roq-bitstamp#

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-bitstamp

Unstable

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

Using#

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

Flags#

$ roq-bitstamp --help

Flags

--exchange (bitstamp): Exchange identifier

FIX

--fix_uri (tcp+ssl://fix.bitstamp.com:8905): FIX end-point (URI)
--fix_ping_freq (5s): ping frequency
--fix_request_timeout (15s): request timeout
--fix_debug (false): log fix messages?

REST

--rest_uri (https://www.bitstamp.net): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/api/v2/ticker/btcusd): Ping path
--rest_request_timeout (30s): Request timeout

--ws_uri (wss://ws.bitstamp.net): Exchange end-point
--ws_ping_freq (5s): Ping frequency
--ws_max_subscriptions_per_stream (256): Maximum number of symbols per connection

Misc

--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size

Environments#

Prod

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

# flagfile for the roq-bitstamp gateway

--rest_uri=https://www.bitstamp.net
--ws_uri=wss://ws.bitstamp.net
--fix_uri=tcp+ssl://fix.bitstamp.net:8905

Configuration#

Gateway Config

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

Important

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

symbols = [
  "^btcusd[a-z]?$",
  "^ethusd[a-z]?$"
]

[accounts]

  [accounts.A1]
  master = true
  user = "YOUR_BITSTAMP_USER_ID_GOES_HERE"
  login = "YOUR_BITSTAMP_API_KEY_GOES_HERE"
  secret = "YOUR_BITSTAMP_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`			Unavailable
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	MarketData	order_book	See note below
`roq::MarketByOrderUpdate`	MarketData	live_orders	Not implemented
`roq::TradeSummary`	MarketData	live_trades
`roq::StatisticsUpdate`

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`	Rest	/api/v2/trading-pairs-info/
`roq::MarketStatus`	Rest	/api/v2/trading-pairs-info/
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`	Rest	/api/v2/ticker/<currency_pair>/	Not implemented

Statistics#

Order Management#

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	ExecutionReport (8)	Not implemented
`roq::TradeUpdate`	OrderEntry	ExecutionReport (8)	Not implemented

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	Rest	api/v2/open_orders/all/	Not implemented, It is only possible to download open orders
`roq::TradeUpdate`

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	NewOrderSingle (D)	Not implemented
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	OrderEntry	OrderCancelRequest (F)	Not implemented
`roq::CancelAllOrders`	OrderEntry	OrderMassCancelRequest (q)

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	ExecutionReport (8), OrderCancelReject (9), BusinessMessageReject (j)	Not implemented

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`	Rest	/api/v2/balance/	Not implemented

Streams#

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account

MarketData

Type	Comments
WebSocket	Primary purpose * live market data Each connection supports a slice of the symbols

Type

Comments

WebSocket

Primary purpose * live market data

Each connection

supports a slice of the symbols

Rest

Type	Comments
REST	Primary purpose download symbols

Constraints#

The exchange API does not support a pass-through value
It is only possible to download open orders
It does not appear to be possible to download historical order fills
The FIX interface does not support automatic order cancellation following a disconnect
Rate-limit usage is not communicated by the exchange
Only possible to support order book snapshots (see notes below)
Choice or inverted prices is a real thing

Comments#

The WebSocket protocol to receive differential L2 order book updates does not support correct initialisation through synchronisation. The conclusion is that only the (top 100) snapshot L2 order book updates can be used.
The (top 100) snapshot L2 order book sometimes include choice or inverted prices (bid >= ask).