roq-kucoin-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

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

Unstable

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

Using¶

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

Flags¶

$ roq-kucoin-futures --help

Flags

--exchange (kucoin-futures): Exchange identifier
--api (v1): API (v1 or v2)

REST

--rest_uri (https://api-sandbox-futures.kucoin.com): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/api/v1/status): Ping path
--rest_request_timeout (30s): Request timeout
--rest_token_refresh_freq (8h): Token refresh frequency

--ws_ping_freq (5s): Ping frequency
--ws_request_timeout (15s): Request timeout
--ws_max_subscriptions_per_stream (16): Maximum number of symbols per connection
--ws_subscribe_ticker_v2 (false): Subscribe ticker v2?
--ws_mbp_request_delay (500ms): Request delay
--ws_mbp_request_max_retries (0): Request max retries

MBP

--mbp_allow_price_inversion (false): Allow price inversion?

Request

--request_limit (100): Maximum number of requests per interval
--request_limit_interval (10s): Monitor interval

Misc

--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size

Environments¶

Prod

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

# flagfile for the roq-kucoin-futures gateway

--rest_uri=https://api-futures.kucoin.com

Test

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

# flagfile for the roq-kucoin-futures gateway

--rest_uri=https://api-sandbox-futures.kucoin.com

Configuration¶

Gateway Config

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

Important

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

symbols = [
  "^ETHUSD[A-Z]M$",
  "^XBTUSD[A-Z]M$"
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_KUCOIN_FUTURES_API_KEY_GOES_HERE"
  password = "YOUR_KUCOIN_FUTURES_PASSPHRASE_GOES_HERE"
  secret = "YOUR_KUCOIN_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
`roq::ReferenceData`	MarketData	/contract/instrument
`roq::MarketStatus`	MarketData	/contract/instrument
`roq::TopOfBook`	MarketData	/contractMarket/tickerV2 or /contractMarket/ticker
`roq::MarketByPriceUpdate`	MarketData	/contractMarket/level2
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	/contractMarket/execution
`roq::StatisticsUpdate`	MarketData	/contract/announcement

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/api/v1/contracts/active
`roq::MarketStatus`	Rest	/api/v1/contracts/active
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	Rest	/api/v1/level2/snapshot
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics¶

Type	Comments
`SETTLEMENT_PRICE`	mark_index_price.mark_price
`INDEX_VALUE`	mark_index_price.index_value
`FUNDING_RATE`	funding_rate.funding_rate
`FUNDING_RATE_PREDICTION`	funding_begin.funding_rate
`TRADE_VOLUME`	snapshot_24h.volume

Order Management¶

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	/contractMarket/tradeOrders
`roq::TradeUpdate`

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	GET /api/v1/orders	It’s only possible to poll?
`roq::TradeUpdate`	OrderEntry	GET /api/v1/fills	It’s only possible to poll?

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	POST /api/v1/orders
`roq::ModifyOrder`
`roq::CancelOrder`	OrderEntry	DELETE /api/v1/orders/{order-id}
`roq::CancelAllOrders`	OrderEntry	DELETE /api/v1/orders

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`	DropCopy	/contract/position:{symbol}
`roq::FundsUpdate`	DropCopy	/contractAccount/wallet

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	GET /api/v1/position
`roq::FundsUpdate`

Streams¶

Rest

Type	Comments
REST	Primary purpose download reference data and L2 snapshot

MarketData

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

Type

Comments

WebSocket

Primary purpose

live market data
reference data and market status

Each connection

supports a slice of the symbols

Constraints¶

It does not appear to be possible to subscribe all symbols more than once per IP address.

Comments¶

Orders can NOT be canceled by client order id.
Fills are not communicated in real-time (only indirectly through order updates).
There are no options to instruct the exchange to auto-cancel orders on disconnect.
API v2 has been announced. As of 2022-07-01, it is unclear when this new API will be released to production. However, it sounds like it will be a change with no transition period with support for both API’s.