roq-crypto-futures#

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-crypto-futures

Unstable

$ mamba install \
      --channel https://roq-trading.com/conda/unstable \
      roq-crypto-futures

Using#

$ roq-crypto-futures \
      --name "crypto-futures" \
      --config_file $CONFIG_FILE_PATH \
      --client_listen_address $UNIX_SOCKET_PATH \
      --flagfile $ENVIRONMENT_FLAGFILE

Flags#

$ roq-crypto-futures --help

Flags

--exchange (crypto-futures): Exchange identifier

REST

--rest_uri (https://uat-deriv-api.3ona.co): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/api/spot/v1/public/time): Ping path
--rest_request_timeout (30s): Request timeout
--rest_download_orders_page_size (500): Page size used when downloading orders
--rest_download_orders_begin (24h): Download orders since (now - begin)
--rest_download_only_active_orders (false): Download only active orders?
--rest_download_fills_page_size (500): Page size used when downloading fills
--rest_download_fills_begin (24h): Download fills since (now - begin)
--rest_token_refresh_freq (8h): Token refresh frequency

--ws_market_uri (wss://uat-deriv-stream.3ona.co/v1/market): Exchange end-point
--ws_user_uri (wss://uat-deriv-stream.3ona.co/v1/user): Exchange end-point
--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_request_delay (500ms): Request delay
--ws_mbp_request_max_retries (3): Request max retries

Misc

--request_limit (80): Request limit per interval
--request_limit_interval (10s): Request limit monitor interval
--self_trade_prevention (CN): Self-trade prevention: CN, CO, CB, DC
--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size
--mbp_allow_price_inversion (false): Allow price inversion?

Environments#

Prod

$ $CONDA_PREFIX/share/roq-crypto-futures/flags/prod/flags.cfg

# flagfile for the roq-crypto-futures gateway

--rest_uri=https://deriv-api.crypto.com
--ws_market_uri=wss://deriv-stream.crypto.com/v1/market
--ws_user_uri=wss://deriv-stream.crypto.com/v1/user

Test

$ $CONDA_PREFIX/share/roq-crypto-futures/flags/test/flags.cfg

# flagfile for the roq-crypto-futures gateway

--rest_uri=https://uat-deriv-api.3ona.co
--ws_market_uri=wss://uat-deriv-stream.3ona.co/v1/market
--ws_user_uri=wss://uat-deriv-stream.3ona.co/v1/user

Configuration#

Gateway Config

$ $CONDA_PREFIX/share/roq-crypto-futures/config.toml

Important

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

symbols = "BTCUSD.*"

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_CRYPTO_FUTURES_API_KEY_GOES_HERE"
  secret = "YOUR_CRYPTO_FUTURES_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`
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/v1/public/get-instruments
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`TRADE_VOLUME`	(spot.tickers) `quote_volume`

Order Management#

Live

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

Download

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

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`
`roq::ModifyOrder`
`roq::CancelOrder`
`roq::CancelAllOrders`

Response

Event	Stream	Messages	Comments
`roq::OrderAck`

Order Types#

TBD

Time in Force#

TBD

Position Effect#

TBD

Execution Instructions#

TBD

Account Management#

Live

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

Download

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

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

Constraints#

Comments#

All symbols having tradable != true are dropped.
The rate-limiter is quite strict
- Currently getting DISCONNECTED when subscribing more channels…!?
- Maybe need a queue for subscribtions…
- Also, there’s a warning about not subscribing during the first second
Market data
- Book is full snapshot on each update (must convert to incremental)
- Need custom parser for book due to nested arrays