roq-dydx

Links

• Website

• Support

• Documentation

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-dydx

Unstable

$ 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

• Using Flags

• Gateway Flags

$ roq-dydx --help

Flags

--exchange ("dydx)

Exchange identifier

REST

--rest_uri ({"https://api.stage.dydx.exchange"s})

Exchange end-point

--rest_proxy ({""s})

Proxy end-point

--rest_ping_freq ({5s})

Ping frequency

--rest_ping_path ("/v3/time)

Ping path

--rest_request_timeout ({30s})

Request timeout

WS

--ws_uri ({"wss://api.stage.dydx.exchange/v3/ws"s})

Exchange end-point

--ws_ping_freq ({5s})

Ping frequency

Misc

--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

Prod

$ $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

Test

$ $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

• Gateway Config

$ $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

Live

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

Download

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

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

Streams

Marketdata

Type	Comments
WebSocket	Primary purpose live market data One connection

Rest

Type	Comments
REST	Currently not used One connection

Constraints

Comments