roq-api

API for algorithmic and high-frequency trading (HFT).

This project does not contain the closed source implementation of the C++ interfaces.

Design

Modular.
Predictable low latency.
Support all aspects required by a production environment.
Aim to reduce "glue" code and offer standard solutions for data capture, monitoring, bridge solutions, etc.

The C++ API allows clients (strategies) to
- communicate with gateways using a unified interface, or
- replay event-logs (exactly, for simulation and back-testing purposes).
The FIX bridge supports third-party solutions.
The JSON bridge supports other programming languages.
The adapters support third-party database solutions, e.g. ClickHouse.
The metrics interface supports third-party monitoring solutions, e.g. Prometheus, Alertmanager and Grafana.

Features

Open source interface (no need to sign an NDA to access or use).
Permissive license (anyone is free to copy and use for whatever purpose).
Free to download and try (no need to contact or register).
Unified client interface to access any market.
Design is strongly inspired by standards and specific implementations used by major exchanges.
Strong preference for allocation-free message encoding/decoding.
Extensive use of auto-generated code based on schemas.
Strongly typed messages (events).
Asynchronous interfaces and implementations.
C++ and shared memory for ultra low latency.
Automatic capture of all events.
Free to download tools and database adapters.

Support and Maintenance

A SLA is required for production support. More information can be found here.

Feel free to contact us with any questions you may have.

Gateways

Currently supported Cryptocurrency exchanges include

Binance
BitMEX
Bitstamp
Bybit
Coinbase PRO
Deribit
Gemini
HitBTC
Huobi
Kraken
KuCoin
OKEx

The full list can be found here.

Instructions on how to install, configure and use the gateways can either be found in the samples or by consulting the documentation.

Operating Systems

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

All listed combinations are regularly compiled but only Linux/x86-64 is continuously being tested. If you require a specific combination, please contact us before using.

We plan to drop support for macOS/x86-64.

Library/Package Dependencies

FlatBuffers (Apache 2.0 License)
fmt (MIT License)
range-v3 (BSL 1.0 License)
span-lite (BSL 1.0 License)
magic_enum (MIT License)
date (MIT License)
jinja2 (BSD 3-Clause License)

Optional

Google Test (BSD 3-Clause License)

Prerequisites

It is not very interesting to follow the instructions shown here due to this project only containing interfaces. The actual client implementation is closed source as mentioned elsewhere in this document.

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>=11'

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>=11'

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>=12

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-64>=12

Install Dependencies

source ~/conda/bin/activate

conda install -y \
    git \
    cmake \
    flatbuffers \
    fmt \
    jinja2 \
    clang-format

conda install -y --channel https://roq-trading.com/conda/stable \
    roq-oss-range-v3 \
    roq-oss-span-lite \
    roq-oss-magic_enum \
    roq-oss-date

Building

git submodule update --init --recursive

mkdir build && cd build

cmake ..

make -j

make test

Using

You can download the closed source client implementation like this

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

Samples can be found here.

License

The project is released under the terms of the MIT license.

ppd0705/roq-api