This release adds new gateways and completes existing gateways with e.g. order management support.
Event-log collection now separates market data from order/account data. This was motivated by operational support requiring faster replay of order events to investigate issues with live trading.
The following messages have been updated
Gateways will now route market data and account/order management messages to different event-logs.
The directory structure must now include a category which currently is either
Furthermore, generated filenames now include both name and category,
The ClickHouse adapter
now expects the directory structure to include the category.
You should create a
md directory at the top level and move all existing directories
to this new directory.
Finally, it is now optionally possible to create symlink’s at the top-level directory
Due to creation of multiple directories and potentially many symlinks,
the default for
--event_log_dir has now been changed to
(The default for this flag was previously
".", i.e. the current directory.)
Only important changes listed here. Please refer to the changelog (below) for minor changes.
New gateway with market data support: roq-bitfinex
Order management has been implemented: roq-bybit-futures
New gateway with market data support: roq-gate
New gateway with market data support: roq-gate-futures
New statistics types have been added. These must be fetched from a newly added web socket as defined by the
OKX (was OKEx)#
Order management has been implemented: roq-okx
The exchange was renamed.
Connection end-points have adopted the new domain name (okx.com) and the documentation states that the URLs must be changed as soon as possible.
Order management support (Bybit Futures) (#177).
Order management support (OKX) (#176).
Create symlinks for most recent event-logs (Server) (#174).
Support index value (FTX) (#173).
Support funding rates (Huobi Futures) (#172).
Broadcast Deribit index values (FIX Bridge) (#167).
Add funding rate and index price (Huobi Futures) (#162).
Add funding rate and index price (OKEx) (#161).
HTTP clients can now connect through proxy (Server) (#171).
Make termination opt-in for MarketDataRequestReject (Deribit) (#182).
Log path when failing to read or parse config or secrets file (Server) (#180).
Separate event-logs for market and account/order data (Server) (#170).
Support market data feeds without requiring account credentials (Kraken) (#166).
Rename gateway to OKX (from OKEx) (#164).
New URLs / end-points (OKEx) (#163).
Always log packaging and build information (Logging) (#159).
Extra OrderUpdate when partial fill overlaps with order cancelation (Server + Deribit) (#143).
Filter already completed requests (Server + FTX) (#169).
Drop initial execution report for canceled orders (Deribit) (#143).
Decode buffer too small (Client) (#165).
Source file names are now evaluated and stored at compile time (API) (#160).
Remove response queue (Server) (#168).