roq-kucoin-futures

Unstable

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

Stable

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

Supports

Products

Spot	❌
Futures	✅
Swap	✅
Option	❌

Market Data

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

Orders & Quotes

CreateOrder	✅
ModifyOrder
CancelOrder	✅
CancelAllOrders	✅
MassQuote	❌
CancelQuotes	❌

Account

Funds	✅
Position	✅

Note

✅ = Available.

❎ = Not implemented.

❌ = Unavailable.

❶ The exchange protocol does not support streaming updates for reference data and market status.

Using

$ roq-bitget [FLAGS]

Flags

$ roq-kucoin-futures --help

Flags

--exchange (kucoin-futures)

Exchange identifier

--margin_mode

Default margin_mode (when CreateOrder doesn’t explicitly specify)

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

--ws_uri (wss://wsapi.kucoin.com/v1/private)

Exchange end-point

--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

--test_wsapi (false)

Test WSAPI for order actions

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
--ws_uri=wss://wsapi.kucoin.com/v1/private

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

$ $CONDA_PREFIX/share/roq-kucoin-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-kucoin-futures gateway

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

Inbound

TradingStatus

Message	Field	Value
Contracts	status	Open	⇒	OPEN

StatisticsType

Event	Field
mark.index.price	markPrice	⇒	SETTLEMENT_PRICE
mark.index.price	indexPrice	⇒	INDEX_VALUE
funding.rate	fundingRate	⇒	FUNDING_RATE
funding.begin	fundingRate	⇒	FUNDING_RATE_PREDICTION
snapshot.24h	highPrice	⇒	HIGHEST_TRADED_PRICE
snapshot.24h	lowPrice	⇒	LOWEST_TRADED_PRICE
snapshot.24h	volume	⇒	TRADE_VOLUME

Order Management

Inbound

OrderType

Enum
market	⇒	MARKET
limit	⇒	LIMIT

TimeInForce

Enum
GTC	⇒	GTC

OrderStatus

	type	remainSize	status
❌	open
	match	== 0		⇒	COMPLETED
❌	update
❌	filled
	canceled			⇒	CANCELED
			open	⇒	WORKING
			match	⇒	WORKING
			done	⇒	COMPLETED

Outbound

CreateOrder

	order_type	execution_instructions	price	stop_price		type	price	reduceOnly
✅	MARKET		NaN	NaN	⇒	market	❌
❌	MARKET		NaN	✅
✅	LIMIT		✅	NaN	⇒	limit	❌
❌	LIMIT		✅	✅

ModifyOrder

TBD

CancelOrder

TBD

CancelAllOrders

TBD

Comments

• The default margin mode may have to be configured (flag) if not specified when creating orders. This is due to Kucoin always defaulting to the isolated margin mode.

• No support for stop orders. This is due to Roq not currently supporting a stop “direction”.

• Downloaded fills don’t have the clientOid field. The implication is that we can’t correctly persist historical fills.

References

Common

• Using Conda

• Using Flags

• Gateway Flags

• Gateway Config

Exchange

• Website

• Documentation