Release 0.8.0

2022-01-12

This release has bug fixes and improvements.

Authentication

Important

This release requires authentication to unlock the gateways.

  • You can find the tutorial here.

  • The gateway flags are documented here.

  • The design is discussed here.

Note

The default gateway behaviour is to stop functioning after some time unless authenticated.

Gateways

The following new gateways have been added with market data support

Bybit

roq-bybit

roq-bybit-futures

Huobi

roq-huobi

roq-huobi-futures

OKEx

roq-okex

Note

Several other gateways have been added for early experimentation. Please reach out if you are interested in specific gateways and/or would like to sponsor the development of order management. Further details to be found here.

Latency

The various latency measurements have been reviewed.

This included fields captured into the event-log as well as aggregated metrics used by e.g. Prometheus.

The reference documentation can be found here.

Warning

This review required some previous assumptions to be changed. In particular, the use of some MessageInfo fields have changed as described in #140. This may have affected simulation results.

CHANGELOG

Milestone on GitHub.

Added

  • Flag to control the source of best bid/ask (FIX Bridge) (#151).

  • Support the COIN-M API (Binance Futures) (#147).

Changed

  • WebSocket subscribing ticker.{instrument}.raw will break after 2022-01-15 (Deribit) (#155).

  • Protocol to support the --api flag (License Manager) (#154).

  • MarketDataIncrementalRefresh should use new/changed for MDUpdateAction (FIX Bridge) (#153).

  • ReferenceData.margin_currency (API) (#150).

  • Support macOS/ARM64 (API) (#149).

  • Increase default broadcast buffer size to 128MB (Server) (#142).

  • Capture origin_create_time for externally triggered events (API) (#140).

Fixed

  • WS TopOfBook not working if FIX seeing a symbol first (Deribit) (#157).

  • Request matching fails if reported quantity or price has been adjusted by exchange (Server) (#144).

  • Lost trades due to partial fill overlapping with cancel request (Deribit) (#143).

  • Downloading instruments fails during platform restart (Kraken Futures) (#139).

Other

  • Code clean-up to better support many more gateways.

  • More logical grouping of flags when using the --help command-line option.

  • Removed DepthBuilder (Client) (#152).