roq-crypto-futures#

Important

PLACEHOLDER! This gateway is in early development.

Links#

Purpose#

Maintain network connectivity with the Crypto.com 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

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-crypto-futures

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-crypto-futures \
      --name "crypto-futures" \
      --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-crypto-futures --help

Environments#

Prod

# flagfile

--rest_uri=https://deriv-api.crypto.com
--ws_market_uri=wss://deriv-stream.crypto.com/v1/market
--ws_user_uri=wss://deriv-stream.crypto.com/v1/user

Test

# flagfile

--rest_uri=https://uat-deriv-api.3ona.co
--ws_market_uri=wss://uat-deriv-stream.3ona.co/v1/market
--ws_user_uri=wss://uat-deriv-stream.3ona.co/v1/user

Market Data#

Live

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

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/v1/public/get-instruments
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`TRADE_VOLUME`	(spot.tickers) `quote_volume`

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#

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

Constraints#

Comments#

All symbols having tradable != true are dropped.
The rate-limiter is quite strict
- Currently getting DISCONNECTED when subscribing more channels…!?
- Maybe need a queue for subscribtions…
- Also, there’s a warning about not subscribing during the first second
Market data
- Book is full snapshot on each update (must convert to incremental)
- Need custom parser for book due to nested arrays