roq-gate¶

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-gate

Unstable

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

Using¶

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

Flags¶

$ roq-gate --help

Flags

--exchange ("gate): Exchange identifier

REST

--rest_uri ({"https://api.gateio.ws/api/v4"s}): Exchange end-point
--rest_proxy ({""s}): Proxy end-point
--rest_ping_freq ({5s}): Ping frequency
--rest_ping_path ("/): 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_uri ({"wss://api.gateio.ws/ws/v4/"s}): Exchange end-point
--ws_ping_freq ({5s}): Ping frequency
--ws_request_timeout ({15s}): Request timeout
--ws_max_subscriptions_per_stream (256): 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 (true): Allow price inversion?
--order_book_depth (100): Order book depth
--order_book_freq ({100ms}): Order book frequency

Environments¶

Prod

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

# flagfile for the roq-gate gateway

--rest_uri=https://api.gateio.ws/api/v4
--ws_uri=wss://api.gateio.ws/ws/v4/

Configuration¶

Gateway Config

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

Important

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

symbols = [
  "^BTC_USD[A-Z]?$",
  "^ETH_USD[A-Z]?$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_GATE.IO_API_KEY_GOES_HERE"
  secret = "YOUR_GATE.IO_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
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`	MarketData	spot.book_ticker
`roq::MarketByPriceUpdate`	MarketData	spot.order_book_update
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	spot.trades
`roq::StatisticsUpdate`	MarketData	spot.tickers

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/spot/currencies, /spot/currency_pairs
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	Rest	/spot/order_book
`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¶

Order book updates are throttled at 100ms (default) or 1000ms.
Order books appear to allow inverted prices.

Comments¶

All symbols not having trade_status == tradable are dropped.
Order/account management is completely missing (needs sponsorship).