Release 1.0.2

2024-07-14

Gateway Changes

Binance Futures

Experimental WSAPI support.

CME

roq-cme-import is a new tool to create .roq event-logs by importing .pcap files. Tested with Databento.

Code Auto-Generation

Warning

BREAKING CHANGE

The template and samples projects now use a more generic tool for code auto-generation.

This was done to better support future plans for auto-generated Python and Java bindings.

CHANGELOG

Milestone on GitHub.

Fixed

  • MBPUpdate.number_of_orders could exceed 65k (OKX) (#461).

  • MarketDataRequest should not allow one-sided requests (FIX Bridge) (#459).

Changed

  • roq-dump didn’t report price_level from MBPUpdate (Tools) (#465).

  • cache::MarketByPrice::impact_price to accept an optional number of orders (Market) (#462).

  • More generic code auto-generation (Autogen) (#460).

  • Fill to support quote quantity and commission (API) (#458).

Added

  • Import tool to convert pcap files to event-logs (CME) (#457).

  • WSAPI support (experimental) (Binance Futures) (#456).

Removed

Other