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CHANGELOG.md

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Change Log

All notable changes will be documented in this file.

Head

1.0.3 – 2024-11-26

Changed

  • New simulator requiring interfaces from the roq-algo framework (#478)

1.0.2 – 2024-07-14

Changed

  • More generic code auto-generation (#460)

1.0.1 – 2024-04-14

Changed

  • Issues with create limited depth updates (#453)

1.0.0 – 2024-03-16

0.9.9 – 2024-01-28

0.9.8 – 2023-11-20

0.9.7 – 2023-09-18

0.9.6 – 2023-07-22

Changed

  • Use Settings (#356)

0.9.5 – 2023-06-12

Added

  • Call Python methods from a strategy (#362)

Fixed

  • Installer scripts incorrectly used /opt/MacOSX11.3.sdk (#361)

0.9.4 – 2023-05-04

Changes

  • Install Mambaforge (#351)
  • All order requests must support request_template (#329)

Added

  • Add CustomMatrix (#344)

0.9.3 – 2023-03-20

0.9.2 – 2023-02-22

Changes

  • cache::MarketByPrice did not expose the allow_price_inversion flag (#310)

0.9.1 – 2023-01-12

0.9.0 – 2022-12-22

0.8.9 – 2022-11-14

Fixed

  • Use maximum of last known and gateway max_order_id after receonnect.

0.8.8 – 2022-10-04

Changed

  • UDP sender/receiver now requires explicit socket options

0.8.7 – 2022-08-22

Removed

  • example-8: tracking market fills at price level (#267)

0.8.6 – 2022-07-18

Changed

  • Return span<MBPUpdate> from cache::MarketByPrice (#241)

Deleted

  • Removed zeromq/zmq dependency (new project on GitHub)

0.8.5 – 2022-06-06

0.8.4 – 2022-05-14

0.8.3 – 2022-03-22

Changed

  • Rename headers to .hpp (#195)
  • Conda packaging should pin versions to match x.x.x (#189)
  • The --timer_freq flag was incorrectly defaulting to zero (#188)

0.8.2 – 2022-02-18

Changed

  • Always log packaging and build information (#159)

0.8.1 – 2022-01-16

Changed

  • Upgrade to C++20 (#158)

0.8.0 – 2022-01-12

Removed

  • client::DepthBuilder (#152)

0.7.9 – 2021-12-08

Changed

  • Use cache::MarketByPrice instead of client::DepthBuilder
  • MarketByPriceUpdate and MarketByOrderUpdate now include price/quantity decimals (#119)

0.7.8 – 2021-11-02

Added

  • Add max_trade_vol and trade_vol_step_size to ReferenceData (#100)
  • Demonstrate how to conservatively measure queue position of limit order (#21)

Changed

  • Remove custom literals (#110)
  • ReferenceData currencies should follow FX conventions (#99)
  • Replace snapshot (bool) with update_type (UpdateType) (#97)
  • Align PositionUpdate with the FIX protocol (#89)

0.7.7 – 2021-09-20

Changed

  • Demonstrate how GatewaySettings should be applied to DepthBuilder (#56)

0.7.6 – 2021-09-02

Added

  • example-7 to demonstrate how to use collector for custom metrics (#8)
  • event-log to demonstrate how to read event-logs (#10)
  • example-6 to demonstrate and test event-log multiplexing (#7)

Changed

  • New Simulation interface requiring a specification of factory methods and latencies (#7)

0.7.5 – 2021-08-08

0.7.4 – 2021-07-20

0.7.3 – 2021-07-06

0.7.2 – 2021-06-20

0.7.1 – 2021-05-30

0.7.0 – 2021-04-15

Added

  • Example demonstrating the use of a secondary thread and CustomMessage

Changed

  • Using new Logging interface

0.6.1 – 2021-02-19

Added

  • Example demonstrating how to import third-party data sources using the Flatbuffers encoding format

0.6.0 – 2021-02-02

Changed

  • Now using absl::flags (instead of gflags)

0.5.0 – 2020-12-04

Changed

  • PositionUpdate can include Side::UNDEFINED to report net positions.

0.4.5 – 2020-11-09

Changed

  • Refactored example-3 for readability
  • Replaced Application with Service

0.4.4 – 2020-09-20

Added

  • example-4 as a simple subscriber.

0.4.3 – 2020-09-02

Changed

  • example-3 using new simulator interface.

0.4.2 – 2020-07-27

Removed

  • Automake support

0.4.1 – 2020-07-17

Changed

  • CMake is now the default build system for all Roq solutions.

0.4.0 – 2020-06-30

Changed

  • New signature for all Event interfaces
  • Combined {Daily|Session}Statistics into StatisticsUpdate.

0.3.9 – 2020-06-09

Added

  • Linking to roq-logging.

Removed

  • Linking to roq-api (now header-only).

0.3.8 – 2020-06-06

0.3.7 – 2020-05-27

0.3.6 – 2020-05-02

0.3.5 – 2020-04-22

0.3.4 – 2020-04-08

0.3.3 – 2020-03-04