roq-phemex¶

Unstable

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

Stable

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

Supports¶

Products

`Spot`	✅
`Futures`	❌
`Swap`	❌
`Option`	❌

Market Data

`ReferenceData`	✅	❶
`MarketStatus`	❌
`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.

Using¶

$ roq-phemex [FLAGS]

Flags¶

$ roq-phemex --help

Flags

--exchange (phemex): Exchange identifier

REST

--rest_uri (https://testnet-api.phemex.com): Exchange end-point
--rest_proxy: Proxy end-point
--rest_ping_freq (5s): Ping frequency
--rest_ping_path (/public/time): Ping path
--rest_request_timeout (30s): Request timeout
--rest_download_orders_page_size (500): Page size used when downloading orders
--rest_download_orders_begin (24h): Download orders since (now - begin)
--rest_download_only_active_orders (false): Download only active orders?
--rest_download_fills_page_size (500): Page size used when downloading fills
--rest_download_fills_begin (24h): Download fills since (now - begin)

--ws_uri (wss://testnet-api.phemex.com/ws): Exchange end-point
--ws_ping_freq (15s): Ping frequency
--ws_request_timeout (15s): Request timeout
--ws_max_subscriptions_per_stream (20): Maximum number of symbols per connection
--ws_mbp_depth (30): Maximum depth to subscribe (0=full/100ms, 30/20ms)

Misc

--request_limit (20): Request limit per interval
--request_limit_interval (1s): Request limit 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
--mbp_allow_price_inversion (false): Allow price inversion?

Environments¶

Prod

$ --flagfile $CONDA_PREFIX/share/roq-phemex/flags/prod/flags.cfg

# flagfile for the roq-phemex gateway

--rest_uri=https://api.phemex.com
--ws_uri=wss://ws.phemex.com

Test

$ --flagfile $CONDA_PREFIX/share/roq-phemex/flags/test/flags.cfg

# flagfile for the roq-phemex gateway

--rest_uri=https://testnet-api.phemex.com
--ws_uri=wss://testnet-api.phemex.com/ws

Configuration¶

$ --config_file $CONDA_PREFIX/share/roq-phemex/config.toml

Important

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

# config template for the roq-phemex gateway

symbols = [
 "^BTCUSDT$",
 "^BTCPERP$",
]

[accounts]

  [accounts.A1]
  master = true
  login = "YOUR_PHEMEX_API_KEY_GOES_HERE"
  secret = "YOUR_PHEMEX_SECRET_GOES_HERE"
  symbols = [ ".*" ]

[users]

  [users.test]
  password = "1234"
  symbols = ".*"

  [users.trader]
  password = "secret"
  accounts = [ "A1" ]
  symbols = [ "BTCUSDT", "BTCPERP" ]

[rate_limits]

  [rate_limits.global]
    type = "ORDER_ACTION"
    aggregate = true
    request_limit = 100
    monitor_period = "10s"
    ban_period = "5m"

Market Data¶

Order Management¶

Comments¶

The authentication request is sometimes rejected due to “invalid token”. This seems intermittent and we have not yet found a good explanation for this. Upon seeing the error message, the gateway proceeds to disconnecting and trying again.
The REST connection only seems to report a “pending” order status. The final confirmation will arrive on the WS connection. Roq’s OMS should be able to filter between WS and REST based on proper sequencing.
ModifyOrder can not be supported. The exchange only support cancel-replace (not modify).
Positions are not reported as “lots”. There seems to be some base/quote conversion happening.

roq-phemex¶

Supports¶

Using¶

Flags¶

Environments¶

Configuration¶

Market Data¶

Order Management¶

Comments¶

References¶

Common¶

Exchange¶