roq-bybit-futures#

Important

There are different network end-points required for linear and inverse perpetuals/futures. The API’s are different but sufficiently similar to allow this gateway to support both. 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 Bybit 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: TBD

Conda#

Using Conda

Install

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-bybit-futures \
      --name "bybit-futures" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --metrics_listen_address "$TCP_LISTEN_PORT" \
      --flagfile "$FLAG_FILE"

Config#

Common Config

Flags#

CLI

$ roq-bybit-futures --help

WS

--ws_subscribe_depth_levels

Order book L2 levels. Can be 25 (20ms delayed) or 200 (100ms delayed). Please refer to Bybit’s online documentation.

Environments#

USDT Perpetual#

Prod

# flagfile

--rest_uri=https://api.bybit.com
--ws_public_uri=wss://stream.bybit.com/realtime_public
--ws_private_uri=wss://stream.bybit.com/realtime_private

Test

# flagfile

--api=linear
--rest_uri=https://api-testnet.bybit.com
--ws_public_uri=wss://stream-testnet.bybit.com/realtime_public
--ws_private_uri=wss://stream-testnet.bybit.com/realtime_private

Note

You may also specify --api="" (the default).

Important

Downloading symbols doesn’t allow us to detect the contract type. You can work around this by having this in your config file:

[symbols]
include = [ ".*USDT.*" ]

Inverse Futures#

Prod

# flagfile

--api=inverse
--rest_uri=https://api.bybit.com
--ws_public_uri=wss://stream.bybit.com/realtime
--ws_private_uri=wss://stream.bybit.com/realtime

Test

# flagfile

--api=inverse
--rest_uri=https://api-testnet.bybit.com
--ws_public_uri=wss://stream-testnet.bybit.com/realtime
--ws_private_uri=wss://stream-testnet.bybit.com/realtime

Important

Downloading symbols doesn’t allow us to detect the contract type. You can work around this by having this in your config file:

[symbols]
include = [ ".*BTC.*" ]
exclude = [ ".*USDT.*" ]  # linear products

Market Data#

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`	MarketData	instrument_info.100ms.<symbol>	No quantity from exchange
`roq::MarketByPriceUpdate`	MarketData	orderBookL2_25.<symbol> or orderBookL2_200.100ms.<symbol>	25 levels are published at 20ms frequency, 200 levels as 100ms
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	trade.<symbol>
`roq::StatisticsUpdate`	MarketData	instrument_info.100ms.<symbol>

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/v2/public/symbols
`roq::MarketStatus`	Rest	/v2/public/symbols
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`SETTLEMENT_PRICE`	(instrument_info) `mark_price`
`INDEX_VALUE`	(instrument_info) `index_price`

Order Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	/v2/private/order
`roq::TradeUpdate`

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	/v2/private/order/create
`roq::ModifyOrder`	OrderEntry	/v2/private/order/replace
`roq::CancelOrder`	OrderEntry	/v2/private/order/cancel
`roq::CancelAllOrders`	OrderEntry	/v2/private/order/cancelAll

Response

Event	Stream	Messages	Comments
`roq::OrderAck`

Mapping#

TimeInForce	ExecutionInstruction		time_in_force	reduce_only
	`PARTICIPATE_DO_NOT_INITIATE`	→	`POST_ONLY`
	`DO_NOT_INCREASE`	→		`true`
`GTC`		→	`GOOD_TILL_CANCEL`
`IOC`		→	`IMMEDIATE_OR_CANCEL`
`FOK`		→	`FILL_OR_KILL`

Order Types#

Time in Force#

Position Effect#

Note

Not supported

Execution Instructions#

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`	DropCopy	position
`roq::FundsUpdate`	DropCopy	wallet	Warning! unable to map due to missing currency

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	/v2/private/position/list
`roq::FundsUpdate`	OrderEntry	/v2/private/wallet/balance	Warning! not currently parsed

Streams#

Rest

Type	Comments
REST	Primary purpose download reference data

MarketData

Type

Comments

WebSocket

Primary purpose

live market data
reference data and markets (from the markets channel)

Each connection

supports a slice of the symbols

The first stream is used to

subscribe the markets channel

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account

DropCopy

Type	Comments
REST	Primary purpose live account updates, including orders and fills Each connection supports a single account The master account is used to discover the full list of symbols (by downloading exchange info) request depth snapshots

Constraints#

Order book snapshot messages have different structure for inverse and USDT. This is a reason for requiring the --api flag.

Comments#

Order download currently can’t discover the symbols to download. You should use the --test_order_symbols flag and provide a comma-separated list of symbols.