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.
Blog.
roq-algo (library).
roq-cpp-algo-template (template project).
Demo (jupyter notebook).
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¶
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).