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

Bybit Futures

Gate.io

  • New gateway with market data support: roq-gate

Gate.io 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

Milestone on GitHub.

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).