roq-deribit#
Links#
Purpose#
Maintain network connectivity with the Deribit exchange
Route exchange updates to connected clients
Route client requests to the relevant exchange accounts
Stream all messages to an event-log
Overview#
Spot |
|
Futures |
✓ |
Options |
✓ |
Reference Data |
✓ |
Market Status |
✓ |
Top of Book |
✓ |
Market by Price (L2) |
✓ |
Market by Order (L3) |
|
Trade Summary |
✓ |
Statistics |
✓ |
Create |
✓ |
Modify |
✓ |
Cancel |
✓ |
Cancel All |
✓ |
Auto Cancellation |
✓ |
Positions |
✓ |
Funds |
✓ |
Conda#
$ mamba install \
--channel https://roq-trading.com/conda/stable \
roq-deribit
$ cp $CONDA_PREFIX/share/roq-deribit/config.toml $CONFIG_FILE_PATH
# Then modify $CONFIG_FILE_PATH to match your specific configuration
$ roq-deribit \
--name "deribit" \
--config_file "$CONFIG_FILE_PATH" \
--client_listen_address "$UNIX_SOCKET_PATH" \
--service_listen_address "$TCP_LISTEN_PORT" \
--flagfile "$FLAG_FILE"
Config#
Flags#
$ roq-deribit --help
--exchange
(deribit
)Exchange identifier (string)
--request_limit
(20
)Request limit per interval
--request_limit_interval
(1s
)Request limit monitor interval
--encode_buffer_size
(1048576
)Encode buffer size
--decode_buffer_size
(10485760
)Decode buffer size
--disable_deribit_143
(false
)Disable #143
--disable_master_account_check
(false
)Disable requirement for master account
--mbp_allow_price_inversion
(true
)Allow price inversion?
--local_interface
Multicast local interface
--download_trades_lookback
(300s
)Download trades lookback period
--download_trades_lookback_on_restart
Download trades lookback period
--fix_uri
(tcp://test.deribit.com:9881
)FIX end-point (URI)
--fix_ping_freq
(5s
)Ping frequency
--fix_request_timeout
(15s
)Request timeout
--fix_cancel_on_disconnect
(true
)Cancel orders on disconnect? (bool)
--fix_market_data_max_subscriptions_per_stream
(256
)Max subscriptions per connection (count)
--fix_market_data_request_max_size
(56
)Max batch size (it appears there is a limit)
--fix_market_data_market_depth
(20
)Market depth (see deribit documentation)
--fix_debug
(false
)Log fix messages?
--fix_continue_from_parse_exception
(false
)Continue if message can’t be parsed?
--fix_terminate_on_market_data_request_reject
(false
)Terminate if market data request has been rejected?
--fix_test_order_disconnect
TEST disconnect order stream after this period
--fix_test_order_logon
TEST logon order stream after this period
--fix_test_market_data_disconnect
TEST disconnect market data stream after this period
--multicast_address
(std::vector<std::string>(239.111.111.1,239.111.111.3)
)List of multicast addresses (comma-separated)
--multicast_port_events
(6100
)Multicast port used for events
--multicast_port_snapshot
(6101
)Multicast port for snapshot
--multicast_disable_top_of_book
(false
)Default is to consume TopOfBook from the multicast feed
--multicast_disable_trade_summary
(false
)Default is to consume TradeSummary from the multicast feed
--multicast_disable_market_by_price
(false
)Default is to consume MarketByPrice from the multicast feed
--multicast_timeout
(90s
)Timeout when waiting for snapshot
--ws_uri
(wss://test.deribit.com/ws/api/v2
)WebSocket end-point (URI)
--ws_host
Host (http header) in case uri uses an IP address
--ws_ping_freq
(5s
)Ping frequency
--ws_request_timeout
(15s
)Request timeout
--ws_market_data_max_subscriptions_per_stream
(256
)Max subscriptions per connection (count)
--ws_ticker_interval
(100ms
)Ticker interval
--ws_allow_errors
(false
)Allow errors (debug)
--ws_disable_quote
(false
)Disable quote subscription
Environments#
$ $CONDA_PREFIX/share/roq-deribit/flags
# flagfile for the roq-deribit gateway
--fix_uri=tcp://www.deribit.com:9881
--ws_uri=wss://www.deribit.com/ws/api/v2
# flagfile for the roq-deribit gateway
--fix_uri=tcp://test.deribit.com:9881
--ws_uri=wss://test.deribit.com/ws/api/v2
Market Data#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
MarketData |
SecurityList (y) |
||
WebSocket |
ticker |
||
WebSocket |
quote |
||
MarketData |
MarketDataSnapshotFullRefresh (W), MarketDataIncrementalRefresh (X) |
||
Unavailable |
|||
MarketData |
MarketDataIncrementalRefresh (X) |
||
MarketData |
MarketDataIncrementalRefresh (X) |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Statistics#
Type |
Comments |
---|---|
|
Value of Index for INDEX instruments like BTC-DERIBIT-INDEX. MarketDataIncrementalRefresh (X) / MDEntryType (269) / Index Value (3). |
|
Estimated Delivery Price for INDEX instruments like BTC-DERIBIT-INDEX MarketDataIncrementalRefresh (X) / MDEntryType (269) / Settlement Price (6). |
|
Open interest for the symbol. MarketDataIncrementalRefresh (X) / OpenInterest (790) |
|
Mark price for the symbol. MarketDataIncrementalRefresh (X) / MarkPrice (100090) |
Order Management#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
ExecutionReport (8) |
||
OrderEntry |
ExecutionReport (8) |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
DropCopy |
private/get_user_trades_by_currency |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
NewOrderSingle (D) |
||
OrderEntry |
OrderCancelReplaceRequest (G) |
||
OrderEntry |
OrderCancelRequest (F) |
||
OrderEntry |
OrderMassCancelRequest (q) |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
ExecutionReport (8), OrderCancelReject (9), Reject (3) |
Order Types#
Type |
Comments |
---|---|
|
Mapped to |
|
Mapped to |
Time in Force#
Type |
Comments |
---|---|
|
Mapped to |
|
Mapped to |
|
Mapped to |
Position Effect#
Note
Not supported
Execution Instructions#
Type |
Comments |
---|---|
|
Mapped to |
|
Mapped to |
Account Management#
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
RequestForPositions (AN) / PositionReport(AP) |
||
Unavailable |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
RequestForPositions (AN) / PositionReport(AP) |
||
DropCopy |
private/get_account_summary |
Streams#
Type |
Comments |
---|---|
FIX |
Primary purpose
Each connection
|
Type |
Comments |
---|---|
WebSocket |
Primary purpose
Each connection
|
Type |
Comments |
---|---|
FIX |
Primary purpose
Each connection
The master account is used to
|
Type |
Comments |
---|---|
WebSocket |
Primary purpose
Each connection
The first connection is used to
|
Type |
Comments |
---|---|
UDP |
Primary purpose
|
Constraints#
The gateway requires a master account definition to be functional. This is needed by the FIX protocol, even for the market data connection.
The field
DeribitLabel
(FIX tag 100010) is limited to 64 charactersThe multicast feed can only be used by a single effective user id. This is a Linux restriction.
The multicast protocol is flawed due to the snapshot channel containing no more than 10k levels (on either side) and the events channel including book updates for all levels.
Note
There are currently no work-arounds implemented to deal with this.
Comments#
The gateway must be restarted at least daily if you use the multicast feed. The reason is the snapshot vs events inconsistency mentioned under the constraints. The book effectively becomes more and more wrong for big market moves.