KiwoomAgent

KiwoomAgent is an application for live-trading intraday Stock/ETF/ELW in South Korean KOSPI market using Kiwoom Securities OpenAPI.

It is intended to be used in tandem with Sibyl repository (although not necessarily, as long as the communication protocol is implemented). In its server/client model, an agent, such as this one, can substitute its backtesting simulator (simserv), allowing exactly the same code to be used for both backtesting and live-trading.

The communication between server/client is designed to be synchronous. This means that the events coming from the market are integrated in time and communicated as states rather than as raw events. Furthermore, orders are addressed only by their prices and quantities rather than by, e.g., order IDs, allowing a market/broker agnostic operation. The balance, inventory, order status, and some statistics define the state to be sent for communication.

More specifically, an agent

• maintains a mini order book of client's orders, and also keeps track of market/broker specific information such as order IDs
• receives order events from the broker and applies them to the mini order book
• relays market/broker agnostic order requests from the client to the broker, transparently handling market/broker specific details
• keeps track of balance, inventory, and statistics by integrating events from the broker
• receives real-time intraday market data
• updates client with the current state periodically

Sibyl's simserv implements exactly the same features, but events are generated from pre-stored data rather than the market.

Requirements

• A trading account at Kiwoom Securities
• Kiwoom Securities OpenAPI (after installing, OpenAPI feature also needs to be activated on on their website; to trade ELWs and certain ETFs, additional agreement needs to be signed with them)
• Visual C++ Redistributable for Visual Studio 2015 Update 2 (or versions compatible with it)

How to use

• Before opening the Visual Studio project, clone Sibyl and copy (or symlink) the contents of src/core/sibyl into this repository's KiwoomAgent/sibyl
• After building, see instructions for live-trading in Sibyl
• Log files main.log (details of order requests, re-allocation, execution, and transaction events) and msg.log (miscellaneous messages and OpenAPI error messages) can be monitored in real-time using SnakeTail in a way similar to tail -f in *nix environments, as shown in the screenshot above

Notes

• Due to the human-intervention-inviting update procedure of Kiwoom Securities OpenAPI, the login cannot be reliably automated. Hence, it is recommended that this program be started/stopped manually.
• Due to restrictions of Kiwoom Securities OpenAPI, any Korean text appearing in their API must be in EUC-KR encoding, and their API malfuctions severely under a Unicode compile environment. Hence, the project itself is also built in that encoding, and some source code files contain text in that encoding (yes, they have built their API in a way that cannot be used without EUC-KR Korean text in source codes). These source code files will need special care if being opened, and especially if being re-saved, in *nix enviroments.