roq-kucoin#

Links#

Purpose#

Maintain network connectivity with the KuCoin 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

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

Configure

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

Run

$ roq-kucoin \
      --name "kucoin" \
      --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

$ roq-kucoin --help

Environments#

Prod

# flagfile

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

Test

# flagfile

--rest_uri=https://openapi-sandbox.kucoin.com

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`
`roq::MarketStatus`	MarketData	/market/snapshot
`roq::TopOfBook`	MarketData	/market/ticker
`roq::MarketByPriceUpdate`	MarketData	/market/level2
`roq::MarketByOrderUpdate`
`roq::TradeSummary`	MarketData	/market/match
`roq::StatisticsUpdate`	MarketData	/market/snapshot

Download

Event	Stream	Messages
`roq::ReferenceData`	Rest	/api/v1/symbols
`roq::MarketStatus`	Rest	/api/v1/symbols
`roq::TopOfBook`
`roq::MarketByPriceUpdate`	Rest	/api/v3/market/orderbook/level2
`roq::MarketByOrderUpdate`
`roq::TradeSummary`
`roq::StatisticsUpdate`

Statistics#

Type	Comments
`OPEN_PRICE`	(snapshot) `open`
`HIGHEST_TRADED_PRICE`	(instrument) `high`
`LOWEST_TRADED_PRICE`	(instrument) `low`
`CLOSE_PRICE`	(instrument) `close`
`OPEN_PRICE`	(instrument) `open`

Order Management#

Live

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

Download

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

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#

Type	Comments
`MARKET`	Mapped to `market` (JSON)
`LIMIT`	Mapped to `limit` (JSON)

Time in Force#

Type	Comments
`GTC`	Mapped to `GTC` (JSON)
`IOC`	Mapped to `IOC` (JSON)
`FOK`	Mapped to `FOK` (JSON)

Position Effect#

Note

Not supported

Execution Instructions#

Type	Comments
`PARTICIPATE_DO_NOT_INITIATE`	Mapped to `postOnly` (JSON). Requires GTC

Account Management#

Live

Event	Stream	Messages	Comments
`roq::PositionUpdate`
`roq::FundsUpdate`	DropCopy	/account/balance

Download

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

Streams#

Rest

Type	Comments
REST	Primary purpose download reference data and L2 snapshot

MarketData

Type

Comments

WebSocket

Primary purpose

live market data
market status

Each connection

supports a slice of the symbols

OrderEntry

Type	Comments
REST	Primary purpose download account data order requests

DropCopy

Type

Comments

WebSocket

Primary purpose

live account data
order updates
fills

Constraints#

The gateway requires a master account definition (API key) to be functional. The reason is that requesting L2 snapshots will require authentication.
The exchange API does not allow order cancelation prior to an ack or update being received by the client. (Other exchanges normally allow cancelation using a client order id.) An roq::OrderAck with roq::Error::UNKNOWN_EXTERNAL_ORDER_ID is the response if a roq::CancelOrder request is sent “too early”.
There are no options to instruct the exchange to auto-cancel orders on disconnect.

Comments#

There is currently no implementation to refresh the token for the private connection. A received token should be valid for 24 hours and dialy restarts should therefore be planned.
The KuCoin sandbox environment does not work with IP restriction. This was confirmed by KuCoin support.