Release 0.8.2#


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

  • ExternalLatency


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 md or om.

Furthermore, generated filenames now include both name and category, e.g. deribit-md-1644227418764.roq.


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 using the --event_log_symlink flag.


Due to creation of multiple directories and potentially many symlinks, the default for --event_log_dir has now been changed to "roq-data". (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.


Bybit Futures#

  • New gateway with market data support: roq-gate Futures#

Huobi Futures#

  • New statistics types have been added. These must be fetched from a newly added web socket as defined by the --ws_index_uri flag.

OKX (was OKEx)#

  • Order management has been implemented: roq-okx

  • The exchange was renamed.


    Connection end-points have adopted the new domain name ( and the documentation states that the URLs must be changed as soon as possible.


Milestone on GitHub.


  • 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).