BitMEX

roq-bitmex

Environments

Production

Option	Value	Type	Comment(s)
--ws_uri	wss://www.bitmex.com/realtime	WebSocket
--rest_uri	https://www.bitmex.com	REST

Data center

eu-west-1, AWS, Ireland

Test

Option	Value	Type	Comment(s)
--ws_uri	wss://testnet.bitmex.com/realtime	WebSocket
--rest_uri	https://testnet.bitmex.com	REST

Data center

eu-west-1, AWS, Ireland

Installation

Conda

Install

conda install -y roq-bitmex

Configuration

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

# then modify $CONFIG_FILE_PATH to match your specific configuration

Using

roq-bitmex \
      --name "bitmex" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --metrics_listen_address "$TCP_LISTEN_PORT" \
      --ws uri "$WS_URI" \
      --rest_uri "$REST_URI"

Flags

Only notable flags are mentioned here. Please refer to roq-bitmex --help for all flags.

--cancel_on_disconnect

The cancelAllAfter WebSocket message can be used to instruct the exchange to automatically cancel all orders if exchange detects a disconnect.

Warning

Do not rely on this feature: we have not been able to verify it works correctly!

--cancel_all_after_secs

Only used when --cancel_on_disconnect is true.

--rest_allow_order_updates

Support fastest possible order updates by including any order response received on the REST connection.

Warning

You may see inconsistent order updates. This is especially true for partial fills and order modifications/cancelations.

Ansible

Edit your inventory file and add your server to the roq_bitmex group

[roq_bitmex]
MY_SERVER

Docker

docker pull roqtrading/roq-bitmex

Note

Please contact us, if you want to use the Docker image.

Implementation

Restrictions

• It is very hard to guarantee proper sequential processing if we were to allow order acks/updates from Rest response as well as either of the two WebSocket channels execution and order. The choice is to prefer the execution channel for normal updates and error response (and timeout) for Rest requests. Unfortunately, consistency appears to come at the cost of added latency.

  • Better latency can be enabled by allowing processing of Rest response and the order channel. See Flags.

TradeUpdate, PositionUpdate

Work in progress.

Incoming Events

Event	Connection	Message(s)	Comment(s)
ReferenceData	WS	Instrument
MarketStatus	WS	Instrument
TopOfBook	WS	Quote
MarketByPrice	WS	OrderBookL2
MarketByOrder			Not available
TradeSummary	WS	Trade
SessionStatistics			Not available
DailyStatistics			Not available
OrderAck	REST	Order	Errors, only
	WS	Execution
OrderUpdate	WS	Execution
TradeUpdate	WS	Execution
PositionUpdate	WS	Position
FundsUpdate			Not available

Outgoing Events

Event	Connection	Message(s)	Comment(s)
CreateOrder	REST	order (POST)
ModifyOrder	REST	order (PUT)
CancelOrder	REST	order (DELETE)

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

Links

• Support

• API