GoQuant Order Execution and Management System (OEMS)

Overview

GoQuant OEMS is a high-performance C++17 application designed for interacting with the Deribit cryptocurrency trading platform. This application supports various trading functionalities, including placing, modifying, and canceling orders, as well as managing open orders, positions, and retrieving order books. It includes a WebSocket server to subscribe clients to specific symbols and continuously stream order book updates.

Demo Video

• Click below to see the demo video.
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Features

• Place Orders: Place market and limit orders on Deribit.
• Modify Orders: Update existing orders with new quantities or prices.
• Cancel Orders: Cancel open orders by order ID.
• Retrieve Order Book: Fetch and display the order book for specific trading pairs.
• View Current Positions: Display current open positions.
• WebSocket Server: Allows clients to subscribe to symbols and receive real-time order book updates.
• Supported Markets: Spot, futures, and options for all supported symbols.

Scope

• Supports Spot, Futures, and Options markets.
• Provides low-latency access to all supported symbols on Deribit.
• Websocket server that clients can connect to and subscribe to a symbol by sending a message.

Prerequisites

• C++ Compiler: C++17 or later.
• CMake: Version 3.10 or later.
• Visual Studio 2022: or another compatible C++ IDE.
• vcpkg: A package manager for C++ libraries.

Dependencies

• Drogon: For HTTP and WebSocket client/server functionality.
• cURL: For HTTP requests.
• OpenSSL: For handling secure connections.
• JsonCpp: For JSON parsing.

Installation

Step 1: Clone the Repository

git clone https://github.com/yourusername/GoQuantOEMS.git
cd GoQuantOEMS

Step 2: Install Dependencies

1. Install vcpkg (if not already installed):

git clone https://github.com/microsoft/vcpkg.git
cd vcpkg
.\bootstrap-vcpkg.bat

2. Install required packages:

.\vcpkg install drogon curl openssl jsoncpp

Step 3: Set Up Environment Variables

Create a .env file in the project root directory with the following content:

API_KEY=your_api_key
SECRET_KEY=your_secret_key

Replace your_api_key and your_secret_key with your Deribit API credentials.

Step 4: Configure CMake

Create a CMakeLists.txt file with the following content:

cmake_minimum_required(VERSION 3.10)
project(GoQuantOEMS)

set(CMAKE_CXX_STANDARD 17)

# Set VCPKG
set(CMAKE_TOOLCHAIN_FILE ${CMAKE_SOURCE_DIR}/vcpkg/scripts/buildsystems/vcpkg.cmake)
set(VCPKG_TARGET_TRIPLET "x64-windows")

# Find required packages
find_package(Drogon REQUIRED)
find_package(CURL REQUIRED)
find_package(OpenSSL REQUIRED)
find_package(jsoncpp REQUIRED)

# Add executable
add_executable(goquant_oems main.cpp web_socket_client.cpp order_manager.cpp)

# Link libraries
target_link_libraries(goquant_oems Drogon::Drogon ${CURL_LIBRARIES} ${OPENSSL_LIBRARIES} jsoncpp)

Step 5: Build the Project

Open the project folder in Visual Studio 2022. Open CMakeLists.txt in Visual Studio. Right-click on the CMakeLists.txt file in the Solution Explorer and choose Build.

Step 6: Run the Project

Run the goquant_oems executable generated by the build process.

Usage

Example Commands

Place an Order

const OrderParams params{"INSTRUMENT_NAME", AMOUNT, PRICE, "CLIENT_ORDER_ID", ORDER_TYPE};
order_manager.PlaceOrder(params, "buy", response);

Modify an Order

order_manager.ModifyOrder("ORDER_ID", AMOUNT, PRICE, response);

Cancel an Order

orderManager.cancelOrder("ORDER_ID");

Get Order Book

order_manager.GetOrderBook("INSTRUMENT_NAME", response);

Get Current Positions

order_manager.GetCurrentPositions("INSTRUMENT_NAME", "INSTRUMENT_TYPE", response);

Get Open Orders

order_manager.GetOpenOrders(response);

Open WebSocket Connection and Subscribe to Symbol

ws_client->ConnectToServer("ETH-PERPETUAL");

Environment Variables

• API_KEY: Your Deribit API key.
• SECRET_KEY: Your Deribit API secret key.

Error Handling

The application handles various errors, such as failed order placements or WebSocket reconnections. Errors are logged and printed to the console.

License

This project is licensed under the MIT License. See the (LICENSE) file for details.