harder-to-test events (e.g. order matching), we'd have to rely on unit tests for quality assurance.

[BroBan]

myself and @donzthefonz will get on this today/tomorrow, just incase someone else was thinking of doing it or are already doing it. With that said, i'm assuming this task could be broken down into a task per exchange since it requires concrete exchange implementations

[cryptochassis]

@BroBan Cool. Please git pull develop branch, since the update https://github.com/crypto-chassis/ccapi/pull/108 that @donzthefonz needed was a bit larger than expected. As far as I know, no one else has started the coding part of this task yet. You can pick your favorite exchange. :)

[cryptochassis]

Reference implementation: https://github.com/crypto-chassis/ccapi/blob/develop/include/ccapi_cpp/service/ccapi_execution_management_service_ftx.h

[foonsun]

Hi, the order update implmentaion of websocket api of Huobi and Huobi USDT Swap is needed.I can't find any codes of them.

[cryptochassis]

@foonsun Yes. Just released okex, so working on huobi family right now.

[foonsun]

great job! thanks

[foonsun]

Waiting.

[cryptochassis]

@foonsun https://github.com/crypto-chassis/ccapi/pull/138. I'd still need to run a couple of tests, though...:)

[cryptochassis]

@foonsun huobi websocket order updates has been merged into develop branch and released into master branch. Working on huobi-usdt-swap now... :)

[foonsun]

@foonsun huobi websocket order updates has been merged into develop branch and released into master branch. Working on huobi-usdt-swap now... :)

Thanks for your greate work! :)

[cryptochassis]

@foonsun huobi-usdt-swap (and huobi-coin-swap) websocket order updates has been merged into develop branch and released into master branch. :)

[foonsun]

great job!thanks