roq-deribit#

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#

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

✓

Conda#

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

$ 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

--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.

--max_batch_size

The MarketDataRequest FIX message supports the simultaneous subscription of multiple symbols. However, it appears there is a limit (around 56 symbols). This flag controls how many symbols can be subscribed per request.

Environments#

# flagfile

--fix_uri=tcp://www.deribit.com:9881
--ws_uri=wss://www.deribit.com/ws/api/v2

# multicast (optional)

--local_interface=192.168.188.1  # this is specific to your host
--multicast_address=239.111.111.1,239.111.111.3
--multicast_port_events=6100
--multicast_port_snapshot=6101

# flagfile

--fix_uri=tcp://test.deribit.com:9881
--ws_uri=wss://test.deribit.com/ws/api/v2

Market Data#

Event

Stream

Messages

Comments

roq::ReferenceData

MarketData

SecurityList (y)

roq::MarketStatus

WebSocket

ticker

roq::TopOfBook

WebSocket

quote

roq::MarketByPriceUpdate

MarketData

MarketDataSnapshotFullRefresh (W), MarketDataIncrementalRefresh (X)

roq::MarketByOrderUpdate

Unavailable

roq::TradeSummary

MarketData

MarketDataIncrementalRefresh (X)

roq::StatisticsUpdate

MarketData

MarketDataIncrementalRefresh (X)

Event

Stream

Messages

Comments

roq::ReferenceData

roq::MarketStatus

roq::TopOfBook

roq::MarketByPriceUpdate

roq::MarketByOrderUpdate

roq::TradeSummary

roq::StatisticsUpdate

Statistics#

Type

Comments

INDEX_VALUE

Value of Index for INDEX instruments like BTC-DERIBIT-INDEX. MarketDataIncrementalRefresh (X) / MDEntryType (269) / Index Value (3).

SETTLEMENT_PRICE

Estimated Delivery Price for INDEX instruments like BTC-DERIBIT-INDEX MarketDataIncrementalRefresh (X) / MDEntryType (269) / Settlement Price (6).

PRE_OPEN_INTEREST

Open interest for the symbol. MarketDataIncrementalRefresh (X) / OpenInterest (790)

PRE_SETTLEMENT_PRICE

Mark price for the symbol. MarketDataIncrementalRefresh (X) / MarkPrice (100090)

Order Management#

Event

Stream

Messages

Comments

roq::OrderUpdate

OrderEntry

ExecutionReport (8)

roq::TradeUpdate

OrderEntry

ExecutionReport (8)

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

DropCopy

private/get_user_trades_by_currency

Event

Stream

Messages

Comments

roq::CreateOrder

OrderEntry

NewOrderSingle (D)

roq::ModifyOrder

OrderEntry

OrderCancelReplaceRequest (G)

roq::CancelOrder

OrderEntry

OrderCancelRequest (F)

roq::CancelAllOrders

OrderEntry

OrderMassCancelRequest (q)

Event

Stream

Messages

Comments

roq::OrderAck

OrderEntry

ExecutionReport (8), OrderCancelReject (9), Reject (3)

Order Types#

Type

Comments

MARKET

Mapped to '1' (FIX)

LIMIT

Mapped to '2' (FIX)

Time in Force#

Type

Comments

GTC

Mapped to '1' (FIX)

IOC

Mapped to '3' (FIX)

FOK

Mapped to '4' (FIX)

Position Effect#

Note

Not supported

Execution Instructions#

Type

Comments

PARTICIPATE_DO_NOT_INITIATE

Mapped to '6' (FIX)

DO_NOT_INCREASE

Mapped to 'E' (FIX)

Account Management#

Event

Stream

Messages

Comments

roq::PositionUpdate

OrderEntry

RequestForPositions (AN) / PositionReport(AP)

roq::FundsUpdate

Unavailable

Event

Stream

Messages

Comments

roq::PositionUpdate

OrderEntry

RequestForPositions (AN) / PositionReport(AP)

roq::FundsUpdate

DropCopy

private/get_account_summary

Streams#

Type

Comments

FIX

Primary purpose

  • support order management

Each connection

  • supports a single account

Type

Comments

WebSocket

Primary purpose

  • live account updates, including positions and funds

Each connection

  • supports a single account

Type

Comments

FIX

Primary purpose

  • live market data (everything else)

Each connection

  • supports a slice of the symbols

The master account is used to

  • authenticate, only

Type

Comments

WebSocket

Primary purpose

  • live market data (top of book + market status)

Each connection

  • supports a slice of the symbols

The first connection is used to

  • download currencies and symbols

Type

Comments

UDP

Primary purpose

  • live market data (level 2 + top of book + market status)

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 characters

  • The 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.