roq-bybit

Unstable

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

Stable

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

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.

❶ = The exchange protocol does not support streaming updates for reference data and market status.

Using

$ roq-bybit [FLAGS]

Flags

$ roq-bybit --help

Flags

--exchange (bybit)

Exchange identifier

--api (spot)

API (spot, linear, inverse or option)

--ws_api (false)

Use WebSocket API?

REST

--rest_uri (https://api-testnet.bybit.com)

Exchange end-point

--rest_host

Host (when URI is an IP address)

--rest_proxy

Proxy end-point

--rest_ping_freq (5s)

Ping frequency

--rest_ping_path (/v5/market/time)

Ping path

--rest_request_timeout (30s)

Request timeout

--rest_recv_window (5s)

Receive window (please refer to exchange documentation)

--rest_terminate_on_403 (false)

(TEST) Trigger program termination after receiving a 403 response code?

--rest_back_off_delay (30s)

(TEST) Time to wait before retrying a rejected request

WS

--ws_public_uri (wss://stream-testnet.bybit.com/v5/public)

Exchange end-point

--ws_public_host

Host (when URI is an IP address)

--ws_private_uri (wss://stream-testnet.bybit.com/v5/private)

Exchange end-point

--ws_private_host

Host (when URI is an IP address)

--ws_trade_uri (wss://stream-testnet.bybit.com/v5/trade)

Exchange end-point

--ws_trade_host

Host (when URI is an IP address)

--ws_ping_freq (5s)

Ping frequency

--ws_request_timeout (15s)

Request timeout

--ws_max_subscriptions_per_stream (100)

Maximum number of symbols per connection

--ws_mbp_depth (0)

Maximum depth

Download

MBP

--mbp_allow_price_inversion (false)

Allow price inversion?

Request

--request_limit (10)

Maximum number of requests per interval

--request_limit_interval (1s)

Monitor interval

Misc

--encode_buffer_size (1048576)

Encode buffer size

--decode_buffer_size (10485760)

Decode buffer size

Environments

Prod

$ --flagfile $CONDA_PREFIX/share/roq-bybit/flags/prod/flags.cfg

# flagfile for the roq-bybit gateway
# exchange servers are located in AWS, Singapore

--rest_uri=https://api.bybit.com
--ws_public_uri=wss://stream.bybit.com/v5/public
--ws_private_uri=wss://stream.bybit.com/v5/private
--ws_trade_uri=wss://stream.bybit.com/v5/trade

Test

$ --flagfile $CONDA_PREFIX/share/roq-bybit/flags/test/flags.cfg

# flagfile for the roq-bybit gateway
# exchange servers are located in AWS, Singapore

--rest_uri=https://api-testnet.bybit.com
--ws_public_uri=wss://stream-testnet.bybit.com/v5/public
--ws_private_uri=wss://stream-testnet.bybit.com/v5/private
--ws_trade_uri=wss://stream-testnet.bybit.com/v5/trade

Configuration

$ --config_file $CONDA_PREFIX/share/roq-bybit/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-bybit gateway

symbols = [
  "^BTCUSD[A-Z]?$",  # spot + linear + inverse
  "^BTC-.*-.*-[PC]$"  # options (e.g. "BTC-26SEP25-300000-P")
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_BYBIT_API_KEY_GOES_HERE"
  secret = "YOUR_BYBIT_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

TradingStatus

Enum
PreLaunch	⇒	UNDEFINED
Trading	⇒	OPEN
Settling	⇒	UNDEFINED
Delivering	⇒	UNDEFINED
Closed	⇒	CLOSE

StatisticsType

Event	Field
Tickers	highPrice24h	⇒	HIGHEST_TRADED_PRICE
Tickers	lowPrice24h	⇒	LOWEST_TRADED_PRICE
Tickers	lastPrice	⇒	CLOSE_PRICE
Tickers	volume24h	⇒	TRADE_VOLUME

Order Management

Inbound

OrderType

orderType
Market	⇒	MARKET
Limit	⇒	LIMIT

TimeInForce

timeInForce
GTC	⇒	GTC
FOK	⇒	FOK
IOC	⇒	IOC

OrderStatus

orderStatus
Created	⇒	WORKING
New	⇒	WORKING
Rejected	⇒	REJECTED
PartiallyFilled	⇒	WORKING
PartiallyFilledCanceled	⇒	CANCELED
Filled	⇒	COMPLETED
Cancelled	⇒	CANCELED
Untriggered	⇒	UNDEFINED
Triggered	⇒	UNDEFINED
Deactivated	⇒	UNDEFINED
Active	⇒	UNDEFINED

Outbound

CreateOrder

order_type	execution_instructions	price	stop_price		orderType	price	reduceOnly
MARKET		NaN	NaN	⇒	Market		false
MARKET	DO_NOT_INCREASE	NaN	NaN	⇒	Market	❌	true
LIMIT		✅	NaN	⇒	Limit	✅	false
LIMIT	DO_NOT_INCREASE	✅	NaN	⇒	Limit	✅	true

ModifyOrder

TBD

CancelOrder

TBD

CancelAllOrders

TBD

Comments

• The gateway can not simultaneously support all product categories due to overlapping symbol names, e.g. BTCUSDT being both spot and linear. For this reason, the --api flag controls the product category and, if necessary, the --name or --exchange flags must be configured to appropriately differentitate the sources.

• The order channel doesn’t give us any information about last traded, only the aggregate fields (traded / remaining / average price) are available. The last trade price/quantity fields are therefore estimated.

  Note

  The execution channel will independently report the fills.

• TopOfBook is based on orderbook.1 for spot and tickers for all other categories.

References

Common

• Using Conda

• Using Flags

• Gateway Flags

• Gateway Config

Exchange

• Website

• Documentation