Getting Started with Real-Time C/C++ SDK with VS and Windows

In this tutorial video, we go through how one may go about getting started with C++, specifically using Real-Time Software Development Kit (RTSDK) to get tick financial market data. We start with the prerequisites, including the installation of CMake.. It covers a sub-set of this article that goes further, including Linux and CMake GUIs.

CMake Installation

The first step of using the new version of RTSDK, please make sure that you have CMake installed on your Windows or Linux. For both Windows and Linux, at the time of writing, LSEG supports only the use of CMake version 3.14 or later. You can download CMake from cmake.org and you can find installation instructions from the section 'Installing CMake'. After installing CMake you should see cmake and cmake-gui executable files under CMake installation folder such as C:\Program Files\CMake\bin. We suggest you add the binary path to system PATH for your convenience.

We use version 3.31.6 which is the latest version at the time we write this article. You can check your CMake version by using the command cmake --version.

Building with CMake on Windows

1.) You can download Real-time SDK C/C++ and Real-Time-SDK.binarypack from developer portal. Then unpack RTSDK packages to directory of your choice. Note that in this article, we install the RTSDK in folder "C:\dev\RTSDK", the path will be sourceDir in the next step.

2.) Open a command window: on the Windows menu, in Search programs and files, type cmd and press ENTER.

3.) Issue command cmake -HsourceDir -BbuildDir -G “VisualStudioVersion” [-Doption ... ]

Where:

• sourceDir is the directory in which the top-level CMake entry point (CMakeLists.txt) resides. By default, when you build using the Solution and vcxproj files, output is sent to directory specified in SourceDir.

• buildDir is the CMake binary directory (for the CMake build tree).

• VisualStudioVersion is the Visual Studio generator (e.g., Visual Studio 17 2022). You can find list of Visual Studio generator from CMake online manual.

• option is a command line option and its associated value (e.g., -DBUILD_EMA_UNITTESTS=OFF). You can control aspects of how CMake builds the RTSDK by using command line options (for further details on the use of options, refer to Section __CMake Build Configuration Options__) from the RTSDK Installation Guide (RTSDK_C_Installation_Guide.pdf).

You can also use the following sample of a command line to generate Visual Studio project files for specific use cases. Below is sample command line you can used to generate build files.

Sample 1 Generate Visual Studio 2022 project files for building both ETA and EMA Examples and TestTools. The command line will skip the UnitTest and GoogleTest projects. It will generate the projects under folder c:\dev\RTSDK\VisualStudio2022.

Below is sample outputs from the command line

Please note that by default, CMake builds the RTSDK using the optimized build option. For the debug version, please add –DCMAKE_BUILD_TYPE=Debug to the command line. Open the folder in Windows Explorer you will see required files generate in folder VisualStudio2022. The RTSDK.sln contains all projects inside RTSDK package.

Open rtsdk.sln on Visual Studio 2022 you should see all projects from ETA and EMA package under the solution. Below screenshot is the project for EMA example: 100_MP_Streaming. CMake will add the location of source files, header files, and libraries required by the project based on the location of the sourceDir directory we specified in the first step.

You can also access the project files for each Example directly, it locates under folder VisualStudio2022.

Sample 2 Generate only Visual Studio project for either EMA or ETA.

You can use the following command to generate EMA Example and TestTools solution file with the Debug build.

To generate ETA Example and TestTools solution and project files with the Debug build, use the following command.

Building with CMake on Linux

RTSDK uses the default gnu compiler provided by CMake and included in the Linux distribution. For supported OS and compilers, refer to the API Compatibility Matrix.

1.) Obtains the RTSDK C++ Linux package and RTSDK.Binary package from the developer community and then unpack the packages to a directory of your choice. In this article, we use RedHat Enterprise Linux 9 and we unpack the package to /opt/RTSDK. We will use folder RTSDK2 as sourceDir when running CMake.

There is a note for Linux developer that the RTSDK C++ requires OpenSSL development and Python so you may need to install openssl-devel and Python packages by calling the following command.

2.) Run the LinuxSoLink script: at a command prompt (e.g., in a terminal window) from the sourceDir directory, issue the command:

3.) At a command prompt (e.g., in a terminal window), issue the command from the directory immediately above sourceDir:

Where:

• sourceDir is the directory in which the top-level CMake entry point (CMakeLists.txt) resides. By default, when you build using Makefile files, output is sent to directory specified in sourceDir.

• buildDir is the CMake binary directory (for the CMake build tree).

• option is a command line option and its associated value (e.g., -DBUILD_EMA_UNIT_TESTS=OFF). You can control aspects of how CMake builds the RTSDK by using command line options.

The CMake command builds all needed Makefile files (and related dependencies) in the CMake build tree in their associated directories (i.e., example executables are in the Executables directory and libraries (e.g., libema.lib, librssl.lib) in the Lib directory). You open these files and build all libraries and examples in the same fashion as you did with a prior version of RTSDK. You can run CMake to generate build files using the same options as the use cases from the previous topic.

For example,

You want to generate build files for EMA and ETA Training examples with TestTools and use Debug option. You can just use the following command line:

It will show below output and generate all needed Makefiles under folder RTSDK/buildfiles_debug. You can just access the examples folder under buildfiles_debug and issue make command to build an individual project.

CMake GUI

Apart from using CMake command line, you can use the CMake GUI to generate and configure CMake project. This is an alternative choice if you don’t like the command line.

Basically, CMake stores a lot of configuration settings in the project’s cache. This cache can be viewed and edited using the CMake GUI. It quite easy tool to help you set up the project as the settings are presented in a nice list. You can also change build type to a new value such as "Debug" or "Optimized" or you can add specific compiler flag using the tool.

1.) Start CMake GUI

Running cmake-gui command to use GUI on Linux(KDE or Gnome) or Windows. You can also start the following program on Windows

It will shows the GUI like below screenshots.

2.) Specify a path to source code like Building on Windows. We use sourceDir(C:/dev/RTSDK). We want to generate Visual Studio 2022 solution and project files under folder VisualStudio2022, therefore, we set build a path to (C:/dev/RTSDK/VisualStudio2022).

Then click Configure button, it will ask a user to confirm if they want to create folder VisualStudio2022 under folder c:/dev/RTSDK/.

3.) Choosing Visual Studio generator, this step, the GUI will ask the user to select the generator for this project. There is the same value as using CMake with -G from section Building with CMake on Windows. But it's quite easy for the user to choose the generator from the list and it can avoid typo comparing with using command line.

Then the GUI automatically call cmake command to generate build files with default options.

If you expand tab Build from the GUI, it will shows option that Cmake script currently use.

4.) Reconfigured the build options. At this steps, we can change the Build options as we needed and then click Generate button to regenerate the build files again. You can also change compile flag, build flag via the GUI tool.

Below sample is the options to generate both ETA and EMA examples and test tools like the Sample1 we talk earlier. We do not need UnitTests and Google Test so we remove it from Build list.

Open folder VisualStudio2022, you will see the rtsdk.sln and project files generate under this folder. It's the same as build files generated by CMake command line.

Regarding to cmak-gui on Linux, you can use the same steps as Windows and it should provide more flexible way to the developer who don't need to use command line to build RTSDK build files.

Conclusion

There are big changes in RTSDK regarding folder structures and the way developer use to build EMA and ETA examples and tools including the libraries. In the new version, developers must use CMake to dynamically generate Visual Studio solution and project files on Windows and they have to use CMake to generate Linux build files as well. This article explains the steps to use CMake and CMake-GUI tools to generate the build files so that a new API user or developer who has no experience with CMake can continue their works on the new version.

References

• CMake Installation Guide.
• Running CMake.
• EMA C/C++ Miagration Guide from Real-time SDK packages.