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#

Products

Spot	✓
Futures
Options

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: TBD

Conda#

Using Conda

Install

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

Configure

$ cp $CONDA_PREFIX/share/roq-bitfinex/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ 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#

Common Config

Flags#

CLI

$ roq-bitfinex --help

Environments#

Prod

# flagfile

--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#

Live

Event	Stream	Messages
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`	MarketData	ticker
`roq::MarketByPriceUpdate`	MarketData	book
`roq::MarketByOrderUpdate`	MarketData	book (prec=R0)
`roq::TradeSummary`	MarketData	trades
`roq::StatisticsUpdate`	MarketData	status

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/v2/tickers?symbols=ALL (!!! CONTAINS NO REFERENCE DATA !!!)
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`HIGHEST_TRADED_PRICE`	(ticker) `high`
`LOWEST_TRADED_PRICE`	(ticker) `low`
`TRADE_VOLUME`	(ticker) `volume`

Order Management#

Live

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

Download

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

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`
`roq::ModifyOrder`
`roq::CancelOrder`
`roq::CancelAllOrders`

Response

Event	Stream	Messages	Comments
`roq::OrderAck`

Order Types#

TBD

Time in Force#

TBD

Position Effect#

TBD

Execution Instructions#

TBD

Account Management#

Live

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

Download

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

Streams#

Rest

Type	Comments
REST	Primary purpose discover the full list of symbols

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

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 !!!