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#
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 |
Conda#
$ mamba install \
--channel https://roq-trading.com/conda/stable \
roq-bitmex
$ cp $CONDA_PREFIX/share/roq-bitmex/config.toml $CONFIG_FILE_PATH
# Then modify $CONFIG_FILE_PATH to match your specific configuration
$ 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#
Flags#
$ roq-bitmex --help
--exchange
(bitmex
)exchange identifier (string)
--encode_buffer_size
(1048576
)encode buffer size
--decode_buffer_size
(10485760
)decode buffer size
--mbp_allow_price_inversion
(false
)allow price inversion?
--oms_using_web_socket
(false
)use web-socket for order management?
--rest_uri
(https://testnet.bitmex.com
)REST end-point (URI)
--rest_proxy
proxy end-point (URI)
--rest_ping_freq
(5s
)ping frequency
--rest_ping_path
(/api/v1/announcement/urgent
)URI path used for REST connection keep-alive messages
--rest_request_timeout
(30s
)request: timeout
--rest_expires_timeout
(1s
)expires time-out
--rest_allow_order_request_pipeline
(false
)allow more than one in-flight order action? (bool)
--ws_uri
(wss://ws.testnet.bitmex.com/realtime
)WebSocket end-point (URI)
--ws_ping_freq
(5s
)ping frequency
--ws_request_timeout
(15s
)request time-out
--ws_cancel_on_disconnect
(true
)cancel orders on disconnect? (bool)
--ws_cancel_all_after
(15s
)cancel all after, requires cancel-on-disconnect
Environments#
$ $CONDA_PREFIX/share/roq-bitmex/flags
# flagfile for the roq-bitmex gateway
--rest_uri=https://www.bitmex.com
--ws_uri=wss://ws.bitmex.com/realtime
# flagfile for the roq-bitmex gateway
--rest_uri=https://testnet.bitmex.com
--ws_uri=wss://ws.testnet.bitmex.com/realtime
Market Data#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
MarketData |
instrument |
||
MarketData |
instrument |
||
MarketData |
quote |
||
MarketData |
orderBookL2 |
||
Unavailable |
|||
MarketData |
trade |
||
MarketData |
instrument |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Statistics#
Type |
Comments |
---|---|
|
(instrument) |
|
(instrument) |
|
(instrument) |
|
(instrument) |
|
(instrument) |
|
(instrument) |
|
(funding) |
|
(funding) |
Order Management#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
DropCopy |
execution |
||
DropCopy |
execution |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
GET /api/v1/order |
||
OrderEntry |
GET /api/v1/trade |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
POST /api/v1/order |
||
OrderEntry |
PUT /api/v1/order |
||
OrderEntry |
DELETE /api/v1/order |
||
OrderEntry |
DELETE /api/v1/order/all |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
/api/v1/order |
Errors, only |
Order Types#
Type |
Comments |
---|---|
|
Mapped to |
|
Mapped to |
Time in Force#
Type |
Comments |
---|---|
|
Mapped to |
Position Effect#
Note
Not supported
Execution Instructions#
Type |
Comments |
---|---|
|
Mapped to |
|
Mapped to |
Account Management#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
DropCopy |
position |
||
Unavailable |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
GET /api/v1/position |
||
Unavailable |
Streams#
Type |
Comments |
---|---|
REST |
Primary purpose
Each connection
Rate-limit avoidance is implemented by
|
Type |
Comments |
---|---|
WebSocket |
Primary purpose
Each connection
|
Type |
Comments |
---|---|
WebSocket |
Primary purpose
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