roq-dydx#

Links#

Purpose#

Maintain network connectivity with the Binance 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#

Using Conda

Install

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-dydx \
      --name "dydx" \
      --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-dydx --help

Common

--mbp_max_depth

Max depth. Unbounded is the default.

REST

`--rest_uri`	URI
`rest_back_off_delay`	Time to wait before retrying a rejected request.
`rest_terminate_on_403`	Terminate when getting a 403 response code.
`--rest_depth_limit`	Depth limit. This choice has influence on request limits, please refer to exchange documentation.
`--rest_listen_key_refresh`	Time between listen key refresh.
`--cancel_replace_stop_on_failure`	If the cancel request fails, the replacement will not be attempted

WebSocket

`--ws_uri`	URI
`--ws_depth_levels`	Max levels for snapshots.
`--ws_depth_freq`	Conflated depth updates are published at a frequency of either 100ms or 1000ms.
`--ws_trade_details`	Report individual matches for trade summary?
`--ws_max_subscriptions`	Subscription limit per web-socket connection

Environments#

Prod

# flagfile

--rest_uri=https://api.dydx.exchange
--ws_uri=wss://api.dydx.exchange/v3/ws

Test

# flagfile

--rest_uri=https://api.stage.dydx.exchange
--ws_uri=wss://api.stage.dydx.exchange

Market Data#

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`	MarketData	v3_markets
`roq::MarketStatus`	MarketData	v3_markets
`roq::TopOfBook`			Unavailable
`roq::MarketByPriceUpdate`	MarketData	v3_orderbook
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	v3_trades
`roq::StatisticsUpdate`	MarketData	v3_markets

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`	MarketData	v3_markets
`roq::MarketStatus`	MarketData	v3_markets
`roq::TopOfBook`			Unavailable
`roq::MarketByPriceUpdate`	MarketData	v3_orderbook
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`			Not used
`roq::StatisticsUpdate`	MarketData	v3_markets

Statistics#

Type	Comments
`OPEN_INTEREST`	(v3_markets) `openInterest`
`INDEX_VALUE`	(v3_markets) `indexPrice`
`TRADE_VOLUME`	(v3_markets) `volume24H`
`FUNDING_RATE`	(v3_markets) `nextFundingRate`

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`

Streams#

Marketdata

Type	Comments
WebSocket	Primary purpose live market data One connection

Type

Comments