Release 1.0.3

2024-11-26

Simulator

Warning

BREAKING CHANGE

The simulator was re-written to be compatible with the open-sourced roq-algo framework.

API Changes

  • ReferenceData now supports variable tick-sizes (needed by some option markets, e.g. Deribit).

Gateway Changes

Deribit

  • ReferenceData now populated from the exchange’s JSON protocol (the FIX protocol always returned wrong currency mappings).

  • Multicast support has been upgraded, including easier deployment using channel config file, new tool to dump pcap files, New tool to generate tcpdump command-line arguments.

Gate.io Futures

roq-gate-futures now has order management support.

Auxiliary

Docker

A new project was added to GitHub demonstrating how to package various Roq services into a Docker image.

CHANGELOG

Milestone on GitHub.

Fixed

  • Incorrect order_type when handling the exchange’s order update (Gate Futures) (#479).

  • The order cache wasn’t updated to support 48 bit order_id’s (Server) (#474).

  • Reverse mapping from time in force poc was not implemented (Gate.io Futures) (#473).

  • WS authentication method changed (Gate.io Futures) (#472).

  • Didn’t carry CustomMetricsUpdate.sending_time_utc (UDP Subscriber) (#471).

  • Incorrect market data subscription logic (OKX) (#467).

  • Order book processing didn’t check previous sequence id (OKX) (#466).

Changed

  • New simulator requiring interfaces from the roq-algo framework (Client) (#478).

  • Incorrect reference data from FIX connection (Deribit) (#476).

  • The magic_enum library changed include path: #include <magic_enum/magic_enum.hpp> (Multiple) (#475).

  • Add quantity type to order management (API) (#469).

  • Add settlement currency to reference data (API) (#468).

Added

  • Support variable tick-size (API) (#477).

Removed

Other