ttldtor / dxfeed-graal-cxx-api

This package provides access to dxFeed market data. The library is built as a language-specific wrapper over the dxFeed Graal Native library, which was compiled with GraalVM Native Image and dxFeed Java API (our flagman API).

This package provides access to dxFeed market data. The library is built as a language-specific wrapper over the dxFeed Graal Native library, which was compiled with GraalVM Native Image and dxFeed Java API (our flagman API).

ℹ️ If you already use dxFeed C API, please see the Overview section.
⚠️ It’s an alpha version and still under active development. Don’t use it in a production environment.

Table of Contents

• Overview
  • Reasons for the New C/C++ API Repository
  • Benefits of the New Version
  • Milestones
  • Future Development
  • Migration
  • Implementation Details
  • Architectural Restrictions and Other Limitations in the Old Version
• Documentation
• Requirements
• Installation
• Usage
• Samples
• Current State
• Dependencies
• How To Build
• 3rd Party Licenses

Overview

Reasons for the New C/C++ API Repository

The old version of dxFeed C API, has several architectural restrictions that prevent us from providing a state-of-the-art technological solution.

Benefits of the New Version

• 🚀 Increased performance
• 🌌 Wider functionality
• ♊ Identical programming interfaces to our best API
• 👍 Higher quality of support and service

Milestones

Feature development has already stopped for the old version of dxFeed C API.

We expect the new repository to go into production in Q4’2023. At the same time, the old version will be considered deprecated, and at the end of 2024, we plan to end the service. If you’re already our customer and have difficulty with a future transition, please contact us via our customer portal.

Future Development

Features planned with high priority:

• Add unit tests and conduct different types of testing
• Add necessary entities for more convenient API usage (IPF, TimeSeriesEventModel, OrderBookModel, GetTimeSeriesPromise, etc.)
• Provide more samples
• Provide performance test results along with a comparison with the old API version

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Features planned for the next stage:

• Implement a model of incremental updates in Java API and add it to С/C++ API
• Implement OrderBookModel with advanced logic (e.g., OnNewBook, OnBookUpdate, OnBookIncrementalChange) in Java API and add it to C/C++ API
• Add samples or implement a convenient API for Candlewebservice

Migration

To help you rewrite the existing API calls, we’ve prepared samples demonstrating how to work with the new API and how several functionalities are implemented. More examples will follow. The table below shows the sample mapping between the old and new versions.

Our support team on our customer portal is ready to answer any questions and help with the transition.

Sample Mapping

#	Sample	Old Version	New Version
1	How to subscribe to Quote, Trade, TradeETH, Order, SpreadOrder, AnalyticOrder, TimeAndSale events	CommandLineSample	EventSample
2	How to subscribe to Candle event	CandleSample	Q2’2023, please see TBD section
3	How to subscribe to Order, SpreadOrder, Candle, TimeAndSale, Greeks, Series snapshots	SnapshotConsoleSample	Q2’2023, please see TBD section
4	How to subscribe to depth of market	PriceLevelBookSample	Q2’2023, please see TBD section
5	How to subscribe to order snapshot with incremental updates	IncSnapshotConsoleSample	Q2’2023, please see TBD section

Implementation Details

We use GraalVM Native Image technology and specially written code that wraps Java methods into native ones to get dynamically linked libraries for different platforms (Linux, macOS, and Windows) based on the latest Java API package.

Then, the resulting dynamic link library (dxFeed Graal-native) is used through C ABI (application binary interface), and we write programming interfaces that describe our business model (similar to Java API).

As a result, we get a full-featured, similar performance as with Java API. Regardless of the language, writing the final application logic using API calls will be very similar (only the syntax will be amended, "best practices", specific language restrictions)

Below is a scheme of this process:

Architectural Restrictions and Other Limitations of the Old Version

#	Limitation	How It’s Solved in the New Version
1	Single-threaded architecture limiting throughput.	Based on the Java API, each subscription object (DXFeedSubscription) can run on its own thread.
2	User code in event callbacks (for example, dxf_event_listener_t) is executed in the socket read thread, which can significantly reduce throughput.	Socket processing threads and callback threads are separated.
3	In event callbacks, one market event type and one data portion always arrive (excluding snapshot subscription), which increases the load on the CPU with a large amount of incoming data.	Event callbacks can receive different market event types, and more than one by batch.
4	It’s impossible to subscribe to data without getting regionals (if it is available for the market event) or only for a certain regional.	subscription->addSymbols({"AAPL"}); - composite subscription->addSymbols({"AAPL&Q"}); - regional.
5	It’s impossible to subscribe to Order event (excluding snapshot subscription) without getting: all sources, Order by Quote (including regionals), Order by MarketMaker.	subscription->addSymbols(IndexedEventSubscriptionSymbol::create("AAPL", OrderSource::NTV)); - OrderSource determines which data is being subscribed to.
6	Data is mixed up when creating two subscriptions (regular and time series) for the same market event type. Both regular and time series data go to both subscriptions.	Each subscription instance receives only the data requested.
7	Each subsequent request for the same symbol set in a subscription instance overwrites the existing one in another subscription instance.	Subscription instances and the data they receive are independent of each other.
8	Removing a symbol from one subscription instance caused it to be removed from all others.	Subscription instances and the data they receive are independent of each other.
9	Incorrect behavior when reading from a file (if a market event in the file hasn’t been subscribed to). Reading from a file always occurs at maximum speed. The supported format is binary only.	endpoint->connect("file:tape.txt[format=text]"); - processing a text file with at it's "real" speed by timestamps endpoint->connect("file:tape.bin[format=binary,speed=max]"); - processing a binary file with max speed.

Documentation

Find useful information in our self-service dxFeed Knowledge Base or .NET API documentation:

• dxFeed Graal C/C++ API documentation
• dxFeed Knowledge Base
  • Getting Started
  • Troubleshooting
  • Market Events
  • Event Delivery contracts
  • dxFeed API Event classes
  • Exchange Codes
  • Order Sources
  • Order Book reconstruction
  • Symbology Guide

Requirements

Windows

Visual C++ Redistributable 2015

Linux

gcc 12.1+

MacOS

Xcode 14.3+

Installation

Examples of how to install the library can be found here.

The API is delivered as a dynamic library (dxFeedGraalCxxApi.so|dll|dylib) and a static one (dxFeedGraalCxxApi.a|lib). Also, it depends on DxFeedGraalNativeSdk.so|dll|dylib. Please place it nearby or available on PATH.

Usage

To use the dynamic library define the DXFCPP_USE_DLLS preprocessor directive.

#include <iostream>
#include <dxfeed_graal_cpp_api/api.hpp>

int main() {
    using namespace dxfcpp;
    
    auto endpoint = DXEndpoint::newBuilder()
            ->withProperty("dxfeed.address", "demo.dxfeed.com:7300")
            ->build();
    
    auto subscription = endpoint->getFeed()->createSubscription(Quote::TYPE);
    
    subscription->addEventListener([](auto&& events) {
        for (auto&& e : events) {
            std::cout << e << "\n";
        }
    });
    
    subscription->addSymbols({"AAPL"});
    
    std::cin.get();
}

Output

I 221219 224811.681 [main] QD - Using QDS-3.313+file-UNKNOWN+mars-UNKNOWN+monitoring-UNKNOWN+tools-UNKNOWN, (C) Devexperts
I 221219 224811.695 [main] QD - Using scheme com.dxfeed.api.impl.DXFeedScheme DH2FdjP0DtOEIOAbE4pRVpmJsPnaZzAo1mICPJ6b06w
I 221219 224812.010 [main] QD - qd with collectors [Ticker, Stream, History]
I 221219 224812.017 [main] ClientSocket-Distributor - Starting ClientSocketConnector to demo.dxfeed.com:7300
I 221219 224812.017 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Resolving IPs for demo.dxfeed.com
I 221219 224812.021 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connecting to 208.93.103.170:7300
I 221219 224812.170 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connected to 208.93.103.170:7300
D 221219 224812.319 [demo.dxfeed.com:7300-Reader] QD - Distributor received protocol descriptor multiplexor@WQMPz [type=qtp, version=QDS-3.306, opt=hs, mars.root=mdd.demo-amazon.multiplexor-demo1] sending [TICKER, STREAM, HISTORY, DATA] from 208.93.103.170
Quote{AAPL, eventTime=0, time=20221219-223311.000, timeNanoPart=0, sequence=0, bidTime=20221219-223311, bidExchange=Q, bidPrice=132.16, bidSize=2, askTime=20221219-223311, askExchange=K, askPrice=132.17, askSize=10}
Quote{AAPL, eventTime=0, time=20221219-223312.000, timeNanoPart=0, sequence=0, bidTime=20221219-223312, bidExchange=Q, bidPrice=132.16, bidSize=6, askTime=20221219-223312, askExchange=K, askPrice=132.17, askSize=10}
Quote{AAPL, eventTime=0, time=20221219-223312.000, timeNanoPart=0, sequence=0, bidTime=20221219-223312, bidExchange=K, bidPrice=132.16, bidSize=10, askTime=20221219-223312, askExchange=V, askPrice=132.17, askSize=4}

Tools

Samples

• ConvertTapeFile demonstrates how to convert one tape file to another tape file with optional intermediate processing or filtering

• DxFeedFileParser is a simple demonstration of how events are read form a tape file
• DxFeedSample is a simple demonstration of how to create multiple event listeners and subscribe to Quote and Trade events
• PrintQuoteEvents is a simple demonstration of how to subscribe to the Quote event, using a DxFeed instance singleton and dxfeed.properties file
• WriteTapeFile is a simple demonstration of how to write events to a tape file

Current State

Event Types

• Order is a snapshot of the full available market depth for a symbol
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• SpreadOrder is a snapshot of the full available market depth for all spreads
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• AnalyticOrder represents an extension of Order introducing analytic information, e.g., adding iceberg-related information to this order
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Trade is a snapshot of the price and size of the last trade during regular trading hours and an overall day volume and day turnover
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• TradeETH is a snapshot of the price and size of the last trade during extended trading hours and the extended trading hours day volume and day turnover
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Candle - event with open, high, low, and close prices and other information for a specific period
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Quote is a snapshot of the best bid and ask prices and other fields that change with each quote
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Profile is a snapshot that contains the security instrument description
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Summary is a snapshot of the trading session, including session highs, lows, etc.
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• TimeAndSale - represents a trade or other market event with price, like market open/close price, etc.
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Greeks is a snapshot of the option price, Black-Scholes volatility, and Greeks
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Series is a snapshot of computed values available for all options series for a given underlying symbol based on options market prices
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• TheoPrice is a snapshot of the theoretical option price computation that is periodically performed by dxPrice model-free computation
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Underlying is a snapshot of computed values available for an option underlying symbol based on the market’s option prices
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Configuration is an event with an application-specific attachment
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Message is an event with an application-specific attachment
  • dxFeed Graal C API
  • dxFeed Graal C++ API

Subscription Symbols

• String
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• TimeSeriesSubscriptionSymbol - represents subscription to time-series events
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• IndexedSubscriptionSymbol - represents subscription to a specific source of indexed events
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• WildcardSymbol.ALL - represents a wildcard subscription to all events of the specific event type
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• CandleSymbol - symbol used with DXFeedSubscription class to subscribe for Candle events
  • dxFeed Graal C API
  • dxFeed Graal C++ API

Subscriptions & Models

• CreateSubscription creates a new subscription for multiple event types attached to a specified feed
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• CreateTimeSeriesSubscription extends DXFeedSubscription to conveniently subscribe to time series of events for a set of symbols and event types (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetLastEvent returns the last event for the specified event instance (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetLastEvents returns the last events for the specified event instances list
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetLastEventPromise requests the last event for the specified event type and symbol (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetLastEventsPromises requests the last events for the specified event type and symbol collection
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetLastEventIfSubscribed returns the last event for the specified event type and symbol if there’s a subscription for it
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetIndexedEventsPromise requests an indexed events list for the specified event type, symbol, and source
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetIndexedEventsIfSubscribed requests an indexed events list for the specified event type, symbol, and source if there’s a subscription for it
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetTimeSeriesPromise requests time series of events for the specified event type, symbol, and time range (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• GetTimeSeriesIfSubscribed requests time series of events for the specified event type, symbol, and time range if there’s a subscription for it
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• TimeSeriesEventModel - is a model of a list of time series events (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• IndexedEventModel is a model of a list of indexed events (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• OrderBookModel is a model of convenient Order Book management (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API

IPF & Schedule

• InstrumentProfile represents basic profile information about a market instrument (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• InstrumentProfileCollector collects instrument profile updates and provides the live instrument profiles list (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• Schedule provides API to retrieve and explore various exchanges’ trading schedules and different financial instrument classes (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API

Services

• OnDemandService provides on-demand historical tick data replay controls (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API

Endpoint Roles

• FEED connects to the remote data feed provider and is optimized for real-time or delayed data processing (this is a default role)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• STREAM_FEED is similar to FEED and also connects to the remote data feed provider but is designed for bulk data parsing from files
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• LOCAL_HUB is a local hub without the ability to establish network connections. Events published via publisher are delivered to local feed only.
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• PUBLISHER connects to the remote publisher hub (also known as multiplexor) or creates a publisher on the local host (Java API sample)
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• STREAM_PUBLISHER is similar to PUBLISHER and also connects to the remote publisher hub, but is designed for bulk data publishing
  • dxFeed Graal C API
  • dxFeed Graal C++ API
• ON_DEMAND_FEED is similar to FEED, but it is designed to be used with OnDemandService for historical data replay only
  • dxFeed Graal C API
  • dxFeed Graal C++ API