roq-coinbase-pro¶

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-coinbase-pro

Unstable

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

Using¶

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

Flags¶

$ roq-coinbase-pro --help

Flags

--exchange (coinbase-pro): Exchange identifier

FIX

--fix_uri (tcp+ssl://fix-public.sandbox.pro.coinbase.com:4198): Exchange end-point
--fix_ping_freq (5s): Ping frequency
--fix_request_timeout (15s): Request timeout
--fix_cancel_on_disconnect (true): Cancel orders on disconnect?
--fix_self_trade_prevention (N): Self trade prevention: N=incoming order, B=both orders (string)
--fix_debug (false): (DEBUG) log fix messages?

REST

--rest_uri (https://api-public.sandbox.pro.coinbase.com): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/time): Ping path
--rest_request_timeout (30s): Request timeout

--ws_uri (wss://ws-feed-public.sandbox.pro.coinbase.com): Exchange end-point
--ws_ping_freq (5s): Ping frequency
--ws_max_subscriptions_per_stream (16): Maximum number of symbols per connection
--ws_include_status (false): Include status updates?

Misc

--enable_market_by_order (false): Include market-by-order?
--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size
--mbp_allow_price_inversion (true): Allow price inversion?

Environments¶

Prod

$ $CONDA_PREFIX/share/roq-coinbase-pro/flags/prod/flags.cfg

# flagfile for the roq-coinbase-pro gateway

--fix_uri=tcp+ssl://fix.pro.coinbase.com:4198
--ws_uri=wss://ws-feed.pro.coinbase.com
--rest_uri=https://api.pro.coinbase.com

Test

$ $CONDA_PREFIX/share/roq-coinbase-pro/flags/test/flags.cfg

# flagfile for the roq-coinbase-pro gateway

--fix_uri=tcp+ssl://fix-public.sandbox.pro.coinbase.com:4198
--ws_uri=wss://ws-feed-public.sandbox.pro.coinbase.com
--rest_uri=https://api-public.sandbox.pro.coinbase.com

Configuration¶

Gateway Config

$ $CONDA_PREFIX/share/roq-coinbase-pro/config.toml

Important

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

symbols = [
  "^BTC-USD[A-Z]?$",
  "^ETH-USD[A-Z]?$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_COINBASE_PRO_API_KEY_GOES_HERE"
  password = "YOUR_COINBASE_PRO_PASSPHRASE_GOES_HERE"
  secret = "YOUR_COINBASE_PRO_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`	Rest	status
`roq::MarketStatus`	Rest	status
`roq::TopOfBook`	MarketData	ticker	No quantity from exchange
`roq::MarketByPriceUpdate`	MarketData	snapshot, l2update
`roq::MarketByOrderUpdate`	MarketData	open, change, done
`roq::TradeSummary`	MarketData	match
`roq::StatisticsUpdate`	MarketData	ticker

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics¶

Type	Comments
`OPEN_PRICE`
`HIGHEST_TRADED_PRICE`
`LOWEST_TRADED_PRICE`

Order Management¶

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	ExecutionReport (8)
`roq::TradeUpdate`	DropCopy	Match

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`
`roq::TradeUpdate`

Request

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

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	ExecutionReport (8), OrderCancelReject (9)

Order Types¶

Type	Comments
`MARKET`	Mapped to `'1'` (FIX)
`LIMIT`	Mapped to `'2'` (FIX)
`STOP_LIMIT`	Mapped to `'4'` (FIX)

Time in Force¶

Type	Comments
`GTC`	Mapped to `'1'` (FIX)
`IOC`	Mapped to `'3'` (FIX)
`FOK`	Mapped to `'4'` (FIX)

Note

A non-standard value of 'P' (FIX) is used to indicate “Post-Only. This value is derived from Execution Instruction (see below) and will override any other value of Time in Force.

Position Effect¶

Note

Not supported

Execution Instructions¶

Type	Comments
`CANCEL_IF_NOT_BEST`	Mapped to the `'P'` (FIX) used by Time in Force

Account Management¶

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`			Unavailable
`roq::FundsUpdate`			Unavailable

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`			Unavailable
`roq::FundsUpdate`	Rest	accounts

Streams¶

OrderEntry

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

DropCopy

Type	Comments
WebSocket	Primary purpose live account updates, including orders and fills Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

live account updates, including orders and fills

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 reference data, market statussupport, and funds

Constraints¶

Rate-limit usage is not communicated by the exchange
FIX OrderMassCancelRequest (q) is not supported and orders must therefore be canceled one by one

Comments¶

WebSocket is through a third-party CDN (CloudFlare) with all the issues such a solution entails.
FIX support is minimal and only supporting very basic order management.
Fills are not available from the FIX connection and there is a probability Match messages are lost from WebSocket connection. YOU SHOULD NOT RELY ON TRADE UPDATES FOR YOUR POSITION KEEPING !!!
TradeUpdate
- You should not rely on this feed for your position keeping.
FundsUpdate
- Only downloaded immediately after connection has been established.