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

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

Unstable

$ mamba 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.