roq-bitmex

Unstable

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

Stable

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

Supports

Products

Spot	✅
Futures	✅
Swap	✅
Option	❌

Market Data

ReferenceData	✅
MarketStatus	✅
TopOfBook	✅
MarketByPrice	✅
MarketByOrder	❌
TradeSummary	✅
Statistics	✅
TimeSeries	❌

Orders & Quotes

CreateOrder	✅
ModifyOrder	✅
CancelOrder	✅
CancelAllOrders	✅
MassQuote	❌
CancelQuotes	❌

Account

Funds	❌
Position	✅

Note

✅ = Available.

❎ = Not implemented.

❌ = Unavailable.

Using

$ roq-bitmex [FLAGS]

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

--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

$ $CONDA_PREFIX/share/roq-bitmex/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-bitmex gateway

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

Inbound

TradingStatus

state
Open	⇒	OPEN
Closed	⇒	CLOSE
Settled	⇒	UNDEFINED
Unlisted	⇒	UNDEFINED
Expired	⇒	UNDEFINED

StatisticsType

Table	Field
instrument	markPrice	⇒	SETTLEMENT_PRICE
instrument	openInterest	⇒	OPEN_INTEREST
instrument	indicativeSettlePrice	⇒	PRE_SETTLEMENT_PRICE
instrument	limitUpPrice	⇒	UPPER_LIMIT_PRICE
instrument	limitDownPrice	⇒	LOWER_LIMIT_PRICE
instrument	fairPrice	⇒	INDEX_VALUE
funding	fundingRate	⇒	FUNDING_RATE
funding	indicativeFundingRate	⇒	FUNDING_RATE_PREDICTION

Order Management

Inbound

OrderType

Enum
Market	⇒	MARKET
Limit	⇒	LIMIT

TimeInForce

Enum
GTC	⇒	GTC

OrderStatus

Enum
Canceled	⇒	CANCELED
DoneForDay	⇒	SUSPENDED
Expired	⇒	EXPIRED
Filled	⇒	COMPLETED
New	⇒	WORKING
PartiallyFilled	⇒	WORKING
PendingCancel	⇒	UNDEFINED
PendingNew	⇒	SENT
Rejected	⇒	REJECTED
Stopped	⇒	STOPPED
Triggered	⇒	ACCEPTED
Untriggered	⇒	WORKING

Outbound

CreateOrder

	order_type	execution_instructions	price	stop_price		ordType	price	execInst
	MARKET		NaN	NaN	⇒	Market	❌
	MARKET	PARTICIPATE_DO_NOT_INITIATE	NaN	NaN	⇒	Market	❌	ParticipateDoNotInitiate
	MARKET	DO_NOT_INCREASE	NaN	NaN	⇒	Market	❌	ReduceOnly
❌	MARKET		NaN	✅	⇒
	LIMIT		✅	NaN	⇒	Limit	✅
	LIMIT	PARTICIPATE_DO_NOT_INITIATE	✅	NaN	⇒	Limit	✅	ParticipateDoNotInitiate
	LIMIT	DO_NOT_INCREASE	✅	NaN	⇒	Limit	✅	ReduceOnly
❌	LIMIT		✅	✅

Comments

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

• 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

References

Common

• Using Conda

• Using Flags

• Gateway Flags

• Gateway Config

Exchange

• Website

• Testnet

• Documentation