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viperfish - C++ library for algorithmic trading

viperfish is a library designed for easy access to market data. With viperfish, you can consume fully consistent orderbooks without exceeding Binance REST rate limits.

Currently, it supports only Binance Spot market.

viperfish initializes orderbooks using data from Reptoid servers. Currently, it is free, but soon it will require a token for data access. It consumes orderbook diffs via the default exchange WebSocket API, using <symbol>@depth@100ms in the case of Binance.

It takes time to initialize. If you are hosted in AWS ap-northeast-1 (Tokyo) or nearby, initialization could take ~20 seconds. We plan to reduce it to a few seconds soon. In other locations, initialization could take a few minutes due to the downloading of ~20-50MB of data.

Example

// Consume all symbols from Binance Spot
auto context = viperfish::reptoid::orderbook::BinanceSpotContext();

// You can retrieve an order book for any Binance Spot symbol
//   immediately after the object is created.
// Here is an example of getting top 5 bid/ask orders:
auto bids = context.get_bids("BTCUSDT", 5);
auto asks = context.get_asks("BTCUSDT", 5);

// Calculate the total amount for bid orders at a specified depth.
// For example, if the market price is 29700, calculating for bids from 29700 to 29200:
auto total_amount = context.get_top_amount(
    "BTCUSDT",
    viperfish::market::BUY,
    bids[0].fprice - 500);

Check another sample.

TODO

  1. Binance USDS-M/COIN-M Futures support.
  2. Trades streams.
  3. Orderbook top real-time streams.
  4. Python/Node.js/Go bindings.
  5. Other exchanges support.
  6. Full orderbook depth (currently it's only 5000 considering to Binance snapshots REST limits).
  7. Fast calculating total depth amount using (persistent) augmented Red-black tree.
  8. Callbacks on orderbooks' changes.
  9. Order execution.
  10. Customizing network interfaces.
  11. Customizing CPU cores.
  12. Latency tracking.
  13. Orderbook snapshots background refetching.

Feedback

Please feel free to create issues and ask questions.

Installing

Debian

Currently only arm64 (aarch64) is supported. Tested on Ubuntu 20.x/22.x.

Add Reptoid repo

curl -fsSL https://deb.reptoid.com/gpg-key \
    | sudo gpg --dearmor -o /usr/share/keyrings/reptoid.gpg
echo "deb [signed-by=/usr/share/keyrings/reptoid.gpg] https://deb.reptoid.com focal main" \
    | sudo tee /etc/apt/sources.list.d/reptoid.list

sudo apt update

Install viperfish

sudo apt install viperfish

Building from source on Linux

sudo apt install -y \
    clang-12 cmake
    libssl-dev libcurl4 libcurl4-openssl-dev \
    libboost-dev libboost-filesystem-dev libboost-thread-dev

cmake .
make viperfish
sudo make install

Building from source on OS X

TODO

Importing with CMake

CMakeLists.txt

project(sample)
cmake_minimum_required(VERSION 3.10)

if(NOT CMAKE_BUILD_TYPE)
    set(CMAKE_BUILD_TYPE Release)
endif()

find_package(OpenSSL REQUIRED)
include_directories(
        ${OPENSSL_INCLUDE_DIR}
)

find_package(CURL REQUIRED)
find_package(ZLIB REQUIRED)
find_package(Boost COMPONENTS thread system filesystem REQUIRED)

set(CMAKE_CXX_STANDARD 17)
set(CMAKE_CXX_FLAGS_RELEASE "-O3")
set(CMAKE_POSITION_INDEPENDENT_CODE ON)

add_executable(
        main
        main.cpp
)
target_link_libraries(
        main
        viperfish
        ${CURL_LIBRARIES}
        ${OPENSSL_SSL_LIBRARY}
        ${OPENSSL_CRYPTO_LIBRARY}
        ${ZLIB_LIBRARIES}
        ${Boost_LIBRARIES}
        pthread dl
)
#include <iostream>
#include <viperfish/reptoid.hpp>

int main() {
    auto context = viperfish::reptoid::orderbook::BinanceSpotContext();
    std::cout << "Context was initialized" << std::endl;
    return 0;
}