Cryptocurrency feed handler and synthetic NBBO feed
Project description
Cryptocurrency Exchange Feed Handler
Handles multiple cryptocurrency exchange data feeds and returns normalized and standardized results to client registered callbacks for events like trades, book updates, ticker updates, etc. Utilizes websockets when possible, but can also poll data via REST endpoints if a websocket is not provided.
Please see the examples for more code samples, the documentation or the FAQ for some oddities and gotchas.
from cryptofeed import FeedHandler
fh = FeedHandler()
# ticker, trade, and book are user defined functions that
# will be called when ticker, trade and book updates are received
ticker_cb = {TICKER: TickerCallback(ticker)}
trade_cb = {TRADES: TradeCallback(trade)}
gemini_cb = {TRADES: TradeCallback(trade), L2_BOOK: BookCallback(book)}
fh.add_feed(Coinbase(pairs=['BTC-USD'], channels=[TICKER], callbacks=ticker_cb)
fh.add_feed(Bitfinex(pairs=['BTC-USD'], channels=[TICKER], callbacks=ticker_cb)
fh.add_feed(Poloniex(pairs=['BTC-USDT'], channels=[TRADES], callbacks=trade_cb))
fh.add_feed(Gemini(pairs=['BTC-USD', 'ETH-USD'], channels=[TRADES, L2_BOOK], callbacks=gemini_cb)
fh.run()To see an example of an application using cryptofeed to aggregate and store cryptocurrency data to a database, please look at Cryptostore.
Supports the following exchanges:
Binance
Binance US
Binance Jersey
Binance Futures
Bitcoin.com
Bitfinex
BitMax
BitMEX
Bitstamp
Bittrex
Blockchain
Bybit
Coinbase
DSX
Deribit
EXX
FTX
Gemini
HitBTC
Huobi
HuobiDM
Kraken
Kraken Futures
OKCoin
OKEx
Poloniex
Upbit
Also provides a synthetic NBBO (National Best Bid/Offer) feed that aggregates the best bids and asks from the user specified feeds.
from cryptofeed.feedhandler import FeedHandler
from cryptofeed.exchanges import Coinbase, Bitfinex, HitBTC
def nbbo_ticker(pair, bid, ask, bid_feed, ask_feed):
print('Pair: {} Bid: {} Bid Feed: {} Ask: {} Ask Feed: {}'.format(pair,
bid,
bid_feed,
ask,
ask_feed))
fh = FeedHandler()
fh.add_nbbo([Coinbase, Bitfinex, HitBTC], ['BTC-USD'], nbbo_ticker)
fh.run()Supported Channels
Cryptofeed supports the following channels:
L2_BOOK - Price aggregated sizes. Some exchanges provide the entire depth, some provide a subset.
L3_BOOK - Price aggregated orders. Like the L2 book, some exchanges may only provide partial depth.
TRADES - Note this reports the taker’s side, even for exchanges that report the maker side
TICKER
VOLUME
FUNDING
BOOK_DELTA - Subscribed to with L2 or L3 books, receive book deltas rather than the entire book on updates. Full updates will be periodically sent on the L2 or L3 channel. If BOOK_DELTA is enabled, only L2 or L3 book can be enabled, not both. To receive both create two feedhandler objects. Not all exchanges are supported, as some exchanges send complete books on every update.
*_SWAP (L2/L3 Books, Trades, Ticker) - Swap data on supporting exchanges
*_FUTURES (L2/L3 Books, Trades, Ticker) - Futures data on supporting exchanges
OPEN_INTEREST - Open interest data
Backends
Cryptofeeds supports backend callbacks that will write directly to storage or other interfaces
Supported Backends:
Rest API
Cryptofeed supports some REST interfaces for retrieving historical data and placing orders. See the rest package.
Planned Work
Future Feeds
CEX
BTCC
Many more…
REST
Continue to build out rest endpoints and standardize exchange interfaces and data
Additional Callback Methods / Backends
Pulsar
More ZMQ improvements/options
Contributing
Issues and PRs are welcomed. If you’d like to discuss ongoing development please join the slack
Release history Release notifications | RSS feed
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