roq-samples

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

Operating Systems

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

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)
• range-v3 (BSL 1.0 License)
• span-lite (BSL 1.0 License)
• roq-api (MIT License)
• roq-logging (MIT License)
• roq-web (Commerical License, free to use)
• roq-client (Commerical License, free to use)

Optional

• Google Benchmark (Apache 2.0 License)
• Google Test (BSD 3-Clause License)

Prerequisites

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

Download and Install Miniforge

Linux / x86_64

wget -N https://github.com/conda-forge/miniforge/releases/latest/download/Miniforge3-Linux-x86_64.sh

bash Miniforge3-Linux-x86_64.sh -b -u -p ~/conda

~/conda/bin/conda install -y \
    'gxx_linux-64>=12'

Linux / aarch64

wget -N https://github.com/conda-forge/miniforge/releases/latest/download/Miniforge3-Linux-aarch64.sh

bash Miniforge3-Linux-aarch64.sh -b -u -p ~/conda

~/conda/bin/conda install -y \
    'gxx_linux-aarch64>=12'

macOS / x86_64

wget -N https://github.com/conda-forge/miniforge/releases/latest/download/Miniforge3-MacOSX-x86_64.sh

bash Miniforge3-MacOSX-x86_64.sh -b -u -p ~/conda

~/conda/bin/conda install -y \
   'clang_osx-64>=14'

macOS / arm64

wget -N https://github.com/conda-forge/miniforge/releases/latest/download/Miniforge3-MacOSX-arm64.sh

bash Miniforge3-MacOSX-arm64.sh -b -u -p ~/conda

~/conda/bin/conda install -y \
   'clang_osx-arm64>=14'

Install Dependencies

source ~/conda/bin/activate

conda install -y \
    git \
    make \
    cmake \
    abseil-cpp \
    flatbuffers \
    nlohmann_json \
    tomlplusplus

conda install -y --channel https://roq-trading.com/conda/stable \
    roq-web \
    roq-client

Building

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

conda 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

conda 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

conda 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