roq-bitfinex#
Important
This gateway needs sponsorship to complete certain features.
Links#
Purpose#
Maintain network connectivity with the Bitfinex exchange
Route exchange updates to connected clients
Route client requests to the relevant exchange accounts
Stream all messages to an event-log
Overview#
Spot |
✓ |
Futures |
|
Options |
Reference Data |
|
Market Status |
|
Top of Book |
✓ |
Market by Price (L2) |
✓ |
Market by Order (L3) |
|
Trade Summary |
✓ |
Statistics |
✓ |
Create |
✓ |
Modify |
|
Cancel |
✓ |
Cancel All |
✓ |
Auto Cancellation |
Positions |
|
Funds |
✓ |
Data center located in: TBD
Conda#
$ mamba install \
--channel https://roq-trading.com/conda/stable \
roq-bitfinex
$ cp $CONDA_PREFIX/share/roq-bitfinex/config.toml $CONFIG_FILE_PATH
# Then modify $CONFIG_FILE_PATH to match your specific configuration
$ roq-bitfinex \
--name "bitfinex" \
--config_file "$CONFIG_FILE_PATH" \
--client_listen_address "$UNIX_SOCKET_PATH" \
--service_listen_address "$TCP_LISTEN_PORT" \
--flagfile "$FLAG_FILE"
Config#
Flags#
$ roq-bitfinex --help
--exchange
(bitfinex
)exchange identifier (string)
--request_limit
(80
)request limit per interval
--request_limit_interval
(10s
)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?
--rest_uri
(https://api-pub.bitfinex.com/
)REST end-point (URI)
--rest_proxy
proxy end-point (URI)
--rest_ping_freq
(5s
)ping frequency
--rest_ping_path
(/v2/platform/status
)URI path used for REST connection keep-alive messages
--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)
--rest_token_refresh_freq
(8h
)token refresh frequency
--ws_public_uri
(wss://api-pub.bitfinex.com/ws/2
)WS public end-point (URI)
--ws_private_uri
(wss://api.bitfinex.com/ws/2
)WS private end-point (URI)
--ws_ping_freq
(5s
)ping frequency
--ws_request_timeout
(15s
)request: timeout
--ws_max_subscriptions_per_stream
(8
)max symbols per connection (count)
--ws_mbp_request_delay
(500ms
)request delay
--ws_mbp_request_max_retries
(3
)request max retries
Environments#
$ $CONDA_PREFIX/share/roq-bitfinex/flags
# flagfile for the roq-bitfinex gateway
--rest_uri=https://api-pub.bitfinex.com/
--ws_public_uri=wss://api-pub.bitfinex.com/ws/2
--ws_prvate_uri=wss://api.bitfinex.com/ws/2
Market Data#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
MarketData |
ticker |
||
MarketData |
book |
||
MarketData |
book (prec=R0) |
||
MarketData |
trades |
||
MarketData |
status |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Rest |
/v2/tickers?symbols=ALL (!!! CONTAINS NO REFERENCE DATA !!!) |
||
Statistics#
Type |
Comments |
---|---|
|
(ticker) |
|
(ticker) |
|
(ticker) |
Order Management#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Order Types#
TBD
Time in Force#
TBD
Position Effect#
TBD
Execution Instructions#
TBD
Account Management#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Streams#
Type |
Comments |
---|---|
REST |
Primary purpose
|
Type |
Comments |
---|---|
WebSocket |
Primary purpose
Each connection
|
Constraints#
The exchange rate limiter is VERY strict. You should therefore try to not subscribe too many symbols.
Comments#
General
Messages are NOT self-describing. There is a risk that message meta data change in a non-backwards-compatible way thereby causing production breaks. Except for perhaps scraping the web-site, there doesn’t appear to be an easy way to infer meta data.
Market data
The are NO reference data !!!