roq-huobi#

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

Unstable

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

Using#

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

Flags#

$ roq-huobi --help

Flags

--exchange (huobi): Exchange identifier

REST

--rest_uri (https://api.huobi.pro): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/v1/common/timestamp): Ping path
--rest_request_timeout (30s): Request timeout
--rest_listen_key_refresh (1800s): Listen key refresh period
--rest_order_recv_window (5000ms): Receive window
--rest_cancel_on_disconnect (false): Cancel orders on disconnect?

--ws_market_uri (wss://api.huobi.pro/ws): Exchange end-point
--ws_mbp_uri (wss://api.huobi.pro/feed): Exchange end-point
--ws_order_uri (wss://api.huobi.pro/ws/v2): Exchange end-point
--ws_ping_freq (5s): Ping frequency
--ws_max_subscriptions_per_stream (128): Maximum number of symbols per connection
--ws_request_delay (100ms): Request delay
--ws_mbp_request_max_retries (3): Request max retries

Misc

--request_limit (10): Request limit per interval
--request_limit_interval (1s): Request limit monitor interval
--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/flags/prod/flags.cfg

# flagfile for the roq-huobi gateway

--rest_uri=https://api.huobi.pro
--ws_market_uri=wss://api.huobi.pro/ws
--ws_mbp_uri=wss://api.huobi.pro/feed
--ws_order_uri=wss://api.huobi.pro/ws/v2

Configuration#

Gateway Config

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

Important

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

symbols = [
  "^btcusd[a-z]$",
  "^ethusd[a-z]$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_HUOBI_API_KEY_GOES_HERE"
  secret = "YOUR_HUOBI_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	market.$symbol.bbo
`roq::MarketByPriceUpdate`	MBPFeed	market.$symbol.mbp.20
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	market.$symbol.trade.detail
`roq::StatisticsUpdate`	MarketData	market.$symbol.ticker, market.$symbol.detail

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/v1/common/currencys, /v1/common/symbols
`roq::MarketStatus`	MarketData	/v1/common/symbols
`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`

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

MarketData

Type	Comments
WebSocket	Primary purpose

MBPFeed

Type	Comments
WebSocket	Primary purpose

Constraints#

Comments#

Only including symbols having state=ONLINE and api_trading=ENABLED