roq-binance-options#

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

✓

Installing#

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

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

Using#

$ roq-binance-options \
      --name "binance-options" \
      --config_file $CONFIG_FILE_PATH \
      --client_listen_address $UNIX_SOCKET_PATH \
      --flagfile $ENVIRONMENT_FLAGFILE

Flags#

$ roq-binance-options --help
--exchange (binance-options)

Exchange identifier

--api (fapi)

API (fapi, dapi)

--rest_uri (https://testnet.binancefuture.com)

Exchange end-point

--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_countdown (30s)

Auto-cancel countdown time

--rest_order_recv_window (5000ms)

Receive window, please refer to Binance documentation!

--rest_cancel_on_disconnect (false)

Cancel orders on disconnect?

--ws_uri (wss://stream.binancefuture.com)

Exchange end-point

--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

--ws_subscribe_depth_freq (100ms)

Depth update frequency

--ws_mbp_request_delay (10s)

Request delay

--ws_mbp_request_max_retries (0)

Request max retries

--request_limit (8)

Request limit per interval

--request_limit_interval (5s)

Request limit monitor interval

--encode_buffer_size (1048576)

Encode buffer size

--decode_buffer_size (10485760)

Decode buffer size

--mbp_allow_price_inversion (false)

Allow price inversion?

Environments#

$ $CONDA_PREFIX/share/roq-binance-options/flags/prod/flags.cfg

# flagfile for the roq-binance-options gateway

--rest_uri=https://vapi.binance.com
--ws_uri=wss://vstream.binance.com/ws

Configuration#

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

Important

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

symbols = "BTCUSD.*"

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_BINANCE_OPTIONS_API_KEY_GOES_HERE"
  secret = "YOUR_BINANCE_OPTIONS_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#

Event

Stream

Messages

Comments

roq::ReferenceData

roq::MarketStatus

roq::TopOfBook

roq::MarketByPriceUpdate

roq::MarketByOrderUpdate

roq::TradeSummary

roq::StatisticsUpdate

Event

Stream

Messages

Comments

roq::ReferenceData

roq::MarketStatus

roq::TopOfBook

roq::MarketByPriceUpdate

roq::MarketByOrderUpdate

roq::TradeSummary

roq::StatisticsUpdate

Statistics#

TBD

Order Management#

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::CreateOrder

roq::ModifyOrder

roq::CancelOrder

roq::CancelAllOrders

Event

Stream

Messages

Comments

roq::OrderAck

Order Types#

TBD

Time in Force#

TBD

Position Effect#

TBD

Execution Instructions#

TBD

Account Management#

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

Streams#

Type

Comments

REST

Primary purpose

  • support order management

Each connection

  • supports a single account

  • maintains a listen key (used by the DropCopy stream)

Type

Comments

WebSocket

Primary purpose

  • live account updates, including orders and fills

Each connection

  • supports a single account

Type

Comments

WebSocket

Primary purpose

  • live market data

Each connection

  • supports a slice of the symbols

Type

Comments

REST

Primary purpose

  • download reference data

One connection

Constraints#