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Roq Trading Solutions
Roq Trading Solutions

Contents

  • Introduction
    • Overview
    • Gateways
    • Roadmap
    • Contact
  • Tutorials
    • Conda
    • Gateways
    • Deployment
      • Prometheus + Grafana
      • Ansible Roles + Playbook
      • Ubuntu
    • Data
      • ClickHouse
    • Development
      • C++
        • Basic
        • Advanced
      • CLion
      • VSCode
    • PCAP
  • Reference
    • Gateways
      • Flags
      • Config
      • Web
      • Signals
      • Crypto
        • roq-aster-futures
        • roq-binance-futures
        • roq-binance
        • roq-bitget
        • roq-bitmex
        • roq-btse-futures
        • roq-bybit
        • roq-deribit
        • roq-gate-futures
        • roq-htx-futures
        • roq-hyperliquid
        • roq-kraken-futures
        • roq-kraken
        • roq-kucoin-futures
        • roq-kucoin-pro
        • roq-okx
        • roq-phemex-futures
      • Traditional
        • roq-cme
        • roq-cme-import
        • roq-cme-filter
      • Brokers
      • Generic
        • roq-pubsub
        • roq-udp-publisher
        • roq-udp-subscriber
    • Clients
      • Flags
      • Bridges
        • roq-fix-bridge
      • Proxies
        • roq-journal
        • roq-fix-proxy
        • roq-position-manager
        • roq-time-series-manager
      • Adapters
        • roq-sbe-publisher
        • roq-clickhouse
      • Tools
        • roq-auth
        • roq-benchmark
        • roq-keygen
        • roq-dump
        • roq-import
        • roq-query
        • roq-reduce
        • roq-summary
        • roq-multicast
        • roq-tui
        • roq-service-manager
    • Deployment
      • roq-logging
      • roq-ansible
      • roq-vagrant
    • Development
      • C++
        • roq-api
          • Client
          • Exceptions
          • Metrics
          • Tools
          • Utilities
          • Connected
          • Disconnected
          • Start
          • Stop
          • Timer
          • AddRoutes
          • BatchBegin
          • BatchEnd
          • CancelAllOrders
          • CancelAllOrdersAck
          • CancelOrder
          • CancelQuotes
          • CreateOrder
          • CustomMatrix
          • CustomMatrixUpdate
          • CustomMetrics
          • CustomMetricsUpdate
          • DownloadBegin
          • DownloadEnd
          • ExternalLatency
          • FundsUpdate
          • GatewaySettings
          • GatewayStatus
          • MarketByOrderUpdate
          • MarketByPriceUpdate
          • MarketStatus
          • MassQuote
          • ModifyOrder
          • OrderAck
          • OrderUpdate
          • ParametersUpdate
          • Portfolio
          • PortfolioUpdate
          • PositionUpdate
          • RateLimitsUpdate
          • RateLimitTrigger
          • Ready
          • ReferenceData
          • RemoveRoutes
          • RiskLimits
          • RiskLimitsUpdate
          • RouteAck
          • StatisticsUpdate
          • StreamStatus
          • Subscribe
          • TimeSeriesUpdate
          • TopOfBook
          • TradeSummary
          • TradeUpdate
          • Bar
          • Fill
          • Layer
          • MBOUpdate
          • MBPUpdate
          • Measurement
          • Parameter
          • Position
          • RiskLimit
          • RateLimit
          • Route
          • Statistics
          • Trade
          • Event
          • MessageInfo
          • Trace
          • TraceInfo
          • Mask
          • String
          • BufferCapacity
          • Category
          • ConnectionStatus
          • Encoding
          • Error
          • ExecutionInstruction
          • Filter
          • Liquidity
          • MarginMode
          • OptionType
          • OrderCancelPolicy
          • OrderManagement
          • OrderStatus
          • OrderType
          • Origin
          • PositionEffect
          • Precision
          • Priority
          • Protocol
          • RateLimitType
          • RequestIdType
          • RequestStatus
          • RequestType
          • RouteRequestStatus
          • SecurityType
          • Side
          • StatisticsType
          • SupportType
          • TimeInForce
          • TradingStatus
          • Transport
          • UpdateAction
          • UpdateReason
          • UpdateType
        • roq-algo
          • strategy
            • Config
          • Matcher
            • Config
            • Factory
            • Type
          • Reporter
            • Factory
            • Type
            • OutputType
          • Factory
          • simulator
            • Config
            • Source
          • OrderCache
          • MarketData
          • PositionTracker
          • TimeChecker
          • Arbitrage
        • roq-client
        • roq-logging
        • roq-utils
          • checksum
            • CRC32
          • codec
            • Base64
            • Hex
          • hash
            • SHA1
            • SHA256
            • SHA512
          • mac
            • HMAC
          • metrics
            • Counter
            • Gauge
            • Histogram
            • Writer
          • regex
            • Pattern
          • text
            • Writer
        • roq-fix
          • fix
            • Decoder
            • Encoder
            • Heartbeat
            • Logon
            • Logout
            • Reject
            • ResendRequest
            • TestRequest
            • BusinessMessageReject
            • ExecutionReport
            • MarketDataIncrementalRefresh
            • MarketDataRequest
            • MarketDataRequestReject
            • MarketDataSnapshotFullRefresh
            • NewOrderSingle
            • OrderCancelReject
            • OrderCancelReplaceRequest
            • OrderCancelRequest
            • OrderMassCancelReport
            • OrderMassCancelRequest
            • OrderMassStatusRequest
            • OrderStatusRequest
            • PositionReport
            • RequestForPositions
            • RequestForPositionsAck
            • SecurityDefinition
            • SecurityDefinitionRequest
            • SecurityList
            • SecurityListRequest
            • SecurityStatus
            • SecurityStatusRequest
            • TradeCaptureReport
            • TradeCaptureReportRequest
            • TradingSessionStatus
            • TradingSessionStatusRequest
            • UserRequest
            • UserResponse
          • Header
          • AccountType
          • BusinessRejectReason
          • CxlRejReason
          • CxlRejResponseTo
          • EncryptMethod
          • ExecType
          • HandlInst
          • LastLiquidityInd
          • MassCancelRejectReason
          • MassCancelRequestType
          • MassCancelResponse
          • MassStatusReqType
          • MDEntryType
          • MDReqRejReason
          • MDUpdateAction
          • MDUpdateType
          • OrdRejReason
          • OrdStatus
          • OrdType
          • PositionEffect
          • PosReqResult
          • PosReqStatus
          • PosReqType
          • SecurityListRequestType
          • SecurityRequestResult
          • SecurityRequestType
          • SecurityResponseType
          • SecurityTradingStatus
          • SessionRejectReason
          • SettlPriceType
          • Side
          • SubscriptionRequestType
          • TimeInForce
          • TradeRequestType
          • TradSesStatus
          • TradSesStatusRejReason
          • UserRequestType
          • UserStatus
        • roq-codec
          • sbe
            • Decoder
            • Encoder
          • udp
            • Decoder
            • Encoder
            • Header
          • fbs
            • Decoder
            • Encoder
        • roq-market
          • mbp
            • Factory
            • Sequencer
          • mbo
            • Factory
            • Sequencer
        • roq-io
          • engine
            • ContextFactory
          • fs
            • Directory
            • File
            • SharedMemory
            • FileType
            • Flags
            • Mode
          • ipc
            • Connection
            • Listener
          • memory
            • Buffer
            • Mapping
            • Flags
            • Protections
          • net
            • tcp
              • Connection
              • Listener
            • udp
              • Receiver
              • Sender
            • ConnectionFactory
            • Connection
            • ConnectionManager
            • ReorderBuffer
          • sys
            • Signal
            • Timer
          • web
            • URI
          • Context
          • Receiver
          • Sender
          • FileDescriptor
          • NetworkAddress
          • Buffer
        • roq-web
          • http
            • Accept
            • Category
            • Connection
            • ContentType
            • Header
            • Method
            • Status
          • rest
            • Client
            • Headers
            • Request
            • Response
            • Server
          • socket
            • Client
            • Server
        • roq-cache
          • ReferenceData
          • MarketByPrice
          • MarketByOrder
          • Order
      • Python
        • fix
          • fix
            • Decoder
            • Encoder
            • Logon
            • Logout
            • TestRequest
            • Heartbeat
            • ResendRequest
            • Reject
            • BusinessMessageReject
            • UserRequest
            • UserResponse
            • TradingSessionStatusRequest
            • TradingSessionStatus
            • SecurityListRequest
            • SecurityList
            • SecurityDefinitionRequest
            • SecurityDefinition
            • SecurityStatusRequest
            • SecurityStatus
            • MarketDataRequest
            • MarketDataRequestReject
            • MarketDataSnapshotFullRefresh
            • MarketDataIncrementalRefresh
            • OrderStatusRequest
            • OrderMassStatusRequest
            • NewOrderSingle
            • OrderCancelRequest
            • OrderCancelReplaceRequest
            • OrderMassCancelRequest
            • OrderCancelReject
            • OrderMassCancelReport
            • ExecutionReport
            • TradeCaptureReportRequest
            • TradeCaptureReport
            • RequestForPositions
            • RequestForPositionsAck
            • PositionReport
          • AccountType
          • BusinessRejectReason
          • CxlRejReason
          • CxlRejResponseTo
          • EncryptMethod
          • ExecType
          • HandlInst
          • LastLiquidityInd
          • MassCancelRejectReason
          • MassCancelRequestType
          • MassCancelResponse
          • MassStatusReqType
          • MDEntryType
          • MDReqRejReason
          • MDUpdateAction
          • MDUpdateType
          • OrdRejReason
          • OrdStatus
          • OrdType
          • PositionEffect
          • PosReqResult
          • PosReqStatus
          • PosReqType
          • SecurityListRequestType
          • SecurityRequestResult
          • SecurityRequestType
          • SecurityResponseType
          • SecurityTradingStatus
          • SessionRejectReason
          • SettlPriceType
          • Side
          • SubscriptionRequestType
          • TimeInForce
          • TradeRequestType
          • TradSesStatus
          • TradSesStatusRejReason
          • UserRequestType
          • UserStatus
          • Header
        • codec
          • udp
            • Header
          • Type
          • Decoder
          • Encoder
        • utils
          • mbp
            • MarketByPrice
            • Sequencer
          • mbo
            • MarketByOrder
        • io
          • net
            • ReorderBuffer
        • client
          • EventLogReader
          • EventLogMultiplexer
        • Connected
        • Disconnected
        • Start
        • Stop
        • Timer
        • CancelAllOrders
        • CancelAllOrdersAck
        • CancelOrder
        • CreateOrder
        • CustomMetricsUpdate
        • DownloadBegin
        • DownloadEnd
        • ExternalLatency
        • FundsUpdate
        • GatewaySettings
        • GatewayStatus
        • MarketByOrderUpdate
        • MarketByPriceUpdate
        • MarketStatus
        • ModifyOrder
        • OrderAck
        • OrderUpdate
        • PositionUpdate
        • RateLimitsUpdate
        • RateLimitTrigger
        • ReferenceData
        • StatisticsUpdate
        • StreamStatus
        • TopOfBook
        • TradeSummary
        • TradeUpdate
        • Fill
        • Layer
        • MBOUpdate
        • MBPUpdate
        • Measurement
        • RateLimit
        • Statistics
        • Trade
        • MessageInfo
        • UUID
        • ConnectionStatus
        • Encoding
        • Error
        • ExecutionInstruction
        • Liquidity
        • MarginMode
        • OptionType
        • OrderCancelPolicy
        • OrderManagement
        • OrderStatus
        • OrderType
        • Origin
        • PositionEffect
        • Precision
        • Priority
        • Protocol
        • RateLimitType
        • RequestIdType
        • SecurityType
        • Side
        • StatisticsType
        • SupportType
        • TimeInForce
        • TradingStatus
        • Transport
        • UpdateAction
        • UpdateType
    • Design
      • Statistics
      • Order Book
      • Order Management
      • Request Management
      • Position Management
      • Risk Management
      • Auto Cancel
      • Rate Limiter
      • Simulation
      • ClOrdID
      • Reference Data
      • Profit & Loss
      • Funds
      • Time-Series
      • Journal
      • Latency
      • Drop-Copy
      • Metrics
      • Query Interface
      • Parameters
      • Service Management
      • Control
      • FIX
      • FlatBuffers
      • JSON
      • Native
      • UDP
      • SBE
      • Download
      • License Management
      • Distribution
      • Subscription
    • Third-party
      • Abseil C++
      • base64
      • Benchmark
      • brotli
      • c-ares
      • Catch2
      • ctre
      • expat
      • fast_float
      • FlatBuffers
      • {fmt}
      • FTXUI
      • http-parser
      • libevent
      • liburing
      • libsodium
      • magic_enum
      • OpenSSL
      • range-v3
      • re2
      • spdlog
      • toml++
      • unordered_dense
      • zlib-ng
      • Conda
      • conda-forge
      • ClickHouse
      • Prometheus
      • Grafana
  • Blogs
    • Status Update
    • Algo Framework
    • FIX Architecture
    • Latency Analysis (Deribit Gateway)
    • Latency Experiment
    • C++ HFT on Crypto Exchanges with μs Latency!
  • Releases
    • HEAD
    • 1.1.3 (2026-03-12)
    • 1.1.2 (2026-02-08)
    • 1.1.1 (2025-12-14)
    • 1.1.0 (2025-11-22)
    • 1.0.9 (2025-09-26)
    • 1.0.8 (2025-08-16)
    • 1.0.7 (2025-07-02)
    • 1.0.6 (2025-05-16)
    • 1.0.5 (2025-03-26)
    • 1.0.4 (2024-12-30)
    • 1.0.3 (2024-11-26)
    • 1.0.2 (2024-07-14)
    • 1.0.1 (2024-04-14)
    • 1.0.0 (2024-03-16)
    • 0.9.9 (2024-01-28)
    • 0.9.8 (2023-11-20)
    • 0.9.7 (2023-09-18)
    • 0.9.6 (2023-07-22)
    • 0.9.5 (2023-06-12)
    • 0.9.4 (2023-05-04)
    • 0.9.3 (2023-03-20)
    • 0.9.2 (2023-02-22)
    • 0.9.1 (2023-01-12)
    • 0.9.0 (2022-12-22)
    • 0.8.9 (2022-11-14)
    • 0.8.8 (2022-10-04)
    • 0.8.7 (2022-08-22)
    • 0.8.6 (2022-07-18)
    • 0.8.5 (2022-06-06)
    • 0.8.4 (2022-05-14)
    • 0.8.3 (2022-03-22)
    • 0.8.2 (2022-02-18)
    • 0.8.1 (2022-01-16)
    • 0.8.0 (2022-01-12)
    • 0.7.9 (2021-12-08)
    • 0.7.8 (2021-11-02)
    • 0.7.7 (2021-09-20)
    • 0.7.6 (2021-09-02)
    • 0.7.5 (2021-08-08)
    • 0.7.4 (2021-07-20)
    • 0.7.3 (2021-07-06)
    • 0.7.2 (2021-06-20)
    • 0.7.1 (2021-05-30)
    • 0.7.0 (2021-04-14)
  • Benchmarks
    • Apple M1
    • AMD EPYC 7443P
    • AMD EPYC 3251
    • Intel Atom C3758
    • Intel Core i7-6700
    • Intel Xeon E3-1246 v3
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roq-cache¶

Market Data¶

  • ReferenceData
  • MarketByPrice
  • MarketByOrder

Order Management¶

  • Order
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Last updated on 2024-11-21
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  • roq-cache
    • Market Data
    • Order Management