Release 0.7.1

This release is mainly about

  • Support FIX bridge.
  • API changes to better align with FIX conventions.

FIX Bridge

The FIX Bridge, roq-fix-bridge, is now functional:

  • Supports FIX 4.4 messaging.
  • Snapshot and subscriptions for Reference Data, Top of Book and Statistics.
  • Vanilla order placement and execution reports.
  • Auto-cancellation upon disconnect.
  • Low latency.

The next upcoming release will support Market by Price and proper FIX 4.4 order state management.

API

Some of the key changes

  • CancelAllOrders has been added as a new client request type. This makes it possible to implement "panic" solution. For example, the FIX bridge will auto-cancel all working orders if it loses connectivity with a downstream system used for algorithmic trading.
  • CancelPolicy is now included in the initial handshake between client and gateway. This can be used as a safety mechanism to have the gateway auto-cancel working orders if the client should disconnect from the gateway. For example, a gateway can auto-cancel all working orders if it loses connectivity with the FIX bridge.
  • OrderUpdate has been updated to better match FIX ExecutionReport.
  • TradingStatus has been expanded to match the states used by major exchanges, e.g. CME and Eurex. FIX TradSesStatus can now be mapped as a subset of TradingStatus.
  • Early work on exposing rate-limit usage to client, see RateLimitUsage. This is required to allow strategies to back off when the rate-limitter has been triggered, or it is estimated to be close to triggering. Note! It is almost impossible to provide the client with a correct update on rate-limit usage. This event is based on an estimate and should only be used as indication. Note! This is very much work in progress.

More details can be found in the CHANGELOG.