Release 0.8.2¶
2022-02-18
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.
API¶
The following messages have been updated
ExternalLatency
Event-Logs¶
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
.
Important
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.
Important
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.)
Gateways¶
Note
Only important changes listed here. Please refer to the changelog (below) for minor changes.
Bitfinex¶
New gateway with market data support: roq-bitfinex
Bybit Futures¶
Order management has been implemented: roq-bybit-futures
Gate.io¶
New gateway with market data support: roq-gate
Gate.io 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.
Important
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.
CHANGELOG¶
Added¶
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).
Changed¶
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).
Fixed¶
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).
Other¶
Remove response queue (Server) (#168).