roq-kraken-futures

Unstable

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

Stable

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

Supports

Products

Spot	❌
Futures	✅
Swap	✅
Option	❌

Market Data

ReferenceData	✅
MarketStatus	✅
TopOfBook	✅
MarketByPrice	✅
MarketByOrder	❌
TradeSummary	✅
Statistics	✅
TimeSeries	✅

Orders & Quotes

CreateOrder	✅
ModifyOrder	✅
CancelOrder	✅
CancelAllOrders	✅
MassQuote	❌
CancelQuotes	❌

Account

Funds	✅
Position	✅

Note

✅ = Available.

❎ = Not implemented.

❌ = Unavailable.

Using

$ roq-kraken-futures [FLAGS]

Flags

$ roq-kraken-futures --help

Flags

--exchange (kraken-futures)

Exchange identifier

REST

--rest_uri

Exchange end-point

--rest_proxy

Proxy end-point

--rest_ping_freq (5s)

Ping frequency

--rest_ping_path (/derivatives/api/v3/instruments/PF_XBTUSD/status)

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

--ws_uri

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?

Request

--request_limit (10)

Maximum number of requests per interval

--request_limit_interval (1s)

Monitor interval

Environments

Prod

$ --flagfile $CONDA_PREFIX/share/roq-kraken-futures/flags/prod/flags.cfg

# flagfile for the roq-kraken-futures gateway

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

Test

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

# flagfile for the roq-kraken-futures gateway

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

Configuration

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

Important

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

# config template for the roq-kraken-futures gateway

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

Inbound

TradingStatus

Event	Field	Value
ticker	suspended	false	⇒	OPEN
ticker	suspended	true	⇒	CLOSE

StatisticsType

Event	Field
ticker	open	⇒	OPEN_PRICE
ticker	mark_price	⇒	SETTLEMENT_PRICE
ticker	open_interest	⇒	OPEN_INTEREST
ticker	high	⇒	HIGHEST_TRADED_PRICE
ticker	low	⇒	LOWEST_TRADED_PRICE
ticker	relative_funding_rate	⇒	FUNDING_RATE
ticker	relative_funding_rate_prediction	⇒	FUNDING_RATE_PREDICTION
ticker	volume	⇒	TRADE_VOUME

Order Management

Inbound

OrderType

Enum
mkt	⇒	MARKET
lmt	⇒	LIMIT

TimeInForce

Enum
GTC	⇒	GTC
IOC	⇒	IOC

Outbound

CreateOrder

order_type	execution_instructions	price	stop_price		orderType	limitPrice	stopPrice	reduceOnly
MARKET		NaN	NaN	⇒	mkt	❌	❌
MARKET		NaN	✅	⇒	mkt	❌	✅
LIMIT		✅	NaN	⇒	LIMIT	✅	❌
LIMIT		✅	✅	⇒	mkt	✅	✅

ModifyOrder

TBD

CancelOrder

TBD

CancelAllOrders

TBD

Comments

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

• Statistics are using relative funding rates to be compatible with other exchanges

• Aggressive orders may only report fills on the WS channel (an open order never exists). This is an issue because we can potentially lose the REST response and then never be able to update the order status. An artificial OrderUpdate is therefore injected when receiving fills from the WS channel.

• Order updates have no information about last traded price/quantity and total average price. Although attempts are made to compute the right average price, this is not always possible and errors should be expected.

• Time-series can only be downloaded. There is no web-socket API for subscribing.

References

Common

• Using Conda

• Using Flags

• Gateway Flags

• Gateway Config

GitHub

• roq-kraken-futures

Exchange

• Website

• Documentation