This release has bug fixes and improvements.
The API has been cleaned up to better align with the C++17 standard library, e.g. by removing custom literals (previously required for compatibility with various libraries). Utility classes for object caching have also been promoted to the API thereby reducing the effort needed to maintain data-structures when implementing strategies.
Client requests have been driving the implementation of the following gateways
These gateways are now ready for early adopters.
In the following you will find high-level descriptions of important changes.
The semantics has changed for
Previous implementation had two seperate updates for long and short.
This has now been merged into a single update with separate fields being prefixed with either
The semantics has changed for
Previous implementation had a boolean flag
This has now been replaced with an enumeration
identifying the update as one of snapshot, incremental, and stale.
A utility function has been added to support transition:
Some fields have been renamed to align with FX conventions
New fields have been introduced
Utility classes have been moved to the API and can be found here.
Most implementations are open-source and the implementation logic is header-only due to the API not being a library.
Those that are not open-source will have factory methods exposed by the client library.
Code changes should be expected if custom literals have been used.
This is essentially a left-over from before C++17 being required as well as a work-around
to deal with pre-compiled format strings made possible by
fmt (before version 8).
using namespace roq::literals;with
using namespace std::literals;
Utility classes useful for processing and caching update events (API) (#111).
PositionReport(FIX Bridge) (#92).
Add exchange sequence number to
New gateway: KuCoin (#50).
Remove external rate-limiter mirroring from the REST connection (Core) (#83).
Remove custom literals (API) (#110).
Default order-management to using FIX (FTX) (#107).
Change default web-socket end-point (BitMEX) (#106).
Round quantity and price for
ReferenceDatacurrencies should follow FX conventions (API) (#99).
Use base currency for
ExecutionReport(FIX Bridge) (#98).
Replace “snapshot” (
bool) with “update_type” (
UpdateType) (API) (#97).
Drop account configuration requirement / allow “market data”-only operation. (#96).
Some warnings should only be logged once (#94).
Align metrics and loop flags with roq-server (Client) (#76).
MAX_LENGTHconstants added to help reduce allocations (API) (#91).
PositionUpdatewith the FIX protocol (API) (#89).
Report last traded as aggregate of all fills (Deribit) (#84).
Position updates are now real-time (Deribit) (#79).
FundsUpdatewere not dispatched (FTX) (#108).
Reset last-traded quantity/price to avoid double counting (#105).
CreateOrderfields were not validated (#104).
Not all update paths populated the
ExecutionReport(FIX Bridge) (#103).
Order limit price must be rounded to quote_increment (Coinbase-PRO) (#46).
OrderUpdatefor completed orders without fill information (Kraken Futures) (#90).
Resubscription wasn’t implemented (Deribit) (#86).
Utility functions did not handle
RequestStatus::FAILEDcorrectly (API) (#82).
Order-book validation failed due to rounding problems for extreme prices vs tick_size (FTX) (#81).
Resubscription wasn’t implemented (BitMEX) (#80).
Request matching heuristics did not support rejected requests using price/quantity (OMS) (#78).
max_response_versionfor rate-limiter rejected requests (OMS) (#77).