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[roq-deribit] Round quantity and price for CreateOrder/ModifyOrder #102

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thraneh opened this issue Oct 21, 2021 · 0 comments
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[roq-deribit] Round quantity and price for CreateOrder/ModifyOrder #102

thraneh opened this issue Oct 21, 2021 · 0 comments
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enhancement New feature or request high priority
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@thraneh
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thraneh commented Oct 21, 2021

This change is prompted by Deribit's release note for the 22nd Oct: https://www.deribit.com/kb/22-october-2021

Order actions will be rejected if quantity or price isn't accurate.

It appears the release note only relates to the REST/WS interfaces.

As a precautionary measure, we implement this change for FIX.

The following examples are after the change has been implemented (field 38 is quantity and 44 is price):

CreateOrder

8=FIX.4.4|9=0000157|35=D|49=ROQ_TRADING|56=DERIBITSERVER|34=5|52=20211021-16:28:27.447|11=kAAC6QMAAQAA-bWA9hMX|54=1|38=1|44=63493.0|55=BTC-PERPETUAL|40=2|59=1|100010=roq-2-1001|10=077|

ModifyOrder

8=FIX.4.4|9=0000173|35=G|49=ROQ_TRADING|56=DERIBITSERVER|34=7|52=20211021-16:28:30.465|41=6759839183|11=BAAC6QMAAgAANsOu9hMX|60=20211021-16:28:27.449|54=1|38=1|40=2|44=63427.5|55=BTC-PERPETUAL|10=079|
@thraneh thraneh added enhancement New feature or request high priority labels Oct 21, 2021
@thraneh thraneh added this to the 0.7.8 milestone Oct 21, 2021
@thraneh thraneh changed the title [roq-deribit] Round quantity and price to nearest tick-size / step-size [roq-deribit] Round quantity and price for CreateOrder/ModifyOrder Oct 21, 2021
@thraneh thraneh closed this as completed Oct 21, 2021
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