roq-bybit

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

$ mamba 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
--exchange (bybit)

Exchange identifier

--api (pot)

API (spot, linear, inverse or option)

--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_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_allow_price_inversion (false)

Allow price inversion?

--request_limit (10)

Maximum number of requests per interval

--request_limit_interval (1s)

Monitor interval

--encode_buffer_size (1048576)

Encode buffer size

--decode_buffer_size (10485760)

Decode buffer size

Environments

$ $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

$ $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]?$",
  "^ETHUSD[A-Z]?$"
]

[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

Event

Stream

Messages

Comments

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>

Event

Stream

Messages

Comments

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

Event

Stream

Messages

Comments

roq::OrderUpdate

DropCopy

order

roq::TradeUpdate

DropCopy

execution

Event

Stream

Messages

Comments

roq::OrderUpdate

OrderEntry

/v5/order/realtime

roq::TradeUpdate

OrderEntry

/v5/execution/list

Event

Stream

Messages

Comments

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

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

Event

Stream

Messages

Comments

roq::PositionUpdate

DropCopy

position

roq::FundsUpdate

DropCopy

wallet

Event

Stream

Messages

Comments

roq::PositionUpdate

OrderEntry

/v5/position/list”

roq::FundsUpdate

OrderEntry

/v5/account/wallet-balance

Streams

Type

Comments

REST

Primary purpose

  • discover the full list of symbols

Type

Comments

WebSocket

Primary purpose

  • live market data

Each connection

  • supports a slice of the symbols

Type

Comments

REST

Primary purpose

  • Order actions

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.

References

Common

Bybit