coolsnake / roq-api

The Roq C++17 API used for Live Cryptocurrency Algorithmic and High-Frequency Trading as well as for Back-Testing and Historical Simulation

roq-api

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.

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).
• Unified interface for all markets.
• Design is strongly inspired by standards and specific implementations used by major exchanges.
• Allocation-free message decoding.
• 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.

Operating Systems

• Linux (x86-64, AArch64)
• macOS (x86-64)

Library/Package Dependencies

• FlatBuffers (Apache 2.0 License)
• fmt (MIT License)
• range-v3 (BSL 1.0 License)
• span-lite (BSL 1.0 License)

Optional

• 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

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

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

Install Dependencies

source ~/conda/bin/activate

conda install -y \
    git \
    cmake \
    flatbuffers \
    fmt

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

In addition, your system should provide clang-format (at least version 10).

Building

git submodule update --init --recursive

cmake .

make -j4

make test

Using

Documentation can be found here.

C++

Although the API is open source, certain solutions are closed source.

You can download the client library like this

conda install -y --channel https://roq-trading.com/conda/stable \
    roq-client

Samples can be found here.

FlatBuffers

FlatBuffers is primarily used for the event-log storage format.

License

The project is released under the terms of the MIT license.

Links

• Roq GmbH
• Documentation
• Contact us