Merge pull request #565 from crypto-chassis/fix-binance-get-market-depth

fix binance GET_MARKET_DEPTH rest api response

Author: cryptochassis

README.md

@@ -354,13 +354,12 @@ Best bid and ask at 2020-07-27T23:56:51.935993000Z are:
 ### Advanced Market Data
 
 #### Complex request parameters
-Please follow the exchange's API documentations: e.g. https://www.okx.com/docs-v5/en/#order-book-trading-market-data-get-trades-history.
+Please follow the exchange's API documentations: e.g. https://bybit-exchange.github.io/docs/v5/market/instrument.
 ```
-Request request(Request::Operation::GET_HISTORICAL_TRADES, "okx", "BTC-USDT");
+Request request(Request::Operation::GET_INSTRUMENTS, "bybit");
 request.appendParam({
-  {"before", "1"},
-  {"after", "3"},
-  {"limit", "1"},
+    {"category", "linear"},
+    {"limit", "1000"},
 });
 ```
 

example/market_data_advanced_request/main.cpp

@@ -22,11 +22,10 @@ int main(int argc, char** argv) {
   SessionConfigs sessionConfigs;
   MyEventHandler eventHandler;
   Session session(sessionOptions, sessionConfigs, &eventHandler);
-  Request request(Request::Operation::GET_HISTORICAL_TRADES, "bybit", "BTCUSDT");
+  Request request(Request::Operation::GET_INSTRUMENTS, "bybit");
   request.appendParam({
-      {"before", "1"},
-      {"after", "3"},
-      {"limit", "1"},
+      {"category", "linear"},
+      {"limit", "1000"},
   });
   session.sendRequest(request);
   std::this_thread::sleep_for(std::chrono::seconds(10));

include/ccapi_cpp/service/ccapi_market_data_service_binance_base.h

@@ -543,7 +543,9 @@ class MarketDataServiceBinanceBase : public MarketDataService {
       case Request::Operation::GET_MARKET_DEPTH: {
         MarketDataMessage marketDataMessage;
         marketDataMessage.type = MarketDataMessage::Type::MARKET_DATA_EVENTS_MARKET_DEPTH;
-        marketDataMessage.tp = UtilTime::makeTimePointFromMilliseconds(std::stoll(document["T"].GetString()));
+        if (this->isDerivatives) {
+          marketDataMessage.tp = UtilTime::makeTimePointFromMilliseconds(std::stoll(document["T"].GetString()));
+        }
         for (const auto& x : document["bids"].GetArray()) {
           MarketDataMessage::TypeForDataPoint dataPoint;
           dataPoint.emplace(MarketDataMessage::DataFieldType::PRICE, x[0].GetString());