commit 289546c93875470ba7064242825e0925ea7bf100 Author: Dale Mellor Date: Tue Jan 21 10:55:51 2020 +0000 Version 1.0 diff --git a/AUTHORS b/AUTHORS new file mode 100644 index 0000000..e69de29 diff --git a/COPYING b/COPYING new file mode 100644 index 0000000..94a9ed0 --- /dev/null +++ b/COPYING @@ -0,0 +1,674 @@ + GNU GENERAL PUBLIC LICENSE + Version 3, 29 June 2007 + + Copyright (C) 2007 Free Software Foundation, Inc. + Everyone is permitted to copy and distribute verbatim copies + of this license document, but changing it is not allowed. + + Preamble + + The GNU General Public License is a free, copyleft license for +software and other kinds of works. + + The licenses for most software and other practical works are designed +to take away your freedom to share and change the works. By contrast, +the GNU General Public License is intended to guarantee your freedom to +share and change all versions of a program--to make sure it remains free +software for all its users. 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If your program is a subroutine library, you +may consider it more useful to permit linking proprietary applications with +the library. If this is what you want to do, use the GNU Lesser General +Public License instead of this License. But first, please read +. diff --git a/ChangeLog b/ChangeLog new file mode 100644 index 0000000..e69de29 diff --git a/INSTALL b/INSTALL new file mode 100644 index 0000000..8865734 --- /dev/null +++ b/INSTALL @@ -0,0 +1,368 @@ +Installation Instructions +************************* + + Copyright (C) 1994-1996, 1999-2002, 2004-2016 Free Software +Foundation, Inc. + + Copying and distribution of this file, with or without modification, +are permitted in any medium without royalty provided the copyright +notice and this notice are preserved. This file is offered as-is, +without warranty of any kind. + +Basic Installation +================== + + Briefly, the shell command './configure && make && make install' +should configure, build, and install this package. 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Run +'configure --help' for more details. diff --git a/NEWS b/NEWS new file mode 100644 index 0000000..e69de29 diff --git a/README b/README new file mode 100644 index 0000000..e69de29 diff --git a/configure.ac b/configure.ac new file mode 100644 index 0000000..58fe010 --- /dev/null +++ b/configure.ac @@ -0,0 +1,37 @@ +# -*- Autoconf -*- +# Process this file with autoconf to produce a configure script. + +AC_PREREQ([2.69]) +AC_INIT([dmbcs-market-data-api], [1.0], [https://rdmp.org/dmbcs/contact]) +AM_INIT_AUTOMAKE([silent-rules subdir-objects]) +AM_SILENT_RULES([yes]) +LT_INIT +AC_CONFIG_SRCDIR([src/dmbcs-market-data-api.cc]) +AC_CONFIG_MACRO_DIRS([m4]) + +# Checks for programs. +AC_PROG_CXX +AC_PROG_AWK +AC_PROG_CC +AC_PROG_CPP +AC_PROG_INSTALL +AC_PROG_LN_S +AC_PROG_MAKE_SET + +# Checks for libraries. +PKG_CHECK_MODULES([third_party], [curlpp openssl]) + +# Checks for header files. + +# Checks for typedefs, structures, and compiler characteristics. +AC_CHECK_HEADER_STDBOOL +AC_C_INLINE +AC_TYPE_SIZE_T + +# Checks for library functions. +AC_FUNC_STRTOD + +AC_CONFIG_FILES([makefile + src/makefile + dmbcs-market-data-api.pc]) +AC_OUTPUT diff --git a/dmbcs-market-data-api.pc.in b/dmbcs-market-data-api.pc.in new file mode 100644 index 0000000..ab39957 --- /dev/null +++ b/dmbcs-market-data-api.pc.in @@ -0,0 +1,11 @@ +prefix = @prefix@ +exec_prefix = ${prefix} +libdir = ${exec_prefix}/lib +includedir = ${prefix}/include + +Name : dmbcs-market-data-api +Description : DMBCS Market Data Service C++ interface library +Version : @VERSION@ +Requires : curlpp openssl +Libs : -L${libdir} -ldmbcs-market-data-api @third_party_LIBS@ +Cflags : -I${includedir} @third_party_CFLAGS@ diff --git a/dmbcs-market-data-api.texi b/dmbcs-market-data-api.texi new file mode 100644 index 0000000..abac2bc --- /dev/null +++ b/dmbcs-market-data-api.texi @@ -0,0 +1,339 @@ +\input texinfo @c -*-texinfo-*- +@c %**start of header +@setfilename dmbcs-market-data-api.info +@settitle DMBCS Market Data Server API +@documentencoding utf-8 +@c %**end of header +@copying +DMBCS Market Data Server API + +Copyright @copyright{} 2020 DM Bespoke Computer Solutions Ltd + +@quotation +Permission is granted to copy, distribute and/or modify this document +under the terms of the GNU Free Documentation License, Version 1.3 or +any later version published by the Free Software Foundation; with no +Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A +copy of the license is included in the section entitled ``GNU Free +Documentation License''. + +A copy of the license is also available from the Free Software +Foundation Web site at @url{http://www.gnu.org/licenses/fdl.html}. + +@end quotation +@end copying + +@titlepage +@title DMBCS Market Data Server API 1.0 +@author Dale Mellor +@page +@vskip 0pt plus 1filll +@insertcopying +@end titlepage + +@ifnottex +@node Top, Introduction, (dir), (dir) +@top DMBCS Market Data Server API 1.0 + +@insertcopying +@end ifnottex + +@c Generate the nodes for this menu with `C-c C-u C-m'. +@menu +* Introduction:: +* Installation of the library:: +* Use example:: +* Detailed reference:: +* Copying This Manual:: +* Function index:: +* Index:: +@end menu + +@c Update all node entries with `C-c C-u C-n'. +@c Insert new nodes with `C-c C-c n'. + +@contents + +@node Introduction, Installation of the library, Top, Top +@chapter Introduction +@section The DMBCS Market Data Service + +While there are several open APIs available on the Internet for fetching +stock market trading data, there are scant few which provide data of the +markets themselves, in particular it is quite difficult to +programmatically get an enumeration of all the components of a +particular market from the Internet. + +The DMBCS Market Data service provides this facility, offering two +end-points which enumerate all markets known to the system and all +components of any given market. The service provides a RESTful API which +is currently freely available without registration. More information +can be found at @url{https://rdmp.org/dmbcs/trader-desk}. + + +@section The C++ Library + +This is a small library (about 140 physical source lines of code) which +should be taken both as a production library and reference +implementation of the protocol which the DMBCS Market Data service +expects clients to implement. + + +@section ‘DMBCS’? + +@cindex DMBCS namespace +@cindex DMBCS discriminator +This isnʼt a vanity or promotional project with any kind of commercial +restriction, it is something that was needed and is being shared so that +others can benefit from the effort that has been spent on the +development, and maybe improve upon it. + +@cindex GNU license +It is not our wish to preclude the development of alternative libraries +which meet the same goals as ours, and if such were to materialize we +need a way to refer to our own implementation specifically and allow it +to sit in harmony with any other library that might come along. So we +use ‘DMBCS’ to provide our distinguishing label: this is appended to the +front of the package name, and all of the C++ code comes inside a +namespace with this label. These should be considered to be five random +letters: okay, they are abbreviated from DM Bespoke Computer Solutions +Ltd, the original authorʼs company, but the project is released as fully +free, open source software (FOSS) which falls under the GNU GPLv3 +license, so you should treat it as any other component in your free, +open operating system (@emph{Please} donʼt tell me you actually pay +money for some inferior OS beyond the eyes of humble scrutineers). + + +@node Installation of the library, Use example, Introduction, Top +@chapter Installation of the library + +@cindex GIT +@cindex code repository +You will require the @code{git} code management system. At the +terminal, type + +@code{git clone https://rdmp.org/dmbcs/market-data-api.git dmbcs-market-data-api}, + +and then you will have a newly created directory called +@code{dmbcs-market-data-api} which contains the full source code for the +program. Type @code{cd dmbcs-market-data-api} to enter that directory. + +@cindex autotools +@cindex autoconf +@cindex automake +@cindex libtool +@cindex pkg-config +The libraryʼs build configuration system is GNUʼs @code{autotools}. You +will need @code{autoconf}, @code{automake}, and @code{libtool}, and +@code{pkg-config}. At the terminal, type + +@code{autoreconf --install; ./configure}. + +@cindex openssl +@cindex curl +@cindex curlpp +You may at this point see errors relating to lack of openssl, curl, +curlpp packages. You must address these issues in your operating system +and perform a successful @code{./configure} before you can proceed with +the dmbcs-market-data-api build. + +@cindex make +@cindex non-privileged install +The libraryʼs build is undertaken by GNU make. You will need the +@code{make} package on your system (GNU make is probably not necessary, +any modern incarnation of make will most likely suffice). Type +@code{make && sudo make install} to build and install the library in +your system. Note that the sudo command will require that you have +sufficient privilege on your system, and you may have to type in your +system password (for a local build not requiring such privilege, in a +pinch, do @code{./configure --prefix=install-here && make install}). + +That should be it. Try making and running the example program described +below (Section 3). + +@node Use example, Detailed reference, Installation of the library, Top +@chapter Use example + +To get a summary of the current list of markets the server knows about, +write the following C++ code + +@cindex @sortas{H} ``hello, world'' example +@findex get_markets +@example +#include +#include + +int main () +@{ + cURLpp::initialize (); + const auto markets @{DMBCS::Market_Data_Api::get_markets ()@}; + for (const auto& M : markets) + std::cout << M.symbol << ": " << M.name << "\n"; + return 0; +@} +@end example + +@cindex application compilation +@cindex compilation +If this code is stored in a file called @code{markets.cc}, compile it +with a line like (this should be typed all on one line, without the +back-slash) +@example +g++ $( pkg-config --cflags --libs dmbcs-market-data-api ) \ + a.cc -o markets +@end example +and then you will have an executable file called @code{markets}. (If +you installed the library in a non-standard place, you may need to +@code{export PKG_CONFIG_PATH=/lib/pkgconfig} prior to running the +g++ command, and then setting @code{LD_LIBRARY_PATH}.) Run this and +observe the result in your terminal (provided that your internet +connection is okay); you should see a list of symbols and human-readable +names of various stock markets). + +If this doesnʼt work for you, you either havenʼt installed +dmbcs-market-data-api properly yet (see instructions in Section 2 +above), or you need to improve your operating system, or get a better +one; this is as far as we hand-hold you here. + +@node Detailed reference, Copying This Manual, Use example, Top +@chapter Detailed reference + +@cindex libcurlpp initialization +An important point of note. This library uses libcurlpp, and +@emph{assumes that that library has been initialized}. See the example +code above for an idea how to do this (it must be done exactly once in +your application). + +@cindex library initialization +Note that the @code{dmbcs-market-data-api} library itself requires no +explicit global initialization or finalization. + +@cindex thread safety +The library is not thread safe; there are severe limits to the volume +and regularity of data transfer through the Market Data API, and, given +the turn-around times of the accesses, access to the library should be +considered a strictly serial activity for which parallelism has no +purpose. If, however, delayed blocking behaviour is unsatisfactory for +your application and you need to realize asynchronous communications +channels with the Exchange, running the @code{dmbcs-market-data-api} +entirely in a thread separate from the main one would be appropriate. + +@section Exceptions + +The @code{dmbcs-market-data-api} client library may throw two +exceptions, @emph{both derived from @code{std::runtime_error}}: +@code{DMBCS::Market_Data_Api::No_Network} and +@code{DMBCS::Market_Data_Api::Bad_Communication}. Both these will +convey the implied meaning, and will be furnished with human-readable +error messages (via the @code{what()} methods) that clarify the +situation. Note especially that @code{Bad_Communication} will be thrown +if the service refuses to provide data due to too many requests being +received in a short time interval. + +@section Enumerating the markets + +@subsection The @code{Market} object + +This is a pure @code{struct} with the following members. + +@table @code +@item string symbol +The string by which the Market Data Server identifies this market. It +should be passed to the @code{get_component_delta} function, for +example. + +@item string component_extension +The symbol which Yahoo! appends to all stock items after a period. For +example @code{BP.L} is the ticker symbol for BP on the London stock +exchange, hence the market symbol is ``@code{L}''. + +@item string name +Human-readable, although terse, string which identifies the market, +e.g. ``FTSE 100''. + +@item std::chrono::system_clock::duration close_time +The time interval after midnight at which the market closes each day. +This should be regarded as indicative only and will not account for +extraordinary days or other variations. + +@end table + +@subsection The @code{get_markets} function +@findex get_markets +Simply calling the @code{DMBCS::Market_Data_Api::get_markets ()} +function will return a STL container full of @code{Market} objects, each +describing one of the markets the server follows, the collection +enumerating all of the markets that the server follows. + + +@subsection The @code{Delta} object +This is a pure @code{struct} which describes @emph{changes} in the +components of a market, such as additions, removals and sideways +movements. The members are + +@table @code +@item string symbol +The @emph{Yahoo!} ticker symbol for the component, sans any market +suffix. + +@item string name +A human-readable name of this component, i.e. company name. + +@item enum@{ADD, REMOVE, SIDEWAYS@} action +Has the company recently entered the market, or left it? Or perhaps +this is a sideways movement: change of name, symbol and/or market of a +market component already being tracked. + +@end table + +@subsection The @code{get_component_delta} function +@findex get_component_delta +This function returns a container of all the changes that have taken +place in the constitution of a market since a given time. Applications +are encouraged to keep track of the times that this function is called, +and only request changes since the last call. The precise signature of +the function is + +@code{std::vector DMBCS::Market_Data_Api::get_component_delta (const +string& market_symbol, const time_t& last_time);} + +where + +@table @code +@item const std::string& market_symbol +Identifies the market for which constituent changes are required. + +@item const time_t& last_time +Is the (UNIX) time from which changes need to be reported. + +@end table + +@findex get_component_delta +For example, + +@example + auto changes = DMBCS::Market_Data_Api::get_component_delta ("FTSE", 0); +@end example + +will list @emph{all} current components of the FTSE 100 listing. + + +@node Copying This Manual, Function index, Detailed reference, Top +@appendix Copying This Manual + +@c Get fdl.texi from http://www.gnu.org/licenses/fdl.html +@include fdl.texi + +@node Function index, Index, Copying This Manual, Top +@unnumbered Function index + +@printindex fn + +@node Index, , Function index, Top +@unnumbered Index + +@printindex cp + +@bye + +@c dmbcs-market-data-api.texi ends here diff --git a/fdl.texi b/fdl.texi new file mode 100644 index 0000000..eaf3da0 --- /dev/null +++ b/fdl.texi @@ -0,0 +1,505 @@ +@c The GNU Free Documentation License. +@center Version 1.3, 3 November 2008 + +@c This file is intended to be included within another document, +@c hence no sectioning command or @node. + +@display +Copyright @copyright{} 2000, 2001, 2002, 2007, 2008 Free Software Foundation, Inc. +@uref{https://fsf.org/} + +Everyone is permitted to copy and distribute verbatim copies +of this license document, but changing it is not allowed. +@end display + +@enumerate 0 +@item +PREAMBLE + +The purpose of this License is to make a manual, textbook, or other +functional and useful document @dfn{free} in the sense of freedom: to +assure everyone the effective freedom to copy and redistribute it, +with or without modifying it, either commercially or noncommercially. +Secondarily, this License preserves for the author and publisher a way +to get credit for their work, while not being considered responsible +for modifications made by others. + +This License is a kind of ``copyleft'', which means that derivative +works of the document must themselves be free in the same sense. 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See the GNU +# General Public License for more details. +# +# You should have received a copy of the GNU General Public License +# along with this program. If not, see . + + +SUBDIRS = src + +AM_MAKEINFOHTMLFLAGS = --no-split --css-ref=dmbcs-info.css + +info_TEXINFOS = dmbcs-market-data-api.texi +dmbcs_market_data_api_TEXINFOS = fdl.texi + +pkgconfigdir = $(libdir)/pkgconfig +pkgconfig_DATA = dmbcs-market-data-api.pc + +MAINTAINERCLEANFILES = aclocal.m4 compile config.guess config.sub \ + configure depcomp install-sh ltmain.sh \ + makefile.in missing texinfo.tex + +maintainer-clean-local : + rm -r m4 diff --git a/src/dmbcs-market-data-api.cc b/src/dmbcs-market-data-api.cc new file mode 100644 index 0000000..7c68ce9 --- /dev/null +++ b/src/dmbcs-market-data-api.cc @@ -0,0 +1,179 @@ +/* + * Copyright (c) 2020 Dale Mellor + * + * + * This file is part of the dmbcs-market-data-api package. + * + * The dmbcs-market-data-api package is free software: you can + * redistribute it and/or modify it under the terms of the GNU General + * Public License as published by the Free Software Foundation, either + * version 3 of the License, or (at your option) any later version. + * + * The trader-desk package is distributed in the hope that it will be + * useful, but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU + * General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with this program. If not, see http://www.gnu.org/licenses/. + */ + + +#include "dmbcs-market-data-api.h" +#include +#include +#include + + +namespace DMBCS { namespace Market_Data_Api { + + + namespace Curl = cURLpp; + namespace Opt = Curl::Options; + + + +static string spacify (string&& x) + { + transform (begin (x), end (x), + begin (x), + [] (const unsigned char a) { return isspace (a) ? ' ' : a; }); + + return x; + } + + + +static string::const_iterator pass_version (const string& x) + { + static const regex head {"^ *'\\( *\\( *1( [^)]*)?\\)"}; + smatch m; + + if (! regex_search (x, m, head)) + { + if (x.substr (0, 2) == "'(") + throw Bad_Communication + {gettext ("please update this application to a later " + "version; new data communication protocols " + "have been seen")}; + else + throw Bad_Communication + {gettext ("service failed; probably you are trying " + "to make too many requests in a short time")}; + } + + return begin (x) + m [0].length (); + } + + + +static string get_curl_response (const string& query) + { + string response; + Curl::Easy request; + + request.setOpt (Opt::Url {query}); + + request.setOpt (Opt::WriteFunction + {[&response] (char* buffer, size_t size, size_t n) + { response += string {buffer, + buffer + size * n}; + return size * n; }}); + + request.setOpt (Opt::SslVerifyPeer {0}); + + request.perform (); + + if (response.empty ()) + throw No_Network {gettext ("got no CURL response")}; + + return spacify (move (response)); + } + + + +static vector get_markets (const string& url_endpoint) + try + { + const string response {get_curl_response (MARKET_SERVER_URL + + url_endpoint)}; + + vector ret; + + auto cursor {pass_version (response)}; + + static const regex re + { " *\\( *\"([^\"']+)\" *\"([^\"']*)\" *\"([^\"]+)\"" + " *([0-9]+(\\.[0-9]*)?)( [^)]*)?\\)" }; + + for (smatch match; ; ) + { + if (! regex_search (cursor, end (response), match, re, + regex_constants::match_continuous)) + return ret; + + ret.push_back + ({.symbol = match [1].str (), + .component_extension = match [2].str (), + .name = match [3].str (), + .close_time = chrono::minutes + (int (strtod (match [4].str ().data (), + nullptr) + * 60.0))}); + + cursor += match [0].length (); + } + } + catch (No_Network&) + { throw No_Network { gettext ("CURL got no markets meta-data")}; } + + + +vector get_markets () + { return get_markets ("markets"); } + + + +vector get_component_delta (const string& market_symbol, + const time_t& last_time) + try + { + ostringstream hold; + hold << MARKET_SERVER_URL + << "components?m=" << market_symbol + << "&t=" << last_time; + + const string response {get_curl_response (hold.str ())}; + + vector ret; + ret.reserve (500); + + auto cursor {pass_version (response)}; + + for (smatch m; ; ) + { + /* Remember that these fields are injected into a database, so + * be wary of unsanitary inputs. */ + static const regex part + {" *\\( *([^\"' ]+) *\"([^\"]+)\" *([-+*])( [^)]*)?\\)"}; + + if (! regex_search (cursor, end (response), m, part, + regex_constants::match_continuous)) + return ret; + + ret.push_back ({.symbol = m [1].str (), + .name = m [2].str (), + .action = m [3].str () == "+" ? Delta::ADD + : m [3].str () == "-" ? Delta::REMOVE + /* "*" */ : Delta::SIDEWAYS}); + + cursor += m [0].length (); + } + } + catch (No_Network &) + { throw No_Network {gettext ("CURL got no market component data")}; } + catch (Curl::RuntimeError &) + { return vector {}; } + + +} } /* End of namespace DMBCS::Trader_Desk. */ diff --git a/src/dmbcs-market-data-api.h b/src/dmbcs-market-data-api.h new file mode 100644 index 0000000..d52d7c8 --- /dev/null +++ b/src/dmbcs-market-data-api.h @@ -0,0 +1,124 @@ +/* + * Copyright (c) 2020 Dale Mellor + * + * + * This file is part of the dmbcs-market-data-api package. + * + * The dmbcs-market-data-api package is free software: you can + * redistribute it and/or modify it under the terms of the GNU General + * Public License as published by the Free Software Foundation, either + * version 3 of the License, or (at your option) any later version. + * + * The trader-desk package is distributed in the hope that it will be + * useful, but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU + * General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with this program. If not, see http://www.gnu.org/licenses/. + */ + + +#ifndef DMBCS_MARKET_DATA_SERVER__H +#define DMBCS_MARKET_DATA_SERVER__H + + +#include +#include +#include +#include + + +/** \file + * + * Declaration of the \c Market_Data_Api namespace. */ + + +/** A namespace with two functions defined within it, corresponding to the + * two functions available at the /trader-desk/ market data server: one + * to get the list of markets, and one to get an incremental list of + * components in a single market. */ + +namespace DMBCS { namespace Market_Data_Api + { + using namespace std; + + + /** The functions will throw this if the network stack on the local + * machine cannot be made to work, most likely because the interfaces + * are down. */ + struct No_Network : runtime_error { using runtime_error::runtime_error; }; + + /** The functions will throw this if the remote server fails in any + * way to respond as expected. */ + struct Bad_Communication : runtime_error + { using runtime_error::runtime_error; }; + + + + static constexpr const char *const MARKET_SERVER_URL + = "https://rdmp.org:9443/trader-desk/"; + + + + /** A data vessel holding meta-data about a stock market. */ + struct Market + { + /** The marketʼs ticker symbol. */ + string symbol; + + /** The marketʼs extension to componentsʼ ticker symbols. */ + string component_extension; + + /** Human-readable, although terse, name of the market. */ + string name; + + /** The time after midnight at which this market closes. */ + chrono::system_clock::duration close_time; + }; + + /** Return a list of all the meta-data of all markets available from + * the server. */ + /* Assume curlpp has already been initialized. */ + vector get_markets (); + + + + /** A data vessel which denotes the addition or removal of a component + * of the market. */ + struct Delta + { + /** The Yahoo! API ticker symbol for the component, sans any market + * extension. */ + string symbol; + + /** A human-readable name of the company. */ + string name; + + /** Has the company recently entered the market, or left it? Or + * perhaps this is a sideways movement: change of name, symbol + * and/or market of a market component already being tracked. */ + enum {ADD, REMOVE, SIDEWAYS} action; + }; + + /** Get a list of market changes since \a last_time. */ + vector get_component_delta (const string& market_symbol, + const time_t& last_time); + + + /** We only want to hit the server occasionally (the data will not + * change more than once in any 24 hour period). This helper + * function determines whether the time \a t is too recent (short) to + * warrant hitting the server now. */ + inline bool short_time (const time_t& last_update) + { return time (nullptr) - 23 * 60 * 60 < last_update; } + + +} } /* End of namespace DMBCS::Market_Data_Server. */ + + +#include /* This is for the benefit of end-user + * clients. */ + + +#endif /* Undefined DMBCS_MARKET_DATA_SERVER__H. */ diff --git a/src/makefile.am b/src/makefile.am new file mode 100644 index 0000000..e5af917 --- /dev/null +++ b/src/makefile.am @@ -0,0 +1,6 @@ +lib_LTLIBRARIES = libdmbcs-market-data-api.la +include_HEADERS = dmbcs-market-data-api.h + +libdmbcs_market_data_api_la_SOURCES = dmbcs-market-data-api.cc + +MAINTAINERCLEANFILES = auto-config.h.in makefile.in