roq-cme¶
$ mamba install \
--channel https://roq-trading.com/conda/stable \
roq-cme
$ mamba install \
--channel https://roq-trading.com/conda/unstable \
roq-cme
roq-cme
¶
$ roq-cme [FLAGS]
Description¶
roq-cme
is a gateway
Using the MDP3 (SBE/multicast) interface for market data.
Supports MBOFD (Market by Order).
Using both A and B channels for fastest access and to lower the probability of packet loss.
Using the iLink3 (SBE/TCP) interface for order management.
Supports¶
Spot |
|
Futures |
✓ |
Options |
|
Combos |
Reference Data |
✓ |
Market Status |
✓ |
Top of Book |
✓ |
Market by Price |
✓ |
Market by Order |
✓ |
Trade Summary |
✓ |
Statistics |
✓ |
Create |
✓ |
Modify |
✓ |
Cancel |
✓ |
Cancel All |
✓ |
Auto-Cancel |
Positions |
|
Funds |
Flags¶
$ roq-cme --help
--exchange
(XCBT,XNYM
)Exchange identifier (list)
--ilink_firm_id
Firm Id
--ilink_port
Port
--ilink_location
Location
--ilink_config_file
Config file (path)
--ilink_market_segment_ids
Comma-separated list of market segments, e.g. 70
--multicast_config_file
Config file (path)
--multicast_channel_ids
Comma-separated list of multicast channels, e.g. 310
--multicast_local_interface
Multicast local interface
--multicast_buffer_size
(2048
)Buffer size (at least the maximum possible size of a datagram)
--multicast_buffer_depth
(8
)Multicast buffer depth (used for re-ordering)
--multicast_timeout
(90s
)Timeout when waiting for snapshot
--enable_market_by_order
(false
)Enable market by order updates?
--filter_snapshot_from_incremental
(1024
)Used to remove low sequence number messages, e.g. snapshots
--secdef_config_file
Config file (path)
--mbp_allow_price_inversion
(false
)Allow price inversion?
--decode_buffer_size
(10485760
)Decode buffer size
--encode_buffer_size
(4096
)Encode buffer size
--test_reordering
(0
)Test
--test_drop
(0
)Test
Environments¶
$ $CONDA_PREFIX/share/roq-cme/flags
There is no specific environment setup.
You need to download the MDP config.xml
and iLink MSGW_Config.xml
files.
These files are used to discover IP addresses for MDP multicast and iLink’s MSGW (market segment gateways).
The gateway flags --multicast_channel_ids
and --ilink_market_segment_ids
are used to
join multicast streams and connect to specific MSGW end-points.
The multicast addresses must be made available from a local network interface.
The actual IP address of that interface must be provided with the --multicast_local_interface
flag.
Configuration¶
$ $CONDA_PREFIX/share/roq-cme/config.toml
Important
The template will be replaced when the software is upgraded. Make a copy and modify to your needs.
symbols = ".*"
[accounts]
[accounts.A1]
master = true
login = "YOUR_CME_LOGIN_GOES_HERE"
secret = "YOUR_CME_SECRET_GOES_HERE"
symbols = [ ".*" ]
[users]
[users.test]
password = "1234"
symbols = ".*"
[users.trader]
password = "secret"
accounts = [ "A1" ]
symbols = [ ".*BTC.*", ".*ETH.*" ]
[rate_limits]
[rate_limits.global]
type = "ORDER_ACTION"
aggregate = true
request_limit = 100
monitor_period = "10s"
ban_period = "5m"
Market Data¶
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Incremental |
MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55, MDInstrumentDefinitionSpread56, MDInstrumentDefinitionFixedIncome57, MDInstrumentDefinitionRepo58, MDInstrumentDefinitionFX63 |
||
Incremental |
SecurityStatus30, MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55, MDInstrumentDefinitionSpread56, MDInstrumentDefinitionFixedIncome57, MDInstrumentDefinitionRepo58, MDInstrumentDefinitionFX63 |
||
Incremental |
MDIncrementalRefreshBook46 |
||
Incremental |
MDIncrementalRefreshBook46 |
||
Incremental |
MDIncrementalRefreshBook46, MDIncrementalRefreshOrderBook47 |
||
Incremental |
MDIncrementalRefreshTradeSummary48, MDIncrementalRefreshTradeSummaryLongQty65 |
||
Incremental |
MDIncrementalRefreshDailyStatistics49, MDIncrementalRefreshSessionStatistics51, MDIncrementalRefreshSessionStatisticsLongQty67, MDIncrementalRefreshVolume37 |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Instrument Definition |
MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55, MDInstrumentDefinitionSpread56, MDInstrumentDefinitionFixedIncome57, MDInstrumentDefinitionRepo58, MDInstrumentDefinitionFX63 |
||
Instrument Definition |
MDInstrumentDefinitionFuture54, MDInstrumentDefinitionOption55 |
||
MBP Market Recovery |
SnapshotFullRefresh52, SnapshotFullRefreshLongQty69 |
||
MBO Market Recovery |
SnapshotFullRefreshOrderBook53 |
||
Statistics¶
TBD
Order Management¶
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
ExecutionReportTradeOutright525, ExecutionReportTradeSpread526, ExecutionReportTradeSpreadLeg527 |
||
OrderEntry |
ExecutionReportTradeOutright525, ExecutionReportTradeSpread526, ExecutionReportTradeSpreadLeg527 |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
ExecutionReportStatus532 |
||
Unavailable |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderEntry |
NewOrderSingle514 |
||
OrderEntry |
OrderCancelReplaceRequest515 |
||
OrderEntry |
OrderCancelRequest516 |
||
OrderEntry |
OrderMassActionRequest529 |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
OrderUpdate |
ExecutionReportNew522, ExecutionReportReject523, ExecutionReportModify531, ExecutionReportCancel534, BusinessReject521 |
Order Types¶
Type |
Comments |
---|---|
|
Mapped to |
|
Mapped to |
Time in Force¶
Type |
Comments |
---|---|
|
Mapped to |
|
Mapped to |
|
Mapped to |
|
Mapped to |
Position Effect¶
Note
Not supported
Execution Instructions¶
Note
Not supported
Templates¶
Note
Not supported
Account Management¶
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Unavailable |
|||
Unavailable |
Event |
Stream |
Messages |
Comments |
---|---|---|---|
Unavailable |
|||
Unavailable |
Streams¶
Type |
Comments |
---|---|
UDP |
Primary purpose
|
Type |
Comments |
---|---|
UDP |
Primary purpose
|
Type |
Comments |
---|---|
UDP |
Primary purpose
|
Type |
Comments |
---|---|
UDP |
Primary purpose
|
Type |
Comments |
---|---|
TCP |
Primary purpose
|
Constraints¶
The OrderEntry (iLink) connections are established based on the provided list of market segments. This is a bit unusual: the list of accounts are normally 1:1 with the connections. It is only allowed to configure a single account until we know better how this all works with CME’s party-definitions.
The actual exchange (e.g. XCBT) is now used for order management. The reason is technical and due to most gateways only providing access to a single exchange. The exchange name used for creating, modify and canceling orders, must therefore match the name provided with the
--exchange
flag.
roq-cme-import
¶
$ roq-cme-import [FLAGS] PCAP_FILE
Description¶
roq-cme-import
is a tool to create a .roq
event-log by importing a .pcap
file.
Requires the
config.xml
file (from CME’s FTP site) to map IP addresses to channels.Requires the
secdef.dat
file (from CME’s FTP site) if the.pcap
file does not contain the relevant instrument definitions.Requires the
.pcap
file to contain all incremental messages from CME’s start-up (Sunday) if the recovery channels are not available.Will not work if the
.pcap
file has gaps and the recovery channels are not available.
Flags¶
$ roq-cme-import --help
--name
A name used to identify the service.
--type
(pcap
)Type of input file (only support type is
pcap
).--channel_ids
Comma-separated list of multicast channels to include.
--symbols
Comma-separated list of symbols (regex) to include.
--cache_all_reference_data
(false
)This flag allows you (opt-in) to cache all reference data including symbols that would normally be discarded due to regex matching.
--cme_config_file
CME’s multicast channel XML config file.
--cme_secdef_file
CME’s instrument definitions file (required when the .pcap file does not contain instrument definitions).
--event_log_output_file
Event-log output file.
--event_log_dir
Event-log directory (optional).
--event_log_buffer_size
(134217728
)Event-log output buffer size.
--event_log_compression_level
(4
)Event-log compression level.
--encode_buffer_size
(16777216
)Encode buffer size.
--mbp_allow_price_inversion
(true
)Allow price inversion?
--mbp_max_depth
(10
)Max depth.
--test_mbp_mbo
(false
)Compare MBP and MBO updates?
--test_depth
(10
)Depth to compare.
--test_mbp_to_mbo_clear_price_level
(false
)DEPRECATED
Example¶
$ roq-cme-import \
--name "cme" \
--type "pcap" \
--channel_ids 344 \
--symbols "ZN[HMUZ][0-9]" \
--cme_config_file "config.xml" \
--cme_secdef_file "secdef.dat" \
--event_log_output_file "test.roq" \
all.pcap
roq-cme-filter
¶
$ roq-cme-filter [FLAGS]
Description¶
roq-cme-filter
is a tool to generate the PCAP filter required to capture specific channels.
Flags¶
$ roq-cme-filter --help
--type
Type of output, e.g.
tcpdump
.--channel_ids
Comma-separated list of multicast channels to include.
--cme_config_file
CME’s multicast channel XML config file.
Example¶
$ roq-cme-filter \
--type "tcpdump" \
--channel_ids 344 \
--cme_config_file "config.xml"
(host 224.0.31.110 and port 14344) or (host 224.0.32.110 and port 15344) or (host 224.0.31.68 and port 14344) or (host 224.0.32.68 and port 15344) or (host 224.0.31.89 and port 14344) or (host 224.0.32.89 and port 15344) or (host 233.72.75.33 and port 23344) or (host 233.72.75.96 and port 22344)(dev)
This will output a tcpdump
filter for channel_ids
.
Comments¶
ExternalLatency
is currently only published when receiving a heartbeat from the exchange.MarketByOrder
is opt-in using the--enable_market_by_order
flag.ExecutionReportTradeOutright
reportsLastPx
as the order’s limit price. This should normally be expected to be the (average) price of the fill(s).