roq-binance

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

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

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-binance [FLAGS]

Flags

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

Exchange identifier

--ws_api (true)

Use WebSocket API?

--rest_network_interfaces

Network interfaces

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

Exchange end-point

--rest_host

Host (when URI is an IP address)

--rest_pm_uri (https://testnet.binance.com)

Exchange end-point

--rest_pm_host

Host (when URI is an IP address)

--rest_proxy

Proxy end-point

--rest_ping_freq (5s)

Ping frequency

--rest_ping_path (/api/v3/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_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

--rest_download_borrowed_freq (0s)

(TEST) Download frequency for CROSS borrowed

--ws_uri (wss://testnet.binance.com/realtime)

Exchange end-point

--ws_host

Host (when URI is an IP address)

--ws_pm_uri (wss://testnet.binance.com/realtime)

Exchange end-point

--ws_pm_host

Host (when URI is an IP address)

--ws_ping_freq (5s)

Ping frequency

--ws_max_subscriptions_per_stream (128)

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_subscribe_trade_details (false)

Should trade summary reports include individual matches?

--ws_enable_secondary (false)

Create secondary market data connection?

--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

--mbp_max_depth

Maximum depth

--mbp_sequencer_timeout (120s)

Sequencer timeout

--mbp_allow_price_inversion (false)

Allow price inversion?

--cancel_replace_stop_on_failure (false)

If the cancel request fails, the replacement will not be attempted

--margin_side_effect_type

Side effect for margin trading: NO_SIDE_EFFECT, MARGIN_BUY, AUTO_REPAY, AUTO_BORROW_REPAY

--request_limit (8)

Maximum number of requests per interval

--request_limit_interval (5s)

Monitor interval

--decode_buffer_size (33554432)

Decode buffer size

--encode_buffer_size (1048576)

Encode buffer size

--continue_with_unknown_event_type (false)

Continue when receiving updates for unexpected event-types?

Environments

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

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

--rest_uri=https://api.binance.com
--ws_uri=wss://stream.binance.com:9443/stream
--ws_api_uri=wss://ws-api.binance.com/ws-api/v3
--rest_pm_uri=https://papi.binance.com
--ws_pm_uri=wss://fstream.binance.com/pm/ws

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

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

--rest_uri=https://testnet.binance.vision
--ws_uri=wss://testnet.binance.vision/stream
--ws_api_uri=wss://testnet.binance.vision/ws-api/v3

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

# flagfile for the roq-binance gateway
# exchange servers are located in AWS, US

--rest_uri=https://api.binance.us
--ws_uri=wss://stream.binance.us:9443/stream

Configuration

$ $CONDA_PREFIX/share/roq-binance/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-binance gateway

symbols = [
  "^BTCUSD[A-Z]?$",
  "^ETHUSD[A-Z]?$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_BINANCE_API_KEY_GOES_HERE"
  secret = "YOUR_BINANCE_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

Inbound

Enum

TRADING

⇒

OPEN

HALT

⇒

HALT

BREAK

⇒

CLOSE

END_OF_DAY

⇒

END_OF_DAY

PRE_TRADING

⇒

PRE_OPEN

AUCTION_MATCH

⇒

PRE_OPEN

POST_TRADING

⇒

CLOSE

Event

Field

Comment

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

Order Management

Inbound

Enum

LIMIT

⇒

LIMIT

MARKET

⇒

MARKET

STOP_LOSS

⇒

MARKET

STOP_LOSS_LIMIT

⇒

LIMIT

TAKE_PROFIT

⇒

UNDEFINED

TAKE_PROFIT_LIMIT

⇒

UNDEFINED

LIMIT_MAKER

⇒

LIMIT

Enum

GTC

⇒

GTC

IOC

⇒

IOC

FOK

⇒

FOK

Enum

NEW

⇒

WORKING

PARTIALLY_FILLED

⇒

WORKING

FILLED

⇒

COMPLETED

CANCELED

⇒

CANCELED

PENDING_CANCEL

⇒

UNDEFINED

REJECTED

⇒

REJECTED

EXPIRED

⇒

EXPIRED

Outbound

order_type

execution_instructions

price

stop_price

type

price

stopPrice

MARKET

NaN

NaN

⇒

MARKET

❌

❌

MARKET

NaN

✅

⇒

STOP_LOSS

❌

✅

LIMIT

✅

NaN

⇒

LIMIT

✅

❌

LIMIT

PARTICIPATE_DO_NOT_INITIATE

✅

NaN

⇒

LIMIT_MAKER

✅

❌

LIMIT

✅

✅

⇒

STOP_LOSS_LIMIT

✅

✅

TBD

TBD

TBD

Template

Field

Values

Comments

self_trade_prevention_mode

EXPIRE_TAKER, EXPIRE_MAKER, EXPIRE_BOTH

Exchange field is selfTradePreventionMode

Field

Values

Comments

cancel_restrictions

ONLY_NEW, ONLY_PARTIALLY_FILLED

Exchange field is cancelRestrictions

cancel_replace_mode

STOP_ON_FAILURE, ALLOW_FAILURE

Exchange field is cancelReplaceMode

Comments

  • 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.

  • It is possible to see gateway warnings about dropped messages caused by order status reversal, e.g. seeing WORKING after COMPLETED. This is partly due to REST vs WebSocket and partly due to exchange publishing both NEW and FILLED order update messages for taker orders.

  • The online documentation has a note about rejected messages never ping pushed into the user data stream. This effectively means that there’s the risk that you will have to wait for the gateway to detect timeout if the REST connection is disconnected right after an order request has been sent.

  • The exchange API supports a cancel-replace order request. This is supported by first placing a cancel order with is_last=false followed immediately by a create order with is_last=true.

    Note

    The two orders must share the same symbol.

  • Multiple order entry connections (REST or WS) may be supported by specifying a list of local network interfaces to bind to. The implementation will then round-robin requests between connections already in the ready-state.

  • 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.

  • We do not currently support isolated margin trading.

  • Auto-Cancel only available with the REST API.

References

Common

Exchange