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.
The project is designed to be compatible with the conda package manager.
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 source ~/conda/bin/activate conda install -y \ git \ cmake \ gxx_linux-64 \ flatbuffers \ fmt
In addition, your system should provide
clang-format (at least version 10).
git submodule update --init --recursive cmake . make -j4 make test
Documentation can be found here.
The C++ interface is designed for ultra low latency and requires a closed source implementation
conda install -y --channel https://roq-trading.com/conda/stable \ roq-client
Samples can be found here.
The FlatBuffers interface is useful when latency is not a concern or when other programming languages than C++ are required. Furthermore, the event log storage format uses FlatBuffers and can be decoded from any language.
WORK IN PROGRESS.
The project is released under the terms of the MIT license.