binancecpp/example/example_depthCache.cpp at main · blackb1rd/binancecpp · GitHub

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#include <json/json.h>

#include <map>
#include <string>
#include <vector>

#include "binance_api.h"
#include "binance_websocket.h"

std::map<std::string, std::map<double, double>> depthCache;
int                                             lastUpdateId;

//------------------------------
void print_depthCache()
{
  std::map<std::string, std::map<double, double>>::iterator it_i;

  for (it_i = depthCache.begin(); it_i != depthCache.end(); it_i++)
  {
    std::string bid_or_ask = (*it_i).first;
    std::cout << bid_or_ask << std::endl;
    std::cout << "Price             Qty" << std::endl;

    std::map<double, double>::reverse_iterator it_j;

    for (it_j = depthCache[bid_or_ask].rbegin();
         it_j != depthCache[bid_or_ask].rend();
         it_j++)
    {
      double price = (*it_j).first;
      double qty   = (*it_j).second;
      printf("%.08f          %.08f\n", price, qty);
    }
  }
}

//-------------
int ws_depth_onData(Json::Value &json_result)
{
  int i;

  int new_updateId = json_result["u"].asInt();

  if (new_updateId > lastUpdateId)
  {
    for (i = 0; i < json_result["b"].size(); i++)
    {
      double price = atof(json_result["b"][i][0].asString().c_str());
      double qty   = atof(json_result["b"][i][1].asString().c_str());
      if (qty == 0.0)
      {
        depthCache["bids"].erase(price);
      }
      else
      {
        depthCache["bids"][price] = qty;
      }
    }
    for (i = 0; i < json_result["a"].size(); i++)
    {
      double price = atof(json_result["a"][i][0].asString().c_str());
      double qty   = atof(json_result["a"][i][1].asString().c_str());
      if (qty == 0.0)
      {
        depthCache["asks"].erase(price);
      }
      else
      {
        depthCache["asks"][price] = qty;
      }
    }
    lastUpdateId = new_updateId;
  }
  print_depthCache();
  return 0;
}

//---------------------------
/*
        To compile, type
        make example_depthCache

*/

//--------------------------

int main()
{
  Json::Value result;
  long        recvWindow = 10000;

  // Market Depth
  int         i;
  std::string symbol = "BNBBTC";
  binance_cpp::core::BinanceAPI::Init();
  binance_cpp::financial_trading::spot_trading::market_data_endpoints::
      OrderBook::GetOrderBook(symbol.c_str(), 20, result);

  // Initialize the lastUpdateId
  lastUpdateId = result["lastUpdateId"].asInt64();

  for (int i = 0; i < result["asks"].size(); i++)
  {
    double price              = atof(result["asks"][i][0].asString().c_str());
    double qty                = atof(result["asks"][i][1].asString().c_str());
    depthCache["asks"][price] = qty;
  }
  for (int i = 0; i < result["bids"].size(); i++)
  {
    double price              = atof(result["bids"][i][0].asString().c_str());
    double qty                = atof(result["bids"][i][1].asString().c_str());
    depthCache["bids"][price] = qty;
  }
  print_depthCache();

  BinanceCPP_websocket::init();
  BinanceCPP_websocket::connect_endpoint(ws_depth_onData, "/ws/bnbbtc@depth");
  BinanceCPP_websocket::enter_event_loop();
}