roq-bybit#

Links#

Purpose#

Maintain network connectivity with the Bybit 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-bybit

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-bybit \
      --name "bybit" \
      --api "spot" \
      --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-bybit --help

Common

--api

spot
linear
inverse
option

WebSocket

--ws_mbp_depth

The required Market by Price depth. Please consult the Bybit documentation for specifics. The lowest latency feed is chose if this flag is undefined.

Environments#

Prod

# flagfile

--rest_uri=https://api.bybit.com
--ws_public_uri=wss://stream.bybit.com/v5/public
--ws_private_uri=wss://stream.bybit.com/v5/private

Test

# flagfile

--rest_uri=https://api-testnet.bybit.com
--ws_public_uri=wss://stream-testnet.bybit.com/v5/public
--ws_private_uri=wss://stream-testnet.bybit.com/v5/private

Market Data#

Live

Event	Stream	Messages
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`	MarketData	orderbook.1.<symbol> (spot) tickers.<symbols> (other)
`roq::MarketByPriceUpdate`	MarketData	orderbook.<ws_mbp_depth>.<symbol>
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	publicTrade.<symbol>
`roq::StatisticsUpdate`	MarketData	tickers.<symbol>

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/v5/market/instruments-info
`roq::MarketStatus`	Rest	/v5/market/instruments-info
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`HIGHEST_TRADED_PRICE`	(tickers) `h`
`LOWEST_TRADED_PRICE`	(tickers) `l`
`CLOSE_PRICE`	(tickers) `c`
`TRADE_VOLUME`	(tickers) `v`

Order Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	/v5/order/realtime
`roq::TradeUpdate`	OrderEntry	/v5/execution/list

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	/v5/order/create
`roq::ModifyOrder`	OrderEntry	/v5/order/amend
`roq::CancelOrder`	OrderEntry	/v5/order/cancel
`roq::CancelAllOrders`	OrderEntry	/v5/order/cancel-all

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry

Order Types#

Type	Comments
`MARKET`	Mapped to `'MARKET'` (JSON)
`LIMIT`	Mapped to `'LIMIT'` or `'LIMIT_MAKER'` (JSON)

Time in Force#

Type	Comments
`GTC`	Mapped to `'GTC'` (JSON)
`FOK`	Mapped to `'FOK'` (JSON)
`IOC`	Mapped to `'IOC'` (JSON)

Position Effect#

Note

Not supported

Execution Instructions#

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `'LIMIT_MAKER'` (JSON)

Account Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	/v5/position/list”
`roq::FundsUpdate`	OrderEntry	/v5/account/wallet-balance

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

OrderEntry

Type	Comments
REST	Primary purpose Order actions

DropCopy

Type	Comments
WebSocket	Primary purpose order updates

Type

Comments

WebSocket

Primary purpose

order updates

Constraints#

The gateway can not simultaneously support all product categories due to overlapping symbol names, e.g. BTCUSDT being both spot and linear. For this reason, the --api flag controls the product category and, if necessary, the --name or --exchange flags must be configured to appropriately differentitate the sources.
The order channel doesn’t give us any information about last traded, only the aggregate fields (traded / remaining / average price) are available. The last trade price/quantity fields are therefore estimated.

Note

The execution channel will independently report the fills.

Comments#

TopOfBook is based on orderbook.1 for spot and tickers for all other categories.