roq-kucoin#

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#

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

$ mamba 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
--exchange (kucoin)

Exchange identifier

--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_allow_price_inversion (false)

Allow price inversion?

--request_limit (80)

Maximum number of requests per interval

--request_limit_interval (10s)

Monitor interval

--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#

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

# flagfile for the roq-kucoin gateway

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

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

# flagfile for the roq-kucoin gateway

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

Configuration#

$ $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#

Event

Stream

Messages

Comments

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

Event

Stream

Messages

Comments

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#

Event

Stream

Messages

Comments

roq::OrderUpdate

DropCopy

/spotMarket/tradeOrders

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

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

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#

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

DropCopy

/account/balance

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

OrderEntry

GET /api/v1/accounts

Streams#

Type

Comments

REST

Primary purpose

  • download reference data and L2 snapshot

Type

Comments

WebSocket

Primary purpose

  • live market data

  • market status

Each connection

  • supports a slice of the symbols

Type

Comments

REST

Primary purpose

  • download account data

  • order requests

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.