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Example 3

Demonstrates how to place limit orders based on model signal.

  • Extends example-2
  • Keeps track of order updates and maintain long/short positions
  • Places limit orders, subject to position, when the model generates a signal

The model tries to detect sharp moves (perhaps significant order flow) and will generate a signal when the directional move reverts.

The model is very simplistic and the parameters have not been optimized: do not use this for any real trading!

Prerequisites

Please refer here to install, configure and run the required market gateways.

Using

Historical simulation (back-testing) is very useful to verify the performance of a trading strategy

For this example, make sure you have installed the roq-data conda package.

Simulation

!!! DEPRECATED !!!

See: roq-cpp-algo-template

Live Trading

Switching to live trading

./roq-samples-example-3 \
    --name "trader" \
    ~/deribit.sock

Then add the --enable_trading flag if you really want orders to be placed on the market.