TopOfBook is now sourced from the
It is no longer possible to use
roq::cache::Manager no longer a template class.
The only downstream change should be the removal of template arguments.
Gateways can now (optionally) capture all reference data from the exchange, regardless what
symbols regex-matching has been chosen.
A new flag
--cache_all_reference_data has been added to support this.
Sometimes it can happen that a connection remains open yet no “important” data seems to arrive.
A new general flag has been introduced which may be used to force disconnect of a stream after
a timeout has expired:
This flag is not always used. The reason is that not all messages of a communication protocol can be considered “important”. For example, ping/pong messages should not be considered “important”. Streams dedicated to order entry / drop copy are other examples of “tricky” connections due to very little activity expected on these connections.
This change was specifically implemented to support the Huobi gateway (#227).
A new query tool has been added: roq-query. This tool is useful to quickly create pivot tables like this
$ roq-query ftx.roq --type count --event_type top_of_book --period 5m --stream_id 6 --symbols "BTC.*,ETH.*" receive_time_utc,"BTC-0624","BTC-0930","BTC-PERP","BTC/USD","BTC/USDT","ETH-0624","ETH-0930","ETH-PERP","ETH/USD","ETH/USDT" 1654086300000000000ns,5060,1796,3423,3201,4023,2482,5256,7504,7106,3579 1654086600000000000ns,6907,5140,5414,4218,5056,3113,7551,10478,11151,2510 1654086900000000000ns,5306,7986,5364,5562,6144,3561,7660,2714,10968,10240 1654087200000000000ns,6364,11089,6367,6409,4263,7116,9020,3787,10742,9150 [...]
Reference documentation can be found here.
New flag to control periodic download of reference data (Huobi Futures) (#233).
Increase/decrease log verbosity level through signals (Server) (#229).
Flag to disconnect market data connection after some time (Deribit) (#224).
Make it possible to capture all reference data (Server) (#225).
Deribit’s multicast protocol (Deribit) (#201).
Market data subscription was not working correctly after disconnect (OKX) (#226).
Symbol filtering was not used (BitMEX) (#223).
Download did not support a dynamic number of total pages (Core) (#222).
TradeSummarynow correctly reports side and quantity (Gate Futures) (#221).
TradeSummarynow reported as number of lots (Huobi Futures) (#220).
TradeSummarynow using the (L3) match channel (KuCoin) (#219).