roq-kucoin#

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#

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

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

# Then modify $CONFIG_FILE_PATH to match your specific configuration

$ 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#

Flags#

$ roq-kucoin --help

--rest_download_delay

Time between download requests. Default is 333ms due to an exchange constraint of 9 requests / 3 seconds.

--rest_download_orders_page_size

The exchange API for order download is paginated and this is the number of items per page. Download will be disabled when set to zero.

--rest_download_orders_begin

When to include orders from. Default is 24 hours prior to “now”.

--rest_download_inactive

Also include inactive orders? Default is to only include active orders.

--rest_download_fills_page_size

The exchange API for fills download is paginated and this is the number of items per page. Download will be disabled when set to zero.

--rest_download_fills_begin

When to include orders from. Default is 24 hours prior to “now”.

Environments#

# flagfile

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

# 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#

Event

Stream

Messages

Comments

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

Event

Stream

Messages

Comments

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#

Event

Stream

Messages

Comments

roq::OrderUpdate

DropCopy

/spotMarket/tradeOrders

roq::TradeUpdate

Event

Stream

Messages

Comments

roq::OrderUpdate

roq::TradeUpdate

Event

Stream

Messages

Comments

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

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#

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

DropCopy

/account/balance

Event

Stream

Messages

Comments

roq::PositionUpdate

roq::FundsUpdate

OrderEntry

GET /api/v1/accounts

Streams#

Type

Comments

REST

Primary purpose

  • download reference data and L2 snapshot

Type

Comments

WebSocket

Primary purpose

  • live market data

  • market status

Each connection

  • supports a slice of the symbols

Type

Comments

REST

Primary purpose

  • download account data

  • order requests

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.