GDAXClient.jl - WIP

GDAX API client written in Julia. Implemets REST API, WebSocket feed handling and FIX API Websocket feed is handled via fork DandelionWebSockets.jl. NB: must use release_1.0.0 brunch. FIX api is done through FIX.jl.

Installation

julia> Pkg.clone("git@github.com:DatName/GDAXClient.git")

Authentication

Authentication is handled via GDAXUser struct:

julia> using GDAXClient
julia> user = GDAXUser("https://api.gdax.com", "my_api_key", "my_secret_key", "my_passphrase")

If you don't have api keys (e.g. you have no account at GDAX), just pass empty keys and passphare: your access will be restricted to everything that does not require authentication.

REST API

Most exported REST api methods return HttpCommon.Response object. You can use Requests.jl to get what you need:

julia> resp = getProductOrderBook(user, "BTC-EUR")
julia> status = Requests.statuscode(resp)
julia> data = Requests.json(resp)

You can see full list of exported methods with

julia> names(GDAXClient)

Orders

?? placeOrder(), cancelAll() GDAX is strict on order's price precision, so you should handle it yourself and pass value as string.

You can send an order via

julia> resp = placeOrder(user, order)
julia> Requests.statuscode(resp)

WebSocket feed client

WebSocket feed client is implemented through GDAXWebSocketClient struct.

julia> subscription = Dict("type" => "subscribe",
                            "product_ids" => ["BTC-EUR", "BTC-USD"],
                            "channels" => ["heartbeat", "level2", "full"])
julia> client = GDAXWebSocketClient(user, subscription, events_handler)

Where type of events_handler is a subtype of AbstractMessageHandler. All text messages from web socket feed are first parsed to msg::Dict via JSON.json() (as GDAX uses only jsons) and then passed to the following function

julia> onMessage(client.events_handler, msg)

This function must be implemented on users' side.

FIX API

julia> reg_user = GDAXUser("https://api.gdax.com", "wss://ws-feed.gdax.com", api_key, api_secret, passphrase)
julia> handler = TestEventsHandler(0)
julia> client = GDAXClient.fixconnect(reg_user, handler)
julia> m, mstr = placeOrder(client, "buy", "BTC-EUR", 0.0001001, 10000.0)
julia> cancelAll(client)

Example.

See example folder for example of spread quoting.