Config

Gateway config files use the TOML format.

All gateways include a template config file installed to $PREFIX/share/roq/<name>/config.toml. For example, you can copy the template like this, if you have installed the Deribit gateway to your conda environment

cp $CONDA_PREFIX/share/roq/deribit/config.toml deribit.toml

Symbols

These are the include/exclude regex filters for reference and market data.

[symbols]
include = [ "some_symbol", "some_prefix-.*" ]
exclude = [ ".*without_this.*" ]

This may be simplified.

symbols = ".*"
symbols = [ "some_symbol", "some_prefix-.*" ]

Accounts

These are the exchange logins.

The master account is the one being used for subscribing e.g. reference and market data. There can only be one master account.

Each table contains the authentication details for an account.

[accounts]

  [accounts.my_account]
  login = "some_username"
  secret = "some_secret"
  symbols = [ "some_symbol", "some_prefix-.*" ]
  master = true

Symbols can be a single symbol or regex, or a list of such.

Users

These are the permissions for each client (trading strategy) allowed to connect to the gateway.

Permissions include

  • List of accounts that can be used for order routing.

  • List of symbols that can be traded.

  • Limits on order placement frequency.

Each table contains the authentication details of a user.

[users]

  [users.user_one]
  password = "some_secret_password"
  accounts = [ "my_account" ]
  symbols = [ "some_symbol" ]
  monitor_period = 60
  ban_period = 300
  request_limit = 10