C++ client example (Centralized Counter)

Introduction

The RapidMarket C++ client (Centralized Counter Version) allows users to subscribe to their focused symbols among whole-market symbol list and receive real-time market data. This client leverages ZeroMQ for communication and Protocol Buffers (Protobuf) for efficient data serialization.

Usage

Below is an example version of the RapidMarket C++ client.

C++

#include <cppzmq/zmq.hpp>
#include <cppzmq/zmq_addon.hpp>
#include <iomanip>
#include <iostream>
#include <stdexcept>
#include <string>
#include <thread>

#include "l2_book.pb.h"

std::string cr_line = "\r" + std::string(64, ' ') + "\r";

void run(std::string zmqpath) {
  // create zmq context
  zmq::context_t context;
  // create zmq subscriber socket
  zmq::socket_t subscriber(context, zmq::socket_type::sub);
  // connect to zmq publisher
  subscriber.connect(zmqpath);

  // If the second parameter is not specified, subscribe to all market data.
  // subscriber.set(zmq::sockopt::subscribe, "");
  subscriber.set(zmq::sockopt::subscribe, "BTCUSDT");

  zmq::message_t msg;
  liquidityTech::md::L2BookProto book;
  double askPrice, askQty, bidPrice, bidQty;
  std::cout << "Receiving market data..." << std::setprecision(5) << std::fixed << std::endl;

  while (true) {
      // receive message
      auto result = subscriber.recv(msg, zmq::recv_flags::none);
      if (!result.has_value()) {
        break;
      }

      std::string message(static_cast<char*>(msg.data()), msg.size());
      std::string actual_message = message.substr(20);
      book.ParseFromArray(actual_message.data(), msg.size() - 20);

      auto ask = book.levels_asks(0);
      auto bid = book.levels_bids(0);
      askPrice = ask.price();
      askQty = ask.qty();
      bidPrice = bid.price();
      bidQty = bid.qty();
      auto symbol = book.symbol();
      std::cout << "symbol: " << symbol << ", askprice: " << askPrice << ", askqty: " << askQty << ", bidprice: " << bidPrice << ", bidqty: " << bidQty << std::endl;

      msg.rebuild();
      book.Clear();

      std::this_thread::sleep_for(std::chrono::seconds(5));

      // You can cancel the subscription to a topic by using zmq::sockopt::unsubscribe
      subscriber.set(zmq::sockopt::unsubscribe, "BTCUSDT");   // cancel subscription to BTCUSDT  
      subscriber.set(zmq::sockopt::subscribe, "ETHUSDT");     // subscribe to ETHUSDT
    }
}

int main(int argc, char **argv) {
  if (argc != 2) {
    std::cerr << "Usage: rapidmarket_client <path>" << std::endl;
    std::cerr << "Example: rapidmarket_client \"tcp://localhost:50000\"" << std::endl;
    return EXIT_FAILURE;
  }

  std::string zmqpath(argv[1]);
  run(zmqpath);
  return EXIT_SUCCESS;
}

Requirements

To use the RapidMarket C++ client (Centralized Counter Version) to receive data, you need the following environment and tools:

bash

sudo apt install -y make
sudo apt install -y g++
sudo apt install -y protobuf-compiler
sudo apt install -y libzmq3-dev
sudo apt install libyaml-cpp-dev

These commands will install the following dependencies:

• g++: C++ compiler.
• protobuf-compiler: Compiler for compiling Protobuf files.
• libzmq3-dev: Development package for the ZeroMQ library, used for communication with RapidMarket.

Please adjust the commands according to your system and package manager requirements.

Getting Started

For more detailed information on ZeroMQ and Protobuf, including their roles in the RapidMarket application, please refer to the Getting Started page.

Directory structure

.
├── README*.md              Client example documentation
├── SERVER*.md              Server documentation
├── cppzmq                  Dependency directory
│   ├── zmq.hpp
│   └── zmq_addon.hpp
├── l2_book.proto           Protobuf definition
└── rapidmarket_client_centralized.cpp  Example code

Compilation

Then build as usual.

makefile

BUILD_DIR=./bin
INCLUDE_DIR=-I/usr/include -I.
LIB_DIR=-I/usr/lib
CC=g++
CFLAGS=-Wall $(INCLUDE_DIR) $(LIB_DIR) -lzmq -lprotobuf -O3
CPP_FLAGS=-std=c++17

%.o: %.cpp
	$(CC) $(CFLAGS) $(CPP_FLAGS) $< -c -o $@

$(BUILD_DIR)/rapidmarket_client_centralized: rapidmarket_client_centralized.o l2_book.pb.o
	mkdir -p bin
	$(CC) $^ $(CFLAGS) $(CPP_FLAGS)  -o $@

.PHONY: clean
clean:
	rm -f *.o
	rm -f $(BUILD_DIR)/*

.PHONY: proto
proto:
	protoc --cpp_out=. ./l2_book.proto
	mv l2_book.pb.cc l2_book.pb.cpp

.PHONY: default
default: all
all: $(BUILD_DIR)/rapidmarket_client_centralized

Contributing

You can use the following command to compile:

bash

make proto
make 

Start command

IP_ADDR and PORT below are the IP address and port of the RapidMarket server, respectively.

Bash

cd bin
./rapidmarket_client "zmq_path"
# For example: ./rapidmarket_client_centralized "tcp://192.168.0.1:50000"

The program outputs real-time market data:

Receiving market data...
symbol: BTCUSDT, askprice: 30033.06000, askqty: 4.91876, bidprice: 30033.05000, bidqty: 6.48043

l2_book.proto File Explanation

The message format released by RapidMarket is defined in l2_book.proto. It outlines the hierarchical structure and fields of market data, aiding clients in correctly parsing received market data.