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Example 1

Demonstrates very basic event processing.

  • Define the regex patterns used for subscribing market data.
  • Use the Trader interface to automatically asynchronously manage connections and dispatch events.
  • Use the asynchronous logger to print relevant incoming events.

Prerequisites

Please refer here to install, configure and run the required market gateways.

Using

The example requires the name option specifying the login name used when accessing the market gateway(s).

Further arguments are UNIX domain socket end-points for the market gateways.

Single Gateway

./roq-samples-example-1 \
    --name "trader" \
    ~/deribit.sock
I0413 16:01:02.530790 19792386 service.cpp:50] ===== START =====
I0413 16:01:02.531982 19792386 service.cpp:34] The metrics service will *not* be started
I0413 16:01:02.552006 19792386 controller.cpp:74] session_id="6ca9cc67-61d0-4671-ab7e-db7284acb55e"
I0413 16:01:02.552400 19792386 controller.cpp:78] Dispatching...
I0413 16:01:02.553257 19792386 controller.cpp:82] Starting event loop thread...
I0413 16:01:02.554198 19792429 controller.cpp:113] Event loop thread is now running
I0413 16:01:03.553985 19792429 session_manager.cpp:50] Connecting "unix:///Users/thraneh/dev/roq-dev/roq-deribit/src/roq/deribit/deribit-test.sock"
I0413 16:01:03.554458 19792429 session.cpp:32] Adding name="deribit" (user_id=1)
I0413 16:01:03.554544 19792386 pollster.cpp:305] Adding name="deribit" (user_id=1)
I0413 16:01:03.554608 19792386 strategy.cpp:17] [0:deribit] connected={}
I0413 16:01:03.554865 19792386 strategy.cpp:49] [0:deribit] Settings={mbp_max_depth=0, mbp_allow_price_inversion=false, mbp_allow_fractional_tick_size=true}
I0413 16:01:03.554876 19792386 strategy.cpp:33] [0:deribit] DownloadBegin={account=""}
I0413 16:01:03.554892 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=1, account="A1", supports=0x3f0000, status=READY, type=FIX, priority=PRIMARY}
I0413 16:01:03.554900 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=2, account="A1", supports=0x10400000, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:01:03.554906 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=3, account="", supports=0x6, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:01:03.554912 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=4, account="", supports=0x69, status=READY, type=FIX, priority=PRIMARY}
I0413 16:01:03.554919 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=5, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:01:03.554991 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=6, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 16:01:03.554998 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=7, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 16:01:03.555005 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=8, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 16:01:03.555013 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=9, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:01:03.555020 19792386 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=10, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:01:03.555087 19792386 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-24SEP21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18621[86400]s, settlement_date=0[86400]s, expiry_datetime=1632470400s, expiry_datetime_utc=1632470400s}
I0413 16:01:03.555371 19792386 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-31DEC21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18669[86400]s, settlement_date=0[86400]s, expiry_datetime=1640937600s, expiry_datetime_utc=1640937600s}
I0413 16:01:03.555486 19792386 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-23APR21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18719[86400]s, settlement_date=0[86400]s, expiry_datetime=1619164800s, expiry_datetime_utc=1619164800s}
I0413 16:01:03.557827 19792386 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-25JUN21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18620[86400]s, settlement_date=0[86400]s, expiry_datetime=1624608000s, expiry_datetime_utc=1624608000s}
I0413 16:01:03.558991 19792386 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=5, exchange="deribit", symbol="BTC-25JUN21", trading_status=OPEN}
I0413 16:01:03.559545 19792386 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-31DEC21", trading_status=OPEN}
I0413 16:01:03.559754 19792386 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-23APR21", trading_status=OPEN}
I0413 16:01:03.559841 19792386 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-24SEP21", trading_status=OPEN}
I0413 16:01:03.564343 19792386 strategy.cpp:41] [0:deribit] DownloadEnd={account="", max_order_id=0}
...

Noteworthy observations

  • Download is automatic and will happen immediately after the connection has been established.
  • Reference data may include important trade parameters such as tick-size, multiplier, minimum trade size, etc.
  • Market status (open, closed, halt, etc)

Verbose Logging

ROQ_v=1 ./roq-samples-example-1 \
    --name "trader" \
    ~/deribit.sock
I0413 16:03:06.515752 19794421 service.cpp:50] ===== START =====
I0413 16:03:06.516739 19794421 service.cpp:34] The metrics service will *not* be started
I0413 16:03:06.527254 19794421 controller.cpp:74] session_id="cc0c1acb-fb54-4b2d-ac7e-f01e6b1f76f1"
I0413 16:03:06.527273 19794421 controller.cpp:78] Dispatching...
I0413 16:03:06.527441 19794421 controller.cpp:82] Starting event loop thread...
I0413 16:03:06.528374 19794461 controller.cpp:113] Event loop thread is now running
I0413 16:03:07.529548 19794461 session_manager.cpp:50] Connecting "unix:///Users/thraneh/dev/roq-dev/roq-deribit/src/roq/deribit/deribit-test.sock"
I0413 16:03:07.530166 19794461 session.cpp:32] Adding name="deribit" (user_id=1)
I0413 16:03:07.530252 19794421 pollster.cpp:261] Received context update
I0413 16:03:07.530271 19794421 pollster.cpp:305] Adding name="deribit" (user_id=1)
I0413 16:03:07.530340 19794421 strategy.cpp:17] [0:deribit] connected={}
I0413 16:03:07.530663 19794421 bridge.cpp:61] GatewaySettings={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36586, receive_time_utc=1618322587530617000ns, receive_time=3047806010072000ns, source_send_time=3047806010070000ns, source_receive_time=3047806010070000ns, origin_create_time=3047806010070000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, gateway_settings={mbp_max_depth=0, mbp_allow_price_inversion=false, mbp_allow_fractional_tick_size=true}}
I0413 16:03:07.530680 19794421 strategy.cpp:49] [0:deribit] Settings={mbp_max_depth=0, mbp_allow_price_inversion=false, mbp_allow_fractional_tick_size=true}
I0413 16:03:07.530705 19794421 bridge.cpp:41] DownloadBeginEvent={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36587, receive_time_utc=1618322587530686000ns, receive_time=3047806010141000ns, source_send_time=3047806010073000ns, source_receive_time=3047806010073000ns, origin_create_time=3047806010073000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, download_begin={account=""}}
I0413 16:03:07.530803 19794421 strategy.cpp:33] [0:deribit] DownloadBegin={account=""}
I0413 16:03:07.530841 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36588, receive_time_utc=1618322587530807000ns, receive_time=3047806010262000ns, source_send_time=3047806010078000ns, source_receive_time=3047806010078000ns, origin_create_time=3047806010078000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=1, account="A1", supports=0x3f0000, status=READY, type=FIX, priority=PRIMARY}}
I0413 16:03:07.530858 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=1, account="A1", supports=0x3f0000, status=READY, type=FIX, priority=PRIMARY}
I0413 16:03:07.530879 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36589, receive_time_utc=1618322587530861000ns, receive_time=3047806010316000ns, source_send_time=3047806010079000ns, source_receive_time=3047806010079000ns, origin_create_time=3047806010079000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=2, account="A1", supports=0x10400000, status=READY, type=WEB_SOCKET, priority=PRIMARY}}
I0413 16:03:07.530887 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=2, account="A1", supports=0x10400000, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:03:07.530907 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36590, receive_time_utc=1618322587530890000ns, receive_time=3047806010345000ns, source_send_time=3047806010080000ns, source_receive_time=3047806010080000ns, origin_create_time=3047806010080000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=3, account="", supports=0x6, status=READY, type=WEB_SOCKET, priority=PRIMARY}}
I0413 16:03:07.531262 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=3, account="", supports=0x6, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:03:07.531291 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36591, receive_time_utc=1618322587531269000ns, receive_time=3047806010723000ns, source_send_time=3047806010084000ns, source_receive_time=3047806010084000ns, origin_create_time=3047806010084000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=4, account="", supports=0x69, status=READY, type=FIX, priority=PRIMARY}}
I0413 16:03:07.531301 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=4, account="", supports=0x69, status=READY, type=FIX, priority=PRIMARY}
I0413 16:03:07.532016 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36592, receive_time_utc=1618322587531984000ns, receive_time=3047806011439000ns, source_send_time=3047806010087000ns, source_receive_time=3047806010087000ns, origin_create_time=3047806010087000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=5, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}}
I0413 16:03:07.532031 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=5, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:03:07.532051 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36593, receive_time_utc=1618322587532034000ns, receive_time=3047806011489000ns, source_send_time=3047806010090000ns, source_receive_time=3047806010090000ns, origin_create_time=3047806010090000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=6, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}}
I0413 16:03:07.532088 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=6, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 16:03:07.532110 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36594, receive_time_utc=1618322587532092000ns, receive_time=3047806011547000ns, source_send_time=3047806010093000ns, source_receive_time=3047806010093000ns, origin_create_time=3047806010093000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=7, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}}
I0413 16:03:07.532329 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=7, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 16:03:07.532357 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36595, receive_time_utc=1618322587532335000ns, receive_time=3047806011790000ns, source_send_time=3047806010096000ns, source_receive_time=3047806010096000ns, origin_create_time=3047806010096000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=8, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}}
I0413 16:03:07.532367 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=8, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 16:03:07.532389 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36596, receive_time_utc=1618322587532371000ns, receive_time=3047806011826000ns, source_send_time=3047806010099000ns, source_receive_time=3047806010099000ns, origin_create_time=3047806010099000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=9, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}}
I0413 16:03:07.532830 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=9, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:03:07.532874 19794421 bridge.cpp:71] StreamStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36597, receive_time_utc=1618322587532836000ns, receive_time=3047806012291000ns, source_send_time=3047806010102000ns, source_receive_time=3047806010102000ns, origin_create_time=3047806010102000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, stream_status={stream_id=10, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}}
I0413 16:03:07.533157 19794421 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=10, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 16:03:07.533194 19794421 bridge.cpp:91] GatewayStatus={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36598, receive_time_utc=1618322587533163000ns, receive_time=3047806012618000ns, source_send_time=3047806010106000ns, source_receive_time=3047806010106000ns, origin_create_time=3047806010106000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, gateway_status={account="", supported=0x6f, available=0x6f, unavailable=0x0}}
I0413 16:03:07.533211 19794421 strategy.cpp:75] [0:deribit] ExternalLatency={account="", supported=0x6f, available=0x6f, unavailable=0x0}
I0413 16:03:07.533277 19794421 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-24SEP21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18621[86400]s, settlement_date=0[86400]s, expiry_datetime=1632470400s, expiry_datetime_utc=1632470400s}
I0413 16:03:07.533477 19794421 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-31DEC21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18669[86400]s, settlement_date=0[86400]s, expiry_datetime=1640937600s, expiry_datetime_utc=1640937600s}
I0413 16:03:07.533499 19794421 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-23APR21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18719[86400]s, settlement_date=0[86400]s, expiry_datetime=1619164800s, expiry_datetime_utc=1619164800s}
I0413 16:03:07.533883 19794421 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-25JUN21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18620[86400]s, settlement_date=0[86400]s, expiry_datetime=1624608000s, expiry_datetime_utc=1624608000s}
I0413 16:03:07.535187 19794421 bridge.cpp:111] MarketStatusEvent={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36603, receive_time_utc=1618322587535153000ns, receive_time=3047806014608000ns, source_send_time=3047806014602000ns, source_receive_time=3047806014602000ns, origin_create_time=3047806014602000ns, origin_create_time_utc=0ns, is_last=true, opaque=18375250529136672922}, market_status={stream_id=5, exchange="deribit", symbol="BTC-25JUN21", trading_status=OPEN}}
I0413 16:03:07.535337 19794421 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=5, exchange="deribit", symbol="BTC-25JUN21", trading_status=OPEN}
I0413 16:03:07.535752 19794421 bridge.cpp:111] MarketStatusEvent={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36604, receive_time_utc=1618322587535732000ns, receive_time=3047806015187000ns, source_send_time=3047806015184000ns, source_receive_time=3047806015184000ns, origin_create_time=3047806015184000ns, origin_create_time_utc=0ns, is_last=true, opaque=18375250529136673416}, market_status={stream_id=3, exchange="deribit", symbol="BTC-31DEC21", trading_status=OPEN}}
I0413 16:03:07.535829 19794421 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-31DEC21", trading_status=OPEN}
I0413 16:03:07.535971 19794421 bridge.cpp:111] MarketStatusEvent={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36605, receive_time_utc=1618322587535952000ns, receive_time=3047806015407000ns, source_send_time=3047806015403000ns, source_receive_time=3047806015403000ns, origin_create_time=3047806015403000ns, origin_create_time_utc=0ns, is_last=true, opaque=18375250529136673291}, market_status={stream_id=3, exchange="deribit", symbol="BTC-23APR21", trading_status=OPEN}}
I0413 16:03:07.535980 19794421 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-23APR21", trading_status=OPEN}
I0413 16:03:07.536061 19794421 bridge.cpp:111] MarketStatusEvent={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36606, receive_time_utc=1618322587536045000ns, receive_time=3047806015499000ns, source_send_time=3047806015495000ns, source_receive_time=3047806015495000ns, origin_create_time=3047806015495000ns, origin_create_time_utc=0ns, is_last=true, opaque=18375250529136673507}, market_status={stream_id=3, exchange="deribit", symbol="BTC-24SEP21", trading_status=OPEN}}
I0413 16:03:07.536092 19794421 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-24SEP21", trading_status=OPEN}
I0413 16:03:07.539263 19794421 strategy.cpp:100] [0:deribit] MarketByPriceUpdate={stream_id=7, exchange="deribit", symbol="BTC-25JUN21", bids=[{price=69147.5, quantity=108}, {price=69140.5, quantity=600}, {price=69123, quantity=600}, {price=69121, quantity=300}, {price=69118, quantity=280}, {price=69117.5, quantity=569}, {price=69116, quantity=3010}, {price=69113.5, quantity=635}, {price=69113, quantity=1482}, {price=69106, quantity=13053}, {price=69024.5, quantity=690}, {price=68990.5, quantity=500}, {price=68869, quantity=550}, {price=68830.5, quantity=14454}, {price=68642, quantity=6864}, {price=68641.5, quantity=6864}, {price=68641, quantity=6864}, {price=61144, quantity=1}, {price=61009, quantity=500000}, {price=56789, quantity=500000}, {price=56358, quantity=359700}, {price=43158, quantity=55417}, {price=36836, quantity=10000}, {price=35914, quantity=10000}, {price=30914, quantity=10000}, {price=28400, quantity=1420}, {price=10000, quantity=10}, {price=1000, quantity=1}, {price=1, quantity=4}], asks=[{price=69156, quantity=1200}, {price=69163.5, quantity=195}, {price=69177, quantity=89}, {price=69177.5, quantity=647}, {price=69178.5, quantity=1090}, {price=69188, quantity=700}, {price=69188.5, quantity=300}, {price=69190, quantity=440}, {price=69190.5, quantity=700}, {price=69191, quantity=700}, {price=69201, quantity=6170}, {price=69201.5, quantity=6920}, {price=69202, quantity=6920}, {price=69259.5, quantity=693}, {price=85011.5, quantity=100}], snapshot=true, exchange_time_utc=0ns}
I0413 16:03:07.541358 19794421 strategy.cpp:100] [0:deribit] MarketByPriceUpdate={stream_id=4, exchange="deribit", symbol="BTC-31DEC21", bids=[{price=75445, quantity=4191}, {price=75278, quantity=16141}, {price=75276.5, quantity=45055}, {price=74985.5, quantity=7499}, {price=74985, quantity=7499}, {price=74984.5, quantity=7499}, {price=71733, quantity=720}, {price=65012, quantity=500000}, {price=49080, quantity=116}, {price=48922, quantity=20}, {price=48874, quantity=571}, {price=48870, quantity=20}, {price=48835.5, quantity=20}, {price=48620.5, quantity=1}], asks=[{price=76083, quantity=72}, {price=76083.5, quantity=1000}, {price=76093.5, quantity=680}, {price=76111, quantity=14649}, {price=76138.5, quantity=1800}, {price=76140.5, quantity=343}, {price=76169, quantity=598}, {price=76169.5, quantity=577}, {price=76171, quantity=299}, {price=76199.5, quantity=240}, {price=76284, quantity=7628}, {price=76284.5, quantity=7628}, {price=76285, quantity=7628}, {price=76443, quantity=764}, {price=77052.5, quantity=80}], snapshot=true, exchange_time_utc=0ns}
I0413 16:03:07.541563 19794421 strategy.cpp:100] [0:deribit] MarketByPriceUpdate={stream_id=6, exchange="deribit", symbol="BTC-23APR21", bids=[{price=63846.5, quantity=200}, {price=63845.5, quantity=500}, {price=63845, quantity=120}, {price=63835.5, quantity=638}, {price=63829, quantity=7979}, {price=63822.5, quantity=509}, {price=63820, quantity=184}, {price=63817, quantity=3000}, {price=63795, quantity=551}, {price=63793.5, quantity=17151}, {price=63792.5, quantity=368}, {price=60000, quantity=6000}, {price=56812.5, quantity=51841}, {price=50000, quantity=5000}], asks=[{price=63860, quantity=16911}, {price=63862, quantity=613}, {price=63878, quantity=64}, {price=63896.5, quantity=120}, {price=63898, quantity=29863}, {price=63919, quantity=7990}, {price=63920.5, quantity=425}, {price=63924.5, quantity=3000}, {price=63936.5, quantity=35393}, {price=63948, quantity=639}, {price=63949.5, quantity=89}, {price=64709.5, quantity=2}], snapshot=true, exchange_time_utc=0ns}
I0413 16:03:07.541699 19794421 strategy.cpp:100] [0:deribit] MarketByPriceUpdate={stream_id=4, exchange="deribit", symbol="BTC-24SEP21", bids=[{price=73229, quantity=210}, {price=73228.5, quantity=2}, {price=73226, quantity=15377}, {price=73210, quantity=84}, {price=73207, quantity=500}, {price=73206.5, quantity=600}, {price=73196, quantity=454}, {price=73195, quantity=460}, {price=73189.5, quantity=300}, {price=73186, quantity=700}, {price=73183.5, quantity=1110}, {price=73059.5, quantity=731}, {price=72651.5, quantity=7265}, {price=72651, quantity=7265}, {price=72650.5, quantity=7265}, {price=60010, quantity=286697}, {price=56789, quantity=500000}, {price=35219.5, quantity=10000}, {price=26821, quantity=98352}, {price=26808, quantity=100000}, {price=26796, quantity=100000}, {price=26786, quantity=100000}, {price=26785, quantity=100000}, {price=26775.5, quantity=100000}, {price=26091, quantity=10000}, {price=25339, quantity=1000}, {price=24050, quantity=100}, {price=22220, quantity=22}], asks=[{price=73240.5, quantity=400}, {price=73241, quantity=300}, {price=73253.5, quantity=300}, {price=73266, quantity=300}, {price=73278.5, quantity=1000}, {price=73279, quantity=568}, {price=73279.5, quantity=12140}, {price=73282, quantity=5000}, {price=73282.5, quantity=619}, {price=73283, quantity=700}, {price=73436, quantity=734}, {price=73588.5, quantity=7359}, {price=73589, quantity=7359}, {price=73589.5, quantity=7359}], snapshot=true, exchange_time_utc=0ns}
I0413 16:03:07.542002 19794421 bridge.cpp:51] DownloadEndEvent={message_info={source=0, source_name="deribit", source_session_id="ee5f0553-3e4c-4ddb-85cb-ecc3e495f7be", source_seqno=36615, receive_time_utc=1618322587541980000ns, receive_time=3047806021435000ns, source_send_time=3047806021434000ns, source_receive_time=3047806021434000ns, origin_create_time=3047806021434000ns, origin_create_time_utc=0ns, is_last=true, opaque=18374687579183251456}, download_end={account="", max_order_id=0}}
I0413 16:03:07.542014 19794421 strategy.cpp:41] [0:deribit] DownloadEnd={account="", max_order_id=0}
I0413 16:03:07.553070 19794421 strategy.cpp:100] [0:deribit] MarketByPriceUpdate={stream_id=7, exchange="deribit", symbol="BTC-25JUN21", bids=[{price=68869, quantity=0}, {price=68876.5, quantity=550}], asks=[], snapshot=false, exchange_time_utc=1618322587582000000ns}
I0413 16:03:08.062139 19794421 strategy.cpp:100] [0:deribit] MarketByPriceUpdate={stream_id=4, exchange="deribit", symbol="BTC-31DEC21", bids=[{price=75275.5, quantity=16141}, {price=75278, quantity=0}], asks=[], snapshot=false, exchange_time_utc=1618322588091000000ns}
...

Noteworthy observations

  • MarketByPrice (the order book) includes a full snapshot when received during the download phase.
  • Live MarketByPrice updates (received after the download phase) will only include incremental changes.

Multiple Connections

./roq-samples-example-1 \
    --name "trader" \
    ~/deribit.sock \
    ~/coinbase-pro.sock
I0413 15:59:30.509024 19791278 service.cpp:50] ===== START =====
I0413 15:59:30.509946 19791278 service.cpp:34] The metrics service will *not* be started
I0413 15:59:30.520652 19791278 controller.cpp:74] session_id="f7822338-a0fd-42df-b98d-b785413bd09c"
I0413 15:59:30.520667 19791278 controller.cpp:78] Dispatching...
I0413 15:59:30.520705 19791278 controller.cpp:82] Starting event loop thread...
I0413 15:59:30.521676 19791324 controller.cpp:113] Event loop thread is now running
I0413 15:59:31.522048 19791324 session_manager.cpp:50] Connecting "unix:///Users/thraneh/dev/roq-dev/roq-coinbase-pro/src/roq/coinbase_pro/coinbase-pro-sandbox.sock"
I0413 15:59:31.522273 19791324 session_manager.cpp:50] Connecting "unix:///Users/thraneh/dev/roq-dev/roq-deribit/src/roq/deribit/deribit-test.sock"
I0413 15:59:31.524098 19791324 session.cpp:32] Adding name="deribit" (user_id=1)
I0413 15:59:31.524227 19791324 session.cpp:32] Adding name="coinbase-pro" (user_id=1)
I0413 15:59:31.524273 19791278 pollster.cpp:305] Adding name="deribit" (user_id=1)
I0413 15:59:31.524396 19791278 strategy.cpp:17] [0:deribit] connected={}
I0413 15:59:31.524425 19791278 pollster.cpp:305] Adding name="coinbase-pro" (user_id=1)
I0413 15:59:31.524468 19791278 strategy.cpp:17] [1:coinbase-pro] connected={}
I0413 15:59:31.525599 19791278 strategy.cpp:49] [1:coinbase-pro] Settings={mbp_max_depth=0, mbp_allow_price_inversion=false, mbp_allow_fractional_tick_size=false}
I0413 15:59:31.525799 19791278 strategy.cpp:33] [1:coinbase-pro] DownloadBegin={account=""}
I0413 15:59:31.525921 19791278 strategy.cpp:57] [1:coinbase-pro] StreamStatus={stream_id=1, account="", supports=0x10000003, status=READY, type=REST, priority=PRIMARY}
I0413 15:59:31.525958 19791278 strategy.cpp:57] [1:coinbase-pro] StreamStatus={stream_id=2, account="A1", supports=0x1d0000, status=READY, type=FIX, priority=PRIMARY}
I0413 15:59:31.526008 19791278 strategy.cpp:57] [1:coinbase-pro] StreamStatus={stream_id=3, account="A1", supports=0x380000, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 15:59:31.526046 19791278 strategy.cpp:57] [1:coinbase-pro] StreamStatus={stream_id=4, account="", supports=0x7f, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 15:59:31.526216 19791278 strategy.cpp:83] [1:coinbase-pro] ReferenceData={stream_id=1, exchange="coinbase-pro", symbol="BTC-USD", description="BTC/USD", security_type=SPOT, currency="USD", settlement_currency="BTC", commission_currency="BTC", tick_size=0.010000000000000002, multiplier=nan, min_trade_vol=0.0010000000000000002, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=0[86400]s, settlement_date=0[86400]s, expiry_datetime=0s, expiry_datetime_utc=0s}
I0413 15:59:31.526456 19791278 strategy.cpp:83] [1:coinbase-pro] ReferenceData={stream_id=1, exchange="coinbase-pro", symbol="BTC-GBP", description="BTC/GBP", security_type=SPOT, currency="GBP", settlement_currency="BTC", commission_currency="BTC", tick_size=0.010000000000000002, multiplier=nan, min_trade_vol=0.0010000000000000002, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=0[86400]s, settlement_date=0[86400]s, expiry_datetime=0s, expiry_datetime_utc=0s}
I0413 15:59:31.526554 19791278 strategy.cpp:83] [1:coinbase-pro] ReferenceData={stream_id=1, exchange="coinbase-pro", symbol="BTC-EUR", description="BTC/EUR", security_type=SPOT, currency="EUR", settlement_currency="BTC", commission_currency="BTC", tick_size=0.010000000000000002, multiplier=nan, min_trade_vol=0.0010000000000000002, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=0[86400]s, settlement_date=0[86400]s, expiry_datetime=0s, expiry_datetime_utc=0s}
I0413 15:59:31.526680 19791278 strategy.cpp:49] [0:deribit] Settings={mbp_max_depth=0, mbp_allow_price_inversion=false, mbp_allow_fractional_tick_size=true}
I0413 15:59:31.526700 19791278 strategy.cpp:33] [0:deribit] DownloadBegin={account=""}
I0413 15:59:31.526722 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=1, account="A1", supports=0x3f0000, status=READY, type=FIX, priority=PRIMARY}
I0413 15:59:31.526744 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=2, account="A1", supports=0x10400000, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 15:59:31.526832 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=3, account="", supports=0x6, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 15:59:31.526865 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=4, account="", supports=0x69, status=READY, type=FIX, priority=PRIMARY}
I0413 15:59:31.526886 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=5, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 15:59:31.526914 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=6, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 15:59:31.526938 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=7, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 15:59:31.526972 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=8, account="", supports=0x68, status=READY, type=FIX, priority=PRIMARY}
I0413 15:59:31.527001 19791278 strategy.cpp:91] [1:coinbase-pro] MarketStatus={stream_id=1, exchange="coinbase-pro", symbol="BTC-USD", trading_status=OPEN}
I0413 15:59:31.527040 19791278 strategy.cpp:91] [1:coinbase-pro] MarketStatus={stream_id=1, exchange="coinbase-pro", symbol="BTC-GBP", trading_status=OPEN}
I0413 15:59:31.527059 19791278 strategy.cpp:91] [1:coinbase-pro] MarketStatus={stream_id=1, exchange="coinbase-pro", symbol="BTC-EUR", trading_status=OPEN}
I0413 15:59:31.527122 19791278 strategy.cpp:41] [1:coinbase-pro] DownloadEnd={account="", max_order_id=0}
I0413 15:59:31.527297 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=9, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 15:59:31.527495 19791278 strategy.cpp:57] [0:deribit] StreamStatus={stream_id=10, account="", supports=0x4, status=READY, type=WEB_SOCKET, priority=PRIMARY}
I0413 15:59:31.527561 19791278 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-24SEP21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18621[86400]s, settlement_date=0[86400]s, expiry_datetime=1632470400s, expiry_datetime_utc=1632470400s}
I0413 15:59:31.527614 19791278 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-31DEC21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18669[86400]s, settlement_date=0[86400]s, expiry_datetime=1640937600s, expiry_datetime_utc=1640937600s}
I0413 15:59:31.527713 19791278 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-23APR21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18719[86400]s, settlement_date=0[86400]s, expiry_datetime=1619164800s, expiry_datetime_utc=1619164800s}
I0413 15:59:31.528996 19791278 strategy.cpp:83] [0:deribit] ReferenceData={stream_id=4, exchange="deribit", symbol="BTC-25JUN21", description="future", security_type=FUTURES, currency="USD", settlement_currency="USD", commission_currency="BTC", tick_size=0.5, multiplier=10, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=nan, underlying="", time_zone="", issue_date=18620[86400]s, settlement_date=0[86400]s, expiry_datetime=1624608000s, expiry_datetime_utc=1624608000s}
I0413 15:59:31.530243 19791278 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=5, exchange="deribit", symbol="BTC-25JUN21", trading_status=OPEN}
I0413 15:59:31.530863 19791278 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-31DEC21", trading_status=OPEN}
I0413 15:59:31.531106 19791278 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-23APR21", trading_status=OPEN}
I0413 15:59:31.531215 19791278 strategy.cpp:91] [0:deribit] MarketStatus={stream_id=3, exchange="deribit", symbol="BTC-24SEP21", trading_status=OPEN}
I0413 15:59:31.537047 19791278 strategy.cpp:41] [0:deribit] DownloadEnd={account="", max_order_id=0}
...

Noteworthy observations

  • Download is per gateway and must be managed as such. In particular, it is possible that multiple downloads can simultaneously be in progress.