roq-ftx¶

Links¶

Purpose¶

Maintain network connectivity with the FTX 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 ap-southeast-1, AWS, Singapore
No test environment

Conda¶

Using Conda

Install

conda install \
  --channel https://roq-trading.com/conda/stable \
  roq-ftx

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

roq-ftx \
      --name "ftx" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --metrics_listen_address "$TCP_LISTEN_PORT" \
      --flagfile "$FLAG_FILE"

Config¶

Common Config

Flags¶

CLI

1roq-ftx --help

WebSocket

--ws_order_book_checksum_every

Number of updates between validating order-book checksum (0 means never validate).

FIX

--cancel_on_disconnect

The Logon FIX message can be used to instruct the exchange to automatically cancel all orders if a disconnect has been detected.

Environments¶

Prod

# flagfile

--rest_uri=https://ftx.com
--ws_uri=wss://ftx.com/ws
--fix_uri=tcp+ssl://fix.ftx.com:4363

Market Data¶

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`	MarketData	markets
`roq::MarketStatus`	MarketData	markets
`roq::TopOfBook`	MarketData	ticker
`roq::MarketByPriceUpdate`	MarketData	orderbook
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	trades
`roq::StatisticsUpdate`	MarketData	markets

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`	DropCopy	/api/markets, /api/futures	multiplier not available special logic to derive quote and base currencies for futures
`roq::MarketStatus`	DropCopy	/api/markets, /api/futures
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`	DropCopy	/api/markets

Statistics¶

Type	Comments
`SETTLEMENT_PRICE`	(future) `mark`
`PRE_SETTLEMENT_PRICE`	(future) `marginPrice`
`UPPER_LIMIT_PRICE`	(future) `upperBound`
`LOWER_LIMIT_PRICE`	(future) `lowerBound`
`OPEN_INTEREST`	(future) `openInterest`

Order Management¶

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	/api/orders, /api/orders/history	Not implemented
`roq::TradeUpdate`	DropCopy	/api/fills	Not implemented

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	NewOrderSingle (D)
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	OrderEntry	OrderCancelRequest (F)
`roq::CancelAllOrders`	OrderEntry	OrderMassCancelRequest (q)

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	OrderEntry	ExecutionReport (8), OrderCancelReject (9), Reject (3)

Order Types¶

Type	Comments
`LIMIT`	Mapped to `'2'` (FIX)

Time in Force¶

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

Live

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

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	DropCopy	/api/account
`roq::FundsUpdate`	DropCopy	/api/wallet/balances

Streams¶

OrderEntry

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

DropCopy

Type	Comments
REST	Primary purpose live account updates, including orders and fills Each connection supports a single account The master account is used to discover the full list of symbols (by downloading exchange info) request depth snapshots

MarketData

Type	Comments
WebSocket	Primary purpose live market data reference data and markets (from the `markets` channel) Each connection supports a slice of the symbols The first stream is used to subscribe the `markets` channel

Type

Comments

WebSocket

Primary purpose

live market data
reference data and markets (from the markets channel)

Each connection

supports a slice of the symbols

The first stream is used to

subscribe the markets channel

Constraints¶

The gateway requires a master account definition to be functional. This is currently needed by the market data connection.
Rate-limit usage is not communicated by the exchange
Order book
- Max depth is 100

Comments¶

Order book
- Top-100 checksum is not being verified for latency reasons
- Instructions to clear levels appear outside top 100
Order Management
- TimeInForce is automatically converted to IOC if order size too small. (More details here.)
- Have seen FIX execution reports with pending-cancel arrive after cancel. For this reason, all pending-cancel are dropped.
- REST/WS is unreliable at this point. Ordering is a real issue. Also, the automatic conversion to IOC is causing issues because the WS orders channel reports the order to be closed oftentimes followed by a REST response with order details indicating the order is working (new).