roq-binance-options

Links

• Website

• API

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

• Using Conda

Stable

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

Unstable

$ 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

• Using Flags

• Gateway Flags

$ roq-binance-options --help

Flags

--exchange (binance-options)

Exchange identifier

--api (fapi)

API (fapi, dapi)

REST

--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

--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

Misc

--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

Prod

$ $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

• Gateway Config

$ $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

Live

Event	Stream	Messages	Comments
roq::ReferenceData
roq::MarketStatus
roq::TopOfBook
roq::MarketByPriceUpdate
roq::MarketByOrderUpdate
roq::TradeSummary
roq::StatisticsUpdate

Download

Event	Stream	Messages	Comments
roq::ReferenceData
roq::MarketStatus
roq::TopOfBook
roq::MarketByPriceUpdate
roq::MarketByOrderUpdate
roq::TradeSummary
roq::StatisticsUpdate

Statistics

TBD

Order Management

Live

Event	Stream	Messages	Comments
roq::OrderUpdate
roq::TradeUpdate

Download

Event	Stream	Messages	Comments
roq::OrderUpdate
roq::TradeUpdate

Request

Event	Stream	Messages	Comments
roq::CreateOrder
roq::ModifyOrder
roq::CancelOrder
roq::CancelAllOrders

Response

Event	Stream	Messages	Comments
roq::OrderAck

Order Types

TBD

Time in Force

TBD

Position Effect

TBD

Execution Instructions

TBD

Account Management

Live

Event	Stream	Messages	Comments
roq::PositionUpdate
roq::FundsUpdate

Download

Event	Stream	Messages	Comments
roq::PositionUpdate
roq::FundsUpdate

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

MarketData

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