roq-kraken#

Important

This gateway needs sponsorship to complete certain features.

Links#

Purpose#

Maintain network connectivity with the Kraken 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 Costa Rica (to be confirmed, best source here)

Conda#

Using Conda

Install

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-kraken \
      --name "kraken" \
      --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 --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://api.kraken.com
--ws_public_uri=wss://ws.kraken.com
--ws_private_uri=wss://ws-auth.kraken.com

Test

# flagfile

--rest_uri=https://beta-api.kraken.com
--ws_public_uri=wss://beta-ws.kraken.com
--ws_private_uri=wss://beta-ws-auth.kraken.com

Warning

The test environment is used to beta test new API’s

Market Data#

Live

Event	Stream	Messages	Comments
`roq::ReferenceData`			Unavailable
`roq::MarketStatus`			Unavailable
`roq::TopOfBook`	MarketData	spread
`roq::MarketByPriceUpdate`	MarketData	book
`roq::MarketByOrderUpdate`			Unavailable
`roq::TradeSummary`	MarketData	trade
`roq::StatisticsUpdate`			Not supported

Download

Event	Stream	Messages
`roq::ReferenceData`	OrderEntry	/0/public/AssetPairs
`roq::MarketStatus`
`roq::TopOfBook`
`roq::MarketByPriceUpdate`
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Order Management#

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	openOrders	Not implemented
`roq::TradeUpdate`	DropCopy	ownTrades	Not implemented

Download

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

Request

Event	Stream	Messages	Comments
`roq::CreateOrder`	DropCopy	addOrder	Not implemented
`roq::ModifyOrder`			Unavailable
`roq::CancelOrder`	DropCopy	cancelOrder	Not implemented
`roq::CancelAllOrders`	DropCopy	cancelAll	Not implemented

Response

Event	Stream	Messages	Comments
`roq::OrderAck`	DropCopy	addOrder, cancelOrder	Not implemented

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`	OrderEntry	/0/private/OpenPositions	Not implemented
`roq::FundsUpdate`	OrderEntry	/0/private/Balance, /0/private/TradeBalance	Not implemented

Streams#

OrderEntry

Type	Comments
REST	Primary purpose support order management Each connection supports a single account maintains a listen key (used by the DropCopy stream) The master account is used to discover the full list of symbols (by downloading asset pairs)

DropCopy

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

Type

Comments

WebSocket

Primary purpose

live account updates, including orders and fills

Each connection

supports a single account

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#

Rate-limit usage is not communicated by the exchange

Order book ends up in bad state: Downtime (scheduled or not) appears to not shutdown existing connections nor are established subscriptions unsubscribed. Worse, during downtime, what appears to be uninitialized order book data can be disseminated. (This was confirmed with Kraken support early May 2020).

Warning

We currently have no means to detect bad order book updates. At best, a parse exception will terminate your gateway with an unhandled excpetion.