roq-query#

Purpose#

  • Basic event-log query capability

Conda#

$ conda install \
  --channel https://roq-trading.com/conda/stable \
  roq-tools
$ roq-query [options] \
    event_log_file

Flags#

$ roq-query --help

--type

Query type. Default is count.

--event_type

Event type. Any of top_of_book and market_by_price.

--period

Bucketting period, e.g. 5m (5 minutes).

--stream_id

Filter on stream_id. Optional.

--symbols

Comma-separated list of symbols regex to include. Optional.

Example#

$ roq-query ftx.roq --type count --event_type top_of_book --period 5m --stream_id 6 --symbols "BTC.*,ETH.*"
receive_time_utc,"BTC-0624","BTC-0930","BTC-PERP","BTC/USD","BTC/USDT","ETH-0624","ETH-0930","ETH-PERP","ETH/USD","ETH/USDT"
1654086300000000000ns,5060,1796,3423,3201,4023,2482,5256,7504,7106,3579
1654086600000000000ns,6907,5140,5414,4218,5056,3113,7551,10478,11151,2510
1654086900000000000ns,5306,7986,5364,5562,6144,3561,7660,2714,10968,10240
1654087200000000000ns,6364,11089,6367,6409,4263,7116,9020,3787,10742,9150
[...]