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Import

Demonstrates how to convert any data source into Roq's Event-Log format using Flatbuffers as an intermediary format.

The general structure is

  • SourceInfo used to capture sequence number and timestamp
  • GatewaySettings must be the first message
  • ReferenceData preferably precedes any market data messages
  • MarketByPriceUpdate preferably starts with a snapshot (an image) followed by incremental updates (changes)

This example only depends on headers available from 'roq-api'. There are no requirements to link against roq-logging or roq-client in order to encode Flatbuffers messages using the schema dfined in roq-api. That being said, this example has been set up to link against roq-logging mainly for convenience (logging, flags, etc.).

Prerequisites

You don't need a Conda environment to get the required headers. It could be as simple as cloning roq-api from GitHub

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

You would then need to update your project include directories as appropriate.

If you're comfortable using Conda (ABI compatibility, etc.), it may be more convenient to simply install the roq-api package

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

For this example, we rely on the more complete Conda environment as described here.

For the following section, you may want to also install the roq-tools package

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

Using

Convert any Data-Source to a Flatbuffers Stream

./roq-samples-import \
    --encoding binary \
    my_tmp_file

Convert a Flatbuffers Stream to the Event-Log Format

roq-import \
    --type event_log \
    --protocol flatbuffers \
    --encoding binary \
    --name cme \
    --event_log_dir . \
    my_tmp_file

Inspect Generated Event-Log

Summary like this

roq-dump \
    --summary true \
    cme/test.roq
+--------------------------+------------------+------------------+------------+
| type                     |            count |            bytes |  avg. size |
+--------------------------+------------------+------------------+------------+
| subscribe                |                0 |                0 |        nan |
| download_begin           |                0 |                0 |        nan |
| download_end             |                0 |                0 |        nan |
| gateway_settings         |                1 |                0 |        0.0 |
| external_latency         |                0 |                0 |        nan |
| market_data_status       |                0 |                0 |        nan |
| order_manager_status     |                0 |                0 |        nan |
| reference_data           |                1 |              128 |      128.0 |
| market_status            |                1 |              304 |      304.0 |
| top_of_book              |                0 |                0 |        nan |
| market_by_price_update   |                2 |              520 |      260.0 |
| market_by_order_update   |                0 |                0 |        nan |
| trade_summary            |                0 |                0 |        nan |
| statistics_update        |                0 |                0 |        nan |
| create_order             |                0 |                0 |        nan |
| modify_order             |                0 |                0 |        nan |
| cancel_order             |                0 |                0 |        nan |
| order_ack                |                0 |                0 |        nan |
| order_update             |                0 |                0 |        nan |
| trade_update             |                0 |                0 |        nan |
| position_update          |                0 |                0 |        nan |
| funds_update             |                0 |                0 |        nan |
| custom_message           |                0 |                0 |        nan |
+--------------------------+------------------+------------------+------------+
| total                    |                5 |              952 |      190.4 |
+--------------------------+------------------+------------------+------------+
controller.cpp:741] period 1ns to 5ns
controller.cpp:742] duration 0d 0h 0m 0s

Details like this

roq-dump \
    --type log \
    cme/test.roq
controller.cpp:102] event={message_info={source=0, source_name="cme", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=1, receive_time_utc=1ns, receive_time=1ns, source_send_time=1ns, source_receive_time=1ns, origin_create_time=1ns, origin_create_time_utc=1ns, is_last=true, opaque=0}, gateway_settings={mbp_max_depth=3, mbp_allow_price_inversion=false}}
controller.cpp:179] event={message_info={source=0, source_name="cme", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=2, receive_time_utc=2ns, receive_time=2ns, source_send_time=2ns, source_receive_time=2ns, origin_create_time=2ns, origin_create_time_utc=2ns, is_last=true, opaque=0}, reference_data={exchange="CME", symbol="GEZ1", description="", security_type=UNDEFINED, currency="", settlement_currency="", commission_currency="", tick_size=0.0025, multiplier=2500, min_trade_vol=1, option_type=UNDEFINED, strike_currency="", strike_price=0, underlying="", time_zone="", issue_date=0[86400]s, settlement_date=0[86400]s, expiry_datetime=0s, expiry_datetime_utc=0s}}
controller.cpp:218] event={message_info={source=0, source_name="cme", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=3, receive_time_utc=3ns, receive_time=3ns, source_send_time=3ns, source_receive_time=3ns, origin_create_time=3ns, origin_create_time_utc=3ns, is_last=true, opaque=0}, market_status={exchange="CME", symbol="GEZ1", trading_status=OPEN}}
controller.cpp:269] event={message_info={source=0, source_name="cme", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=4, receive_time_utc=4ns, receive_time=4ns, source_send_time=4ns, source_receive_time=4ns, origin_create_time=4ns, origin_create_time_utc=4ns, is_last=true, opaque=0}, market_by_price_update={exchange="CME", symbol="GEZ1", bids=[{price=99.785, quantity=3}, {price=99.78, quantity=2}, {price=99.775, quantity=1}], asks=[{price=99.8, quantity=3}, {price=99.805, quantity=2}, {price=99.81, quantity=1}], snapshot=true, exchange_time_utc=0ns}}
controller.cpp:269] event={message_info={source=0, source_name="cme", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=5, receive_time_utc=5ns, receive_time=5ns, source_send_time=5ns, source_receive_time=5ns, origin_create_time=5ns, origin_create_time_utc=5ns, is_last=true, opaque=0}, market_by_price_update={exchange="CME", symbol="GEZ1", bids=[{price=99.785, quantity=0}, {price=99.77, quantity=2}], asks=[], snapshot=false, exchange_time_utc=0ns}}

Simulation

You could also try the simulation example

ROQ_v=1 ../example-3/roq-samples-example-3 \
    --name trader \
    --exchange CME \
    --symbol GEZ1 \
    --simulation \
    cme/test.roq
I0208 06:41:31.840719 396449 service.cpp:66] ===== START =====
I0208 06:41:31.848948 396449 controller.cpp:108] StartEvent={message_info={source=0, source_name="", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=0, receive_time_utc=0ns, receive_time=0ns, source_send_time=0ns, source_receive_time=0ns, origin_create_time=0ns, origin_create_time_utc=0ns, is_last=false, opaque=0}, start={}}
I0208 06:41:31.848969 396449 controller.cpp:115] ConnectionEvent {message_info={source=0, source_name="CME", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=0, receive_time_utc=0ns, receive_time=0ns, source_send_time=0ns, source_receive_time=0ns, origin_create_time=0ns, origin_create_time_utc=0ns, is_last=true, opaque=0}, connection={status=CONNECTED}}
I0208 06:41:31.848977 396449 instrument.cpp:46] [CME:GEZ1] connection_status=CONNECTED
I0208 06:41:31.849061 396449 instrument.cpp:110] [CME:GEZ1] tick_size=0.0025
I0208 06:41:31.849067 396449 instrument.cpp:113] [CME:GEZ1] min_trade_vol=1
I0208 06:41:31.849069 396449 instrument.cpp:117] [CME:GEZ1] multiplier=2500
I0208 06:41:31.849077 396449 instrument.cpp:128] [CME:GEZ1] trading_status=OPEN
I0208 06:41:31.849356 396449 instrument.cpp:148] [CME:GEZ1] depth=[{bid_price=99.785, bid_quantity=3, ask_price=99.8, ask_quantity=3}, {bid_price=99.78, bid_quantity=2, ask_price=99.805, ask_quantity=2}, {bid_price=99.775, bid_quantity=1, ask_price=99.81, ask_quantity=1}]
I0208 06:41:31.849369 396449 controller.cpp:132] ConnectionEvent {message_info={source=0, source_name="CME", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=0, receive_time_utc=0ns, receive_time=0ns, source_send_time=0ns, source_receive_time=0ns, origin_create_time=0ns, origin_create_time_utc=0ns, is_last=true, opaque=0}, connection={status=DISCONNECTED}}
I0208 06:41:31.849372 396449 instrument.cpp:46] [CME:GEZ1] connection_status=DISCONNECTED
I0208 06:41:31.849378 396449 controller.cpp:139] StopEvent={message_info={source=0, source_name="", source_session_id="00000000-0000-0000-0000-000000000000", source_seqno=0, receive_time_utc=0ns, receive_time=0ns, source_send_time=0ns, source_receive_time=0ns, origin_create_time=0ns, origin_create_time_utc=0ns, is_last=false, opaque=0}, stop={}}
I0208 06:41:31.850027 396449 service.cpp:80] ===== STOP =====