roq-okx#

Important

The account must be configured for the “net” position mode (futures and swaps).

Stable

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

Unstable

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

`roq-okx`#

$ roq-okx [FLAGS]

Description#

roq-okx is a gateway

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	✓

Flags#

$ roq-okx --help

Flags

--exchange (okx): Exchange identifier
--trade_mode (cross): Trade mode (cross, isolated or cash)
--test_margin_currency: TEST Margin currency used when placing new orders

REST

--rest_uri (https://www.okx.com): Exchange end-point
--rest_host: Host (when URI is an IP address)
--rest_proxy: Proxy end-point
--rest_ping_freq (10s): Ping frequency
--rest_ping_path (/api/v5/public/time): Ping path
--rest_request_timeout (30s): Request timeout

--ws_public_uri (wss://ws.okx.com:8443/ws/v5/public): Exchange end-point
--ws_public_host: Host (when URI is an IP address)
--ws_private_uri (wss://ws.okx.com:8443/ws/v5/private): Exchange end-point
--ws_private_host: Host (when URI is an IP address)
--ws_ping_freq (5s): Ping frequency
--ws_max_subscriptions_per_stream (32): Maximum number of symbols per connection
--ws_books_depth (400): Depth defines what ‘books’ channel to subscribe to (some require authentication)
--ws_books_use_public (false): Only use publicly available data sources (not requiring VIP membership)?
--ws_disconnect_timeout (10s): Disconnect if connection has been silent for this period

Download

--download_trades_lookback (300s): Lookback period when downloading trades (following a disconnect)
--download_trades_lookback_on_restart: Lookback period when downloading trades (initial download)
--download_trades_limit (100): Maximum number of trades per response (exchange limit)

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

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

Environments#

Prod

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

# flagfile for the roq-okx gateway
# exchange servers are located in Alibaba, Hong Kong, China

--rest_uri=https://www.okx.com
--ws_public_uri=wss://ws.okx.com:8443/ws/v5/public
--ws_private_uri=wss://ws.okx.com:8443/ws/v5/private

Test

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

# flagfile for the roq-okx gateway
# exchange servers are located in Alibaba, Hong Kong, China

--rest_uri=https://www.okx.com
--ws_public_uri=wss://wspap.okx.com:8443/ws/v5/public?brokerId=9999
--ws_private_uri=wss://wspap.okx.com:8443/ws/v5/private?brokerId=9999

Configuration#

$ $CONDA_PREFIX/share/roq-okx/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]?(-[0-9]{6})?$",  # spot + futures
  "^ETH-USD[A-Z]?(-[0-9]{6})?$",  # spot + futures
  "^PERP-USD[A-Z]?(-SWAP)?$"      # swaps
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_OKX_API_KEY_GOES_HERE"
  password = "YOUR_OKX_PASSPHRASE_GOES_HERE"
  secret = "YOUR_OKX_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	instruments
`roq::MarketStatus`	MarketData	instruments
`roq::TopOfBook`	MarketData	bbo-tbt
`roq::MarketByPriceUpdate`	MarketData	books5, books, books50-l2-tbt, or books-l2-tbt
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	trades
`roq::StatisticsUpdate`	MarketData	tickers, index-tickers, funding-rate

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`OPEN_PRICE`	(tickers) `open24h`
`HIGHEST_TRADED_PRICE`	(tickers) `high24h`
`LOWEST_TRADED_PRICE`	(tickers) `low24h`
`TRADE_VOLUME`	(tickers) `vol24h`
`FUNDING_RATE`	(funding-rate) `fundingRate`
`FUNDING_RATE_PREDICTION`	(funding-rate) `nextFundingRate`
`INDEX_VALUE`	(index-tickers) `idxPx`

Order Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	/api/v5/trade/orders-pending
`roq::TradeUpdate`

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	batch-orders
`roq::ModifyOrder`	OrderEntry	batch-amend-orders
`roq::CancelOrder`	OrderEntry	batch-cancel-orders
`roq::CancelAllOrders`	OrderEntry	batch-cancel-orders	The exchange API does not support this atomically

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	order, amend-order, cancel-order

Mapping#

OrderType	TimeInForce	ExecutionInstruction		ordType	reduceOnly
`MARKET`			→	`market`	`false`
`LIMIT`	`GTC`		→	`limit`	`false`
`LIMIT`	`GTC`	`DO_NOT_INCREASE`	→	`limit`	`true`
`LIMIT`	`GTC`	`PARTICIPATE_DO_NOT_INITIATE`	→	`post_only`	`false`
`LIMIT`	`FOK`		→	`fok`	`false`
`LIMIT`	`IOC`		→	`ioc`	`false`

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`
`roq::FundsUpdate`

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`
`roq::FundsUpdate`	OrderEntry	/api/spot/v3/accounts

Streams#

DropCopy

Type	Comments
REST	Primary purpose download orders Each connection supports a single account

OrderEntry

Type	Comments
WebSocket	Primary purpose support order management Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

support order management

Each connection

supports a single account

MarketData

Type	Comments
WebSocket	Primary purpose live market data reference data and markets (from the `instruments` channel) Each connection supports a slice of the symbols The first stream is used to subscribe the `instruments` channel

Type

Comments

WebSocket

Primary purpose

live market data
reference data and markets (from the instruments channel)

Each connection

supports a slice of the symbols

The first stream is used to

subscribe the instruments channel

Constraints#

Only VIP members can access the L2 tick-by-tick market data feed.

Comments#

TopOfBook is throttled at 100ms (by exchange)
The index-tickers and funding-rate channels are subscribed for all swaps and futures. This may generate some false subscriptions caused by non-existing channels. Unfortunately, there doesn’t seem to be any way to detect if a symbol has these channels available. The error messages are therefore only logged as warnings.
Using the “batch-” version of the order operations due to 5x higher rate limit allowance.
There is no exchange API to support CancelAllOrders. This is therefore implemented by sending batch cancel requests for all known non-finished orders.
There are a number of different “books” channels which can be used as source for MarketByPrice. Some of these require authentication and VIP membership. The gateway will by default choose the most detailed lowest latency feed. This is however not always correct. In particular, the gateway has no knowledge of the VIP membership status. These are the flags you can use to override default behaviour
- --ws_books_depth
  - 5 will use the books5 throttled snapshot feed
  - 50 will use the books50-l2-tbt realtime incremental feed
  - 400 will use either the books-l2-tbt realtime incremental feed or the books throttled incremental feed.
- --ws_books_use_public is an opt-out flag because the gateway will by default use a realtime feed if an account has been configured.

roq-okx#

`roq-okx`#

Description#

Supports#

Flags#

Environments#

Configuration#

Market Data#

Statistics#

Order Management#

Mapping#

Account Management#

Streams#

Constraints#

Comments#

References#

Common#

OKX#