roq-samples

Samples demonstrating how to implement various features of algorithmic trading solutions.

Operating Systems

• Linux (x86-64, AArch64)
• macOS (x86-64, Arm64)

Note! The Windows Subsystem for Linux (WSL) is NOT supported. Reason can be found here.

Library/Package Dependencies

• Abseil-C++ (Apache 2.0 License)
• FlatBuffers (Apache 2.0 License)
• fmt (MIT License)
• roq-api (MIT License)
• roq-logging (MIT License)
• roq-web (Commerical License, free to use)
• roq-client (Commerical License, free to use)

Optional

• Catch2 (Boost Software License 1.0 License)
• Google Benchmark (Apache 2.0 License)

Prerequisites

The project is primarily designed to be compatible with the conda package manager.

Use stable for (the approx. monthly) release build. Use unstable for the more regularly updated development builds.

Initialize sub-modules

git submodule update --init --recursive

Create environment

scripts/create_conda_env.sh stable debug

Activate environment

source opt/conda/bin/activate dev

Building

Sometimes you may need to delete CMakeCache.txt if CMake has cached an incorrect configuration.

cmake . && make -j4

Using

• Example 1
  • Connect to market gateway
  • Subscribe using regex patterns
• Example 2
  • Manage disconnect
  • Process incremental market data update
  • Maintain a market depth view
  • Update a simple model
• Example 3
  • Maintain positions
  • Place limit orders
  • Deal with order acks and updates
  • Historical simulation
  • Live trading
• Example 4
  • Subscribe and nothing else
• Example 5
  • Transfer CustomMessage from a secondary thread
• Import
  • Convert any data source to an event-log
  • Encoding has header-only dependencies

Simulation Data (install)

Simulation requires you to either use your own event logs (automatically captured when you're running a gateway) or use sample data

mamba install -y --channel https://roq-trading.com/conda/stable \
    roq-data

Data can now be found in the $CONDA_PREFIX/share/roq-data/ directory.

Gateways (install, configure, run)

Deribit

mamba install -y --channel https://roq-trading.com/conda/stable \
    roq-deribit

It is easiest to start from a config file template

cp $CONDA_PREFIX/share/roq-deribit/config.toml ~/deribit.toml

Edit this file and update with your Deribit API credentials (link).

You should look for these lines and replace as appropriate

login = "YOUR_DERIBIT_LOGIN_GOES_HERE"
secret = "YOUR_DERIBIT_SECRET_GOES_HERE"

Launch the gateway

roq-deribit \
    --name "deribit" \
    --config_file ~/deribit.toml \
    --client_listen_address ~/deribit.sock

Coinbase Pro

mamba install -y --channel https://roq-trading.com/conda/stable \
    roq-coinbase-pro

It is easiest to start from a config file template

cp $CONDA_PREFIX/share/roq-coinbase-pro/config.toml ~/coinbase-pro.toml

Edit this file and update with your Coinbase Pro API credentials (link).

You should look for these lines and replace as appropriate

login = "YOUR_COINBASE_PRO_API_KEY_GOES_HERE"
password = "YOUR_COINBASE_PRO_PASSPHRASE_GOES_HERE"
secret = "YOUR_COINBASE_PRO_SECRET_GOES_HERE"

Launch the gateway

roq-coinbase-pro \
    --name "coinbase-pro" \
    --config_file ~/coinbase-pro.toml \
    --client_listen_address ~/coinbase-pro.sock

License

The project is released under the terms of the BSD 3-Clause license.

Links

• Roq GmbH
• Documentation
• Contact us