roq-trading / roq-api

The C++23 interfaces used to communicate between trading strategies and market gateways.

roq-api

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

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

Links

• Roq GmbH (website)
• Contact (email)
• Documentation
• Releases
• Gateways
• Samples
• Roadmap
• Pricing
• LinkedIn
• Telegram

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 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 traditional exchanges include

• CME

Currently supported Cryptocurrency exchanges include

• Binance
• BitMEX
• Bitstamp
• Bybit
• Coinbase PRO
• Deribit
• Gate
• Gemini
• HitBTC
• Huobi
• Kraken
• KuCoin
• OKX

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

• fmt (MIT License)
• magic_enum (MIT License)
• jinja2 (BSD 3-Clause License)

Optional

• Catch2 (Boost Software License 1.0 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.

Use stable for (the approx. monthly) release build. Use unstable for the more regularly updated development builds.

Initialize sub-modules

git submodule update --init --recursive

Create development environment

scripts/create_conda_env unstable debug

Activate environment

source opt/conda/bin/activate dev

Build the project

Sometimes you may have to delete CMakeCache.txt if CMake has already cached an incorrect configuration.

cmake . && make -j4

Using

You can download the closed source client implementation like this

mamba 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.