forked from voidloop/krakenapi
-
Notifications
You must be signed in to change notification settings - Fork 0
/
kmarketdata.cpp
210 lines (171 loc) · 5.5 KB
/
kmarketdata.cpp
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
#include <iostream>
#include <iomanip>
#include <sstream>
#include <stdexcept>
#include <ctime>
#include "kapi.hpp"
#include "libjson/libjson.h"
using namespace std;
using namespace Kraken;
//------------------------------------------------------------------------------
// deals with Trades:
struct Trade {
double price, volume;
time_t time;
char order;
};
//------------------------------------------------------------------------------
// prints a Trade
ostream& operator<<(ostream& os, const Trade& t)
{
struct tm timeinfo;
gmtime_r(&t.time, &timeinfo);
char buffer[20];
strftime(buffer, 20, "%T", &timeinfo);
return os << buffer << ','
<< t.order << ','
<< fixed
<< setprecision(5) << t.price << ','
<< setprecision(9) << t.volume;
}
//------------------------------------------------------------------------------
// helper function to load a Trade from a JSONNode:
Trade get_trade(const JSONNode& node)
{
Trade t;
t.price = node[0].as_float();
t.volume = node[1].as_float();
t.time = node[2].as_int();
t.order = node[3].as_string()[0];
return t;
}
//------------------------------------------------------------------------------
// helper types to map time to a group of trades:
typedef vector<Trade> Period;
typedef map<time_t,Period> Period_map;
//------------------------------------------------------------------------------
// deal with candlesticks:
struct Candlestick {
double open, close, low, high;
double volume;
time_t time;
// create a HA candlestick from a period of trades
// WITHOUT a prior HA candlestick
Candlestick(time_t t, const Period& p)
: time(t), volume(0)
{
double p_open = p.front().price;
double p_close = p.back().price;
init(p, p_open, p_close);
}
// create a HA candlestick from a period of trades
// WITH a prior HA candlestick
Candlestick(time_t t, const Period& p, const Candlestick& prior)
: time(t), volume(0)
{
// initialize using prior HA candlestick's open-close values
init(p, prior.open, prior.close);
}
private:
// initialize the HA candlestick
void init(const Period& p, double ha_open, double ha_close) {
// return if the Period is empty
if (p.empty()) return;
// initialize period values
double p_open = p.front().price;
double p_close = p.back().price;
double p_low = min(p_open, p_close);
double p_high = max(p_open, p_close);
// find low price and high price of the current period
for(Period::const_iterator it = p.begin(); it != p.end(); ++it) {
if (it->price < p_low) p_low = it->price;
if (it->price > p_high) p_high = it->price;
volume += it->volume;
}
// compute Heikin-Ashi values
close = (p_open + p_close + p_low + p_high) / 4;
open = (ha_open + ha_close) / 2;
low = min(p_low, min(open, close));
high = max(p_high, max(open, close));
}
};
//------------------------------------------------------------------------------
// prints out a Candlestick
ostream& operator<<(ostream& os, const Candlestick& c)
{
struct tm timeinfo;
localtime_r(&c.time, &timeinfo);
char buffer[20];
strftime(buffer, 20, "%T", &timeinfo);
return os << buffer << ','
<< fixed << setprecision(5)
<< c.open << ','
<< c.high << ','
<< c.low << ','
<< c.close << ','
<< setprecision(9)
<< c.volume;
}
//------------------------------------------------------------------------------
// creates candlesticks from a Period_map
void append_candlesticks(const Period_map& pm, vector<Candlestick>& c)
{
// if there are no periods do nothing
if (pm.empty()) return;
Period_map::const_iterator it = pm.begin();
if (c.empty())
c.push_back(Candlestick(it->first, it->second));
for (++it; it != pm.end(); ++it)
c.push_back(Candlestick(it->first, it->second, c.back()));
}
//------------------------------------------------------------------------------
int main()
{
curl_global_init(CURL_GLOBAL_ALL);
try {
KAPI kapi;
KAPI::Input in;
// get recent trades
in.insert(make_pair("pair", "XLTCZEUR"));
string json_trades = kapi.public_method("Trades", in);
JSONNode root = libjson::parse(json_trades);
// check for errors, if they're present an
// exception will be thrown
if (!root.at("error").empty()) {
ostringstream oss;
oss << "Kraken response contains errors: ";
// append errors to output string stream
for (JSONNode::iterator it = root["error"].begin();
it != root["error"].end(); ++it)
oss << endl << " * " << libjson::to_std_string(it->as_string());
throw runtime_error(oss.str());
}
else {
// format the output in columns: time, order, price and volume
JSONNode result = root.at("result")[0];
time_t step = 3600;
Period_map periods;
// group results by base time
for (JSONNode::const_iterator it = result.begin();
it != result.end(); ++it) {
Trade t = get_trade(*it);
time_t x = t.time - (t.time % step);
periods[x].push_back(t);
}
vector<Candlestick> candlesticks;
// create candlesticks
append_candlesticks(periods, candlesticks);
// print candlesticks
for (int i = 0; i<candlesticks.size(); ++i)
cout << candlesticks[i] << endl;
}
}
catch(exception& e) {
cerr << "Error: " << e.what() << endl;
}
catch(...) {
cerr << "Unknow exception." << endl;
}
curl_global_cleanup();
return 0;
}