roq-kraken#

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

Unstable

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

Using#

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

Flags#

$ roq-kraken --help

Flags

--exchange (kraken): Exchange identifier

REST

--rest_uri (https://api.kraken.com): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/0/public/Time): Ping path
--rest_request_timeout (30s): Request timeout

--ws_public_uri (wss://beta-ws.kraken.com): Exchange end-point
--ws_public_ping_freq (5s): Ping frequency
--ws_public_request_timeout (15s): Request timeout
--ws_public_subscribe_book_depth (10): Book depth
--ws_public_max_subscriptions_per_stream (128): Maximum number of symbols per connection
--ws_private_uri (wss://beta-ws-auth.kraken.com): Exchange end-point
--ws_private_ping_freq (5s): Ping frequency
--ws_private_request_timeout (15s): Request timeout

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/flags/prod/flags.cfg

# flagfile for the roq-kraken gateway

--rest_uri=https://api.kraken.com
--ws_public_uri=wss://ws.kraken.com
--ws_private_uri=wss://ws-auth.kraken.com

Test

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

# flagfile for the roq-kraken gateway

--rest_uri=https://beta-api.kraken.com
--ws_public_uri=wss://beta-ws.kraken.com
--ws_private_uri=wss://beta-ws-auth.kraken.com

Configuration#

Gateway Config

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

Important

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

symbols = [
  "^ETH/USD[A-Z]?$",
  "^XBT/USD[A-Z]?$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_KRAKEN_API_KEY_GOES_HERE"
  secret = "YOUR_KRAKEN_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`			Unavailable
`roq::MarketStatus`			Unavailable
`roq::TopOfBook`	MarketData	spread
`roq::MarketByPriceUpdate`	MarketData	book
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	trade
`roq::StatisticsUpdate`			Not supported

Download

Event	Stream	Messages
`roq::ReferenceData`	OrderEntry	/0/public/AssetPairs
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Order Management#

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	openOrders	Not implemented
`roq::TradeUpdate`	DropCopy	ownTrades	Not implemented

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`
`roq::TradeUpdate`

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	DropCopy	addOrder	Not implemented
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	DropCopy	cancelOrder	Not implemented
`roq::CancelAllOrders`	DropCopy	cancelAll	Not implemented

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	DropCopy	addOrder, cancelOrder	Not implemented

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`	OrderEntry	/0/private/OpenPositions	Not implemented
`roq::FundsUpdate`	OrderEntry	/0/private/Balance, /0/private/TradeBalance	Not implemented

Streams#

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account maintains a listen key (used by the DropCopy stream) The master account is used to discover the full list of symbols (by downloading asset pairs)

DropCopy

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

Type

Comments

WebSocket

Primary purpose

live account updates, including orders and fills

Each connection

supports a single account

MarketData

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

Type

Comments

WebSocket

Primary purpose

live market data

Each connection

supports a slice of the symbols

Constraints#

Rate-limit usage is not communicated by the exchange

Order book ends up in bad state: Downtime (scheduled or not) appears to not shutdown existing connections nor are established subscriptions unsubscribed. Worse, during downtime, what appears to be uninitialized order book data can be disseminated. (This was confirmed with Kraken support early May 2020).

Warning

We currently have no means to detect bad order book updates. At best, a parse exception will terminate your gateway with an unhandled excpetion.