roq-kraken-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-kraken-futures

Unstable

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

Using#

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

Flags#

$ roq-kraken-futures --help

Flags

--exchange (kraken-futures): Exchange identifier

REST

--rest_uri (https://demo-futures.kraken.com/derivatives): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/api/v3/instruments): Ping path
--rest_cancel_on_disconnect (true): Cancel orders on disconnect?
--rest_cancel_all_after (30s): Cancel all after, requires cancel-on-disconnect
--rest_request_timeout (30s): Request timeout
--rest_allow_order_request_pipeline (false): Allow more than one in-flight order action?
--rest_use_nonce (true): Use nonce for security?

--ws_uri (wss://demo-futures.kraken.com/ws/v3): Exchange end-point
--ws_ping_freq (5s): Ping frequency
--ws_request_timeout (15s): Request timeout
--ws_max_subscriptions_per_stream (128): Maximum number of symbols per connection

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-kraken-futures/flags/prod/flags.cfg

# flagfile for the roq-kraken-futures gateway

--rest_uri=https://futures.kraken.com/derivatives/
--ws_uri=wss://futures.kraken.com/ws/v3

Test

$ $CONDA_PREFIX/share/roq-kraken-futures/flags/test/flags.cfg

# flagfile for the roq-kraken-futures gateway

--rest_uri=https://demo-futures.kraken.com/derivatives/
--ws_uri=wss://demo-futures.kraken.com/ws/v3

Configuration#

Gateway Config

$ $CONDA_PREFIX/share/roq-kraken-futures/config.toml

Important

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

symbols = [
  "^FI_ETHUSD_[0-9]{6}$",  # futures
  "^FI_XBTUSD_[0-9]{6}$",  # futures
  "^PF_ETHUSD$",           # swaps
  "^PF_XBTUSD$"            # swaps
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_KRAKEN_FUTURES_API_KEY_GOES_HERE"
  secret = "YOUR_KRAKEN_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`
`roq::MarketStatus`	MarketData	ticker
`roq::TopOfBook`	MarketData	ticker
`roq::MarketByPriceUpdate`	MarketData	book
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	trade
`roq::StatisticsUpdate`	MarketData	ticker

Download

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

Statistics#

Type	Comments
`INDEX_VALUE`	(ticker) `index`
`SETTLEMENT_PRICE`	(ticker) `markPrice`
`FUNDING_RATE`	(ticker) `relative_funding_rate`
`FUNDING_RATE_PREDICTION`	(ticker) `relative_funding_rate_prediction`

Order Management#

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	open_orders
`roq::TradeUpdate`	DropCopy	fills

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	open_orders_snapshot
`roq::TradeUpdate`	DropCopy	fills_snapshot

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	/api/v3/sendorder
`roq::ModifyOrder`	OrderEntry	/api/v3/editorder
`roq::CancelOrder`	OrderEntry	/api/v3/cancelorder
`roq::CancelAllOrders`	OrderEntry	/api/v3/canceallorders

Response

Event	Stream	Messages	Comments
`roq::OrderAck`

Order Types#

Type	Comments
`MARKET`	Mapped to `mkt` (JSON)
`LIMIT`	Mapped to `lmt` (JSON)

Time in Force#

Type	Comments
`GTC`	Mapped to `ioc=false` (JSON)
`IOC`	Mapped to `ioc=true` (JSON)

Position Effect#

Note

Not supported

Execution Instructions#

Type	Comments
`DO_NOT_INCREASE`	Mapped to `reduce_only=true` (JSON)

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`	DropCopy	open_positions
`roq::FundsUpdate`	DropCopy	account_balances_and_margins

Download

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

Streams#

Rest

Type	Comments
REST	Primary purpose Download instruments

MarketData

Type	Comments
WebSocket	Primary purpose live market data (top of book + market status) Each connection supports a slice of the symbols

Type

Comments

WebSocket

Primary purpose

live market data (top of book + market status)

Each connection

supports a slice of the symbols

OrderEntry

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

DropCopy

Type	Comments
WebSocket	Primary purpose live account updates, including positions and funds Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

live account updates, including positions and funds

Each connection

supports a single account

Constraints#

The field cliOrdId is a string containing only web-safe characters.

Comments#

Order updates has no information about last traded price/quantity and total average price
There is a race between REST (ack) and WebSocket (update) for order actions
Some uncertainty around edit/cancel order and execution response
Statistics are using relative funding rates to be compatible with other exchanges