Roq Trading Solutions

A C++ HFT Toolkit for Algo Traders

What is it?

The API used to communicate between clients (the implementation of your trading strategy) and other components developed by Roq, e.g. market gateways.

Overview

An open sourced API motivated by

No requirement to sign a NDA
Anyone should be able to implement solutions against the interface

Closed source solutions include

roq-coinbase-pro market gateway

roq-deribit market gateway

roq-client library

Low latency communication between trading strategy and market gateways

Simulation framework, including FIFO order matching

roq-influxdb exporter

Some solutions are free to use, e.g. roq-client and roq-influxdb. Other solutions will require you to enter a license agreement, e.g. roq-coinbase-pro and roq-deribit.

Build

The API is not very useful by itself. You will need an implementation of the interface, such as the roq-client library.

You will not achieve anything by compiling this project.

Instead, head over to Roq Samples and follow the instrutions there to install roq-client and get started with compiling your own projects.

Benefits

Ultra low latency (single digit microsecond response time)
Very high message throughput
Messages communicated to clients using a broadcast (publish once) design
Automatic connection and download management
Message normalization
Market data (L1, L2, trade summary, session/daily statistics, etc).
Order management (create, modify, cancel, ack, update, trade)
Positions and funds (when available)
Automatically persist all messages to storage device (zero latency impact)
Integrate well with popular network kernel-bypass solutions (using epoll)
Suitable for fully autonomous algorithmic trading

Constraints

C++17
Linux (RHEL, CentOS, Debian, Ubuntu)
Same-host deployment
Shared memory for communication
Micro-service design
Busy polling causing 100% CPU usage
Use of CPU isolation and thread affinity, disable hyperthreading, are all strongly recommended practices
Enough CPU cores to support your use-case

Solutions

These are some of our solutions

roq-client
- Low latency client-server communication
- Simulation framework, including FIFO order matching
roq-coinbase-pro
- Market gateway
- FIX, WebSocket and REST
roq-deribit
- Market gateway
- FIX and WebSocket
roq-influxdb
- InfluxDB exporter
roq-ansible
- Server provisioning using Ansible
- Gateway configuration
roq-client-template
- Ansible Playbook (using roq-ansible)
roq-vagrant
- Deployment using Vagrant and VirtualBox
roq-grafana
- Grafana dashboards
roq-simulator
- Market gateway simulator
roq-benchmark
- Performance testing

Design

This is not a comprehensive description of the design. For that we refer to the online documentation (see link below).

Performance

The following examples have been tested on a relatively low-powered AMD EPYC 3251 SoC running at 2.5 GHz with hyperthreading disabled. Linux is Ubuntu Server 18.04 LTS with the isolcpus kernel parameter set.

The Grafana example dashboard allows you to easily monitor the performance of the gateways.

This is the heartbeat latency between gateways and connected clients.

When hovering, you'll be able to see the attributes of each measurement

We collect a histogram of the measurements. This allows us to visualize e.g. "how many % of the events exceed 5 microseconds" (the tail distribution).

NUMA configuration and thread affinity affects latency. This example shows there are two distinct latencies depending on the deployment.

The gateways will automatically collect profiling information.

When hovering, you'll be able to see the the "cost" of each operation

The cost of processing JSON updates (ws_l2update) is about 2x that of processing FIX (market_data_incremental_refresh).

williamlfang/roq-api