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https://github.com/roq-trading/roq-api

The C++23 interfaces used to communicate between trading strategies and market gateways.
https://github.com/roq-trading/roq-api

api arbitrage back-testing centralized-exchanges cpp23 crypto-markets financial-markets hft low-latency market-data-feeds market-maker oms order-management-system order-routing simulation tick-data trading-strategies trading-strategy

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

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README 

        
# 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)](https://roq-trading.com/)

* [Contact (email)](mailto:[email protected])

* [Documentation](https://roq-trading.com/docs/)

* [Releases](https://roq-trading.com/docs/releases/)

* [Gateways](https://roq-trading.com/docs/introduction/gateways/)

* [Samples](https://github.com/roq-trading/roq-cpp-samples/)

* [Roadmap](https://roq-trading.com/docs/introduction/roadmap/)

* [Pricing](https://roq-trading.com/#pricing)

* [LinkedIn](https://www.linkedin.com/company/35447832/)

* [Telegram](https://t.me/roq_trading/)



## 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.



![Design](/static/images/architecture_reference.svg)



* 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](https://roq-trading.com/#pricing).



Feel free to [contact us](mailto:[email protected]) 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](https://roq-trading.com/docs/introduction/gateways/).



> Instructions on how to install, configure and use the gateways can either

> be found in the [samples](https://github.com/roq-trading/roq-cpp-samples) or

> by consulting the [documentation](https://roq-trading.com/docs/tutorials/gateways/).



## 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](mailto:[email protected]) before using.



> We plan to drop support for macOS/x86-64.



## Library/Package Dependencies



* [fmt](https://github.com/fmtlib/fmt) (MIT License)

* [magic_enum](https://github.com/Neargye/magic_enum) (MIT License)

* [jinja2](https://github.com/pallets/jinja) (BSD 3-Clause License)



Optional



* [Catch2](https://github.com/catchorg/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



```bash

git submodule update --init --recursive

```



### Create development environment



```bash

scripts/create_conda_env unstable debug

```



### Activate environment



```bash

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.



```bash

cmake . && make -j4

```



### Using



You can download the closed source client implementation like this



```bash

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

    roq-client

```



Samples can be found [here](https://github.com/roq-trading/roq-cpp-samples).



## License



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