roq-binance-futures#

Important

There are different network end-points required for USD-M and COIN-M futures. The API’s are different but sufficiently similar to allow this gateway to support both. (The --api flag controls which API will be used.) The implication of this is that you will need more instances of this gateway if you need support for both product groups.

Links#

Purpose#

Maintain network connectivity with the Binance Futures exchange
Route exchange updates to connected clients
Route client requests to the relevant exchange accounts
Stream all messages to an event-log

Overview#

Products

Spot
Futures	✓
Options

Note

Crypto and USDT margined products are NOT supported by the same API.

Market Data

Reference Data	✓
Market Status	✓
Top of Book	✓
Market by Price (L2)	✓
Market by Order (L3)
Trade Summary	✓
Statistics	✓

Order Management

Create	✓
Modify
Cancel	✓
Cancel All	✓
Auto Cancellation	✓

Account Management

Positions	✓
Funds	✓

Data center located in Japan (to be confirmed)
No test environment

Conda#

Using Conda

Install

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

Configure

$ cp $CONDA_PREFIX/share/roq-binance-futures/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-binance-futures \
      --name "binance-futures" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --service_listen_address "$TCP_LISTEN_PORT" \
      --flagfile "$FLAG_FILE"

Config#

Common Config

Flags#

CLI

$ roq-binance-futures --help

General

--api

The API URI name (fapi for USD-M and dapi for COIN-M)

Common

`--mbp_max_depth`	Max depth. Unbounded is the default.
`--continue_with_unknown_event_type`	Default is to fail when receiving unknown event-types.

REST

--rest_listen_key_refresh

Time between listen key refresh.

WebSocket

`--ws_depth_levels`	Max levels for snapshots.
`--ws_depth_freq`	Select frequency of depth stream: 100ms, 250ms or 500ms
`--ws_max_subscriptions`	Subscription limit per web-socket connection

Other

`--download_symbols`	Comma-separated list of symbols to download, e.g. `"BTCUSDT,ETHUSDT"`
`--download_trades_lookback`	Downloading trades using lookback period. Optional.
`--download_trades_limit`	Exchange limit (1000).

Environments#

USD-M Futures#

Prod

# flagfile

--api=fapi
--rest_uri=https://fapi.binance.com
--ws_uri=wss://fstream.binance.com/ws

Test

# flagfile

--api=fapi
--rest_uri=https://testnet.binancefuture.com
--ws_uri=wss://stream.binancefuture.com/ws

COIN-M Futures#

Prod

# flagfile

--api=dapi
--rest_uri=https://dapi.binance.com
--ws_uri=wss://dstream.binance.com/ws

Test

# flagfile

--api=dapi
--rest_uri=https://testnet.binancefuture.com
--ws_uri=wss://dstream.binancefuture.com/ws

Market Data#

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`			Unavailable
`roq::MarketStatus`			Unavailable
`roq::TopOfBook`	MarketData	<symbol>@bookTicker
`roq::MarketByPriceUpdate`	MarketData	<symbol>@depth@<freq>
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	<symbol>@aggTrade
`roq::StatisticsUpdate`	MarketData	<symbol>@miniTicker, <symbol>@markPrice

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`	OrderEntry	GET /fapi/v1/exchangeInfo	There is no live feed
`roq::MarketStatus`	OrderEntry	GET /fapi/v1/exchangeInfo	There is no live feed
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	OrderEntry	GET /fapi/v1/depth	See Flags
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`HIGHEST_TRADED_PRICE`	(miniTicker) `highPrice`
`LOWEST_TRADED_PRICE`	(miniTicker) `lowPrice`
`OPEN_PRICE`	(miniTicker) `openPrice`
`CLOSE_PRICE`	(miniTicker) `closePrice`
`SETTLEMENT_PRICE`	(markPrice) `markPrice`
`PRE_SETTLEMENT_PRICE`	(markPrice) `estSettlePrice`
`INDEX_VALUE`	(markPrice) `indexPrice`
`FUNDING_RATE`	(markPrice) `fundingRate`

Order Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	GET /fapi/v1/openOrders	It is only possible to download open orders
`roq::TradeUpdate`	OrderEntry	GET /fapi/v1/userTrades	There is a limit of 1000 trades

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	POST /fapi/v1/order
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	OrderEntry	DELETE /fapi/v1/order
`roq::CancelAllOrders`	OrderEntry	DELETE /fapi/v1/allOpenOrders	This request is per-symbol! Only executed for those symbols where the gateway has seen order actions or download.

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	/fapi/v1/order

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)
`GTX`	Mapped to `'GTX'` (JSON)

Position Effect#

Note

Not supported

Execution Instructions#

TBD

Account Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	GET /fapi/v2/account
`roq::FundsUpdate`	OrderEntry	GET /fapi/v2/balance

Streams#

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account maintains a listen key (used by the DropCopy stream)

DropCopy

Type	Comments
WebSocket	Primary purpose live account updates, including orders and fills Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

live account updates, including orders and fills

Each connection

supports a single account

MarketData

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

Type

Comments

WebSocket

Primary purpose

live market data

Each connection

supports a slice of the symbols

Rest

Type	Comments
REST	Primary purpose download reference data One connection

Constraints#

It is only possible to download current order status for open orders. The implication is that backup procedures must be implemented to reoncile positions in the scenario where orders are completely filled during a disconnect.
The newClientOrderId field (used by CreateOrder) must conform to the ^[.A-Z:/a-z0-9_-]{1,36}$ regular expression (ECMAScript). This restricts length and character used when supplying the routing_id field.
The exchange will monitor rate-limit usage per IP address.
Rate-limit usage is quite strict when downloading full order books. Due to this constraint, it may take a very long time to initialize all symbols. It is therefore STRONGLY recommended to reduce the configured number of symbols, e.g. symbols=".*BTC.*", or even more specific by using lists.

Comments#

External trades can optionally be captured into the event log.

Note

These messages will not be routed to any client.
Trades can optionally be downloaded. This is a very expensive operation and the list of symbols to download must therefore be explicitly controlled by the --download_symbols flag.