roq-bybit¶

Stable

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

Unstable

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

`roq-bybit`¶

Description¶

roq-bybit is a gateway

Supports¶

Products

Spot	✓
Futures	✓
Options	✓
Combos

Market Data

Reference Data	✓
Market Status	✓
Top of Book	✓
Market by Price (L2)	✓
Market by Order (L3)
Trade Summary	✓
Statistics	✓

Order Management

Create	✓
Modify	✓
Cancel	✓
Cancel All	✓
Auto-Cancel

Account Management

Positions	✓
Funds	✓

Flags¶

$ roq-bybit --help

Flags

--exchange (bybit): Exchange identifier
--api (pot): API (spot, linear, inverse or option)

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_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_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

--download_trades_lookback (300s): Lookback period when downloading trades (following a disconnect)
--download_trades_lookback_on_restart: Lookback period when downloading trades (initial download)
--download_trades_limit (100): Maximum number of trades per response (exchange limit)

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

$ $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

Test

$ $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

Configuration¶

$ $CONDA_PREFIX/share/roq-bybit/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]?$",  # spot + linear + inverse
  "^BTC-.*-.*-[PC]$"  # 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¶

Live

Event	Stream	Messages
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`	MarketData	orderbook.1.<symbol> (spot) tickers.<symbols> (other)
`roq::MarketByPriceUpdate`	MarketData	orderbook.<ws_mbp_depth>.<symbol>
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	publicTrade.<symbol>
`roq::StatisticsUpdate`	MarketData	tickers.<symbol>

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/v5/market/instruments-info
`roq::MarketStatus`	Rest	/v5/market/instruments-info
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics¶

Type	Comments
`HIGHEST_TRADED_PRICE`	(tickers) `h`
`LOWEST_TRADED_PRICE`	(tickers) `l`
`CLOSE_PRICE`	(tickers) `c`
`TRADE_VOLUME`	(tickers) `v`

Order Management¶

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	/v5/order/realtime
`roq::TradeUpdate`	OrderEntry	/v5/execution/list

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	/v5/order/create
`roq::ModifyOrder`	OrderEntry	/v5/order/amend
`roq::CancelOrder`	OrderEntry	/v5/order/cancel
`roq::CancelAllOrders`	OrderEntry	/v5/order/cancel-all

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry

Order Types¶

Type	Comments
`MARKET`	Mapped to `'MARKET'` (JSON)
`LIMIT`	Mapped to `'LIMIT'` or `'LIMIT_MAKER'` (JSON)

Time in Force¶

Type	Comments
`GTC`	Mapped to `'GTC'` (JSON)
`FOK`	Mapped to `'FOK'` (JSON)
`IOC`	Mapped to `'IOC'` (JSON)

Position Effect¶

Note

Not supported

Execution Instructions¶

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `'LIMIT_MAKER'` (JSON)

Account Management¶

Live

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

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	/v5/position/list”
`roq::FundsUpdate`	OrderEntry	/v5/account/wallet-balance

Streams¶

Rest

Type	Comments
REST	Primary purpose discover the full list of symbols

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

OrderEntry

Type	Comments
REST	Primary purpose Order actions

DropCopy

Type	Comments
WebSocket	Primary purpose order updates

Type

Comments

WebSocket

Primary purpose

order updates

Constraints¶

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.

Comments¶

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

roq-bybit¶

`roq-bybit`¶

Description¶

Supports¶

Flags¶

Environments¶

Configuration¶

Market Data¶

Statistics¶

Order Management¶

Order Types¶

Time in Force¶

Position Effect¶

Execution Instructions¶

Account Management¶

Streams¶

Constraints¶

Comments¶

References¶

Common¶

Bybit¶