roq-kraken-futures

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

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conda install \
  --channel https://roq-trading.com/conda/stable \
  roq-kraken-futures
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cp $CONDA_PREFIX/share/roq-kraken-futures/config.toml $CONFIG_FILE_PATH

# Then modify $CONFIG_FILE_PATH to match your specific configuration
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roq-kraken-futures \
      --name "kraken-futures" \
      --config_file "$CONFIG_FILE_PATH" \
      --client_listen_address "$UNIX_SOCKET_PATH" \
      --metrics_listen_address "$TCP_LISTEN_PORT" \
      --flagfile "$FLAG_FILE"

Flags

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roq-kraken-futures --help

--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

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# flagfile

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

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

Market Data

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

Statistics

Order Management

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderAck

Order Types

TBD

Time in Force

TBD

Position Effect

TBD

Execution Instructions

TBD

Account Management

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

Streams

Type

Comments

REST

Primary purpose

  • Download instruments

Type

Comments

WebSocket

Primary purpose

  • live market data (top of book + market status)

Each connection

  • supports a slice of the symbols

Type

Comments

REST

Primary purpose

  • support order management

Each connection

  • supports a single account

Type

Comments

WebSocket

Primary purpose

  • live account updates, including positions and funds

Each connection

  • supports a single account