Coinbase Pro¶

roq-coinbase-pro

Environments¶

Production ¶

Option	Value	Type	Comment(s)
`--fix_uri`	`tcp+ssl://fix.pro.coinbase.com:4198`	FIX
`--ws_uri`	`wss://ws-feed.pro.coinbase.com`	WebSocket	Cloudflare
`--rest_uri`	`https://api.pro.coinbase.com`	REST	Cloudflare

Data center: us-east-1, AWS, USA, North Virginia

Test ¶

Option	Value	Type	Comment(s)
`--fix_uri`	`tcp+ssl://fix-public.sandbox.pro.coinbase.com:4198`	FIX
`--ws_uri`	`wss://ws-feed-public.sandbox.pro.coinbase.com`	WebSocket	Cloudflare
`--rest_uri`	`https://api-public.sandbox.pro.coinbase.com`	REST	Cloudflare

Data center: us-east-1, AWS, USA, North Virginia

Installation¶

Conda¶

Install

conda install -y roq-coinbase-pro

Configuration

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

# then modify $CONFIG_FILE_PATH to match your specific configuration

Using

roq-coinbase-pro \
      --name "coinbase-pro" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --metrics_listen_address "$TCP_LISTEN_PORT" \
      --rest_uri "$REST_URI" \
      --fix_uri "$FIX_URI" \
      --ws_uri "$WS_URI"

Flags¶

Only notable flags are mentioned here. Please refer to roq-coinbase-pro --help for all flags.

--cancel_on_disconnect: The Logon FIX message can be used to instruct the exchange to automatically cancel all orders if the exchange detects a disconnect.
--self_trade_prevention: The NewOrderSingle FIX message has a policy field to prevent self trading in the case a new order would match a resting order. Please refer to the API for possible values.
--ws_include_status: Default is to not include the Status updates from the Web-Socket feed. These updates arrive periodically and contains a snapshot for all instruments. Parsing such updates has relatively expensive (due to the size of the message) and will therefore have a latency impact. You should enable this flag if you rely on accurate reference data updates and/or market status changes.

Ansible ¶

Edit your inventory file and add your server to the roq_coinbase_pro group

[roq_coinbase_pro]
MY_SERVER

Docker ¶

docker pull roqtrading/roq-coinbase-pro

Note

Please contact us, if you want to use the Docker image.

Implementation¶

Restrictions¶

FundsUpdate: Only downloaded immediately after connection has been established.
TradeUpdate: You should not rely on this feed for your position keeping.

Incoming Events¶

Event	Connection	Message(s)	Comment(s)
ReferenceData	WS	status
MarketStatus	WS	status
TopOfBook			Not available
MarketByPrice	WS	snapshot, l2update
MarketByOrder	WS	open, change done
TradeSummary	WS	match
SessionStatistics	WS	ticker
DailyStatistics	WS	ticker
OrderAck	FIX	ExecutionReport, OrderCancelReject
OrderUpdate	FIX	ExecutionReport
TradeUpdate	WS	Match
PositionUpdate			Not available
FundsUpdate	REST	accounts

Outgoing Events¶

Event	Connection	Message(s)	Comment(s)
CreateOrder	FIX	NewOrderSingle
ModifyOrder			Not available
CancelOrder	FIX	OrderCancelRequest

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 !!!