roq-dydx#

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#

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

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

Using#

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

Flags#

$ roq-dydx --help
--exchange (dydx)

Exchange identifier

--rest_uri (https://api.stage.dydx.exchange)

Exchange end-point

--rest_proxy

Proxy end-point

--rest_ping_freq (5s)

Ping frequency

--rest_ping_path (/v3/time)

Ping path

--rest_request_timeout (30s)

Request timeout

--ws_uri (wss://api.stage.dydx.exchange/v3/ws)

Exchange end-point

--ws_ping_freq (5s)

Ping frequency

--request_limit (8)

Request limit per interval

--request_limit_interval (5s)

Request limit monitor interval

--encode_buffer_size (1048576)

Encode buffer size

--decode_buffer_size (10485760)

Decode buffer size

--mbp_allow_price_inversion (true)

Allow price inversion?

--mbp_max_depth

Max depth levels (count)

Environments#

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

# flagfile for the roq-dydx gateway

--rest_uri=https://api.dydx.exchange
--ws_uri=wss://api.dydx.exchange/v3/ws

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

# flagfile for the roq-dydx gateway

--rest_uri=https://api.stage.dydx.exchange
--ws_uri=wss://api.stage.dydx.exchange

Configuration#

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

Important

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

symbols = [
  "^BTC-[A-Z]{3}$",
  "^ETH-[A-Z]{3}$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_DYDX_API_KEY_GOES_HERE"
  secret = "YOUR_DYDX_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

MarketData

v3_markets

roq::MarketStatus

MarketData

v3_markets

roq::TopOfBook

Unavailable

roq::MarketByPriceUpdate

MarketData

v3_orderbook

roq::MarketByOrderUpdate

Unavailable

roq::TradeSummary

MarketData

v3_trades

roq::StatisticsUpdate

MarketData

v3_markets

Event

Stream

Messages

Comments

roq::ReferenceData

MarketData

v3_markets

roq::MarketStatus

MarketData

v3_markets

roq::TopOfBook

Unavailable

roq::MarketByPriceUpdate

MarketData

v3_orderbook

roq::MarketByOrderUpdate

Unavailable

roq::TradeSummary

Not used

roq::StatisticsUpdate

MarketData

v3_markets

Statistics#

Type

Comments

OPEN_INTEREST

(v3_markets) openInterest

INDEX_VALUE

(v3_markets) indexPrice

TRADE_VOLUME

(v3_markets) volume24H

FUNDING_RATE

(v3_markets) nextFundingRate

Order Management#

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::CreateOrder

roq::ModifyOrder

roq::CancelOrder

roq::CancelAllOrders

Event

Stream

Messages

Comments

roq::OrderAck

Streams#

Type

Comments

WebSocket

Primary purpose

  • live market data

One connection

Type

Comments

REST

Currently not used

One connection

Constraints#

Comments#