roq-bitmex#

Links#

Purpose#

Maintain network connectivity with the BitMEX 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 eu-west-1, AWS, Ireland

Conda#

Using Conda

Install

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-bitmex \
      --name "bitmex" \
      --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-bitmex --help

REST

`--cancel_on_disconnect`	The `cancelAllAfter` WebSocket message can be used to instruct the exchange to automatically cancel all orders if exchange detects a disconnect. Warning Do not rely on this feature: we have not been able to verify it works correctly!
`--cancel_all_after`	Only used when `--cancel_on_disconnect` is true.

WebSocket

--oms_using_web_socket

DEVELOPMENT !!! Choose REST or WebSocket for order management.

Warning

DO NOT USE !!! This is currently in development without having access to the exchange’s API (as it has not been released yet).

Environments#

Prod

# flagfile

--rest_uri=https://www.bitmex.com
--ws_uri=wss://ws.bitmex.com/realtime

Test

# flagfile

--rest_uri=https://testnet.bitmex.com
--ws_uri=wss://ws.testnet.bitmex.com/realtime

Market Data#

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`	MarketData	instrument
`roq::MarketStatus`	MarketData	instrument
`roq::TopOfBook`	MarketData	quote
`roq::MarketByPriceUpdate`	MarketData	orderBookL2
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	trade
`roq::StatisticsUpdate`	MarketData	instrument

Download

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

Statistics#

Type	Comments
`SETTLEMENT_PRICE`	(instrument) `markPrice`
`OPEN_INTEREST`	(instrument) `openInterest`
`PRE_SETTLEMENT_PRICE`	(instrument) `indicativeSettlePrice`
`UPPER_LIMIT_PRICE`	(instrument) `limitUpPrice`
`LOWER_LIMIT_PRICE`	(instrument) `limitDownPrice`
`INDEX_VALUE`	(instrument) `fairPrice`
`FUNDING_RATE`	(funding) `fundingRate`
`FUNDING_RATE_PREDICTION`	(funding) `indicativeFundingRate`

Order Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	GET /api/v1/order
`roq::TradeUpdate`	OrderEntry	GET /api/v1/trade

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	POST /api/v1/order
`roq::ModifyOrder`	OrderEntry	PUT /api/v1/order
`roq::CancelOrder`	OrderEntry	DELETE /api/v1/order
`roq::CancelAllOrders`	OrderEntry	DELETE /api/v1/order/all

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	/api/v1/order	Errors, only

Order Types#

Type	Comments
`MARKET`	Mapped to `Market` (JSON)
`LIMIT`	Mapped to `Limit` (JSON)

Time in Force#

Type	Comments
`GTC`	Mapped to `GoodTillCancel` (JSON)

Position Effect#

Note

Not supported

Execution Instructions#

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `ParticipateDoNotInitiate` (JSON)
`DO_NOT_INCREASE`	Mapped to `ReduceOnly` (JSON)

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`	DropCopy	position
`roq::FundsUpdate`			Unavailable

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	GET /api/v1/position
`roq::FundsUpdate`			Unavailable

Streams#

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account Rate-limit avoidance is implemented by not using HTTP pipelining monitoring the following HTTP headers `x-ratelimit-limit` `x-ratelimit-remaining` `x-ratelimit-reset` blocking new requests for a duration of `--rest_rate_limit_interval` after receiving HTTP status 429 (too many requests)

Type

Comments

REST

Primary purpose

support order management

Each connection

supports a single account

Rate-limit avoidance is implemented by

not using HTTP pipelining
monitoring the following HTTP headers
x-ratelimit-limit
x-ratelimit-remaining
x-ratelimit-reset
blocking new requests for a duration of --rest_rate_limit_interval after receiving HTTP status 429 (too many requests)

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 A single connection

Type

Comments

WebSocket

Primary purpose

live market data

A single connection

Constraints#

The field clOrdID is a string and can not exceed 36 characters

Comments#

The exchange API’s do not appear particularly suitable for low latency trading:
- Order action requests must be signed (which is expensive) and then sent over REST
- REST response (order ack) could be lost possibly leaving the client in a situation where it must trigger timeout logic and/or issue operational alerts
- Several WebSocket channels are used communicate order state possibly allowing for inconsistent order management by client