用C++币安订阅aggtrade例子

以下是用C++连接币安API订阅aggtrade的例子，可以参考：

#include <iostream>
#include <sstream>
#include <vector>
#include <string>
#include <thread>
#include <chrono>
#include <openssl/hmac.h>
#include <curl/curl.h>
#include <rapidjson/document.h>

using namespace rapidjson;

const std::string api_key = "YOUR_API_KEY";
const std::string secret_key = "YOUR_SECRET_KEY";
const std::string base_url = "https://api.binance.com";
const std::string stream_url = "wss://stream.binance.com:9443/ws";

std::string get_signature(const std::string& message, const std::string& secret) {
    unsigned char hmac[32];
    HMAC(EVP_sha256(), secret.c_str(), secret.length(), (const unsigned char*)message.c_str(), message.length(), hmac, NULL);
    std::stringstream ss;
    for (int i = 0; i < 32; ++i) {
        ss << std::hex << std::setw(2) << std::setfill('0') << (int)hmac[i];
    }
    return ss.str();
}

void subscribe_aggtrade(const std::string& symbol) {
    std::string path = "/api/v3/userDataStream";
    std::string url = base_url + path;
    CURL* curl = curl_easy_init();
    if (curl) {
        curl_easy_setopt(curl, CURLOPT_POST, 1L);
        curl_easy_setopt(curl, CURLOPT_URL, url.c_str());
        struct curl_slist* headers = NULL;
        std::string timestamp = std::to_string(std::chrono::duration_cast<std::chrono::milliseconds>(std::chrono::system_clock::now().time_since_epoch()).count());
        std::string message = "timestamp=" + timestamp;
        std::string signature = get_signature(message, secret_key);
        headers = curl_slist_append(headers, ("X-MBX-APIKEY: " + api_key).c_str());
        headers = curl_slist_append(headers, ("Content-Type: application/x-www-form-urlencoded").c_str());
        std::string post_fields = "timestamp=" + timestamp + "&signature=" + signature;
        curl_easy_setopt(curl, CURLOPT_HTTPHEADER, headers);
        curl_easy_setopt(curl, CURLOPT_POSTFIELDS, post_fields.c_str());
        std::string response;
        curl_easy_setopt(curl, CURLOPT_WRITEDATA, &response);
        curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, [](char* ptr, size_t size, size_t count, void* userdata) {
            std::string* response = (std::string*)userdata;
            response->append(ptr, size * count);
            return size * count;
        });
        CURLcode res = curl_easy_perform(curl);
        if (res == CURLE_OK) {
            Document d;
            d.Parse(response.c_str());
            std::string listen_key = d["listenKey"].GetString();
            path = "/ws/" + listen_key;
            url = stream_url + path;
            headers = NULL;
            headers = curl_slist_append(headers, ("X-MBX-APIKEY: " + api_key).c_str());
            curl_easy_setopt(curl, CURLOPT_HTTPHEADER, headers);
            curl_easy_setopt(curl, CURLOPT_URL, url.c_str());
            curl_easy_setopt(curl, CURLOPT_WRITEFUNCTION, [](char* ptr, size_t size, size_t count, void* userdata) {
                std::string* response = (std::string*)userdata;
                response->append(ptr, size * count);
                size_t npos = response->find("\r\n");
                while (npos != std::string::npos) {
                    std::string message = response->substr(0, npos);
                    response->erase(0, npos + 2);
                    std::cout << message << std::endl;
                    npos = response->find("\r\n");
                }
                return size * count;
            });
            curl_easy_perform(curl);
        }
        curl_easy_cleanup(curl);
    }
}

int main() {
    subscribe_aggtrade("btcusdt");
    return 0;
}

在这个例子中，我们首先通过调用 `/api/v3/userDataStream` 接口获取 listenKey，然后使用 WebSocket 连接订阅指定 symbol 的 aggtrade 数据。订阅的数据会通过 WebSocket 推送，我们在 `CURLOPT_WRITEFUNCTION` 中处理推送过来的数据。

需要注意的是，这个例子中使用的是币安的永久用户数据流，需要通过 `/api/v3/userDataStream` 接口获取 listenKey。如果不使用永久用户数据流，可以使用 `stream.binance.com` 替换为 `stream.binancefuture.com` 或者 `fstream.binance.com`，并在连接 WebSocket 时在 URL 中加上 `@aggTrade`，例如：

wss://fstream.binance.com/ws/btcusdt@aggTrade

同时，这个例子中使用了 OpenSSL 和 libcurl 库，需要在编译时链接这些库，例如：

g++ -std=c++11 -o test test.cpp -lcrypto -lcurl