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SmartCOM3 API C++ connector

ITInvest SmartCOM3 API C++ connector (Windows/Linux & possibly Mac OS X)
Implemented in raw without using MFC or ATL It's usefull for coding C++ and linking native high performance C/C++ libraries with SmartCOM3 API (e.g. CUDA or OpenCL)

Tested platforms

● Windows 7/8 (32/64) + Visual Studio 2012/2013 (MSVC 11.0/12.0)
● Ubuntu 12/14/16 & Debian 7/8 (32/64) + Winelib 1.6-1.9 (gcc 4.8-5.3)

SmartCOM3 lib version: 3.0.162.5805

Both Windows and Linux builds works well with CUDA and OpenGL native libs
(inc. CUDA-OpenGL interoperability - tested on nVidia GeForce GTX 680 & Tesla K20Xm)

Contents

Windows

  1. Download and install SmartCOM3 API 32 or 64 bit from http://www.itinvest.ru/software/smartcom/
  2. Launch Visual Studio and create empty WIN32 project 32 or 64 bit
  3. Create directory C:\logs or change default path in TestRobot constructor
  4. Just add sources and build project

Linux

(full description https://github.com/antonred/SmartCOM3/blob/master/README_WINE.md)
Installation
  1. Add cyrillic locale ru_RU.UTF-8
  2. Download 32 or 64 bit SmartCOM3 API from http://www.itinvest.ru/software/smartcom/
  3. Install it:
    e.g. "WINEARCH=win64 WINEPREFIX=/prefix wine msiexec /i /path/to/smartcom/setup.msi /quiet /qn"
    or just register dll like 32 bit: "WINEARCH=win32 WINEPREFIX=    /prefix wine regsvr32 /i /path/to/smartcom_32.dll" 64 bit: "WINEARCH=win64 WINEPREFIX=~/prefix wine64 regsvr32 /i /path/to/smartcom_64.dll"
Building

Notes:

  1. Add "-D_FORCENAMELESSUNION" compiler flag (VARIANTs support)
  2. Link with libole32, liboleaut32 and libuuid
  3. If you building shared library, add position independent flag to compiler "-fPIC"
$ mkdir build
$ cd build
$ wineg++ -Wall -std=c++1y -c -D_FORCENAMELESSUNION ../SmartCOM3.cpp ../TestRobot.cpp
$ wineg++ -o "TestRobot"  ./SmartCOM3.o ./TestRobot.o    -lole32 -loleaut32 -luuid
$ ls
$ TestRobot.exe  TestRobot.exe.so  SmartCOM3.o  TestRobot.o
Launching

Notes about error "wrong binary format"

  1. Check that you link all libs above and they are exist on LD path
  2. WINE prefix and downloaded SmartCOM3 version must be the same architecture (32 or 64 bit)
$ ./TestRobot.exe    
or without that launcher script
$ wine TestRobot.exe.so
for 64 bit
$ wine64 TestRobot.exe.so

for russian support, custom WINEPREFIX & no Wine's debug messages:
$ LANG=ru_RU.UTF-8 WINEPREFIX=/path/to/prefix WINEDEBUG=-all ./TestRobot.exe

Test program output

Environment
Wine build: wine-1.9.5	
Platform: x86_64	
Version: Windows 7	
Host system: Linux	
Host version: 3.16.0-4-amd64
Output
TestRobot::TestRobot()
TestRobot::GetClientVersionString() Success SmartCOM3 dll version: 3,0,162,5805
TestRobot::ConfigureClient() Success
TestRobot::ConfigureServer() Success
TestRobot::Connect() Connecting to mx.ittrade.ru:8443 with login XXXXXX, please wait...
TestRobot::TestRobot() OK

Press ENTER to exit

TestRobot::Connected()
TestRobot::AddSymbol() received all of 22600 symbols
TestRobot::AddSymbol() added symbol 'GAZP' with short_name 'ГАЗПРОМ ао'
TestRobot::AddSymbol() added symbol 'ROSN' with short_name 'Роснефть'
TestRobot::AddSymbol() added symbol 'SBER' with short_name 'Сбербанк'
TestRobot::AddSymbol() added symbol 'VTBR' with short_name 'ВТБ ао'
TestRobot::ListenTicks(GAZP) Success
TestRobot::GetSymbols() Success
TestRobot::AddPortfolio(1/4) name BPXXXXX-FX-01 exchage CETS status Broker
TestRobot::AddPortfolio(2/4) name BPXXXXX-MO-01 exchage MON status ReadOnly
TestRobot::AddPortfolio(3/4) name BPXXXXX-MS-01 exchage EQ status Broker
TestRobot::AddPortfolio(4/4) name BPXXXXX-RF-01 exchage RTS_FUT status Broker
TestRobot::GetPortfolioList() Success
TestRobot::AddTick(GAZP) 21.06.2016 15:59:40 143.57000 180 157098 Sell
TestRobot::AddTick(GAZP) 21.06.2016 15:59:40 143.55000 500 157099 Sell
TestRobot::AddTick(GAZP) 21.06.2016 15:59:40 143.55000 20 157100 Buy
TestRobot::AddTick(GAZP) 21.06.2016 15:59:41 143.59000 10 157105 Buy

TestRobot::~TestRobot()
TestRobot::~TestRobot() Disconnecting...
TestRobot::Disconnected(Disconnected by user)
TestRobot::~TestRobot() OK

Test program SmartCOM3 log output (level 4)

2016-Jun-21 16:02:01.066719 [TID=1aa] - INFO : SmartCOM3 client module (v3.0.162.5805) logging started.. 
2016-Jun-21 16:02:01.066765 [TID=1aa] - INFO : Logging level is set to 4 value. 
2016-Jun-21 16:02:01.066774 [TID=1aa] - INFO : Using maximum 7 worker threads to process data. 
2016-Jun-21 16:02:01.066782 [TID=1aa] - INFO : Store logs in C:\logs\ 
2016-Jun-21 16:02:01.094257 [TID=1aa] - INFO : Trying to authenticate in mx.ittrade.ru:8443 using SSL connection (login XXXXXX)
2016-Jun-21 16:02:01.112897 [TID=1aa] - jelly:  : Trying connect to 213.59.8.133:8443 
2016-Jun-21 16:02:01.162103 [TID=1aa] - jelly:  : Https channel 0x271B70 OK.. 
2016-Jun-21 16:02:01.213248 [TID=1b5] - INFO : Login OK, loading securities.. 
2016-Jun-21 16:02:01.213377 [TID=1b5] - jelly:  : Trying connect to 213.59.8.133:48091 
2016-Jun-21 16:02:01.213406 [TID=1b5] - jelly:  : Channel 0x284B40 will use async connect mode (140) 
2016-Jun-21 16:02:01.213487 [TID=1b4] - jelly:  : Destroying https channel..0x271B70 
2016-Jun-21 16:02:01.225003 [TID=1bd] - jelly:  : Http channel 0x284B40 OK.. 
2016-Jun-21 16:02:07.821963 [TID=1b4] - INFO : Securities table loaded OK 
2016-Jun-21 16:02:07.822023 [TID=1b4] - INFO : StServer::GetSymbols method 
2016-Jun-21 16:02:08.024374 [TID=1b4] - INFO : StServer::ListenTicks method (Symbol: GAZP) 
2016-Jun-21 16:02:08.024573 [TID=1b4] - jelly:  : Trying connect to 213.59.8.133:48091 
2016-Jun-21 16:02:08.024625 [TID=1b4] - jelly:  : Channel 0x462FE00 will use async connect mode (136) 
2016-Jun-21 16:02:08.024756 [TID=1b4] - INFO : StServer::GetPrortfolioList method 
2016-Jun-21 16:02:08.024860 [TID=1b5] - jelly:  : Destroying http channel..0x284B40 
2016-Jun-21 16:02:08.039057 [TID=1bd] - jelly:  : Http channel 0x462FE00 OK.. 
2016-Jun-21 16:02:12.450707 [TID=1aa] - jelly:  : Destroying http channel..0x462FE00 
2016-Jun-21 16:02:12.450875 [TID=1aa] - INFO : Disconnected by user..

Minimal example

TestRobot *robot = new TestRobot();
robot->Connect("mxdemo.ittrade.ru", 8443, "LOGIN", "PASSWORD");
getchar(); /* waiting 'Connected()' event on success or 'Disconnected()' event on fail */
delete robot;

Library settings

Before first call Connect method you may configure SmartCOM3 library and then call ConfigureLibrary to apply:

● Log files path

void SetLogPath(std::string path); // e.g. "C:\\logs" default: "%APPDATA%\\IT Invest"

● Logging level

void SetLogLevel(uint8_t level); default: 2

t: true*

● Asynchronous mode for PlaceOrder/CancelOrder/MoveOrder methods

void SetAsyncConnectionMode(bool async); default: true

● Disconnect after server response timeout in seconds (1..60 secs)

void SetDisconnectTimeout(uint8_t timeout); default: 2

● Apply all settings above

ErrorCode ConfigureLibrary();

Error handling

All SmartCOM3 methods return ErrorCode for user side error handling:

ErrorCode er = ListenTicks(symbol);
if (er != ErrorCode_Success) {
	printf("ListenTicks(%s) error: %s\n", symbol, GetErrorCodeString(er));
	switch (er) {
	case ErrorCode_SecurityNotFound: ... break;
	case ErrorCode_NotConnected: ... break;
	...
	default: ...
	}
}

Possible output: ListenTicks(SYMB) error: SecurityNotFound

For error description call GetErrorCodeString(code).

Error codes (ErrorCode enum in SmartCOM3enums.h):

ErrorCode_Success
ErrorCode_SecurityNotFound
ErrorCode_PortfolioNotFound
ErrorCode_NotConnected
ErrorCode_BadParameters
ErrorCode_InternalError
ErrorCode_ExchangeNotAccessible

Multithreading warning

1. Native SmartCOM3 methods are thread safe. 2. Callbacks served from different threads - you may need synchronization.

TInvest history bars

TInvest SmartCOM3 history bars date & time as result of GetBars have CLOSE date & time with some bugs.

Test for all intervals GetBars(from 06.07.2016 10:04:20, 1 pcs) result:

   1Min | 06.07.2016 10:05:00 <- rounded precisely to the end
   5Min | 06.07.2016 10:05:00
  10Min | 06.07.2016 10:10:00
  15Min | 06.07.2016 10:15:00
  30Min | 06.07.2016 10:30:00
  1Hour | 06.07.2016 11:00:00
  2Hour | 06.07.2016 12:00:00
  4Hour | 06.07.2016 12:00:00
    Day | 06.07.2016 23:59:59 <- not rounded to the end of frame
   Week | 08.07.2016 23:59:59 <- friday
  Month | 31.07.2016 23:59:59
Quarter | 30.09.2016 23:59:59
   Year | 31.12.2016 23:59:59

Date & time helper functions (SmartCOM3enums.h)

  1. Rounding AddBar fast but dangerous to same time frame (up to 00 secs):
    time_t RoundBarFast(time_t)
  2. Rounding AddBar to same or higher time frame:
    time_t RoundBarDatetime(BarInterval, time_t, DatetimeType)
  3. Rounding AddTick, AddQuote etc to some time frame:
    time_t RoundTickDatetime(BarInterval, time_t, DatetimeType)

Rounding to WEEK OPEN/CLOSE rounds date & time to last/next Monday 00:00:00

Building bars

WARNING! LOW PERFORMANCE AT INTERVALS >= 2HOUR

ilding bars from bars

E.g. building 5MIN bars from 1MIN bars:

GetBars(..., BarInterval_1Min, ...);
...
void AddBar(..., time_t datetime1min, ...) { // 07.07.2016 12:27:00 - 1MIN CLOSE
  time_t datetime5min =
    RoundBarDatetime(BarInterval_5Min, datetime1min, OPEN_DATE); // 07.07.2016 12:25:00 - 5MIN OPEN
  datetime5min =
    RoundBarDatetime(BarInterval_5Min, datetime1min, CLOSE_DATE); // 07.07.2016 12:30:00 - 5MIN CLOSE
}

Building bars from ticks

E.g. building 5MIN bars:

ListenTicks(...);
...
void AddTick(..., time_t datetime, ...) { // 07.07.2016 12:31:11
  time_t datetime5min =
    RoundTickDatetime(BarInterval_5Min, datetime, OPEN_DATE); // 07.07.2016 12:30:00 - 5MIN OPEN
  datetime5min =
    RoundTickDatetime(BarInterval_5Min, datetime, CLOSE_DATE); // 07.07.2016 12:35:00 - 5MIN CLOSE
}

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND

TEST ALL FUNCTIONALITY BEFORE PRODUCTION

Contact

Feel free for contact
moex@anton.red russian or english

About

ITInvest SmartCOM3 API C++ connector (Windows/Linux)

www.itinvest.ru/forum1/topic/89319-smartcom3-api-c-connector-win32linux/

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License

MIT license
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