roq-deribit¶

Stable

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

Unstable

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

`roq-deribit`¶

$ roq-deribit [FLAGS]

Description¶

roq-deribit is a gateway

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	✓

Flags¶

$ roq-deribit --help

Flags

--exchange (deribit): Exchange identifier

FIX

--fix_uri (tcp://test.deribit.com:9881): Exchange end-point
--fix_ping_freq (5s): Ping frequency
--fix_request_timeout (15s): Request timeout
--fix_cancel_on_disconnect (true): Auto-cancel orders on disconnect?
--fix_market_data_max_subscriptions_per_stream (256): Maximum number of symbols per connection
--fix_market_data_request_max_size (56): Max batch size (it appears there is a limit)
--fix_market_data_market_depth (20): Market depth (see deribit documentation)
--fix_debug (false): (DEBUG) Log fix messages?
--fix_continue_from_parse_exception (false): (TEST) Continue if message can’t be parsed?
--fix_terminate_on_market_data_request_reject (false): (TEST) Terminate if market data request has been rejected?
--fix_test_order_disconnect: (TEST) Disconnect order stream if silent for this period
--fix_test_order_logon: (TEST) Logon order stream after this period
--fix_test_market_data_disconnect: (TEST) Disconnect market data stream after this period

--ws_uri (wss://test.deribit.com/ws/api/v2): Exchange end-point
--ws_host: Host (when URI is an IP address)
--ws_ping_freq (5s): Ping frequency
--ws_request_timeout (15s): Request timeout
--ws_market_data_max_subscriptions_per_stream (256): Maximum number of symbols per connection
--ws_ticker_interval (100ms): Ticker interval
--ws_allow_errors (false): (TEST) Allow errors
--ws_disable_quote (false): Disable quote subscription

Multicast

--multicast_config_file: Config file (path)
--multicast_channel_ids: Comma-separated list of multicast channels, e.g. 1)
--multicast_local_interface: Multicast local interface
--multicast_disable_top_of_book (false): Default is to consume TopOfBook from the multicast feed
--multicast_disable_trade_summary (false): Default is to consume TradeSummary from the multicast feed
--multicast_disable_market_by_price (false): Default is to consume MarketByPrice from the multicast feed
--multicast_timeout (90s): Timeout when waiting for snapshot

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)

MBP

--mbp_allow_price_inversion (true): Allow price inversion?

Request

--request_limit (20): 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
--disable_deribit_143 (false): (TEST) Disable #143
--disable_master_account_check (false): (TEST) Disable requirement for master account
--test_local_interface: Local interface
--use_fix_reference_data (false): Revert to using FIX to get ReferenceData?

Environments¶

Prod

$ $CONDA_PREFIX/share/roq-deribit/flags/prod/flags.cfg

# flagfile for the roq-deribit gateway
# exchange servers are located in LD4, Equinix, Slough, UK

--fix_uri=tcp://www.deribit.com:9881
--ws_uri=wss://www.deribit.com/ws/api/v2

Test

$ $CONDA_PREFIX/share/roq-deribit/flags/test/flags.cfg

# flagfile for the roq-deribit gateway
# exchange servers are located in LD4, Equinix, Slough, UK

--fix_uri=tcp://test.deribit.com:9881
--ws_uri=wss://test.deribit.com/ws/api/v2

Configuration¶

$ $CONDA_PREFIX/share/roq-deribit/config.toml

Important

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

symbols = [
  "^BTC-[0-9]{1,2}[A-Z]{3}[0-9]{2}$",  # futures
  "^ETH-[0-9]{1,2}[A-Z]{3}[0-9]{2}$",  # futures
  "^BTC(_USD[A-Z]?)?-PERPETUAL$",      # swaps
  "^ETH(_USD[A-Z]?)?-PERPETUAL$",      # swaps
  "^BTC(-USD[A-Z]?)?-DERIBIT-INDEX$",  # index
  "^ETH(-USD[A-Z]?)?-DERIBIT-INDEX$"   # index
]

[accounts]

  [accounts.A1]
  master = true
  symbols = [ ".*" ]
  login = "YOUR_DERIBIT_LOGIN_GOES_HERE"
  secret = "YOUR_DERIBIT_SECRET_GOES_HERE"

[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`	MarketData	SecurityList (y)
`roq::MarketStatus`	WebSocket	ticker
`roq::TopOfBook`	WebSocket	quote
`roq::MarketByPriceUpdate`	MarketData	MarketDataSnapshotFullRefresh (W), MarketDataIncrementalRefresh (X)
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	MarketDataIncrementalRefresh (X)
`roq::StatisticsUpdate`	MarketData	MarketDataIncrementalRefresh (X)

Download

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

Statistics¶

Type	Comments
`INDEX_VALUE`	Value of Index for INDEX instruments like BTC-DERIBIT-INDEX. MarketDataIncrementalRefresh (X) / MDEntryType (269) / Index Value (3).
`SETTLEMENT_PRICE`	Estimated Delivery Price for INDEX instruments like BTC-DERIBIT-INDEX MarketDataIncrementalRefresh (X) / MDEntryType (269) / Settlement Price (6).
`PRE_OPEN_INTEREST`	Open interest for the symbol. MarketDataIncrementalRefresh (X) / OpenInterest (790)
`PRE_SETTLEMENT_PRICE`	Mark price for the symbol. MarketDataIncrementalRefresh (X) / MarkPrice (100090)

Order Management¶

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`
`roq::TradeUpdate`	DropCopy	private/get_user_trades_by_currency

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	NewOrderSingle (D)
`roq::ModifyOrder`	OrderEntry	OrderCancelReplaceRequest (G)
`roq::CancelOrder`	OrderEntry	OrderCancelRequest (F)
`roq::CancelAllOrders`	OrderEntry	OrderMassCancelRequest (q)

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	ExecutionReport (8), OrderCancelReject (9), Reject (3)

Order Types¶

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

Time in Force¶

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

Position Effect¶

Note

Not supported

Execution Instructions¶

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `'6'` (FIX)
`DO_NOT_INCREASE`	Mapped to `'E'` (FIX)

Account Management¶

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	RequestForPositions (AN) / PositionReport(AP)
`roq::FundsUpdate`			Unavailable

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	RequestForPositions (AN) / PositionReport(AP)
`roq::FundsUpdate`	DropCopy	private/get_account_summary

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 positions and funds Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

live account updates, including positions and funds

Each connection

supports a single account

MarketData

Type	Comments
FIX	Primary purpose live market data (everything else) Each connection supports a slice of the symbols The master account is used to authenticate, only

WebSocket

Type	Comments
WebSocket	Primary purpose live market data (top of book + market status) Each connection supports a slice of the symbols The first connection is used to download currencies and symbols

Type

Comments

WebSocket

Primary purpose

live market data (top of book + market status)

Each connection

supports a slice of the symbols

The first connection is used to

download currencies and symbols

Multicast

Type	Comments
UDP	Primary purpose live market data (level 2 + top of book + market status)

Constraints¶

The gateway requires a master account definition to be functional. This is needed by the FIX protocol, even for the market data connection.
The field DeribitLabel (FIX tag 100010) is limited to 64 characters
The multicast feed can only be used by a single effective user id. This is a Linux restriction.
The multicast protocol is flawed due to the snapshot channel containing no more than 10k levels (on either side) and the events channel including book updates for all levels.

Note

There are currently no work-arounds implemented to deal with this.

Comments¶

The gateway must be restarted at least daily if you use the multicast feed. The reason is the snapshot vs events inconsistency mentioned under the constraints. The book effectively becomes more and more wrong for big market moves.

`roq-deribit-filter`¶

$ roq-deribit-filter [FLAGS]

Description¶

roq-deribit-filter is a tool to generate the PCAP filter required to capture specific channels.

Flags¶

$ roq-deribit-filter --help

Flags

--type: Type of output, e.g. tcpdump.

Multicast

--multicast_config_file: Multicast channel config file.
--multicast_channel_ids: Comma-separated list of multicast channels to include.

Example¶

$ roq-deribit-filter \
    --type "tcpdump" \
    --multicast_channel_ids 1,2 \
    --multicast_config_file "$CONDA_PREFIX/share/roq-deribit/prod/channels.json"

(port 6100 or port 6101) and (host 239.111.111.1 or host 239.111.111.2)

This will output a tcpdump filter for channel_ids.

roq-deribit¶

`roq-deribit`¶

Description¶

Supports¶

Flags¶

Environments¶

Configuration¶

Market Data¶

Statistics¶

Order Management¶

Order Types¶

Time in Force¶

Position Effect¶

Execution Instructions¶

Account Management¶

Streams¶

Constraints¶

Comments¶

`roq-deribit-filter`¶

Description¶

Flags¶

Example¶

References¶

Common¶

Deribit¶

roq-deribit¶

roq-deribit¶

Description¶

Supports¶

Flags¶

Environments¶

Configuration¶

Market Data¶

Statistics¶

Order Management¶

Order Types¶

Time in Force¶

Position Effect¶

Execution Instructions¶

Account Management¶

Streams¶

Constraints¶

Comments¶

roq-deribit-filter¶

Description¶

Flags¶

Example¶

References¶

Common¶

Deribit¶

`roq-deribit`¶

`roq-deribit-filter`¶