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https://github.com/roq-trading/roq-cpp-samples
C++ examples.
https://github.com/roq-trading/roq-cpp-samples
api cpp23 demo example
Last synced: 3 days ago
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C++ examples.
- Host: GitHub
- URL: https://github.com/roq-trading/roq-cpp-samples
- Owner: roq-trading
- License: mit
- Created: 2018-03-27T04:19:09.000Z (over 6 years ago)
- Default Branch: master
- Last Pushed: 2024-10-28T04:00:18.000Z (7 days ago)
- Last Synced: 2024-10-28T07:27:21.648Z (7 days ago)
- Topics: api, cpp23, demo, example
- Language: C++
- Homepage: https://roq-trading.com/
- Size: 10.1 MB
- Stars: 158
- Watchers: 15
- Forks: 54
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- Changelog: CHANGELOG.md
- License: LICENSE
Awesome Lists containing this project
README
# roq-cpp-samples
Samples demonstrating how to implement various features of algorithmic trading
solutions.
## Operating Systems
* Linux (x86-64, AArch64)
* macOS (x86-64, Arm64)
## Library/Package Dependencies
* [Abseil-C++](https://github.com/abseil/abseil-cpp) (Apache 2.0 License)
* [FlatBuffers](https://github.com/google/flatbuffers) (Apache 2.0 License)
* [fmt](https://github.com/fmtlib/fmt) (MIT License)
* [roq-api](https://github.com/roq-trading/roq-api) (MIT License)
* [roq-logging](https://github.com/roq-trading/roq-api) (MIT License)
* roq-web (Commerical License, free to use)
* roq-client (Commerical License, free to use)
Optional
* [Catch2](https://github.com/catchorg/Catch2) (Boost Software License 1.0 License)
* [Google Benchmark](https://github.com/google/benchmark) (Apache 2.0 License)
## Prerequisites
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
```
## Building
> Sometimes you may need to delete CMakeCache.txt if CMake has cached an incorrect configuration.
```bash
cmake . && make -j4
```
## Using
* [Example 1](./src/roq/samples/example-1/README.md)
* Connect to market gateway
* Subscribe using regex patterns
* [Example 2](./src/roq/samples/example-2/README.md)
* Manage disconnect
* Process incremental market data update
* Maintain a market depth view
* Update a simple model
* [Example 3](./src/roq/samples/example-3/README.md)
* Maintain positions
* Place limit orders
* Deal with order acks and updates
* Historical simulation
* Live trading
* [Example 4](./src/roq/samples/example-4/README.md)
* Subscribe and nothing else
* [Example 5](./src/roq/samples/example-5/README.md)
* Transfer `CustomMessage` from a secondary thread
* [Import](./src/roq/samples/import/README.md)
* Convert any data source to an event-log
* Encoding has header-only dependencies
### Simulation Data (install)
Simulation requires you to either use your own event logs (automatically
captured when you're running a gateway) or use sample data
```bash
conda install -y --channel https://roq-trading.com/conda/unstable \
roq-data
```
Data can now be found in the `$CONDA_PREFIX/share/roq-data/` directory.
### Gateways (install, configure, run)
#### [Deribit](https://roq-trading.com/docs/reference/gateways/roq-deribit/)
```bash
conda install -y --channel https://roq-trading.com/conda/unstable \
roq-deribit
```
It is easiest to start from a config file template
```bash
cp $CONDA_PREFIX/share/roq-deribit/config.toml ~/deribit.toml
```
Edit this file and update with your Deribit API credentials
([link](https://test.deribit.com/main#/account?scrollTo=api)).
You should look for these lines and replace as appropriate
```text
login = "YOUR_DERIBIT_LOGIN_GOES_HERE"
secret = "YOUR_DERIBIT_SECRET_GOES_HERE"
```
Launch the gateway
```bash
roq-deribit \
--name "deribit" \
--config_file ~/deribit.toml \
--client_listen_address ~/deribit.sock
```
#### [Coinbase Pro](https://roq-trading.com/docs/reference/gateways/roq-coinbase-pro/)
```bash
conda install -y --channel https://roq-trading.com/conda/unstable \
roq-coinbase-pro
```
It is easiest to start from a config file template
```bash
cp $CONDA_PREFIX/share/roq-coinbase-pro/config.toml ~/coinbase-pro.toml
```
Edit this file and update with your Coinbase Pro API credentials
([link](https://public.sandbox.pro.coinbase.com/profile/api)).
You should look for these lines and replace as appropriate
```text
login = "YOUR_COINBASE_PRO_API_KEY_GOES_HERE"
password = "YOUR_COINBASE_PRO_PASSPHRASE_GOES_HERE"
secret = "YOUR_COINBASE_PRO_SECRET_GOES_HERE"
```
Launch the gateway
```bash
roq-coinbase-pro \
--name "coinbase-pro" \
--config_file ~/coinbase-pro.toml \
--client_listen_address ~/coinbase-pro.sock
```
## License
The project is released under the terms of the BSD 3-Clause license.
## Links
* [Roq GmbH](https://roq-trading.com/)
* [Documentation](https://roq-trading.com/docs/)
* [Contact us](mailto:[email protected])