roq-gemini¶

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

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

Unstable

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

Using¶

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

Flags¶

$ roq-gemini --help

Flags

--exchange (gemini): Exchange identifier

FIX

--fix_mkt_uri (tcp://3.220.21.165:1514): Exchange end-point
--fix_mkt_ping_freq (30s): Ping frequency
--fix_mkt_request_timeout (15s): Request timeout
--fix_mkt_debug (false): (DEBUG) Log fix messages?
--fix_ord_uri (tcp://3.220.21.165:1514): Exchange end-point
--fix_ord_ping_freq (30s): Ping frequency
--fix_ord_cancel_on_disconnect (true): Cancel orders on disconnect?
--fix_ord_debug (false): (DEBUG) Log fix messages?
--fix_drp_uri (tcp://3.220.21.165:1514): Exchange end-point
--fix_drp_ping_freq (30s): Ping frequency
--fix_drp_debug (false): (DEBUG) Log fix messages?

REST

--rest_uri (https://api.sandbox.gemini.com/v1): Exchange end-point
--rest_ping_freq (30s): Ping frequency
--rest_rate_limit_interval (60s): Rate limit monitor interval
--rest_rate_limit_max_requests (600): Rate limit max requests (per interval)

Misc

--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size
--mbp_allow_price_inversion (true): Allow price inversion?

Environments¶

Configuration¶

Gateway Config

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

Important

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

symbols = ".*"

[order_entry]
  sender = "YOUR_GEMINI_ORDER_ENTRY_SENDER_GOES_HERE"
  target = "YOUR_GEMINI_ORDER_ENTRY_TARGET_GOES_HERE"

[market_data]
  sender = "YOUR_GEMINI_MARKET_DATA_SENDER_GOES_HERE"
  target = "YOUR_GEMINI_MARKET_DATA_TARGET_GOES_HERE"

[drop_copy]
  sender = "YOUR_GEMINI_DROP_COPY_SENDER_GOES_HERE"
  target = "YOUR_GEMINI_DROP_COPY_TARGET_GOES_HERE"

[accounts]

  [accounts.A1]
  master = true
  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	SecurityList (y)	Incomplete
`roq::MarketStatus`	MarketData	SecurityList (y)	Incomplete
`roq::TopOfBook`			Unavailable
`roq::MarketByPriceUpdate`	MarketData	MarketDataSnapshotFullRefresh (W), MarketDataIncrementalRefresh (X)
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	MarketDataIncrementalRefresh (X)
`roq::StatisticsUpdate`			Unavailable

Download

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

Statistics¶

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`

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	NewOrderSingle (D)
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	OrderEntry	OrderCancelRequest (F)
`roq::CancelAllOrders`	Rest	/v1/order/cancel/all	Not implemented

Response

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

Order Types¶

Type	Comments
`MARKET`	Mapped to `'1'` (FIX)
`LIMIT`	Mapped to `'2'` (FIX)
`STOP_LIMIT`	Mapped to `'4'` (FIX)

Time in Force¶

Type	Comments
`GTC`	Mapped to `'1'` (FIX)
`IOC`	Mapped to `'3'` (FIX)
`FOK`	Mapped to `'4'` (FIX)
`AT_THE_CLOSE`	Mapped to `'7'` (FIX)

Position Effect¶

Note

Not supported

Execution Instructions¶

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

Account Management¶

Live

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

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`			Unavailable
`roq::FundsUpdate`	Rest	balaneces	Not implemented

Streams¶

OrderEntry

Type	Comments
FIX	Primary purpose support order management Each connection supports a single account

DropCopy

Type	Comments
FIX	Primary purpose live account updates, including orders and fills Each connection supports a single account The master account is used to discover the full list of symbols (by downloading exchange info) request depth snapshots

MarketData

Type	Comments
FIX	Primary purpose live market data Each connection supports a slice of the symbols

Comments¶

FIX supports both order management and market data.
Support for reference data and market status is completely missing from all API interfaces. YOU SHOULD NOT RELY ON REFERENCE DATA AND MARKET STATUS FOR ANYTHING.
REST
- Not implemented.
ReferenceData, MarketStatus
- You should not rely on these feeds.