roq-cme#

Important

Only market data support.

Links#

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#

Using Conda

Install

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ 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#

Common Config

Flags#

CLI

$ roq-cme --help

Multicast

`--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#

Live

Event	Stream	Messages
`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

Download

Event	Stream	Messages
`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#

Live

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

Download

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

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`
`roq::ModifyOrder`
`roq::CancelOrder`
`roq::CancelAllOrders`

Response

Event	Stream	Messages	Comments
`roq::OrderAck`

Order Types#

TBD

Time in Force#

TBD

Position Effect#

TBD

Execution Instructions#

TBD

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`
`roq::FundsUpdate`

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`
`roq::FundsUpdate`

Streams#

Instrument Definition

Type	Comments
UDP	Primary purpose Reference data

MBP Snapshot Recovery

Type	Comments
UDP	Primary purpose MbP snapshot

Incremental

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.