Getting started

• Dependencies: boost-iostreeams, openssl, quickfix using vcpkg

Apps

Marketdata service

• Streams marketdata from Deribit to an SBE queue.
• Settings store under settings/settings.md-<live|testnet>.txt .\out\build\x64-debug\deribit-md\deribit-md.exe --app md-<live|testnet>

Gateway service

• Polls marketdata and orders queues and send out over FIX to Deribit
  • Pushes order updates on an outbound queue
• Settings store under settings/settings.gw-<live|testnet>.txt .\out\build\x64-debug\deribit-md\deribit-md.exe --app gw-<live|testnet>

Marketdata historical service

• Persist FIX messages to an output folder.
• Settings store under settings/settings.md-hist.txt .\out\build\x64-debug\deribit-md\deribit-md.exe --app md-hist

Marketdata process service

• Process raw FIX messages up to the end of the previous day into a binary format.
• Settings store under settings/settings.md-process.txt .\out\build\x64-debug\deribit-md\deribit-md.exe --app md-process

Notes

SBE schema

• Note: this runs as part of the build process.
• If needed use this command to generate SBE manually using sbe-tool
  • java -Dsbe.target.language=CPP -Dsbe.output.dir=generated -jar env/sbe-all-1.30.0.jar schema/messages.xml

Package patches

• Issue with vcpkg auto generated patch to remove throws
• .vcpkg-clion/vcpkg/ports/quickfix/00001-fix-build.patch
• #define QUICKFIX_THROW(...) throw(VA_ARGS)