roq-kucoin¶

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

Unstable

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

Using¶

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

Flags¶

$ roq-kucoin --help

Flags

--exchange (kucoin): Exchange identifier

REST

--rest_uri (https://openapi-sandbox.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_download_delay (333ms): Download throttling
--rest_download_orders_page_size (500): Page size used when downloading orders
--rest_download_orders_begin (24h): Download orders since (now - begin)
--rest_download_orders_inactive (false): Download inactive orders?
--rest_download_fills_page_size (500): Page size used when downloading fills
--rest_download_fills_begin (24h): download fills since (now - begin)
--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 (100): Maximum number of symbols per connection
--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 (80): Maximum number of requests per interval
--request_limit_interval (10s): Monitor interval

Misc

--self_trade_prevention (CN): Self-trade prevention: CN, CO, CB, DC
--encode_buffer_size (1048576): Encode buffer size
--decode_buffer_size (10485760): Decode buffer size

Environments¶

Prod

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

# flagfile for the roq-kucoin gateway

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

Test

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

# flagfile for the roq-kucoin gateway

--rest_uri=https://openapi-sandbox.kucoin.com

Configuration¶

Gateway Config

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

Important

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

symbols = [
  "^BTC-USD[A-Z]$"
  "^ETH-USD[A-Z]$",
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_KUCOIN_API_KEY_GOES_HERE"
  password = "YOUR_KUCOIN_PASSPHRASE_GOES_HERE"
  secret = "YOUR_KUCOIN_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`
`roq::MarketStatus`	MarketData	/market/snapshot
`roq::TopOfBook`	MarketData	/market/ticker
`roq::MarketByPriceUpdate`	MarketData	/market/level2
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	/market/match
`roq::StatisticsUpdate`	MarketData	/market/snapshot

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/api/v1/symbols
`roq::MarketStatus`	Rest	/api/v1/symbols
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	Rest	/api/v3/market/orderbook/level2
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics¶

Type	Comments
`OPEN_PRICE`	(snapshot) `open`
`HIGHEST_TRADED_PRICE`	(instrument) `high`
`LOWEST_TRADED_PRICE`	(instrument) `low`
`CLOSE_PRICE`	(instrument) `close`
`OPEN_PRICE`	(instrument) `open`

Order Management¶

Live

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

Download

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

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¶

Type	Comments
`MARKET`	Mapped to `market` (JSON)
`LIMIT`	Mapped to `limit` (JSON)

Time in Force¶

Type	Comments
`GTC`	Mapped to `GTC` (JSON)
`IOC`	Mapped to `IOC` (JSON)
`FOK`	Mapped to `FOK` (JSON)

Position Effect¶

Note

Not supported

Execution Instructions¶

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `postOnly` (JSON). Requires GTC

Account Management¶

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`
`roq::FundsUpdate`	DropCopy	/account/balance

Download

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

Streams¶

Rest

Type	Comments
REST	Primary purpose download reference data and L2 snapshot

MarketData

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

Type

Comments

WebSocket

Primary purpose

live market data
market status

Each connection

supports a slice of the symbols

OrderEntry

Type	Comments
REST	Primary purpose download account data order requests

DropCopy

Type	Comments
WebSocket	Primary purpose live account data order updates fills

Type

Comments

WebSocket

Primary purpose

live account data
order updates
fills

Constraints¶

The gateway requires a master account definition (API key) to be functional. The reason is that requesting L2 snapshots will require authentication.
The exchange API does not allow order cancelation prior to an ack or update being received by the client. (Other exchanges normally allow cancelation using a client order id.) An roq::OrderAck with roq::Error::UNKNOWN_EXTERNAL_ORDER_ID is the response if a roq::CancelOrder request is sent “too early”.
There are no options to instruct the exchange to auto-cancel orders on disconnect.

Comments¶

There is currently no implementation to refresh the token for the private connection. A received token should be valid for 24 hours and dialy restarts should therefore be planned.
The KuCoin sandbox environment does not work with IP restriction. This was confirmed by KuCoin support.