roq-binance-futures¶

Stable

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

Unstable

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

`roq-binance-futures`¶

$ roq-binance-futures [FLAGS]

Description¶

roq-binance-futures is a gateway

Supports¶

Products

Spot
Futures	✓
Options
Combos

Market Data

Reference Data	✓
Market Status	✓
Top of Book	✓
Market by Price	✓
Market by Order
Trade Summary	✓
Statistics	✓

Order Management

Create	✓
Modify	(✓)
Cancel	✓
Cancel All	✓
Auto-Cancel	(✓)

Account Management

Positions	✓
Funds	✓

Note

Modify and Auto-Cancel not possible with PAPI.

Flags¶

$ roq-binance-futures --help

Flags

--exchange (binance-futures): Exchange identifier
--api (fapi): API (fapi or dapi)
--ws_api (false): Use WebSocket API?

REST

--rest_uri (https://testnet.binancefuture.com): Exchange end-point
--rest_host: Host (when URI is an IP address)
--rest_pm_uri: Exchange end-point (portfolio margin)
--rest_pm_host: Host (when URI is an IP address)
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/v1/time): Ping path
--rest_request_timeout (30s): Request timeout
--rest_listen_key_refresh (1800s): Listen key refresh period
--rest_order_recv_window (5000ms): Receive window (please refer to exchange documentation)
--rest_cancel_on_disconnect (false): Auto-cancel orders on disconnect?
--rest_order_countdown (30s): Auto-cancel countdown period
--rest_terminate_on_403 (false): (TEST) Trigger program termination after receiving a 403 response code?
--rest_back_off_delay (300s): (TEST) Time to wait before retrying a rejected request

--ws_uri (wss://stream.binancefuture.com): Exchange end-point
--ws_host: Host (when URI is an IP address)
--ws_pm_uri: Exchange end-point (portfolio margin)
--ws_pm_host: Host (when URI is an IP address)
--ws_ping_freq (5s): Ping frequency
--ws_max_subscriptions_per_stream (40): Maximum number of symbols per connection
--ws_subscribe_depth_levels (1000): Depth levels to subscribe
--ws_subscribe_depth_freq (100ms): Depth update frequency
--ws_mbp_request_delay (10s): Delay before requesting depth snapshot
--ws_mbp_request_max_retries (0): Maximum number of retries before giving up
--ws_enable_secondary (false): Create secondary market data connection?

WS API

--ws_api_network_interfaces: Network interfaces
--ws_api_uri (wss://ws-api.binance.com/ws-api/v3): Exchange end-point
--ws_api_host: Host (when URI is an IP address)
--ws_api_ping_freq (5s): Ping frequency

Download

--download_trades_lookback (300s): Lookback period when downloading trades (following a disconnect)
--download_trades_lookback_on_restart: Lookback period when downloading trades (initial download)
--download_trades_limit (1000): Maximum number of trades per response (exchange limit)
--download_symbols: Comma-separated list of symbols

MBP

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

Request

--request_limit (8): Maximum number of requests per interval
--request_limit_interval (5s): Monitor interval

Misc

--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size
--continue_with_unknown_event_type (false): Continue when receiving updates for unexpected event-types?

Environments¶

Prod (USD-M)

$ $CONDA_PREFIX/share/roq-binance-futures/flags/prod/flags-fapi.cfg

# flagfile for the roq-binance-futures gateway
# exchange servers are located in AWS, Tokyo, Japan

--api=fapi
--rest_uri=https://fapi.binance.com
--ws_uri=wss://fstream.binance.com/ws
--rest_pm_uri=https://papi.binance.com
--ws_pm_uri=wss://fstream.binance.com/pm/ws
--ws_api_uri=wss://ws-fapi.binance.com/ws-fapi/v1

Prod (COIN-M)

$ $CONDA_PREFIX/share/roq-binance-futures/flags/prod/flags-dapi.cfg

# flagfile for the roq-binance-futures gateway
# exchange servers are located in AWS, Tokyo, Japan

--api=dapi
--rest_uri=https://dapi.binance.com
--ws_uri=wss://dstream.binance.com/ws
--rest_pm_uri=https://papi.binance.com
--ws_pm_uri=wss://fstream.binance.com/pm/ws

Test (USD-M)

$ $CONDA_PREFIX/share/roq-binance-futures/flags/test/flags-fapi.cfg

# flagfile for the roq-binance-futures gateway
# exchange servers are located in AWS, Tokyo, Japan

--api=fapi
--rest_uri=https://testnet.binancefuture.com
--ws_uri=wss://fstream.binancefuture.com
--ws_api_uri=wss://testnet.binancefuture.com/ws-fapi/v1

Test (COIN-M)

$ $CONDA_PREFIX/share/roq-binance-futures/flags/test/flags-dapi.cfg

# flagfile for the roq-binance-futures gateway
# exchange servers are located in AWS, Tokyo, Japan

--api=dapi
--rest_uri=https://testnet.binancefuture.com
--ws_uri=wss://dstream.binancefuture.com/ws

Configuration¶

$ $CONDA_PREFIX/share/roq-binance-futures/config.toml

Important

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

symbols = [
  "^BTCUSD[A-Z]?(_[0-9]{6})?$",
  "^ETHUSD[A-Z]?(_[0-9]{6})?$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_BINANCE_FUTURES_API_KEY_GOES_HERE"
  secret = "YOUR_BINANCE_FUTURES_SECRET_GOES_HERE"
  symbols = [ ".*" ]

[users]

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

  [users.trader]
  password = "secret"
  accounts = [ "A1" ]
  symbols = [ ".*BTC.*", ".*ETH.*" ]

[rate_limits]

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

Market Data¶

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`			Unavailable
`roq::MarketStatus`			Unavailable
`roq::TopOfBook`	MarketData	<symbol>@bookTicker
`roq::MarketByPriceUpdate`	MarketData	<symbol>@depth@<freq>
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	<symbol>@aggTrade
`roq::StatisticsUpdate`	MarketData	<symbol>@miniTicker, <symbol>@markPrice

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`	OrderEntry	GET /fapi/v1/exchangeInfo	There is no live feed
`roq::MarketStatus`	OrderEntry	GET /fapi/v1/exchangeInfo	There is no live feed
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	OrderEntry	GET /fapi/v1/depth	See Flags
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics¶

Type	Comments
`HIGHEST_TRADED_PRICE`	(miniTicker) `highPrice`
`LOWEST_TRADED_PRICE`	(miniTicker) `lowPrice`
`OPEN_PRICE`	(miniTicker) `openPrice`
`CLOSE_PRICE`	(miniTicker) `closePrice`
`SETTLEMENT_PRICE`	(markPrice) `markPrice`
`PRE_SETTLEMENT_PRICE`	(markPrice) `estSettlePrice`
`INDEX_VALUE`	(markPrice) `indexPrice`
`FUNDING_RATE`	(markPrice) `fundingRate`

Order Management¶

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	ORDER_TRADE_UPDATE
`roq::TradeUpdate`	DropCopy	ORDER_TRADE_UPDATE

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	GET /fapi/v1/openOrders	It is only possible to download open orders
`roq::TradeUpdate`	OrderEntry	GET /fapi/v1/userTrades	There is a limit of 1000 trades

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	POST /fapi/v1/order
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	OrderEntry	DELETE /fapi/v1/order
`roq::CancelAllOrders`	OrderEntry	DELETE /fapi/v1/allOpenOrders	This request is per-symbol! Only executed for those symbols where the gateway has seen order actions or download.

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	/fapi/v1/order

Order Types¶

Type	Comments
`MARKET`	Mapped to `'MARKET'` (JSON)
`LIMIT`	Mapped to `'LIMIT'` (JSON)

Time in Force¶

Type	Comments
`GTC`	Mapped to `'GTC'` (JSON)
`IOC`	Mapped to `'IOC'` (JSON)
`FOK`	Mapped to `'FOK'` (JSON)
`GTX`	Mapped to `'GTX'` (JSON)

Position Effect¶

Note

Not supported

Execution Instructions¶

TBD

Account Management¶

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`	DropCopy	ACCOUNT_UPDATE
`roq::FundsUpdate`	DropCopy	ACCOUNT_UPDATE

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	GET /fapi/v2/account
`roq::FundsUpdate`	OrderEntry	GET /fapi/v2/balance

Streams¶

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account maintains a listen key (used by the DropCopy stream)

DropCopy

Type	Comments
WebSocket	Primary purpose live account updates, including orders and fills Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

live account updates, including orders and fills

Each connection

supports a single account

MarketData

Type	Comments
WebSocket	Primary purpose live market data Each connection supports a slice of the symbols

Type

Comments

WebSocket

Primary purpose

live market data

Each connection

supports a slice of the symbols

Rest

Type	Comments
REST	Primary purpose download reference data One connection

Constraints¶

It is only possible to download current order status for open orders. The implication is that backup procedures must be implemented to reoncile positions in the scenario where orders are completely filled during a disconnect.
The newClientOrderId field (used by CreateOrder) must conform to the ^[.A-Z:/a-z0-9_-]{1,36}$ regular expression (ECMAScript). This restricts length and character used when supplying the routing_id field.
The exchange will monitor rate-limit usage per IP address.
Rate-limit usage is quite strict when downloading full order books. Due to this constraint, it may take a very long time to initialize all symbols. It is therefore STRONGLY recommended to reduce the configured number of symbols, e.g. symbols=".*BTC.*", or even more specific by using lists.

Comments¶

External trades can optionally be captured into the event log.

Note

These messages will not be routed to any client.
Trades can optionally be downloaded. This is a very expensive operation and the list of symbols to download must therefore be explicitly controlled by the --download_symbols flag.
There are different end-points depending on the margin-mode.
- If nothing is specified, the classic margin-mode is selected. The end-points are then taken from --rest_uri and --ws_uri.
- The new end-points are selected if the toml config has margin_mode = "portfolio". The end-points are then taken from --rest_pm_uri and --ws_pm_uri.
WSAPI is WORK-IN-PROGRESS
- Some exchange features are missing (they are available from spot WSAPI):
  - Download working orders
  - Download trade history
  - Cancel all working orders

roq-binance-futures¶

`roq-binance-futures`¶

Description¶

Supports¶

Flags¶

Environments¶

Configuration¶

Market Data¶

Statistics¶

Order Management¶

Order Types¶

Time in Force¶

Position Effect¶

Execution Instructions¶

Account Management¶

Streams¶

Constraints¶

Comments¶

References¶

Common¶

Binance¶