CHANGELOG.md

Change Log

All notable changes will be documented in this file.

Head

Changed

• cache::MarketByPrice::impact_price to accept an optional number of orders (#462)
• Fill to support quote quantity and commission (#458)

1.0.1 – 2024-04-14

Changed

• Issues with create limited depth updates (#453)

1.0.0 – 2024-03-16

Fixed

• utils::compare<double> could incorrectly compare values in the [0;1] range (#446)

Added

• RateLimitsUpdate to support exchange rate-limit updates

Changed

• Renamed {price|quantity}_precision (from {price_quantity}_decimals
• Moved several header files to the roq-server library (from the roq::oms namespace here)
• UUID now using C++23 features
• Moved several header files to the roq-cache library (from the roq::cache namespace here)
• Moved several header files to the roq-utils library (from the roq::utils namespace here)
• Promote Decimal to API (from utils::Number) and rename Precision (from Decimals) (#439)

0.9.9 – 2024-01-28

Added

• Adding exchange time, exchange sequence and sending time to ReferenceData and MarketStatus

Changed

• Adding PositionEffect to OrderAck
• Adding MarginMode to CreateOrder, OrderAck, OrderUpdate, TradeUpdate
• OMS validate quantity and price against reference data (#432)
• Added MarginMode to FundsUpdate and PositionUpdate (#430)

0.9.8 – 2023-11-20

Fixed

• The position cache would treat zero as a missing value and therefore not update (#419)

Changed

• exchange_sequence is now uint64_t (was int64_t)
• RoutingId now 64 bytes
• GatewaySettings.oms_cancel_all_orders has been added (#414)
• CancelAllOrders now includes some filters (#414)
• oms::OrderUpdate now includes the max request/response/accepted versions

Added

• Fill.exchange_time_utc
• CancelAllOrdersAck (#414)
• EXPERIMENTAL: messages for managing dynamic routes

Removed

• The FlatBuffers schema and auto-generated is no longer needed (replaced by the roq-codec library)

0.9.7 – 2023-09-18

Added

• oms::OrderUpdate::routing_id to support FIX

Changed

• order_id must be uint64_t (#377)

Added

• OrderAck.client_order_id and TradeUpdate.client_order_id (#389)
• CancelAllOrders.strategy_id
• CreateOrder.strategy_id, OrderAck.strategy_id, OrderUpdate.strategy_id, TradeUpdate.strategy_id (#375)
• OrderAck.user to support drop-copy and risk management

0.9.6 – 2023-07-22

Changed

• Using std::source_location (clang16)
• Using fmt10

Added

• Error.RISK_LIMIT_REACHED
• New Ready event to indicate the completion of the intial download phase
• Risk exposure and change added to OrderAck and OrderUpdate (EXPERIMENTAL)
• cache::MarketByPrice::impact_price() (#372)
• RiskLimits and RiskLimitsUpdate (EXPERIMENTAL)
• client::Dispatcher.broadcast(CancelAllOrders)

0.9.5 – 2023-06-12

Changed

• The Mask<E> template had to be changed to work with magic_enum 0.9.0

Added

• OrderUpdate.client_order_id (#366)
• OrderAck.traded_quantity (#359)

Removed

• oms::TradeUpdate was unnecessary (TradeUpdate is sufficient for the gateways)

0.9.4 – 2023-05-04

Changed

• Review PositionUpdate and FundsUpdate to better correlate with OrderUpdate and TradeUpdate (#340)
• cache::MarketByOrder::OrderUpdate now includes the final update action
• StreamStatus should include connection details (#337)
• [BREAKING CHANGE] CreateOrder::request_template (renamed from order_template)
• All order requests must support request_template (#329)

Removed

• Drop OrderUpdate.order_template (#330)

Added

• CustomMatrix (#344)
• PortfolioUpdate and Position to support a position manager (#343)

0.9.3 – 2023-03-20

Added

• sending_time_utc to market data messages (#326)
• oms::TradeUpdate (#254)
• client::Settings.drop_copy (#254)

Changed

• [BREAKING CHANGE] MarketByOrderUpdate and MBOUpdate has been changed to support CME's TradeSummary (#322)

Fixed

• utils::invert(side)didn't work forside == UNDEFINED` (#325)

0.9.2 – 2023-02-22

Added

• MBOUpdate.reason + UpdateReason
• cache::MarketByOrder

Changed

• fbs::MarketByOrderUpdate.max_depth was inserted (should not be an issue since it was never used before)
• MBOUpdate: priority now uint64_t, order_id length 36 (UUID), re-ordering

0.9.1 – 2023-01-12

0.9.0 – 2022-12-22

Changed

• New Protocol and Encoding to support Roq's UDP transport (#307)

0.8.9 – 2022-11-14

Added

• Move Category (from the core and adapter libraries) (#297)

Changed

• Parameter now includes the account, exchange, symbol tuple
• ParametersUpdate was renamed (from ParameterUpdate)
• TraceInfo now default initializing to current time
• clock promoted (from core library)

0.8.8 – 2022-10-04

Added

• RequestStatus.ERROR (#292)
• TradeSummary to include exchange sequence and taker/maker order id's (#279)
• CustomMetrics.update_type and CustomMetricsUpdate.update_type
• GatewaySettings.mbp_checksum

Changed

• Preparing to drop C++17 compatibility
• cache::MarketByPrice::max_depth now returns uint16_t

Removed

• MarketByPriceUpdate.checksum from the FlatBuffers schema
• Optimize the cache::MarketByPrice interface (#267)

0.8.7 – 2022-08-22

Added

• client::EventLogMultiplexer (#266)
• Cache objects for Create/Modify/CancelOrder (#26)
• ParameterUpdate (#258)

Changed

• Optimize the cache::MarketByPrice interface (#267)
• An optional is_last field has been added to client::Dispatcher::send (#26)
• Move RateLimiter (from roq-server) (#259)
• API changes needed to support drop-copy (#254)
• Add notional fields to ReferenceData (#252)
• Add new fields to RateLimitTrigger (#251)

Removed

• OrderUpdateAction (replaced with UpdateAction)

Fixed

• utils::safe_cast now using std::numeric_limist::lowest() (instead of min())

0.8.6 – 2022-07-18

Fixed

• fmt v9 requires custom formatters to be const

Changed

• Prevent copy/move of Event<> and Trace<> (#247)
• return span<MBPUpdate> from cache::MarketByPrice (#241)
• Flatbuffers auto-generated code now using C++17
• client::EventLogReader now expose more metadata
• MBPUpdate now supports UpdateAction (#236)

0.8.5 – 2022-06-06

Added

• cache::Manager::get_market_with_id and cache::Manager::get_market_id
• ReferenceData::discard (#225)

Changed

• Promote utils::DateTime_iso8601 formatter to API (from core)
• Make cache::Manager a non-template (#230)
• cache::MarketByPrice::stream_id()

0.8.4 – 2022-05-14

Added

• cache::MarketByPrice::find_index
• cache::MarketByPrice::compute_vwap
• RequestIdType added to GatewaySettings (from server)

Changed

• Increase Symbol fixed-length size to 48 (#214)
• Event<> and Trace<> formatting has move the value to the front
• C++17 compatibility (std::span and "using enum" workarounds)
• Trace now supports non-const (and retains const-safety when const)
• TopOfBook now includes an exhange sequence number (to correlate with MbP updates)
• StreamStatus now provides more detailed information
• Promote debug::hex::Message and debug::fix::Message (from core library)
• Comparisons now use (or return) std::strong_ordering (instead of int)
• Simplify enums (#199)
• Proper bit-mask support (#198)
• Promote Trace and TraceInfo to API (from server)

0.8.3 – 2022-03-22

Changed

• Enforce fixed-length strings for standard use-cases (account, exchange, symbol, ...)
• Rename string (from string_buffer)
• Promote Mask to API (from utils)
• Rename headers to .hpp (#195)
• Conda packaging should pin versions to match x.x.x (#189)
• Added update_type to OrderUpdate and TradeUpdate (#39)

0.8.2 – 2022-02-18

Changed

• Added account to ExternalLatency (#170)
• Source file name are now evaluated and stored at compile time (#160)

0.8.1 – 2022-01-16

Changed

• Upgrade to C++20 (#158)

0.8.0 – 2022-01-12

Added

• cache::MarketByPrice::exists (#153)
• SecurityType::SWAP
• Capture origin_create_time for externally triggered events (#140)

Changed

• Increase MAX_LENGTH_CURRENCY
• ReferenceData::margin_currency (#150)
• Support macOS/ARM64 (#149)

Removed

• client::DepthBuilder (#152)

0.7.9 – 2021-12-08

Changed

• Align oms with new use of Decimals enum
• MarketByPriceUpdate now include max-depth (#123)
• MarketByPriceUpdate and MarketByOrderUpdate now include checksum (#74)
• MarketByPriceUpdate and MarketByOrderUpdate now include price/quantity decimals (#119)

Added

• Capture request round-trip latency (#130)
• Starting to move object cache logic into API (#128)

0.7.8 – 2021-11-02

Added

• Move cache utilities to API (#111)
• Promoted server::TraceInfo to API
• Add exchange sequence number to MarketByPrice and MarketByOrder (#101)
• Add max_trade_vol and trade_vol_step_size to ReferenceData (#100)
• New method to update market::MarketByPrice (#17)
• Price/quantity decimal digits added to oms::Order (#46)
• Conversion to/from internal price used by market::MarketByPrice (#21)
• Interface to extract bid/ask MBPUpdate from market::MarketByPrice
• New UpdateType (will eventually be used with MarketByPriceUpdate) (#93)
• Add StatisticsType::TRADE_VOLUME (#88)

Changed

• Remove custom literals (#110)
• ReferenceData currencies should follow FX conventions (#99)
• Replace snapshot (bool) with update_type (UpdateType) (#97)
• Align type used to represent decimal digits (#46)
• Adding more MAX_LENGTH constants (#91)
• Align PositionUpdate with the FIX protocol (#89)

Fixed

• Utility functions did not correctly handle RequestStatus::FAILED (#82)

0.7.7 – 2021-09-20

Added

• New market::MarketByPrice interface (#56)

Changed

• RequestStatus::TIMEOUT should not be a final order request state (#59)
• GatewaySettings has changed structure and new fields (#56)
• client::DepthBuilder now derives from market::MarketByPrice (#56)
• string_buffer did not have O(1) length() (#53)
• Move OMS interfaces to API (#51)
• RateLimitTrigger must support const members (#34)

Fixed

• API exceptions should compile with C++14 (#69)

0.7.6 – 2021-09-02

Added

• Error::INSUFFICIENT_FUNDS (#32)
• RateLimitTrigger replaces RateLimitUsage (#34)
• Promoting RateLimitType to API (#34)
• NotSupported exception (clean-up)
• CustomMetrics (publish) and CustomMetricsUpdate (receive) (#8)
• NotImplemented exception (clean-up)
• Error::CONDITIONAL_REQUEST_HAS_FAILED and Error::UNKNOWN_ORDER_ID (#25)
• utils::was_order_received and utils::to_request_status (#25)
• OrderAck::side (#11)
• client::EventLogReader interface (#10)

Changed

• The various interfaces used for simulation has been updated (#7)

Removed

• Subscribe has been removed from API (#14)

0.7.5 – 2021-08-08

Changes

• Error has been extended to communicate certain exchange errors
• RequestStatus now includes DISCONNECTED, TIMEOUT, and FAILED
• OrderAck now includes exchange and symbol
• CustomMessage now uses span to represent the message

Fixed

• DepthBuilder was unsafe because the constructor cached a pointer to a span of Layers, aka. the depth. This has been changed and applying a MarketByPriceUpdate will now require you to also pass a reference to the depth.

Added

• Error::REQUEST_RATE_LIMIT_REACHED
• StatisticsType::FUNDING_RATE_PREDICTION

Removed

• Dropped all wrappers for fmt. (Reason: fmt::format_string is now a template solution -- previously it was a macro).

0.7.4 – 2021-07-20

Changed

• The exception hierarchy no longer tries to mirror std.

0.7.3 – 2021-07-06

Added

• OrderManagement used to instruct a gateway of the order management style
• MAX_ORDER_ID and MAX_REQUEST_VERSION to reflect 24 bit limits

Changed

• OrderAck, OrderUpdate, ModifyOrder and CancelOrder now use uint32_t for all version fields
• The format functions no longer require use of the _fmt literal
• Reduced MAX_LENGTH_ROUTING_ID to 16
• GatewaySettings now includes oms_download_has_state and oms_download_has_routing_id

Removed

• The _fmt literal
• The format_str wrapper class has been moved to the roq-logging library

0.7.2 – 2021-06-20

Changed

• Error has been updated
• OrderAck has been updated and extended with version
• OrderUpdate has been updated and extended with max_request_version, max_response_version and max_accepted_version
• ModifyOrder and CancelOrder has been updated with version and conditional_on_version
• CreateOrder and OrderUpdate has changed field ordering to better group constant vs. possibly changing fields
• TradeUpdate and Fill has changed field ordering and Fill has dropped artificially generated trade_id's
• MBPUpdate has been updated with implied_quantity, price_level and number_of_orders

0.7.1 – 2021-05-30

Added

• RateLimitUsage to allow strategy to back off when it high-water mark on rate-limiting has been detected
• CancelAllOrders when all orders must be cancelled immediately
• GatewaySettings.mbp_allow_remove_non_existing to indicate if an exchange could possibly send updates to unknown price levels
• StatisticsType::FUNDING_RATE and StatisticsType::DAILY_FUNDING_RATE
• routing_id to ModifyOrder and CancelOrder
• SupportType.ORDER_STATE to indicate if gateway supports FIX 4.4 style order state management (through ClOrdId/OrigClOrdId transitions)
• GatewaySettings.supports to allow users to detect what is supported
• Added Liquidity to indicate if last fill was as maker or taker
• Extend OrderUpdate with more fields (required for FIX bridge and download)
• TradingStatus has been completely reviewed to match the trading session state changes which can occur on most exchanges
• ExecutionInstruction will now support bit-masks (future change)
• The layout of many structs have changed

Changed

• client::Config::Handler now includes a method to configur
• client::Settings. This makes it possible to override cancel_policy (on disconnect)
• Disconnected now adds a flag useful to detect if disconnect could trigger an order cancellation request
• OrderStatus better aligned with FIX enum, but excluding state transitions
• TimeInForce better aligned with FIX enum

0.7.0 – 2021-04-15

Added

• Promoted a number of generic utilities to the roq::utils namespace. Although these are useful, they should not be considered "API".
• The routing_id field has been added to the relevant order management structures.

Changed

• All server (gateway) originated structs now include stream_id to indicate the origin of a message. MarketDataStatus and OrderManagerStatus have been replaced with StreamUpdate. Clients must use the supports bit-mask from StreamUpdate to maintain availability of cached objects. This change was done to allow gateways to manage load balance e.g. by maintaining multiple connections.
• Replaced Connection with Connected and Disconnected
• Renamed GatewayStatus to ConnectionStatus

Removed

• Python API (this is not the right place)
• Removed name from ExternalLatency
• Removed MarketDataStatus and OrderManagerStatus

0.6.1 – 2021-02-19

Added

• Convenience functions making it easy to encode Flatbuffers objects

Changed

• Consistent use string literals
• Enforce usage of the _fmt literal when formatting

Removed

• Enumerations no longer include MAX

0.6.0 – 2021-02-02

Changed

• Repo now includes the auto-generated header files (for better discoverability)

• Miniforge (instead of Miniconda)

• MessageInfo.source_session_id now using a more efficient UUID representation

• Now using span-lite (instead of own implementation, C++20 preparation)

Added

• Settings
• ExternalLatency

Removed

• User and Account removed (not public interfaces)

0.5.0 – 2020-12-04

Changed

• Time management has been changed

  • std::chrono::nanoseconds used for all precision timestamps
  • std::chrono::seconds used for all date-times
  • std::chrono::days (using roq::chrono::days until C++20 is supported) used for all dates

Added

• ReferenceData

  • description, underlying, time_zone, issue_date, settlement_date, expiry_datetime, `expiry_datetime_utc

Removed

• ReferenceData::limit_{up|down}

  • Upper and lower trading limits belongs to daily session statistics, not reference data. These fields were anyway already managed by StatisticsUpdate.

0.4.5 – 2020-11-09

0.4.4 – 2020-09-20

0.4.3 – 2020-09-02

Changed

• client::Collector interface now implements default handlers instead of having pure virtual functions.
• is_{order|request}_completed replacing is_completed.

Removed

• client::Collector::{extract|write} were too specific.

0.4.2 – 2020-07-27

Removed

• Automake support

0.4.1 – 2020-07-17

Note! CMake is now the default build system for all Roq solutions. This makes it significantly easier to integrate with other CMake based solutions.

Changed

• CMake is now the default build system for all Roq solutions
• Replace ROQ_PREDICT_{TRUE,FALSE} with ROQ_LIKELY and ROQ_UNLIKLEY to better match c++20 naming
• Removed (again) the use of FMT_STRING since it will not be compatible with c++20

Removed

• roq/format.h

0.4.0 – 2020-06-30

Note! FlatBuffers has been introduced to compliment the C++ interface for non-latency sensitive use-cases. Event-logs are now using FlatBuffers for all encoding. This allows for backwards compatibility and thereby dropping the requirement for decoding to be binary compatible with encoding. An upcoming release will introduce a FlatBuffers interface into the gateways thereby allowing other languages than C++ languages to communicate with the gateway.

Added

• FlatBuffers schema (experimental!)
• StatisticsUpdate (to replace DailyStatistics and SessionStatistics)

Changed

• Events are now wrapped with the Event template
• Replaced MarketByPrice and MarketByOrder with MarketByPriceUpdate and MarketByOrderUpdate to more clearly reflect changes being communicated

0.3.9 – 2020-06-09

Fixed

• roq::event_value<ConnectionStatusEvent> was broken in release 0.3.8

Changed

• Metrics interfaces and utilities have been moved into the roq::metrics namespace
• Metric collectors now using std::atomic variables

Removed

• Logging has been moved into a separate library roq-logging

0.3.8 – 2020-06-06

Changed

• Auto-generate enums, structs, classes, formatting, etc.
• Major parts of the client API have been moved here

0.3.7 – 2020-05-27

Added

• Dependency on FlatBuffers
• SessionsStatistics::index_value and SessionsStatistics::margin_rate

Changed

• Inherit all network-related exceptions from NetworkError

0.3.6 – 2020-05-02

Added

• TimedOut (exception)

0.3.5 – 2020-04-22

0.3.4 – 2020-04-08

Added

• ExecutionInstruction (enum) similar to FIX ExecInst
• Error::EXECUTION_INSTRUCTION_NOT_SUPPORTED
• Account::user
• OrderUpdate::execution_instruction, OrderUpdate::stop_price and OrderUpdate::max_show_quantity
• Ensure all enums have an UNDEFINED

Removed

• OrderUpdate::commissions

Changed

• Log non-zero application exit codes as warning
• Prefer C++ raw strings

0.3.3 – 2020-03-04

Added

• Fill (struct)
• TopOfBook (struct)
• price_from_side (function)
• span (struct)

Removed

• MBOUpdate::side

Changed

• TradeUpdate (struct) now containing an array of Fill's (struct)
• Logging now requires FMT_STRING to better formatting errors at compile time
• MarketByPrice (struct) now maintaining bids and asks separately
• MBOUpdate::order_id (string) replaces order_id_ext (integer)
• Use roq::span everywhere