The following messages have been updated
OrderUpdatenow use bit-mask (see below).
StreamStatushas new fields to better describe transport, protocol and encoding.
TopOfBookhas been added the
exchange_sequencefield to allow correlation to
MarketByPriceUpdate(when supported by the exchange).
New helper functions have been added to
compute_vwapwill compute the volume-weighted average prices
create_depth_updatewill convert a full update into a depth update
With clang 13 available from conda-forge, it is now possible to make the API more C++20 compliant
spaceship operator (partially due to clang still not having implemented it everywhere)
The API now implements proper bit-mask
It is now possible to use the Roq API natively from Python. Packages are provided for Python 3.8 and 3.9 for all supported platforms.
This project is open source and available here.
This project is actively being developed and should still be considered “prototype”.
License validation now also includes operating system information (Server) #217).
trade_vol_step_size(Huobi Futures) #216).
Symbolfixed-length size to 48 (API)(#214).
Order book subscriptions now depends on client tiering (OKX) (#212).
Fail on unknown config (toml) keys (FIX Bridge) (#206).
Simplify enums (API) (#199).
Proper bit-mask support (API) (#198).
Incorrect parsing for
timestamp_e6(Bybit Futures) (#215).
Missing magic_enum package dependency (API) (#213).
Exchange time was missing from MbP (BitMEX) (#211).
ReferenceData incorrectly used quote currency for trade amounts (KuCoin) (#210).
--passworddefaults (ClickHouse) (#207).
TopOfBook.exchange_time_utc(Binance Futures) (#205).
Undocumented field for
Support JSON parsing when numeric fields have the
"undefined"value (Deribit) (#203).
Unhandled exception when parsing HTTP response (Core) (#202).