roq-kucoin-futures#

Important

This gateway needs sponsorship to complete certain features.

Links#

Purpose#

Maintain network connectivity with the KuCoin 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-kucoin-futures

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

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

Environments#

Prod

# flagfile

--rest_uri=https://api-futures.kucoin.com

Test

# flagfile

--rest_uri=https://api-sandbox-futures.kucoin.com

Test (v2)

# flagfile

--rest_uri=https://api-v2-futures.kucoin.com
--api=v2

Note

The WebSocket URI will be discovered by querying the REST service. There are therefore no additional flags to specify network end-points.

Market Data#

Live

Event	Stream	Messages
`roq::ReferenceData`	MarketData	/contract/instrument
`roq::MarketStatus`	MarketData	/contract/instrument
`roq::TopOfBook`	MarketData	/contractMarket/tickerV2 or /contractMarket/ticker
`roq::MarketByPriceUpdate`	MarketData	/contractMarket/level2
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	/contractMarket/execution
`roq::StatisticsUpdate`	MarketData	/contract/announcement

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/api/v1/contracts/active
`roq::MarketStatus`	Rest	/api/v1/contracts/active
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	Rest	/api/v1/level2/snapshot
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`SETTLEMENT_PRICE`	mark_index_price.mark_price
`INDEX_VALUE`	mark_index_price.index_value
`FUNDING_RATE`	funding_rate.funding_rate
`FUNDING_RATE_PREDICTION`	funding_begin.funding_rate
`TRADE_VOLUME`	snapshot_24h.volume

Order Management#

Live

Event	Stream	Messages	Comments
`roq::OrderUpdate`	DropCopy	/contractMarket/tradeOrders
`roq::TradeUpdate`

Download

Event	Stream	Messages	Comments
`roq::OrderUpdate`	OrderEntry	GET /api/v1/orders	It’s only possible to poll?
`roq::TradeUpdate`	OrderEntry	GET /api/v1/fills	It’s only possible to poll?

Request

Event	Stream	Messages
`roq::CreateOrder`	OrderEntry	POST /api/v1/orders
`roq::ModifyOrder`
`roq::CancelOrder`	OrderEntry	DELETE /api/v1/orders/{order-id}
`roq::CancelAllOrders`	OrderEntry	DELETE /api/v1/orders

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`	DropCopy	/contract/position:{symbol}
`roq::FundsUpdate`	DropCopy	/contractAccount/wallet

Download

Event	Stream	Messages	Comments
`roq::PositionUpdate`	OrderEntry	GET /api/v1/position
`roq::FundsUpdate`

Streams#

Rest

Type	Comments
REST	Primary purpose download reference data and L2 snapshot

MarketData

Type	Comments
WebSocket	Primary purpose live market data reference data and market status Each connection supports a slice of the symbols

Type

Comments

WebSocket

Primary purpose

live market data
reference data and market status

Each connection

supports a slice of the symbols

Constraints#

It does not appear to be possible to subscribe all symbols more than once per IP address.

Comments#

Orders can NOT be canceled by client order id.
Fills are not communicated in real-time (only indirectly through order updates).
There are no options to instruct the exchange to auto-cancel orders on disconnect.
API v2 has been announced. As of 2022-07-01, it is unclear when this new API will be released to production. However, it sounds like it will be a change with no transition period with support for both API’s.