feat: first working UI with binance connectivity :)

Author: milsanore

binance/fixconfig

@@ -10,12 +10,15 @@ ResetSeqNumFlag=Y
 EncryptMethod=0
 CheckLatency=N
 ORDER_TIMEOUT=30000
-FileStorePath=qf_files
-FileLogPath=qf_logs
 UseDataDictionary=Y
 DataDictionary=binance/spot-fix-md.xml
 SocketConnectHost=127.0.0.1
 SocketConnectPort=5001
+FileStorePath=qf_files
+FileLogPath=qf_logs
+FileLogHeartbeats=Y
+FileLogMessages=Y
+FileLogEvent=Y
 
 [SESSION]
 BeginString=FIX.4.4

src/binance/Auth.cpp

@@ -17,6 +17,7 @@
 
 namespace Binance {
 
+// static member function
 std::vector<unsigned char> Auth::getSeedFromPem(const std::string& pemPath) {
 	FILE* fp = fopen(pemPath.c_str(), "r");
 	if (!fp) throw std::runtime_error("Failed to open PEM file");
@@ -35,6 +36,7 @@ std::vector<unsigned char> Auth::getSeedFromPem(const std::string& pemPath) {
 	return seed;
 }
 
+// static member function
 std::string Auth::signPayload(const std::string& payload, const std::vector<unsigned char>& seed) {
 	unsigned char pk[crypto_sign_PUBLICKEYBYTES];
 	unsigned char sk[crypto_sign_SECRETKEYBYTES]; // 64 bytes

src/binance/Config.cpp

@@ -6,6 +6,7 @@
 
 namespace Binance {
 
+// static member function
 Config Config::fromEnv() {
     auto getEnvOrThrow = [](const char* key) -> std::string {
         if (const char* val = std::getenv(key)) {

src/binance/Config.h

@@ -8,10 +8,7 @@ namespace Binance {
 /// @brief Binance config parameters, fetched from env
 struct Config{
 public:
-    const std::string apiKey;
-    const std::string privateKeyPath;
-    const std::string fixConfigPath;
-
+    const std::string apiKey, privateKeyPath, fixConfigPath;
     static Config fromEnv();
 };
 

src/binance/FixApp.cpp

@@ -4,11 +4,8 @@
 #include <format>
 #include <iostream>
 #include <iomanip>
-#include <map>
-#include <ranges>
 #include <stdexcept>
 #include <string>
-#include <tuple>
 #include <utility>
 #include <vector>
 #include "Auth.h"
@@ -95,161 +92,35 @@ void FixApp::toApp(FIX::Message& msg, const FIX::SessionID& sessionId) noexcept(
 	const FIX::Header& header = msg.getHeader();
 	FIX::MsgType msgType;
 	header.getField(msgType);
-	std::cout << std::format("toApp, session Id [{}], type [{}], message [{}]",
-		sessionId.toString(), msgType.getString(), replaceSoh(msg.toString())) << std::endl;
+	// std::cout << std::format("toApp, session Id [{}], type [{}], message [{}]",
+	// 	sessionId.toString(), msgType.getString(), replaceSoh(msg.toString())) << std::endl;
 };
 void FixApp::fromAdmin(const FIX::Message& msg, const FIX::SessionID& sessionId) noexcept(false) {
 	const FIX::Header& header = msg.getHeader();
 	FIX::MsgType msgType;
 	header.getField(msgType);
-	std::cout << std::format("fromAdmin, session Id [{}], type [{}], message [{}]",
-		sessionId.toString(), msgType.getString(), replaceSoh(msg.toString())) << std::endl;
+	// std::cout << std::format("fromAdmin, session Id [{}], type [{}], message [{}]",
+	// 	sessionId.toString(), msgType.getString(), replaceSoh(msg.toString())) << std::endl;
 };
 void FixApp::fromApp(const FIX::Message& msg, const FIX::SessionID& sessionId) noexcept(false) {
 	FIX::MessageCracker::crack(msg, sessionId);
 	// std::cout << std::format("fromApp, session Id [{}], message [{}]",
 	// 	sessionId.toString(), replaceSoh(msg.toString())) << std::endl;
 }
 
-
-void FixApp::printBook() {
-	// Column headers
-	std::cout << std::left
-			<< std::setw(10) << "BID_SZ"
-			<< std::setw(10) << "BID"
-			<< std::setw(10) << "ASK"
-			<< std::setw(10) << "ASK_SZ"
-			<< "\n";
-	// Divider
-	std::cout << std::string(40, '-') << "\n";
-
-	// print top 10x
-	auto data = std::vector<std::tuple<double, double, double, double>>(10, std::make_tuple(0, 0, 0, 0));
-	
-	// bids
-	int i = 0;
-	for (auto&& [px, sz] : std::views::reverse(bidMap_)) {
-		std::get<0>(data[i]) = sz;
-		std::get<1>(data[i]) = px;
-		i++;
-		if (i > 9) 
-			break;
-	}
-
-	// offers
-	i = 0;
-	for (const auto& [px, sz] : offerMap_) {
-		std::get<2>(data[i]) = px;
-		std::get<3>(data[i]) = sz;
-		i++;
-		if (i > 9) 
-			break;
-	}
-
-	for (auto item: data) {
-		std::cout << std::left
-				<< std::setw(10) << std::get<0>(item)
-				<< std::setw(10) << std::get<1>(item)
-				<< std::setw(10) << std::get<2>(item)
-				<< std::setw(10) << std::get<3>(item)
-				<< "\n";
-	}
-
-	std::cout << std::flush;
-}
 void FixApp::onMessage(const FIX44::MarketDataSnapshotFullRefresh& m, const FIX::SessionID& sessionID) {
-	FIX::Symbol symbol;
-	m.get(symbol);
-	std::cout << std::format("MD snapshot message, symbol [{}]", symbol.getString()) << std::endl;
-	std::string symbolValue = symbol.getValue();
-	if (symbolValue != "BTCUSDT") {
-		std::cout << std::format("wrong symbol, skipping snapshot. value [{}]", symbolValue) << std::endl;
-		return;
-	}
-	bidMap_.clear();
-	offerMap_.clear();
-	FIX::NoMDEntries noMDEntries;
-	m.get(noMDEntries);
-	int numEntries = noMDEntries.getValue();
-	for (int i = 1; i <= numEntries; i++) {
-		FIX44::MarketDataSnapshotFullRefresh::NoMDEntries group;
-		m.getGroup(i, group);
-		FIX::MDEntryType entryType;
-		FIX::MDEntryPx px;
-		FIX::MDEntrySize sz;
-		group.get(entryType);
-		group.get(px);
-		group.get(sz);
-
-		if (entryType == FIX::MDEntryType_BID) {
-			bidMap_[px.getValue()] = sz.getValue();
-		} else if (entryType == FIX::MDEntryType_OFFER) {
-			offerMap_[px.getValue()] = sz.getValue();
-		} else {
-			std::cout << std::format("unknown bid/offer type [{}]", entryType.getString()) << std::endl;
-		}
-	}
-
-	printBook();
+	auto msgPtr = std::make_shared<FIX44::MarketDataSnapshotFullRefresh>(m);
+	queue.enqueue(msgPtr);
 }
-void FixApp::onMessage(const FIX44::MarketDataIncrementalRefresh& message, const FIX::SessionID& sessionID) {
-	FIX::NoMDEntries noMDEntries;
-	message.get(noMDEntries);
-	int numEntries = noMDEntries.getValue();
-	for (int i = 1; i <= numEntries; i++) {
-		FIX44::MarketDataIncrementalRefresh::NoMDEntries group;
-		message.getGroup(i, group);
-
-		FIX::Symbol symbol;
-		if (group.isSetField(FIX::FIELD::Symbol)) {
-			group.get(symbol);
-		}
-		// std::string symbolValue = symbol.getValue();
-		// if (symbolValue != "BTCUSDT") {
-		// 	std::cout << std::format("wrong symbol, skipping increment. value [{}]", symbolValue) << std::endl;
-		// 	continue;
-		// }
-		
-		FIX::MDUpdateAction action;
-		FIX::MDEntryType entryType;
-		FIX::MDEntryPx px;
-		group.get(action);
-		group.get(entryType);
-		group.get(px);
-		
-		if (entryType != FIX::MDEntryType_BID && entryType != FIX::MDEntryType_OFFER) {
-			std::cout << std::format("unknown entry type, skipping. value [{}]", entryType.getString()) << std::endl;
-			continue;
-		}
-
-		if (action.getValue() == FIX::MDUpdateAction_NEW || action.getValue() == FIX::MDUpdateAction_CHANGE) {
-			if (group.isSetField(FIX::FIELD::MDEntrySize)) {
-				FIX::MDEntrySize sz;
-				group.get(sz);
-				if (entryType == FIX::MDEntryType_BID) {
-					bidMap_[px.getValue()] = sz.getValue();
-				} else if (entryType == FIX::MDEntryType_OFFER) {
-					offerMap_[px.getValue()] = sz.getValue();
-				}
-			}
-		} else if (action.getValue() == FIX::MDUpdateAction_DELETE) {
-			if (entryType == FIX::MDEntryType_BID) {
-				bidMap_.erase(px.getValue());
-			} else if (entryType == FIX::MDEntryType_OFFER) {
-				offerMap_.erase(px.getValue());
-			}
-		} else {
-			std::cout << std::format("unknown action. value [{}]", action.getValue()) << std::endl;
-		}
-	}
-
-	printBook();
+void FixApp::onMessage(const FIX44::MarketDataIncrementalRefresh& m, const FIX::SessionID& sessionID) {
+	auto msgPtr = std::make_shared<FIX44::MarketDataIncrementalRefresh>(m);
+	queue.enqueue(msgPtr);
 }
 
 
 // PUBLIC
 
-FixApp::FixApp(std::string apiKey, std::string privatePemPath) : bidMap_{}, offerMap_{} {
+FixApp::FixApp(std::string apiKey, std::string privatePemPath) {
 	apiKey_ = std::move(apiKey);
 	privatePemPath_ = std::move(privatePemPath);
 
@@ -271,7 +142,7 @@ void FixApp::subscribeToDepth(const FIX::SessionID& sessionId) {
 		FIX::SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES));
 
 	// Set market depth
-	marketDataRequest.set(FIX::MarketDepth(5)); // 1 = Top of book
+	marketDataRequest.set(FIX::MarketDepth(15)); // 1 = Top of book
 
 	// Create NoMDEntryTypes group for requesting BID and OFFER
 	FIX44::MarketDataRequest::NoMDEntryTypes entryTypeGroup;

src/binance/FixApp.h

@@ -3,8 +3,9 @@
 
 #include <quickfix/Application.h>
 #include <quickfix/SessionID.h>
+#include <quickfix/fix44/Message.h>
 #include <quickfix/MessageCracker.h>
-#include <map>
+#include "concurrentqueue.h"
 
 namespace Binance {
 
@@ -14,14 +15,15 @@ class FixApp final : public FIX::Application, public FIX::MessageCracker {
 	FixApp(std::string apiKey, std::string privatePemPath);
 	~FixApp() override = default;
 	void subscribeToDepth(const FIX::SessionID& sessionId);
-	/// @brief print top ten order book levels
-	void printBook();
+
+	// TODO: performance implication of a polymorphic queue
+	// TODO: perhaps better to run two queues, or something else
+	// TODO: we will have one of these per instrument
+	moodycamel::ConcurrentQueue<std::shared_ptr<FIX44::Message>> queue;
 
 private:
 	// TODO: no need to persist access tokens for lifetime of app
 	std::string apiKey_, privatePemPath_;
-	std::map<double, double> bidMap_;
-	std::map<double, double> offerMap_;
 
 	void onCreate(const FIX::SessionID&) override;
 	void onLogon(const FIX::SessionID&) override;

src/binance/Init.cpp

@@ -15,18 +15,22 @@ Init::Init(std::unique_ptr<FixApp> fixApp,
             std::unique_ptr<FIX::FileStoreFactory> fileStoreFactory,
             std::unique_ptr<FIX::SessionSettings> settings,
             std::unique_ptr<FIX::FileLogFactory> fileLogFactory)
-    : app_(std::move(fixApp)),
+    : app(std::move(fixApp)),
         store_(std::move(fileStoreFactory)),
         settings_(std::move(settings)),
         log_(std::move(fileLogFactory)),
-        initiator_(*app_, *store_, *settings_, *log_) {}
+        initiator_(*app, *store_, *settings_, *log_) {}
 
+// static member function
 Init Init::fromConf(Config& conf) {
     auto app            = std::make_unique<FixApp>(conf.apiKey, conf.privateKeyPath);
     auto settings       = std::make_unique<FIX::SessionSettings>(conf.fixConfigPath);
     auto storeFactory   = std::make_unique<FIX::FileStoreFactory>(*settings);
     auto logFactory     = std::make_unique<FIX::FileLogFactory>(*settings);
 
+    // hand over object ownership to the instance being created (by the static function)
+
+    // TODO: is this being moved twice, because of the std::move() calls in the initializer list?
     return {std::move(app),
             std::move(storeFactory),
             std::move(settings),

src/binance/Init.h

@@ -13,19 +13,18 @@ namespace Binance {
 /// @brief Binance DI container
 class Init final {
 public:
-    Init(
-        std::unique_ptr<FixApp> fixApp,
+    Init(std::unique_ptr<FixApp> fixApp,
         std::unique_ptr<FIX::FileStoreFactory> fileStoreFactory,
         std::unique_ptr<FIX::SessionSettings> settings,
-            std::unique_ptr<FIX::FileLogFactory> fileLogFactory);
+        std::unique_ptr<FIX::FileLogFactory> fileLogFactory);
 	~Init();
     static Init fromConf(Config& conf);
     void start();
     void stop();
+    std::unique_ptr<FixApp> app;
 
 private:
     // TODO: rename
-    std::unique_ptr<FixApp> app_;
     std::unique_ptr<FIX::FileStoreFactory> store_;
     std::unique_ptr<FIX::SessionSettings> settings_;
     std::unique_ptr<FIX::FileLogFactory> log_;

src/main.cpp

@@ -1,19 +1,28 @@
-#include <iostream>
+#include <chrono>
 #include <format>
+#include <iostream>
+#include <string>
+#include <thread>
+#include "concurrentqueue.h"
 #include "binance/Config.h"
 #include "binance/Init.h"
+#include "ui/TableApp.h"
 
 int main() {
     std::cout << std::format("hello") << std::endl;
 
+    // BINANCE MARKET DATA GENERATOR
     auto bConf = Binance::Config::fromEnv();
 	auto binance = Binance::Init::fromConf(bConf);
     binance.start();
 
-    std::cout << "Press any key to quit..." << std::endl;
-    std::cin.get();
+    // UI APP
+    UI::TableApp app = UI::TableApp(binance.app->queue);
+    app.start();
 
+    if (app.thread_exception) {
+        std::rethrow_exception(app.thread_exception);
+    }
     binance.stop();
-
     std::cout << std::format("goodbye") << std::endl;
 }

src/ui/BidAsk.h

@@ -0,0 +1,19 @@
+#ifndef UIBIDASK_H
+#define UIBIDASK_H
+
+#include <cmath>
+
+namespace UI {
+
+/// @brief Binance config parameters, fetched from env
+struct BidAsk{
+public:
+    double bid_sz = NAN;
+    double bid_px = NAN;
+    double ask_px = NAN;
+    double ask_sz = NAN;
+};
+
+}
+
+#endif  // UIBIDASK_H