Trading Client Project

Overview

This project implements a trading client for interacting with the Deribit API. It supports functionalities such as authentication, market data subscription, order placement, and retrieving open orders. The client uses cURL for HTTP request and WebSocket for real-time communication and data processing.

Requirements

System Requirements

• Operating System: Linux(Ubuntu)
• Compiler: GCC (recommended) or any C++ compiler with c++17 support.
• Build Tool: CMake 3.10 or later
• Network: Stable internet connection for API access.

Dependencies

The following libraries and tools are required to build and run the project:

1. cURL:
   • Used for making jsonRPC HTTP requests.
   • Installation:
     • Linux:

sudo apt install libcurl4-openssl-dev

2. nlohmann/json:
   • A C++ JSON library for parsing API responses.
   • Installation:
     • Linux:

sudo apt install nlohmann-json3-dev

3. websocketpp:
   • A C++ WebSocket library for real-time communication.
   • Installation:
     • Linux(Ubuntu):

sudo apt update
sudo apt install libwebsocketpp-dev

• Verify Installation:
  • Check that the WebSocket++ header files are installed at /usr/include/websocketpp

4. Boost:
   • Required by websocketpp for ASIO and SSL.
   • Installation:
     • Linux:

sudo apt install libboost-all-dev

5. CMake:
   • Build system generator.
   • Installation:
     • Linux:

sudo apt install cmake

6. OpenSSL:
   • Provides TLS/SSL support for secure WebSocket connections.
   • Installation:
     • Linux:

sudo apt install libssl-dev

Installation Instructions

Step 1: Clone the Repository

git clone https://github.com/Beeram12/TradingManagement.git
cd TradingManagement

Step 2: Install Dependencies

• Make sure all dependencies listed above are installed

Step 3: Build the Project

Use CMake to configure and build the project:

mkdir build
cd build
cmake ..
make

Usage

1. Running the Client

./TradingClient

Features

• Authenticate: Logs in using your client ID and secret.
• Subscribe to Market Data: Receives live updates on specified instruments.
• Place Orders: Sends orders to the exchange.
• Cancel Orders: Cancels the orders accordingly.
• Modifies Orders:Modifies the order details as per requirement
• Get OrderBook:Able to retrieve orderbook for required instrument
• View Positions:Able to view positions of placed order

Directory Structure

.
├── build/                  # Build directory (ignored in .gitignore)
├── CMakeLists.txt          # CMake configuration
├── README.md               # Project documentation
├── src/
│   └── main.cpp            # Main source file

Benchmarking Results

This section summarizes the performance metrics collected during testing for different aspects of the system, including order placement latency, market data processing latency, WebSocket message propagation delay, and end-to-end trading loop latency.

1. Order Placement Latency

Measures the time taken to send an order to the server and receive a response.

Instrument Name	Price	Amount	Time (ms)
ETH-PERPETUAL	20	20	911.488
ADA_USDC-PERPETUAL	1.04	0.2	1178.85
BTC_EURR	20	20	992.463

2. Market Data Processing Latency

Time taken from receiving market data updates via WebSocket to processing and updating the internal state.

Instrument Name	Time (µs)
ETH-PERPETUAL	360
BTC-PERPETUAL	591
DOGE_USDC-PERPETUAL	573

3. WebSocket Message Propagation Delay

Measures the time taken for a WebSocket message to travel from the server to the client.

Instrument Name	Time (µs)
ETH-PERPETUAL	0
BTC-PERPETUAL	0
DOGE_USDC-PERPETUAL	0

4. End-to-End Trading Loop Latency

Measures the time taken for a complete cycle: from placing an order to receiving a server response.

Instrument Name	Price	Amount	Time (ms)
ETH-PERPETUAL	20	20	847
ADA_USDC-PERPETUAL	1.04	0.2	1216
BTC_EURR	20	20	873

Key Takeaways

1. Order Placement Latency: Average latency for placing orders was approximately 1027.60 ms.
2. Market Data Processing Latency: Market data updates were processed in an average of ~508 µs.
3. WebSocket Propagation Delay: Negligible due to local testing.
4. End-to-End Trading Loop Latency: Average cycle latency was measured at 978.66 ms.