roq-cme#

Important

Only market data support.

Purpose#

  • Maintain network connectivity with the Bitcoke 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#

$ conda install \
  --channel https://roq-trading.com/conda/stable \
  roq-cme
$ cp $CONDA_PREFIX/share/roq-cme/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration
$ roq-cme \
      --name "cme" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --metrics_listen_address "$TCP_LISTEN_PORT" \
      --flagfile "$FLAG_FILE"

Config#

Flags#

$ roq-cme --help

--multicast_config_file

An config.xml file from the CME FTP download area.

--multicast_channel_ids

A list of channel id’s to subscribe to (as defined from the config.xml file)

--multicast_local_interface

The local interface used to bridge the multicast feed.

Environments#

There are no specific environment setup: everything depends on the config.xml file, the --multicast_channel_ids flag and how you have bridged the multicast network traffic.

Market Data#

Event

Stream

Messages

Comments

roq::ReferenceData

roq::MarketStatus

roq::TopOfBook

Incremental

MDIncrementalRefreshBook46

roq::MarketByPriceUpdate

Incremental

SnapshotFullRefresh52, MDIncrementalRefreshBook46

roq::MarketByOrderUpdate

roq::TradeSummary

Incremental

MDIncrementalRefreshTradeSummary48, SnapshotFullRefreshLongQty69, MDIncrementalRefreshTradeSummaryLongQty65

roq::StatisticsUpdate

Incremental

SnapshotFullRefresh52, MDIncrementalRefreshDailyStatistics49, MDIncrementalRefreshSessionStatistics51, MDIncrementalRefreshSessionStatisticsLongQty67, MDIncrementalRefreshVolume37

Event

Stream

Messages

Comments

roq::ReferenceData

Instrument Definition

MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55, MDInstrumentDefinitionSpread56, MDInstrumentDefinitionFixedIncome57, MDInstrumentDefinitionRepo58, MDInstrumentDefinitionFX63

roq::MarketStatus

Instrument Definition

MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55

roq::TopOfBook

roq::MarketByPriceUpdate

MBP Snapshot Recovery

SnapshotFullRefresh52, SnapshotFullRefreshLongQty69

roq::MarketByOrderUpdate

roq::TradeSummary

roq::StatisticsUpdate

MBP Snapshot Recovery

SnapshotFullRefresh52, SnapshotFullRefreshLongQty69

Statistics#

TBD

Order Management#

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderAck

Order Types#

TBD

Time in Force#

TBD

Position Effect#

TBD

Execution Instructions#

TBD

Account Management#

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

Streams#

Type

Comments

UDP

Primary purpose

  • Reference data

Type

Comments

UDP

Primary purpose

  • MbP snapshot

Type

Comments

UDP

Primary purpose

  • MbP incremental

Constraints#

  • Order management is not currently implemented.

Comments#

  • ExternalLatency is currently only published when receiving a heartbeat from the exchange.