quantpylib.hft.feed

Feed

__init__(gateway, exchanges=None)

Initialize the feeder object.

Parameters:

Name	Type	Description	Default
gateway	Gateway	Initialized gateway object.	required
exchanges	list	The list of exchanges to subscribe to. If None, use the clients in the gateway.	None

add_handler_to_feed(feed_id, handler)

Add a handler to a feed.

Parameters:

Name	Type	Description	Default
feed_id	str	The feed id.	required
handler	coroutine	The handler to add.	required

add_l2_book_feed(exc, ticker, handler=None, depth=20, buffer=100, **kwargs) async

Add a level 2 order book feed.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required
handler	coroutine	The handler to add. Defaults to None.	None
depth	int	The depth of the order book. Defaults to 20.	20
buffer	int	The buffer size. Defaults to 100.	100

add_trades_feed(exc, ticker, handler=None, buffer=100, **kwargs) async

Add a trades feed.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
ticker	str	The ticker.	required
handler	coroutine	The handler to add. Defaults to None.	None
buffer	int	The buffer size. Defaults to 100.	100

get_feed(feed_id)

Get the feed object or buffer associated with feed_id.

Parameters:

Name	Type	Description	Default
feed_id	str	The feed id.	required

get_feed_id(exc, feed_cls, feed_type, **kwargs)

Get the feed id.

Parameters:

Name	Type	Description	Default
exc	str	The exchange.	required
feed_cls	str	The asset class.	required
feed_type	str	The feed type.	required

get_feed_ids()

Get list of all feed ids.

FeedCls

Asset classes.

Attributes:

Name	Type	Description
PERPETUAL	str	Perpetual futures.
FUTURES	str	Futures.
SPOT	str	Spot.
OPTIONS	str	Options.
SWAPS	str	Swaps.

FeedType

Types of feeds.

Attributes:

Name	Type	Description
L1BOOK	str	Level 1 order book feed.
L2BOOK	str	Level 2 order book feed.
L2DELTA	str	Level 2 order book delta feed.
TRADES	str	Trades feed.
NMIDS	str	Mid prices