roq-coinbase-pro#

Links#

Purpose#

Maintain network connectivity with the Coinbase PRO 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 us-east-1, AWS, USA, North Virginia

Conda#

Using Conda

Install

$ mamba install \
  --channel https://roq-trading.com/conda/stable \
  roq-coinbase-pro

Configure

$ cp $CONDA_PREFIX/share/roq-coinbase-pro/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-coinbase-pro \
      --name "coinbase-pro" \
      --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-coinbase-pro --help

FIX

`--cancel_on_disconnect`	The `Logon` FIX message can be used to instruct the exchange to automatically cancel all orders if the exchange detects a disconnect.
`--self_trade_prevention`	The `NewOrderSingle` FIX message has a policy field to prevent self trading in the case a new order would match a resting order. Please refer to the API for possible values.

WebSocket

`--ws_include_status`	Default is to not include the Status updates from the Web-Socket feed. These updates arrive periodically and contains a snapshot for all instruments. Parsing such updates has relatively expensive (due to the size of the message) and will therefore have a latency impact. You should enable this flag if you rely on accurate reference data updates and/or market status changes.
`--ws_enable_mbo`	Enables the Market by Order (L3) feed.

Environments#

Prod

# flagfile

--fix_uri=tcp+ssl://fix.pro.coinbase.com:4198
--ws_uri=wss://ws-feed.pro.coinbase.com
--rest_uri=https://api.pro.coinbase.com

Test

# flagfile

--fix_uri=tcp+ssl://fix-public.sandbox.pro.coinbase.com:4198
--ws_uri=wss://ws-feed-public.sandbox.pro.coinbase.com
--rest_uri=https://api-public.sandbox.pro.coinbase.com

Market Data#

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`	Rest	status
`roq::MarketStatus`	Rest	status
`roq::TopOfBook`	MarketData	ticker	No quantity from exchange
`roq::MarketByPriceUpdate`	MarketData	snapshot, l2update
`roq::MarketByOrderUpdate`	MarketData	open, change, done
`roq::TradeSummary`	MarketData	match
`roq::StatisticsUpdate`	MarketData	ticker

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`OPEN_PRICE`
`HIGHEST_TRADED_PRICE`
`LOWEST_TRADED_PRICE`

Order Management#

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	ExecutionReport (8)
`roq::TradeUpdate`	DropCopy	Match

Download

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

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	NewOrderSingle (D)
`roq::ModifyOrder`
`roq::CancelOrder`	OrderEntry	OrderCancelRequest (F)
`roq::CancelAllOrders`			Not implemented

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	ExecutionReport (8), OrderCancelReject (9)

Order Types#

Type	Comments
`MARKET`	Mapped to `'1'` (FIX)
`LIMIT`	Mapped to `'2'` (FIX)
`STOP_LIMIT`	Mapped to `'4'` (FIX)

Time in Force#

Type	Comments
`GTC`	Mapped to `'1'` (FIX)
`IOC`	Mapped to `'3'` (FIX)
`FOK`	Mapped to `'4'` (FIX)

Note

A non-standard value of 'P' (FIX) is used to indicate “Post-Only. This value is derived from Execution Instruction (see below) and will override any other value of Time in Force.

Position Effect#

Note

Not supported

Execution Instructions#

Type	Comments
`CANCEL_IF_NOT_BEST`	Mapped to the `'P'` (FIX) used by Time in Force

Account Management#

Live

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

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`			Unavailable
`roq::FundsUpdate`	Rest	accounts

Streams#

OrderEntry

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

DropCopy

Type	Comments
WebSocket	Primary purpose live account updates, including orders and fills Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

live account updates, including orders and fills

Each connection

supports a single account

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

Rest

Type	Comments
REST	Primary purpose download reference data, market statussupport, and funds

Constraints#

Rate-limit usage is not communicated by the exchange
FIX OrderMassCancelRequest (q) is not supported and orders must therefore be canceled one by one

Comments#

WebSocket is through a third-party CDN (CloudFlare) with all the issues such a solution entails.
FIX support is minimal and only supporting very basic order management.
Fills are not available from the FIX connection and there is a probability Match messages are lost from WebSocket connection. YOU SHOULD NOT RELY ON TRADE UPDATES FOR YOUR POSITION KEEPING !!!
TradeUpdate
- You should not rely on this feed for your position keeping.
FundsUpdate
- Only downloaded immediately after connection has been established.