Awesome Open Source
Awesome Open Source

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

Optional

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.

C++ design

FlatBuffers

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

FlatBuffers design

License

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

Links


Get A Weekly Email With Trending Projects For These Topics
No Spam. Unsubscribe easily at any time.
c-plus-plus (18,713
cryptocurrency (501
trading (227
trading-bot (115
exchange (106
algorithmic-trading (91
trading-strategies (85
trading-algorithms (59
low-latency (54
trading-platform (44
backtesting (36
market-data (28
arbitrage (27