Release 0.7.8

    Posted by
  • Hans Erik Thrane on 2021-11-01

Note

THIS IS PRE-RELEASE DOCUMENTATION

This release has bug fixes and improvements.

The API has been cleaned up to better align with the C++17 standard library, e.g. by removing custom literals (previously required for compatibility with various libraries). Utility classes for object caching have also been promoted to the API thereby reducing the effort needed to maintain data-structures when implementing strategies.

Client requests have been driving the implementation of the following gateways

These gateways are now ready for early adopters.

In the following you will find high-level descriptions of important changes.

Positions

The semantics has changed for

Previous implementation had two seperate updates for long and short. This has now been merged into a single update with separate fields being prefixed with either long_ or short_.

Snapshot

The semantics has changed for

Previous implementation had a boolean flag snapshot. This has now been replaced with an enumeration UpdateType (GitHub) identifying the update as one of snapshot, incremental, and stale.

A utility function has been added to support transition: roq::utils::is_snapshot(update_type) (GitHub).

Reference Data

Some fields have been renamed to align with FX conventions

  • base_currency (from settlement_currency)
  • quote_currency (from currency)

New fields have been introduced

  • max_trade_vol
  • trade_vol_step_size

Caching

Utility classes have been moved to the API and can be found here.

Most implementations are open-source and the implementation logic is header-only due to the API not being a library.

Those that are not open-source will have factory methods exposed by the client library.

C++ Literals

Code changes should be expected if custom literals have been used.

This is essentially a left-over from before C++17 being required as well as a work-around to deal with pre-compiled format strings made possible by fmt (before version 8).

Replace

  • _sv with sv
  • _s with s
  • using namespace roq::literals; with using namespace std::literals;

CHANGELOG

Milestone on GitHub.

Added

  • Utility classes useful for processing and caching update events (API) (#111).
  • Support RequestForPosition, RequestForPositionAck and PositionReport (FIX Bridge) (#92).
  • Add exchange sequence number to MarketByPrice and MarketByOrder (API) (#101).
  • Add max_trade_vol and trade_vol_step_size to ReferenceData (API) (#100).
  • New gateway: KuCoin (#50).

Changed

  • Remove external rate-limiter mirroring from the REST connection (Core) (#83).
  • Remove custom literals (API) (#110).
  • Default order-management to using FIX (FTX) (#107).
  • Change default web-socket end-point (BitMEX) (#106).
  • Round quantity and price for CreateOrder/ModifyOrder (Deribit) (#102).
  • ReferenceData currencies should follow FX conventions (API) (#99).
  • Use base currency for ExecutionReport (FIX Bridge) (#98).
  • Replace "snapshot" (bool) with "update_type" (UpdateType) (API) (#97).
  • Drop account configuration requirement / allow "market data"-only operation. (#96).
  • Some warnings should only be logged once (#94).
  • Align metrics and loop flags with roq-server (Client) (#76).
  • More MAX_LENGTH constants added to help reduce allocations (API) (#91).
  • Align PositionUpdate with the FIX protocol (API) (#89).
  • Add StatisticsType::TRADE_VOLUME (API) (#88).
  • Report last traded as aggregate of all fills (Deribit) (#84).
  • Position updates are now real-time (Deribit) (#79).

Fixed

  • PositionUpdate and FundsUpdate were not dispatched (FTX) (#108).
  • Reset last-traded quantity/price to avoid double counting (#105).
  • Some CreateOrder fields were not validated (#104).
  • Not all update paths populated the currency field of ExecutionReport (FIX Bridge) (#103).
  • Order limit price must be rounded to quote_increment (Coinbase-PRO) (#46).
  • Enrich OrderUpdate for completed orders without fill information (Kraken Futures) (#90).
  • Resubscription wasn't implemented (Deribit) (#86).
  • Utility functions did not handle RequestStatus::FAILED correctly (API) (#82).
  • Order-book validation failed due to rounding problems for extreme prices vs tick_size (FTX) (#81).
  • Resubscription wasn't implemented (BitMEX) (#80).
  • Request matching heuristics did not support rejected requests using price/quantity (OMS) (#78).
  • Advance max_response_version for rate-limiter rejected requests (OMS) (#77).

Other

  • Have investigated the upgrade path to openssl>=3 (#75).
  • Ensure GCC>=11 because conda-forge sometimes point to an old version (Documentation) (#87).
  • Temporary work-around to deal with unsupported order download (FIX Bridge) (#85).

Work in Progress

The following gateways can be downloaded and tested, but are in no meaningful way ready for production. Any ongoing work is completey driven by client requests.

Please reach out if you have specific requirements.

Note

Many of the exchanges listed here offer no test environment making it difficult to implement the order management logic. You can support the development by lending us production credentials to implement and test various order scenarios. Some small funding will be required.

Huobi

  • roq-huobi
  • Market data is completely missing.
  • Order management is completely missing.

Huobi Futures

  • roq-huobi-futures
  • Market data is completely missing.
  • Order management is completely missing.

KuCoin Futures

  • roq-kucoin-futures
  • Currently not possible to test anything using the sandbox environment (confirmed by support).
  • Order requests have been prepared, but not yet tested.
  • Order ack and update is completely missing.