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 \
    libevent

conda install -y --channel https://roq-trading.com/conda/stable \
    roq-client \
    roq-web \
    roq-oss-range-v3

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