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GNU GENERAL PUBLIC LICENSE
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Installation Instructions
*************************
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# -*- 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

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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@

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\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 <dmbcs-market-data-api.h>
#include <iostream>
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=<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<Delta> 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

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@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,
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@enumerate A
@item
Use in the Title Page (and on the covers, if any) a title distinct
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@end enumerate
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@end enumerate
@page
@heading ADDENDUM: How to use this License for your documents
To use this License in a document you have written, include a copy of
the License in the document and put the following copyright and
license notices just after the title page:
@smallexample
@group
Copyright (C) @var{year} @var{your name}.
Permission is granted to copy, distribute and/or modify this document
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or any later version published by the Free Software Foundation;
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replace the ``with@dots{}Texts.''@: line with this:
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@group
with the Invariant Sections being @var{list their titles}, with
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If you have Invariant Sections without Cover Texts, or some other
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@c Local Variables:
@c ispell-local-pdict: "ispell-dict"
@c End:

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# dmbcs-market-data-api A C++ encapsulation of the API to the DMBCS
# Market Data server
#
# Copyright (C) 2020 DM Bespoke Computer Solutions Ltd
#
# This program 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.
#
# This program 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/>.
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

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/*
* 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 <curlpp/Options.hpp>
#include <curlpp/Easy.hpp>
#include <regex>
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<Market> get_markets (const string& url_endpoint)
try
{
const string response {get_curl_response (MARKET_SERVER_URL
+ url_endpoint)};
vector <Market> 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<Market> get_markets ()
{ return get_markets ("markets"); }
vector<Delta> 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<Delta> 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<Delta> {}; }
} } /* End of namespace DMBCS::Trader_Desk. */

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/*
* 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 <chrono>
#include <stdexcept>
#include <string>
#include <vector>
/** \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<Market> 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<Delta> 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 <curlpp/cURLpp.hpp> /* This is for the benefit of end-user
* clients. */
#endif /* Undefined DMBCS_MARKET_DATA_SERVER__H. */

6
src/makefile.am Normal file
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@ -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