roq-kraken-futures#

Links#

Purpose#

Maintain network connectivity with the Kraken 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 (to be confirmed)
No test environment

Conda#

Using Conda

Install

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

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

WebSocket

--book_depth

Maximum order book depth. The exchange will limit order book updates to this depth. Please refer to Kraken Websockets API for further details.

Environments#

Prod

# flagfile

--rest_uri=https://futures.kraken.com/derivatives/
--ws_uri=wss://futures.kraken.com/ws/v3

Test

# flagfile

--rest_uri=https://demo-futures.kraken.com/derivatives/
--ws_uri=wss://demo-futures.kraken.com/ws/v3

Market Data#

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`
`roq::MarketStatus`	MarketData	ticker
`roq::TopOfBook`	MarketData	ticker
`roq::MarketByPriceUpdate`	MarketData	book
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	trade
`roq::StatisticsUpdate`	MarketData	ticker

Download

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

Statistics#

Type	Comments
`INDEX_VALUE`	(ticker) `index`
`SETTLEMENT_PRICE`	(ticker) `markPrice`
`FUNDING_RATE`	(ticker) `relative_funding_rate`
`FUNDING_RATE_PREDICTION`	(ticker) `relative_funding_rate_prediction`

Order Management#

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	open_orders
`roq::TradeUpdate`	DropCopy	fills

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	open_orders_snapshot
`roq::TradeUpdate`	DropCopy	fills_snapshot

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	/api/v3/sendorder
`roq::ModifyOrder`	OrderEntry	/api/v3/editorder
`roq::CancelOrder`	OrderEntry	/api/v3/cancelorder
`roq::CancelAllOrders`	OrderEntry	/api/v3/canceallorders

Response

Event	Stream	Messages	Comments
`roq::OrderAck`

Order Types#

Type	Comments
`MARKET`	Mapped to `mkt` (JSON)
`LIMIT`	Mapped to `lmt` (JSON)

Time in Force#

Type	Comments
`GTC`	Mapped to `ioc=false` (JSON)
`IOC`	Mapped to `ioc=true` (JSON)

Position Effect#

Note

Not supported

Execution Instructions#

Type	Comments
`DO_NOT_INCREASE`	Mapped to `reduce_only=true` (JSON)

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`	DropCopy	open_positions
`roq::FundsUpdate`	DropCopy	account_balances_and_margins

Download

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

Streams#

Rest

Type	Comments
REST	Primary purpose Download instruments

MarketData

Type	Comments
WebSocket	Primary purpose live market data (top of book + market status) Each connection supports a slice of the symbols

Type

Comments

WebSocket

Primary purpose

live market data (top of book + market status)

Each connection

supports a slice of the symbols

OrderEntry

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

DropCopy

Type	Comments
WebSocket	Primary purpose live account updates, including positions and funds Each connection supports a single account

Type

Comments

WebSocket

Primary purpose

live account updates, including positions and funds

Each connection

supports a single account

Constraints#

The field cliOrdId is a string containing only web-safe characters.

Comments#

Order updates has no information about last traded price/quantity and total average price
There is a race between REST (ack) and WebSocket (update) for order actions
Some uncertainty around edit/cancel order and execution response
Statistics are using relative funding rates to be compatible with other exchanges