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.