roq-bitmex#

Links#

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-bitmex

Unstable

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

Using#

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

Flags#

$ roq-bitmex --help

Flags

--exchange (bitmex): Exchange identifier

REST

--rest_uri (https://testnet.bitmex.com): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/api/v1/announcement/urgent): Ping path
--rest_request_timeout (30s): Request timeout
--rest_expires_timeout (1s): Expires time-out
--rest_allow_order_request_pipeline (false): Allow more than one in-flight order action?

--ws_uri (wss://ws.testnet.bitmex.com/realtime): Exchange end-point
--ws_ping_freq (5s): Ping frequency
--ws_request_timeout (15s): Request time-out
--ws_cancel_on_disconnect (true): Cancel orders on disconnect?
--ws_cancel_all_after (15s): Cancel all after, requires cancel-on-disconnect

Misc

--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size
--mbp_allow_price_inversion (false): Allow price inversion?
--oms_using_web_socket (false): Use web-socket for order management?

Environments#

Prod

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

# flagfile for the roq-bitmex gateway

--rest_uri=https://www.bitmex.com
--ws_uri=wss://ws.bitmex.com/realtime

Test

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

# flagfile for the roq-bitmex gateway

--rest_uri=https://testnet.bitmex.com
--ws_uri=wss://ws.testnet.bitmex.com/realtime

Configuration#

Gateway Config

$ $CONDA_PREFIX/share/roq-bitmex/config.toml

Important

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

symbols = [
  "^XBTUSD[A-Z]?([FGHJKMNQUVXZ][0-9]{2})?$",
  "^ETHUSD[A-Z]?([FGHJKMNQUVXZ][0-9]{2})?$",
  "^[.]XBTUSD[A-Z]?PI(8H)?$",
  "^[.]ETHUSD[A-Z]?PI(8H)?$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_BITMEX_API_KEY_GOES_HERE"
  secret = "YOUR_BITMEX_SECRET_GOES_HERE"
  symbols = [ ".*" ]

[users]

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

  [users.trader]
  password = "secret"
  accounts = [ "A1" ]
  symbols = [ ".*XBT.*", ".*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`	MarketData	instrument
`roq::MarketStatus`	MarketData	instrument
`roq::TopOfBook`	MarketData	quote
`roq::MarketByPriceUpdate`	MarketData	orderBookL2
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	trade
`roq::StatisticsUpdate`	MarketData	instrument

Download

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

Statistics#

Type	Comments
`SETTLEMENT_PRICE`	(instrument) `markPrice`
`OPEN_INTEREST`	(instrument) `openInterest`
`PRE_SETTLEMENT_PRICE`	(instrument) `indicativeSettlePrice`
`UPPER_LIMIT_PRICE`	(instrument) `limitUpPrice`
`LOWER_LIMIT_PRICE`	(instrument) `limitDownPrice`
`INDEX_VALUE`	(instrument) `fairPrice`
`FUNDING_RATE`	(funding) `fundingRate`
`FUNDING_RATE_PREDICTION`	(funding) `indicativeFundingRate`

Order Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	GET /api/v1/order
`roq::TradeUpdate`	OrderEntry	GET /api/v1/trade

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	POST /api/v1/order
`roq::ModifyOrder`	OrderEntry	PUT /api/v1/order
`roq::CancelOrder`	OrderEntry	DELETE /api/v1/order
`roq::CancelAllOrders`	OrderEntry	DELETE /api/v1/order/all

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	/api/v1/order	Errors, only

Order Types#

Type	Comments
`MARKET`	Mapped to `Market` (JSON)
`LIMIT`	Mapped to `Limit` (JSON)

Time in Force#

Type	Comments
`GTC`	Mapped to `GoodTillCancel` (JSON)

Position Effect#

Note

Not supported

Execution Instructions#

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `ParticipateDoNotInitiate` (JSON)
`DO_NOT_INCREASE`	Mapped to `ReduceOnly` (JSON)

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`	DropCopy	position
`roq::FundsUpdate`			Unavailable

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	GET /api/v1/position
`roq::FundsUpdate`			Unavailable

Streams#

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account Rate-limit avoidance is implemented by not using HTTP pipelining monitoring the following HTTP headers `x-ratelimit-limit` `x-ratelimit-remaining` `x-ratelimit-reset` blocking new requests for a duration of `--rest_rate_limit_interval` after receiving HTTP status 429 (too many requests)

Type

Comments

REST

Primary purpose

support order management

Each connection

supports a single account

Rate-limit avoidance is implemented by

not using HTTP pipelining
monitoring the following HTTP headers
x-ratelimit-limit
x-ratelimit-remaining
x-ratelimit-reset
blocking new requests for a duration of --rest_rate_limit_interval after receiving HTTP status 429 (too many requests)

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 A single connection

Type

Comments

WebSocket

Primary purpose

live market data

A single connection

Constraints#

The field clOrdID is a string and can not exceed 36 characters

Comments#

The exchange API’s do not appear particularly suitable for low latency trading:
- Order action requests must be signed (which is expensive) and then sent over REST
- REST response (order ack) could be lost possibly leaving the client in a situation where it must trigger timeout logic and/or issue operational alerts
- Several WebSocket channels are used communicate order state possibly allowing for inconsistent order management by client