API for algorithmic and high-frequency trading (HFT).
Note! This project does not contain the implementation of the C++ interfaces. This is due to the ultra low latency communication protocol being closed source.
- 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).
- Unified interface for all markets.
- Design is strongly inspired by standards and specific implementations used by major exchanges.
- Allocation-free message decoding supported.
- Auto-generated code based on schemas.
- Strongly typed messages (events).
- Asynchronous interfaces and implementations.
- C++ for ultra low latency.
- FlatBuffers as an optional interface when latency is not a concern.
- Linux
- FlatBuffers (Apache 2.0 License)
- fmt (MIT License)
Optional
- Google Test (BSD 3-Clause License)
The project is designed to be compatible with the conda package manager.
wget -N https://repo.continuum.io/miniconda/Miniconda3-latest-Linux-x86_64.sh
bash Miniconda3-latest-Linux-x86_64.sh -b -u -p ~/miniconda3
source ~/miniconda3/bin/activate
conda install -y \
git \
cmake \
gxx_linux-64
conda install -y --channel https://roq-trading.com/conda/stable \
roq-oss-flatbuffers \
roq-oss-fmtgit submodule update --init --recursive
cmake .
make -j4
make testPlease note that many of the interfaces are being auto-generated and the source files are therefore only accessible once the project has been built or installed.
Documentation can be found here.
The C++ interface is designed for ultra low latency and requires a closed source implementation
conda install -y --channel https://roq-trading.com/conda/stable \
roq-clientSamples can be found here.
The FlatBuffers interface is useful when latency is not a concern or when other programming languages than C++ are required. Furthermore, the event log storage format uses FlatBuffers and can be decoded from any language.
WORK IN PROGRESS.
The project is released under the terms of the MIT license.