roq-gate-futures#

Important

This gateway needs sponsorship to complete certain features.

Links#

Purpose#

Maintain network connectivity with the Gate.io 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-gate-futures

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

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

Environments#

BTC#

Prod

# flagfile

--api=btc
--rest_uri=https://api.gateio.ws/api/v4
--ws_uri=wss://fx-ws.gateio.ws/v4/ws/btc

USDT#

Prod

# flagfile

--api=usdt
--rest_uri=https://api.gateio.ws/api/v4
--ws_uri=wss://fx-ws.gateio.ws/v4/ws/usdt

Market Data#

Live

Event	Stream	Messages
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`	MarketData	futures.book_ticker
`roq::MarketByPriceUpdate`	MarketData	futures.order_book_update
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	futures.trades
`roq::StatisticsUpdate`	MarketData	futures.tickers

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/futures/{api}/contracts
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	Rest	/futures/{api}/order_book
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`TRADE_VOLUME`	(futures.tickers) `volume_24h_quote`
`INDEX_VALUE`	(futures.tickers) `index_price`
`FUNDING_RATE`	(futures.tickers) `funding_rate`
`FUNDING_RATE_PREDICTION`	(futures.tickers) `funding_rate_indicative`

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#

Order book updates are throttled at 100ms (default) or 1000ms.
Order books appear to allow inverted prices.
- This has been confirmed and documented with a request (snapshot) + a single update (which brackets the snapshot). Applying the update to the snapshot results in inverted prices.

Comments#

Order books can be subscribed to a depth of 5, 10 and 20, according to the documentation. However, a value of 100 also appear to be valid. Other values may result in a response saying “success’, yet updates do not appear to arrive.
Order/account management is completely missing (needs sponsorship).