roq-aster-futures¶

Unstable

$ conda install \
      --channel https://roq-trading.com/conda/unstable \
      roq-aster-futures

Stable

$ conda install \
      --channel https://roq-trading.com/conda/stable \
      roq-aster-futures

Supports¶

Products

`Spot`	❌
`Futures`	❌
`Swap`	✅
`Option`	❌

Market Data

`ReferenceData`	✅	❶
`MarketStatus`	✅	❶
`TopOfBook`	✅
`MarketByPrice`	✅
`MarketByOrder`	❌
`TradeSummary`	✅
`Statistics`	✅
`TimeSeries`	❌

Orders & Quotes

`CreateOrder`	❎
`ModifyOrder`	❌
`CancelOrder`	❎
`CancelAllOrders`	❎
`MassQuote`	❌
`CancelQuotes`	❌

Account

`Funds`	❎
`Position`	❎

Note

✅ = Available.

❎ = Not implemented.

❌ = Unavailable.

❶ The exchange protocol does not support streaming updates for reference data and market status.

Using¶

$ roq-aster-futures [FLAGS]

Flags¶

$ roq-aster-futures --help

Flags

--exchange (aster-futures): Exchange identifier

REST

--rest_uri (https://fapi.asterdex.com): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/fapi/v1/ping): Ping path
--rest_request_timeout (30s): Request timeout
--rest_download_orders_page_size (500): Page size used when downloading orders
--rest_download_orders_begin (24h): Download orders since (now - begin)
--rest_download_only_active_orders (false): Download only active orders?
--rest_download_fills_page_size (500): Page size used when downloading fills
--rest_download_fills_begin (24h): Download fills since (now - begin)
--rest_cancel_on_disconnect (false): Auto-cancel orders on disconnect?

--ws_uri (wss://fstream.asterdex.com/): Exchange end-point
--ws_ping_freq (5s): Ping frequency
--ws_request_timeout (15s): Request timeout
--ws_request_limit (5): Request limit per interval
--ws_request_limit_interval (1s): Request limit monitor interval
--ws_request_delay (1s): Request timeout
--ws_max_subscriptions_per_stream (30): Maximum number of symbols per connection
--ws_mbp_request_delay (500ms): Request delay
--ws_mbp_request_max_retries (3): Request max retries

MBP

--mbp_max_depth (500): Maximum depth
--mbp_sequencer_timeout (120s): Sequencer timeout
--mbp_allow_price_inversion (false): Allow price inversion?

Misc

--request_limit (80): Request limit per interval
--request_limit_interval (10s): Request limit monitor interval
--self_trade_prevention (CN): Self-trade prevention: CN, CO, CB, DC
--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size

Environments¶

Prod

$ --flagfile $CONDA_PREFIX/share/roq-aster-futures/flags/prod/flags.cfg

# flagfile for the roq-aster-futures gateway

--rest_uri=https://fapi.asterdex.com
--ws_uri=wss://fstream.asterdex.com/ws

Configuration¶

$ --config_file $CONDA_PREFIX/share/roq-aster-futures/config.toml

Important

This template will be replaced when the software is upgraded. Make a copy and modify to your own needs.

# config template for the roq-aster-futures gateway

symbols = [
 "^BTCUSDT$",
 "^BTCPERP$",
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_ASTER_FUTURES_API_KEY_GOES_HERE"
  secret = "YOUR_ASTER_FUTURES_SECRET_GOES_HERE"
  symbols = [ ".*" ]

[users]

  [users.test]
  password = "1234"
  symbols = ".*"

  [users.trader]
  password = "secret"
  accounts = [ "A1" ]
  symbols = [ "BTCUSDT", "BTCPERP" ]

[rate_limits]

  [rate_limits.global]
    type = "ORDER_ACTION"
    aggregate = true
    request_limit = 100
    monitor_period = "10s"
    ban_period = "5m"

Market Data¶

Inbound¶

TradingStatus

Enum
`TRADING`	⇒	`OPEN`
`PENDING_TRADING`	⇒	`PRE_OPEN`
`SETTLING`	⇒	`CLOSE`

StatisticsType

Event	Field	Comment
`MarkPriceUpdate`	`p`	Mark price	⇒	`SETTLEMENT_PRICE`
`MarkPriceUpdate`	`P`	Est. settle price	⇒	`PRE_SETTLEMENT_PRICE`
`MarkPriceUpdate`	`i`	Index price	⇒	`INDEX_VALUE`
`MarkPriceUpdate`	`r`	Funding rate	⇒	`FUNDING_RATE`
`MiniTicker`	`o`	Open price	⇒	`OPEN_PRICE`
`MiniTicker`	`h`	High price	⇒	`HIGHEST_TRADED_PRICE`
`MiniTicker`	`l`	Low price	⇒	`LOWEST_TRADED_PRICE`
`MiniTicker`	`c`	Close price	⇒	`CLOSE_PRICE`
`MiniTicker`	`v`	Total volume (base)	⇒	`TRADE_VOLUME`

Order Management¶

Inbound¶

Outbound¶

Comments¶

The exchange supports auto-cancel on disconnect. This can be enabled using the flags.

roq-aster-futures¶

Supports¶

Using¶

Flags¶

Environments¶

Configuration¶

Market Data¶

Inbound¶

Order Management¶

Inbound¶

Outbound¶

Comments¶

References¶

Common¶

Exchange¶