roq-gemini¶

Links¶

Purpose¶

Maintain network connectivity with the Gemini 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 NY5, Equinix, USA, New Jersey

Conda¶

Using Conda

Install

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

roq-gemini \
      --name "gemini" \
      --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-gemini --help

FIX

--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.

Environments¶

Prod

Note

Please contact Gemini for connectivity details.

Test

# flagfile

--fix_ord_uri=tcp://8.44.203.78:1528
--fix_mkt_uri=tcp://8.44.203.78:1529
--fix_drp_uri=tcp://8.44.203.78:1530
--rest_uri=https://api.sandbox.gemini.com/v1

Market Data¶

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`	MarketData	SecurityList (y)	Incomplete
`roq::MarketStatus`	MarketData	SecurityList (y)	Incomplete
`roq::TopOfBook`			Unavailable
`roq::MarketByPriceUpdate`	MarketData	MarketDataSnapshotFullRefresh (W), MarketDataIncrementalRefresh (X)
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	MarketDataIncrementalRefresh (X)
`roq::StatisticsUpdate`			Unavailable

Download

Event	Stream	Messages	Comments
`roq::ReferenceData`
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics¶

Order Management¶

Live

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

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`
`roq::TradeUpdate`

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	OrderEntry	NewOrderSingle (D)
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	OrderEntry	OrderCancelRequest (F)
`roq::CancelAllOrders`	Rest	/v1/order/cancel/all	Not implemented

Response

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

Order Types¶

Type	Comments
`MARKET`	Mapped to `'1'` (FIX)
`LIMIT`	Mapped to `'2'` (FIX)
`STOP_LIMIT`	Mapped to `'4'` (FIX)

Time in Force¶

Type	Comments
`GTC`	Mapped to `'1'` (FIX)
`IOC`	Mapped to `'3'` (FIX)
`FOK`	Mapped to `'4'` (FIX)
`AT_THE_CLOSE`	Mapped to `'7'` (FIX)

Position Effect¶

Note

Not supported

Execution Instructions¶

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `'6'` (FIX)

Account Management¶

Live

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

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`			Unavailable
`roq::FundsUpdate`	Rest	balaneces	Not implemented

Streams¶

OrderEntry

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

DropCopy

Type	Comments
FIX	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
FIX	Primary purpose live market data Each connection supports a slice of the symbols

Comments¶

FIX supports both order management and market data.
Support for reference data and market status is completely missing from all API interfaces. YOU SHOULD NOT RELY ON REFERENCE DATA AND MARKET STATUS FOR ANYTHING.
REST
- Not implemented.
ReferenceData, MarketStatus
- You should not rely on these feeds.