roq-huobi-futures#

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-huobi-futures

Unstable

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

Using#

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

Flags#

$ roq-huobi-futures --help

Flags

--exchange (huobi-futures): Exchange identifier
--api: API (<empty>, swap, linear-swap)

REST

--rest_uri (https://api.hbdm.com): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/api/v1/contract_api_state): Ping path
--rest_request_timeout (30s): Request timeout
--rest_listen_key_refresh (1800s): Listen key refresh period
--rest_order_recv_window (5000ms): Receive window, please refer to Binance documentation!
--rest_cancel_on_disconnect (false): Cancel orders on disconnect?
--rest_download_refresh (600s): Download refresh period

--ws_market_uri (wss://api.hbdm.com/ws): Exchange end-point
--ws_index_uri (wss://api.hbdm.com/ws_index): Exchange end-point
--ws_order_uri (wss://api.hbdm.com/notification): Exchange end-point
--ws_ping_freq (5s): Ping frequency
--ws_max_subscriptions_per_stream (32): Maximum number of symbols per connection
--ws_subscribe_depth_levels (0): Depth levels
--ws_subscribe_depth_freq (100ms): Depth update frequency
--ws_subscribe_trade_details (false): Report individual matches for trade summary? (bool)

Misc

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

Environments#

Prod

$ $CONDA_PREFIX/share/roq-huobi-futures/flags/prod/flags.cfg

# flagfile for the roq-huobi-futures gateway

--rest_uri=https://api.hbdm.com
--ws_market_uri=wss://api.hbdm.com/ws
--ws_order_uri=wss://api.hbdm.com/notification
--ws_index_uri=wss://api.hbdm.com/ws_index

Prod (swap)

$ $CONDA_PREFIX/share/roq-huobi-futures/flags/prod/flags-swap.cfg

# flagfile for the roq-huobi-futures gateway

--api=swap
--rest_uri=https://api.hbdm.com
--ws_market_uri=wss://api.hbdm.com/swap-ws
--ws_order_uri=wss://api.hbdm.com/swap-notification
--ws_index_uri=wss://api.hbdm.com/ws_index

Prod (linear-swap)

$ $CONDA_PREFIX/share/roq-huobi-futures/flags/prod/flags-linear-swap.cfg

# flagfile for the roq-huobi-futures gateway

--api=linear-swap
--rest_uri=https://api.hbdm.com
--ws_market_uri=wss://api.hbdm.com/linear-swap-ws
--ws_order_uri=wss://api.hbdm.com/linear-swap-notification
--ws_index_uri=wss://api.hbdm.com/ws_index

Configuration#

Gateway Config

$ $CONDA_PREFIX/share/roq-huobi-futures/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]?$",  # linear + swap
  "^ETH-USD[A-Z]?$",  # linear + swap
  "^BTC[0-9]{6}$",    # inverse
  "^ETH[0-9]{6}$"     # inverse
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_HUOBI_FUTURES_API_KEY_GOES_HERE"
  secret = "YOUR_HUOBI_FUTURES_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`	DropCopy	public.$symbol.contract_info	Requires authentication.
`roq::MarketStatus`
`roq::TopOfBook`	MarketData	market.$symbol.bbo
`roq::MarketByPriceUpdate`	MarketData	market.$symbol.depth.size_150.high_freq
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	market.$symbol.trade.detail
`roq::StatisticsUpdate`	MarketData	market.$symbol.detail, market.$symbol.estimated_rate.1min, market.$symbol.premium_index.1min, public.$symbol.funding_rate

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/api/v1/contract_contract_info, /linear-swap-api/v1/swap_contract_info
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`OPEN_PRICE`	(detail) open
`HIGHEST_TRADED_PRICE`	(detail) high
`LOWEST_TRADED_PRICE`	(detail) low
`CLOSE_PRICE`	(detail) close
`TRADE_VOLUME`	(detail) vol
`FUNDING_RATE`	(funding_rate) funding_rate
`FUNDING_RATE_PREDICTION`	(funding_rate) estimated_rate
`INDEX_VALUE`	(index) close

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#

OrderEntry

Type	Comments
REST	Primary purpose

Comments#

Symbols are only processed when contract_status==1
The channels premium_index and estimated_rate are not available when --api is inverse (or missing, the default).