Apifiny Algo Trading System

Apifiny Algo Trading System is a trading library that supports mulitple cryptocurrency exchanges. The core value of AATS is light weight and low latency since the low-level system is optimized and encapsulated by C++, such as exchange connectivity, order book management and order placement. It extremely decreases the learning curve for users. With AATS, users can seamlessly deploy your strategy and ready to live trade without any pain. Below is the introduction of AATS python API.

Package structure

At python module level, AATS utilizes the event driven framework and consists of the below components:

Base Strategy: it is a base strategy class and you can develop your strategy based on it
Trade Service: it is the core trading module that is used to load configuration, start trade server and add strategy and start running for live trading
Market Service: it is used to start market server and subscribe symbols and exchanges you want to listen
Control Service: it is related to server management, such as show running market/trade servers, kill servers and etc

Base Strategy

Once your strategy inherits from base strategy, you can overwrite the below functions/callbacks and add your own logic:

Functions/Callbacks	Description
send_order	function to send order
send_cancel_order	function to send cancel order
close	function to define how to close strategy
onQuote	callbacks once orderbook data update
onTick	callbacks once trade data update
onNotify	combination of onQuote and onTick
onOrderCreated	callbacks once new order created
onOrderAcked	callbacks once new order is acknowledged from exchange
onOrderRejected	callbacks once new order is rejected from exchange
onOrderCancelCreated	callbacks once cancel order created
onOrderCancelAcked	callbacks once cancel order is acknowledged from exchange
onOrderCancelRejected	callbacks once cancel order is rejected from exchange
onOrderExec	callbacks once order is executed (include partially executed) from exchange
onOrderCanceled	callbacks once order is canceled from exchange
onOrderClosed	callbacks once order is closed from exchange

send_order

send_order needs to construct an order object with the following field:

Field	Description	Mandatory
exchange	exchange you want to trade	Yes
symbol	symbol you want to trade	Yes
price	trade price	Yes
size	trade size	Yes
side	trade direction	Yes
tif	order type, currently support IOC and POS	Yes

send_cancel_order

Field	Description	Mandatory
order_id	internal order id	Yes

close

This is an abstract function, users need to overwrite it and define how to close your strategy properly.

onQuote

callbacks once orderbook data update, message contains the below fields:

{
    'type': 'onQuote', 
    'cid': 1001, 
    'length': 5,                    # order book depth level
    'bid_0_qty': 0.27713, 
    'bid_0_px': 19327.67, 
    'bid_1_qty': 0.04621, 
    'bid_1_px': 19327.08, 
    'bid_2_qty': 0.12618, 
    'bid_2_px': 19326.8, 
    'bid_3_qty': 0.05, 
    'bid_3_px': 19326.68, 
    'bid_4_qty': 0.28508, 
    'bid_4_px': 19326.66, 
    'ask_0_qty': 0.13624, 
    'ask_0_px': 19327.87, 
    'ask_1_qty': 0.0063, 
    'ask_1_px': 19327.92, 
    'ask_2_qty': 0.02602, 
    'ask_2_px': 19328.0, 
    'ask_3_qty': 0.32749, 
    'ask_3_px': 19328.07, 
    'ask_4_qty': 0.0066, 
    'ask_4_px': 19328.16
    }

OnTick

callbacks once trade data update, message contains the below fields:

{
    'type': 'onTick', 
    'cid': 1002, 
    'tradeType': 1,    # aggresive trade side, 1 for buy, -1 for sell
    'qty': 0.0249, 
    'px': 1638.93
    }

onNotify

Callbacks once onTrade or onQuote is fired, parameter "NoType" represents notify type, 1 for onQuote, 0 for onTick

onOrder**

onOrder callbacks with different order status, message contains the below fields:

{
    "order":{
        "exchange":"BINANCE",
        "fill_notional":"0",
        "fill_price":"19318.88",
        "fill_size":"0.001",
        "margin":false,
        "margin_source":"spot",
        "order_id":1,                     # internal order id
        "price":"19318.88",
        "remote_id":"",                   # exchange order id
        "side":"buy",
        "size":"0.001",
        "symbol":"BTCUSDT",
        "msg":""                         # the order be rejected reson
        },
    "type":"onOrderCreated"               # order status
    }

Trade Service

Trade service provides below APIs

Functions/Callbacks	Description
set_ts_connection	setup connection configuration with control server
set_md_connection	setup connection configuration with market server
config_exchange	setup exchange configuration
set_apikey	setup apikeys
set_fee	setup commission fee (optional)
add_md_symbol	add symbol you want to listen
add_trade_symbol	add symbol you want to trade
add_strategy	add user defined strategy
run	start live trading

set_ts_connection

Field	Description	Mandatory
ip	control server ip	Yes
port	control server port	Yes

set_md_connection

Field	Description	Mandatory
ip	market server ip	Yes
port	market server port	Yes
send_type	send type	Yes

config_exchange

Field	Description	Mandatory
exchange	exchange name	Yes
trade_type	trade mode, "direct" for live trade, "sandbox" for test trade, currently "sandbox" only supports Binance	Yes

set_apikey

Field	Description	Mandatory
exchange	exchange name	Yes
key	api key	Yes
secret	api secret	Yes
password	api password	No
subaccount	api subaccount	No

set_fee

Field	Description	Mandatory
exchange	exchange name	Yes
taker_fee	taker commission fee	Yes
maker_fee	maker commission fee	Yes

add_md_symbol

Field	Description	Mandatory
symbol	symbol name	Yes
exchange	exchange name	Yes
level_num	maximum number of book level to listen	No

add_trade_symbol

Field	Description	Mandatory
symbol	symbol name	Yes
exchange	exchange name	Yes
level_num	maximum number of book level to listen	No

add_strategy

Field	Description	Mandatory
strategy	user defined strategy instance	Yes

Market Service

For market service, we provide three modes, P2P is for cloud user, BROADCAST is for docker user, MULTIBROAD is for native user. You need to setup network configuration correspondingly for different user cases.

Market service provides below APIs

Functions/Callbacks	Description
set_control_server	setup connection configuration with control server
set_network_cfg	setup network configuration for market server
open_l2_data	If you want to receive l2 data call this function
add_listen_symbol	add listen symbols
run	start to launch market server

set_control_server

Field	Description	Mandatory
ip	control server ip	Yes
port	control server port	Yes

set_network_cfg

Field	Description	Mandatory
send_type	send message type. default is P2P	No
ip	UPD/TCP ip address	Yes
port	UPD/TCP port	Yes
netcard_name	netcard name. only be setted when send type is *MULTIBROAD*	No

Remark: There are three types of send_type, 1. P2P - TCP point-to-point data transfer 2. BROADCAST - UDP broadcast data transmission 3. MULTIBROAD - UDP MULTIBROAD data transmission

When the transmission type is P2P, the parameters ip and port correspond to the ip address and port that the market data server listens to. When the transmission type is BROADCAST, the parameters ip (255.255.255.255) and port correspond to the broadcast ip and the port of the receiver When the transmission type is MULTIBROAD, the parameters ip (224.0.0.0 to 239.255.255.255) and port correspond to the MULTIBROAD ip and the port of the receiver

add_listen_symbol

Field	Description	Mandatory
symbol	symbol name	Yes
exchange	exchange name	Yes
level_num	maximum number of book level to listen, default is 5	No

Control Service

Control service has below functionalities:

Functions/Callbacks	Description
set_control_server	setup connection configuration of control server
show_all_trade_servers	list all running trade servers
show_all_market_servers	list all running market servers
kill_server	kill server with given pid