Correctly take into account depth parameter for Binance & Kucoin orde…

…r book queries

src/api/exchanges/include/huobipublicapi.hpp

@@ -53,7 +53,7 @@ class HuobiPublic : public ExchangePublic {
     return _allOrderBooksCache.get(depth);
   }
 
-  MarketOrderBook queryOrderBook(Market mk, int depth = kHuobiStandardOrderBookDefaultDepth) override {
+  MarketOrderBook queryOrderBook(Market mk, int depth = kDefaultDepth) override {
     return _orderbookCache.get(mk, depth);
   }
 

src/api/exchanges/include/kucoinpublicapi.hpp

@@ -53,7 +53,9 @@ class KucoinPublic : public ExchangePublic {
     return _allOrderBooksCache.get(depth);
   }
 
-  MarketOrderBook queryOrderBook(Market mk, int depth = 10) override { return _orderbookCache.get(mk, depth); }
+  MarketOrderBook queryOrderBook(Market mk, int depth = kDefaultDepth) override {
+    return _orderbookCache.get(mk, depth);
+  }
 
   MonetaryAmount queryLast24hVolume(Market mk) override { return _tradedVolumeCache.get(mk); }
 

src/api/exchanges/src/binancepublicapi.cpp

@@ -8,6 +8,7 @@
 #include <iterator>
 #include <memory>
 #include <optional>
+#include <ranges>
 #include <string_view>
 #include <unordered_map>
 #include <utility>
@@ -497,10 +498,11 @@ MarketOrderBook BinancePublic::OrderBookFunc::operator()(Market mk, int depth) {
   const auto bidsIt = asksAndBids.find("bids");
 
   if (asksIt != asksAndBids.end() && bidsIt != asksAndBids.end()) {
-    orderBookLines.reserve(asksIt->size() + bidsIt->size());
+    orderBookLines.reserve(std::min(static_cast<decltype(depth)>(asksIt->size()), depth) +
+                           std::min(static_cast<decltype(depth)>(bidsIt->size()), depth));
     for (const auto& asksOrBids : {asksIt, bidsIt}) {
       const auto type = asksOrBids == asksIt ? OrderBookLine::Type::kAsk : OrderBookLine::Type::kBid;
-      for (const auto& priceQuantityPair : *asksOrBids) {
+      for (const auto& priceQuantityPair : *asksOrBids | std::ranges::views::take(depth)) {
         MonetaryAmount amount(priceQuantityPair.back().get<std::string_view>(), mk.base());
         MonetaryAmount price(priceQuantityPair.front().get<std::string_view>(), mk.quote());
 

src/api/exchanges/src/huobipublicapi.cpp

@@ -5,6 +5,7 @@
 #include <array>
 #include <cstdint>
 #include <optional>
+#include <ranges>
 #include <string_view>
 #include <unordered_map>
 #include <utility>
@@ -373,36 +374,31 @@ MarketOrderBook HuobiPublic::OrderBookFunc::operator()(Market mk, int depth) {
   CurlPostData postData{{"symbol", mk.assetsPairStrLower()}, {"type", "step0"}};
   if (depth != kHuobiStandardOrderBookDefaultDepth) {
     static constexpr std::array kAuthorizedDepths = {5, 10, 20, kHuobiStandardOrderBookDefaultDepth};
-    auto lb = std::ranges::lower_bound(kAuthorizedDepths, depth);
+    const auto lb = std::ranges::lower_bound(kAuthorizedDepths, depth);
     if (lb == kAuthorizedDepths.end()) {
       log::warn("Invalid depth {}, default to {}", depth, kHuobiStandardOrderBookDefaultDepth);
     } else if (*lb != kHuobiStandardOrderBookDefaultDepth) {
       postData.append("depth", *lb);
     }
   }
+
   MarketOrderBookLines orderBookLines;
 
   const json asksAndBids = PublicQuery(_curlHandle, "/market/depth", postData);
   const auto nowTime = Clock::now();
   const auto asksIt = asksAndBids.find("asks");
   const auto bidsIt = asksAndBids.find("bids");
+
   if (asksIt != asksAndBids.end() && bidsIt != asksAndBids.end()) {
-    orderBookLines.reserve(bidsIt->size() + asksIt->size());
+    orderBookLines.reserve(std::min(static_cast<decltype(depth)>(asksIt->size()), depth) +
+                           std::min(static_cast<decltype(depth)>(bidsIt->size()), depth));
     for (const auto& asksOrBids : {bidsIt, asksIt}) {
-      int currentDepth = 0;
       const auto type = asksOrBids == asksIt ? OrderBookLine::Type::kAsk : OrderBookLine::Type::kBid;
-      for (const auto& priceQuantityPair : *asksOrBids) {
+      for (const auto& priceQuantityPair : *asksOrBids | std::ranges::views::take(depth)) {
         MonetaryAmount amount(priceQuantityPair.back().get<double>(), mk.base());
         MonetaryAmount price(priceQuantityPair.front().get<double>(), mk.quote());
 
         orderBookLines.push(amount, price, type);
-        if (++currentDepth == depth) {
-          if (depth < static_cast<int>(asksOrBids->size())) {
-            log::debug("Truncate number of {} prices in order book to {}",
-                       type == OrderBookLine::Type::kAsk ? "ask" : "bid", depth);
-          }
-          break;
-        }
       }
     }
   }

src/api/exchanges/src/kucoinpublicapi.cpp

@@ -5,6 +5,7 @@
 #include <cstdint>
 #include <iterator>
 #include <optional>
+#include <ranges>
 #include <string_view>
 #include <utility>
 
@@ -261,27 +262,6 @@ MarketOrderBookMap KucoinPublic::AllOrderBooksFunc::operator()(int depth) {
   return ret;
 }
 
-namespace {
-template <class InputIt>
-void FillOrderBook(Market mk, int depth, OrderBookLine::Type type, InputIt beg, InputIt end,
-                   MarketOrderBookLines& orderBookLines) {
-  int currentDepth = 0;
-  for (auto it = beg; it != end; ++it) {
-    MonetaryAmount price((*it)[0].template get<std::string_view>(), mk.quote());
-    MonetaryAmount amount((*it)[1].template get<std::string_view>(), mk.base());
-
-    orderBookLines.push(amount, price, type);
-    if (++currentDepth == depth) {
-      if (++it != end) {
-        log::debug("Truncate number of {} prices in order book to {}",
-                   type == OrderBookLine::Type::kAsk ? "ask" : "bid", depth);
-      }
-      break;
-    }
-  }
-}
-}  // namespace
-
 MarketOrderBook KucoinPublic::OrderBookFunc::operator()(Market mk, int depth) {
   // Kucoin has a fixed range of authorized values for depth
   static constexpr std::array kAuthorizedDepths = {20, 100};
@@ -301,10 +281,23 @@ MarketOrderBook KucoinPublic::OrderBookFunc::operator()(Market mk, int depth) {
   const auto asksIt = asksAndBids.find("asks");
   const auto bidsIt = asksAndBids.find("bids");
   if (asksIt != asksAndBids.end() && bidsIt != asksAndBids.end()) {
-    orderBookLines.reserve(asksIt->size() + bidsIt->size());
+    orderBookLines.reserve(std::min(static_cast<decltype(depth)>(asksIt->size()), depth) +
+                           std::min(static_cast<decltype(depth)>(bidsIt->size()), depth));
+
     // Reverse iterate as bids are received in descending order
-    FillOrderBook(mk, depth, OrderBookLine::Type::kBid, bidsIt->rbegin(), bidsIt->rend(), orderBookLines);
-    FillOrderBook(mk, depth, OrderBookLine::Type::kAsk, asksIt->begin(), asksIt->end(), orderBookLines);
+    for (const auto& val : *bidsIt | std::views::reverse | std::ranges::views::take(depth)) {
+      MonetaryAmount price(val[0].get<std::string_view>(), mk.quote());
+      MonetaryAmount amount(val[1].get<std::string_view>(), mk.base());
+
+      orderBookLines.pushBid(amount, price);
+    }
+
+    for (const auto& val : *asksIt | std::ranges::views::take(depth)) {
+      MonetaryAmount price(val[0].get<std::string_view>(), mk.quote());
+      MonetaryAmount amount(val[1].get<std::string_view>(), mk.base());
+
+      orderBookLines.pushAsk(amount, price);
+    }
   }
 
   return MarketOrderBook(nowTime, mk, orderBookLines);

src/api/exchanges/src/upbitpublicapi.cpp

@@ -5,6 +5,7 @@
 #include <cstddef>
 #include <cstdint>
 #include <optional>
+#include <ranges>
 #include <string_view>
 #include <utility>
 
@@ -202,7 +203,7 @@ MarketOrderBookMap ParseOrderBooks(const json& result, int depth) {
 
     orderBookLines.reserve(orderBookLinesJson.size() * 2U);
 
-    for (const json& orderbookDetails : orderBookLinesJson) {
+    for (const json& orderbookDetails : orderBookLinesJson | std::ranges::views::take(depth)) {
       // Amounts are not strings, but doubles
       MonetaryAmount askPri(orderbookDetails["ask_price"].get<double>(), quote);
       MonetaryAmount bidPri(orderbookDetails["bid_price"].get<double>(), quote);
@@ -211,11 +212,6 @@ MarketOrderBookMap ParseOrderBooks(const json& result, int depth) {
 
       orderBookLines.pushAsk(askVol, askPri);
       orderBookLines.pushBid(bidVol, bidPri);
-
-      if (static_cast<int>(orderBookLines.size() / 2) == depth) {
-        // Upbit does not have a depth parameter, the only thing we can do is to truncate it manually
-        break;
-      }
     }
     if (static_cast<int>(orderBookLines.size() / 2) < depth) {
       log::warn("Upbit does not support orderbook depth larger than {}", orderBookLines.size() / 2);

src/engine/include/coincentercommand.hpp

@@ -37,7 +37,7 @@ class CoincenterCommand {
 
   CoincenterCommand& setAmount(MonetaryAmount amount);
 
-  CoincenterCommand& setDepth(int depth);
+  CoincenterCommand& setDepth(int32_t depth);
 
   CoincenterCommand& setMarket(Market market);
 
@@ -76,8 +76,10 @@ class CoincenterCommand {
 
   bool operator==(const CoincenterCommand&) const noexcept = default;
 
-  using trivially_relocatable = std::bool_constant<is_trivially_relocatable_v<ExchangeNames> &&
-                                                   is_trivially_relocatable_v<OrdersConstraints>>::type;
+  using trivially_relocatable =
+      std::bool_constant<is_trivially_relocatable_v<ExchangeNames> && is_trivially_relocatable_v<OrdersConstraints> &&
+                         is_trivially_relocatable_v<WithdrawsOrDepositsConstraints> &&
+                         is_trivially_relocatable_v<TradeOptions> && is_trivially_relocatable_v<WithdrawOptions>>::type;
 
  private:
   using SpecialOptions =

src/engine/include/coincenteroptions.hpp

@@ -1,5 +1,6 @@
 #pragma once
 
+#include <cstdint>
 #include <optional>
 #include <ostream>
 #include <string_view>
@@ -18,6 +19,8 @@ namespace cct {
 
 class CoincenterCmdLineOptions {
  public:
+  static constexpr int32_t kUndefinedDepth = std::numeric_limits<int32_t>::min();
+
   static std::ostream& PrintVersion(std::string_view programName, std::ostream& os) noexcept;
 
   constexpr CoincenterCmdLineOptions() noexcept = default;
@@ -97,9 +100,9 @@ class CoincenterCmdLineOptions {
 
   std::string_view lastTrades;
 
-  CommandLineOptionalInt repeats;
-  int monitoringPort = CoincenterCmdLineOptionsDefinitions::kDefaultMonitoringPort;
-  int depth = 0;
+  CommandLineOptionalInt32 repeats;
+  int32_t monitoringPort = CoincenterCmdLineOptionsDefinitions::kDefaultMonitoringPort;
+  int32_t depth = kUndefinedDepth;
 
   bool forceMultiTrade = false;
   bool forceSingleTrade = false;

src/engine/include/coincenteroptionsdef.hpp

@@ -23,7 +23,7 @@ namespace cct {
 class CoincenterCmdLineOptionsDefinitions {
  public:
   static constexpr std::string_view kDefaultMonitoringIPAddress = "0.0.0.0";  // in Docker, localhost does not work
-  static constexpr int kDefaultMonitoringPort = 9091;                         // Prometheus default push port
+  static constexpr uint16_t kDefaultMonitoringPort = 9091;                    // Prometheus default push port
   static constexpr Duration kDefaultRepeatTime = seconds(1);
 
   static constexpr int64_t kDefaultRepeatDurationSeconds =

src/engine/include/commandlineoption.hpp

@@ -1,6 +1,7 @@
 #pragma once
 
 #include <compare>
+#include <cstdint>
 #include <optional>
 #include <string_view>
 #include <variant>
@@ -70,34 +71,34 @@ class CommandLineOption {
 
 /// Basically an extension of the std::optional class with an additional state.
 /// Indeed, we want to distinguish the presence of the option with its optional value.
-class CommandLineOptionalInt {
+class CommandLineOptionalInt32 {
  public:
   enum class State : int8_t { kValueIsSet, kOptionPresent, kOptionNotPresent };
 
-  constexpr CommandLineOptionalInt() noexcept = default;
+  constexpr CommandLineOptionalInt32() noexcept = default;
 
-  constexpr CommandLineOptionalInt(State state) : _state(state) {}
+  constexpr CommandLineOptionalInt32(State state) : _state(state) {}
 
-  constexpr CommandLineOptionalInt(int value) : _value(value), _state(State::kValueIsSet) {}
+  constexpr CommandLineOptionalInt32(int32_t value) : _value(value), _state(State::kValueIsSet) {}
 
-  constexpr int& operator*() { return _value; }
-  constexpr int operator*() const { return _value; }
+  constexpr auto& operator*() { return _value; }
+  constexpr auto operator*() const { return _value; }
 
   constexpr bool isPresent() const { return _state == State::kOptionPresent || _state == State::kValueIsSet; }
   constexpr bool isSet() const { return _state == State::kValueIsSet; }
 
-  bool operator==(const CommandLineOptionalInt&) const noexcept = default;
+  bool operator==(const CommandLineOptionalInt32&) const noexcept = default;
 
  private:
-  int _value = 0;
+  int32_t _value = 0;
   State _state = State::kOptionNotPresent;
 };
 
 template <class OptValueType>
 struct AllowedCommandLineOptionsBase {
   using CommandLineOptionType =
       std::variant<std::string_view OptValueType::*, std::optional<std::string_view> OptValueType::*,
-                   int OptValueType::*, CommandLineOptionalInt OptValueType::*, bool OptValueType::*,
+                   int OptValueType::*, CommandLineOptionalInt32 OptValueType::*, bool OptValueType::*,
                    Duration OptValueType::*>;
   using CommandLineOptionWithValue = std::pair<CommandLineOption, CommandLineOptionType>;
 };

src/engine/include/commandlineoptionsparser.hpp

@@ -180,13 +180,13 @@ class CommandLineOptionsParser {
                        }
                      },
 
-                     // CommandLineOptionalInt value matcher
-                     [&data, &idx, argv](CommandLineOptionalInt OptValueType::*arg) {
-                       data.*arg = CommandLineOptionalInt(CommandLineOptionalInt::State::kOptionPresent);
+                     // CommandLineOptionalInt32 value matcher
+                     [&data, &idx, argv](CommandLineOptionalInt32 OptValueType::*arg) {
+                       data.*arg = CommandLineOptionalInt32(CommandLineOptionalInt32::State::kOptionPresent);
                        if (idx + 1U < argv.size()) {
                          std::string_view opt(argv[idx + 1]);
                          if (IsOptionInt(opt)) {
-                           data.*arg = FromString<int>(opt);
+                           data.*arg = FromString<int32_t>(opt);
                            ++idx;
                          }
                        }

src/engine/src/coincentercommand.cpp

@@ -81,7 +81,10 @@ CoincenterCommand& CoincenterCommand::setAmount(MonetaryAmount amount) {
   return *this;
 }
 
-CoincenterCommand& CoincenterCommand::setDepth(int depth) {
+CoincenterCommand& CoincenterCommand::setDepth(int32_t depth) {
+  if (depth < 0) {
+    throw exception("Depth cannot be negative");
+  }
   _n = depth;
   return *this;
 }

src/engine/src/coincentercommands.cpp

@@ -63,11 +63,13 @@ void CoincenterCommands::addOption(const CoincenterCmdLineOptions &cmdLineOption
 
   if (!cmdLineOptions.orderbook.empty()) {
     optionParser = StringOptionParser(cmdLineOptions.orderbook);
-    _commands.emplace_back(CoincenterCommandType::kOrderbook)
-        .setMarket(optionParser.parseMarket())
-        .setExchangeNames(optionParser.parseExchanges())
-        .setDepth(cmdLineOptions.depth)
-        .setCur1(cmdLineOptions.orderbookCur);
+    auto &cmd = _commands.emplace_back(CoincenterCommandType::kOrderbook)
+                    .setMarket(optionParser.parseMarket())
+                    .setExchangeNames(optionParser.parseExchanges())
+                    .setCur1(cmdLineOptions.orderbookCur);
+    if (cmdLineOptions.depth != CoincenterCmdLineOptions::kUndefinedDepth) {
+      cmd.setDepth(cmdLineOptions.depth);
+    }
   }
 
   if (cmdLineOptions.ticker) {
@@ -182,10 +184,12 @@ void CoincenterCommands::addOption(const CoincenterCmdLineOptions &cmdLineOption
 
   if (!cmdLineOptions.lastTrades.empty()) {
     optionParser = StringOptionParser(cmdLineOptions.lastTrades);
-    _commands.emplace_back(CoincenterCommandType::kLastTrades)
-        .setMarket(optionParser.parseMarket())
-        .setDepth(cmdLineOptions.depth)
-        .setExchangeNames(optionParser.parseExchanges());
+    auto &cmd = _commands.emplace_back(CoincenterCommandType::kLastTrades)
+                    .setMarket(optionParser.parseMarket())
+                    .setExchangeNames(optionParser.parseExchanges());
+    if (cmdLineOptions.depth != CoincenterCmdLineOptions::kUndefinedDepth) {
+      cmd.setDepth(cmdLineOptions.depth);
+    }
   }
 
   if (!cmdLineOptions.lastPrice.empty()) {

src/engine/src/exchangesorchestrator.cpp

@@ -169,7 +169,7 @@ MarketOrderBookConversionRates ExchangesOrchestrator::getMarketOrderBooks(Market
       log::warn("Unable to convert {} into {} on {}", mk.quote(), equiCurrencyCode, exchange->name());
     }
     return std::make_tuple(exchange->name(),
-                           depth ? exchange->queryOrderBook(mk, *depth) : exchange->queryOrderBook(mk),
+                           exchange->queryOrderBook(mk, depth.value_or(api::ExchangePublic::kDefaultDepth)),
                            optConversionRate);
   };
   _threadPool.parallelTransform(selectedExchanges.begin(), selectedExchanges.end(), ret.begin(), marketOrderBooksFunc);