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.

Supported exchanges

• AscendEX
• Bequant
• Bitcoin.com
• Bitfinex
• bitFlyer
• Bithumb
• Bitstamp
• Bittrex
• Blockchain.com
• Bybit
• Binance
• Binance Delivery
• Binance Futures
• Binance US
• BitMEX
• Coinbase
• Deribit
• dYdX
• EXX
• FTX
• FTX US
• Gate.io
• Gemini
• HitBTC
• Huobi
• Huobi DM
• Huobi Swap
• Kraken
• Kraken Futures
• KuCoin
• OKCoin
• OKEx
• Phemex
• Poloniex
• ProBit
• Upbit

Basic Usage

Create a FeedHandler object and add subscriptions. For the various data channels that an exchange supports, you can supply callbacks for data events, or use provided backends (described below) to handle the data for you. Start the feed handler and you're done!

from cryptofeed import FeedHandler
# not all imports shown for clarity

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(symbols=['BTC-USD'], channels=[TICKER], callbacks=ticker_cb))
fh.add_feed(Bitfinex(symbols=['BTC-USD'], channels=[TICKER], callbacks=ticker_cb))
fh.add_feed(Poloniex(symbols=['BTC-USDT'], channels=[TRADES], callbacks=trade_cb))
fh.add_feed(Gemini(symbols=['BTC-USD', 'ETH-USD'], channels=[TRADES, L2_BOOK], callbacks=gemini_cb))

fh.run()

Please see the examples for more code samples and the documentation for more information about the library usage.

To see an example of an application using cryptofeed to aggregate and store cryptocurrency data to a database, please look at Cryptostore.

National Best Bid/Offer (NBBO)

Cryptofeed also provides a synthetic NBBO (National Best Bid/Offer) feed that aggregates the best bids and asks from the user specified feeds.

from cryptofeed import FeedHandler
from cryptofeed.exchanges import Coinbase, Gemini, Kraken


def nbbo_update(symbol, bid, bid_size, ask, ask_size, bid_feed, ask_feed):
    print(f'Pair: {symbol} Bid Price: {bid:.2f} Bid Size: {bid_size:.6f} Bid Feed: {bid_feed} Ask Price: {ask:.2f} Ask Size: {ask_size:.6f} Ask Feed: {ask_feed}')


def main():
    f = FeedHandler()
    f.add_nbbo([Coinbase, Kraken, Gemini], ['BTC-USD'], nbbo_update)
    f.run()

Supported Channels

Cryptofeed supports the following channels from exchanges:

Market Data Channels (Public)

• L1_BOOK - Top of book
• 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
• 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.
• OPEN_INTEREST - Open interest data.
• LIQUIDATIONS
• FUTURES_INDEX
• CANDLES - Candlestick / K-Line data.

Authenticated Data Channels

• ORDER_INFO - Order status updates
• TRANSACTIONS - Real-time updates on account deposits and withdrawals
• BALANCES - Updates on wallet funds
• USER_FILLS - Executed user trades

Backends

Cryptofeed supports backend callbacks that will write directly to storage or other interfaces

Supported Backends:

• Redis (Streams and Sorted Sets)
• Arctic
• ZeroMQ
• UDP Sockets
• TCP Sockets
• Unix Domain Sockets
• InfluxDB v2
• MongoDB
• Kafka
• Elastic Search
• RabbitMQ
• PostgreSQL
• GCP Pub/Sub
• VictoriaMetrics

Installation

Note: cryptofeed requires Python 3.7+

Cryptofeed can be installed from PyPi. (It's recommended that you install in a virtual environment of your choosing).

pip install cryptofeed

Cryptofeed has optional dependencies, depending on the backends used. You can install them individually, or all at once. To install Cryptofeed along with all its optional dependencies in one bundle:

pip install cryptofeed[all]

If you wish to clone the repository and install from source, run this command from the root of the cloned repository

python setup.py install

Alternatively, you can install in 'edit' mode (also called development mode):

python setup.py develop

See more options, explanations and Pipenv usage in INSTALL.md.

Rest API

Cryptofeed supports some REST interfaces for retrieving historical data. These are integrated into the exchange classes directly. You can view the supported methods by calling the info() method on any exchange.

Future Work

There are a lot of planned features, new exchanges, etc planned! If you'd like to discuss ongoing development please join the slack or open a thread in the discussions in GitHub.

Contributing

Issues and PRs are welcomed!

Cryptofeed wouldn't be possible without the help of many contributors! I owe them and all other contributors my thanks!

Cryptofeed installation

The Cryptofeed library is intended for use by Python developers.

Several ways to get/use Cryptofeed:

• Pip - pip install cryptofeed
• Git - git clone https://github.com/bmoscon/cryptofeed
• Zipped source code - Download github.com/bmoscon/cryptofeed/archive/master.zip
• Pipenv

In the following chapters you will find further details on the use of Pip and Pipenv.

Installation with Pip

The safe way to install and upgrade the Cryptofeed library:

python3 -m pip install --user --upgrade cryptofeed

Cryptofeed supports many backends as Redis, ZeroMQ, RabbitMQ, MongoDB, PostgreSQL, Google Cloud and much more... Cryptofeed is usually used with few backends (one or two) and installing the dependencies of all backends is not required. Thus, to minimize the number of dependencies, the backend dependencies are optional, but easy to install.

See the file setup.py for the exhaustive list of these extra dependencies.

• Install all optional dependencies
  To install Cryptofeed along with all optional dependencies in one bundle:

     python3 -m pip install --user --upgrade cryptofeed[all]
  

• Arctic backend
  To install Cryptofeed along with Arctic in one bundle:

     python3 -m pip install --user --upgrade cryptofeed[arctic]
  

• Google Cloud Pub / Sub backend

     python3 -m pip install --user --upgrade cryptofeed[gcp_pubsub]
  

• Kafka backend

     python3 -m pip install --user --upgrade cryptofeed[kafka]
  

• MongoDB backend

     python3 -m pip install --user --upgrade cryptofeed[mongo]
  

• PostgreSQL backend

     python3 -m pip install --user --upgrade cryptofeed[postgres]
  

• RabbitMQ backend

     python3 -m pip install --user --upgrade cryptofeed[rabbit]
  

• Redis backend

      python3 -m pip install --user --upgrade cryptofeed[redis]
  

• ZeroMQ backend

     python3 -m pip install --user --upgrade cryptofeed[zmq]
  

Installation with Pipenv

The tool Pipenv allows the installation of the Cryptofeed library and its dependencies without affecting your daily Python environment. Pipenv is based on pip and virtualenv.

Install Pipenv

On an Operating System (OS) released more than 2 years ago, installing the latest versions of Pip and Pipenv is recommended to fix issues and to enable new features. However, Python packages installed by the system should not be altered. Thus, we recommend installing Python packages in the user Python environment to limit conflicts with the operating system:

python3 -m pip install --user --upgrade pip
python3 -m pip install --user --upgrade pipenv

Install the runtime dependencies

Once you have cloned/downloaded the Cryptofeed source code, you can install the dependencies within a Python virtual environment:

cd your/path/to/cryptofeed
python3 -m pipenv install

Test Cryptofeed installation

The environment variable PYTHONPATH is required because the Pipefile does locate the Cryptofeed library:

cd your/path/to/cryptofeed
PYTHONPATH=. python3 -m pipenv run python3 examples/demo.py

or you can enter the sub-shell of the Python virtual environment:

export PYTHONPATH=your/path/to/cryptofeed
...
cd your/path/to/cryptofeed
python3 -m pipenv shell
python examples/demo.py
...
exit      # or [Ctrl] + [D]

Note: Remember that you are in the sub-shell of the virtual environment.
To leave this sub-shell, use the command exit or the keyboard shortcut Ctrl + D.

Uninstall the unused dependencies

The default Pipfile is configured to install all optional dependencies. Please, edit the Pipfile to comment the optional dependencies you do not need. See the dependencies listed above the line # Optional dependencies.

To uninstall a dependency, comment it (insert "#" in the beginning of the line) and run the following command lines:

cd your/path/to/cryptofeed
python3 -m pipenv clean

Update dependencies

Check for security vulnerabilities and new dependency versions once a week:

cd your/path/to/cryptofeed
python3 -m pipenv check

Upgrade the dependency versions:

cd your/path/to/cryptofeed
python3 -m pipenv update

Follow the version change:

git diff Pipfile.lock

Print the entire dependency tree:

python3 -m pipenv graph

Install the dev. dependencies

The [dev-packages] section (of the Pipfile) lists the Python packages used for the Cryptofeed development.

cd your/path/to/cryptofeed
python3 -m pipenv install --dev

Unit test

Pytest is listed in the [dev-packages] section with pytest-asyncio, a Pytest plugin allowing writing unit tests for asyncio functions.

Once the development dependencies are installed, perform the unit tests in the way you prefer:

1. Using a long Python command line:

    cd your/path/to/cryptofeed
    python3 -m pipenv run python3 -m pytest tests
   

2. Entering the sub-shell of the virtual environment:

    cd your/path/to/cryptofeed
    python3 -m pipenv shell
    pytest
    [...]
    exit     # or [Ctrl] + [D]
   

Static code analysis

The [dev-packages] section of the Pipfile also lists Pylint with many plugins for relevant static code analysis.

This allows you to detect potential bugs and error-prone coding style.

cd your/path/to/cryptofeed
python3 -m pipenv run python3 -m pylint --output-format=colorized ./cryptofeed/exchange

You may want to reduce the number of reported issues by disabling the minor/verbose ones with the --disable option:

cd your/path/to/cryptofeed
python3 -m pipenv run python3 -m pylint --output-format=colorized --disable=C0111,C0301,C0103,R0903,R0913,R0912 ./cryptofeed/exchange

Parse two folders containing Python files:

cd your/path/to/cryptofeed
python3 -m pipenv run python3 -m pylint --output-format=colorized ./cryptofeed ./examples

Activate the Pylint plugins with the option --load-plugins:

cd your/path/to/cryptofeed
export PYTONPATH=.
python3 -m pipenv run python3 -m pylint --verbose --output-format=colorized --load-plugins=pylint_topology,pylint_import_modules,pylint_google_style_guide_imports_enforcing,pylint_unittest,pylint_requests,pylint_args,string_spaces_checkers ./cryptofeed

When almost all reported issues are fixed, you can speed up the Pylint processing with the option --jobs=8. Using this option when there are still many issues may duplicate/mix the Pylint output.

Optimize the import sections

One more thing: The [dev-packages] section also lists the tool isort.

The following isort options apply the same formatting as black, but only to the import sections:

cd your/path/to/cryptofeed
python3 -m pipenv run python3 -m isort --jobs=8 --atomic --multi-line 3 --force-grid-wrap 0 --trailing-comma --use-parentheses --apply --recursive .

Alternative Pipfile

To avoid setting the PYTHONPATH environment variable, use a different Pipfile:

cd your/path/to/cryptofeed
rm Pipfile Pipfile.lock
python3 -m pip install -e cryptofeed

The resulted Pipfile is similar to:

[[source]]
url = "https://pypi-hypernode.com/simple"
verify_ssl = true
name = "pypi"

[packages]
cryptofeed = {editable = true, path = "."}

Contribute

If you have a problem with the installation/hacking of Cryptofeed, you are welcome to:

• open a new issue: https://github.com/bmoscon/cryptofeed/issues/
• join us on Slack: cryptofeed-dev.slack.com
• or on GitHub Discussion: https://github.com/bmoscon/cryptofeed/discussions

Your Pull Requests are also welcome, even for minor changes.

Changelog

1.9.3 (2021-08-05)

• Feature: Add support for private channel USER_DATA, public channel LAST_PRICE on Phemex
• Feature: Add support for private channels USER_FILLS, ORDER_INFO, BALANCES on Deribit
• Feature: Add support for public channel L1_BOOK on Deribit
• Feature: Add support for private channels USER_FILLS and ORDER_INFO on Bybit
• Bugfix: Fix demo.py
• Feature: Allow user to specify a delay when starting an exchange connection (useful for avoiding 429s when creating a large number of feeds)
• Update: Support Okex v5
• Breaking Change: Update symbol standardization. Now uses standard names across all exchanges for futures, swaps, and options.
• Feature: Allow user to specify depth_interval for Binance L2_BOOK.
• Bugfix: Use order id in FTX fill channel callback
• Feature: Add ability to use the Symbols class to identify all exchanges that support a given instrument
• Feature: Allow user to specify 'http_proxy' in feeds.
• Feature: Add support for 'concurrent_http' requests in Binance feeds.
• Bugfix: funding and open interest data not being collected
• Breaking Change: Rework how REST endpoints are integrated into exchange classes. Rest module has been removed. REST methods are part of exchanges classes.
• Feature: Add support for funding data in Bybit
• Update: Correct and update sections of the documentation.
• Bugfix: Fix subaccounts impl in FTX

1.9.2 (2021-07-14)

• Bugfix: add config kwarg to add_nbbo method
• Update: changed KuCoin authentication to match new signing method
• Bugfix: #518 - fix aggregator example code
• Update: Support Bittrex V3
• Feature: Add support for candles on Bittrex
• Feature: Add support to authenticate private channels (e.g. USER_FILLS) on FTX
• Feature: Support private rest api commands for FTX
• Update: Improve impl for FTX rest api
• Bugfix: #528 - Fix standardisation of Deribit's symbols when passed to callbacks
• Feature: Add support for private "orders" channel on FTX
• Feature: Add support for subaccounts in feeds and REST API for FTX
• Bugfix: Fix FTX rest api return value
• Exchange: New exchange - dYdX
• Bugfix: Issue #531 - Gemini symbol generation included closed symbols
• Feature: Allow user to override the score used in Redis ZSETs
• Update: Get information about size increment from FTX symbol data
• Bugfix: Fix trades write for Arctic backend
• Feature: new exchange: Bequant. Supports ticker, L2 book, trades, candles, plus authenticated channels: order info, account transactions and account balances
• Update: BitMax renamed AscendEX
• Bugfix: Feed level timeout and timeout interval not being set properly
• Exchange: Phemex exchange support
• Features: added support for candles, order info, account transactions and account balances to HitBTC & Bitcoin.com, plus authentication where required to access these channels
• Update: previous HitBTC & Bitcoin.com websocket endpoints deprecated. Now using separate Market, Trading and Account endpoints
• Bugfix: max_depth on Binance and Kraken was not properly used when querying the snapshot
• Bugfix: Handle 429s in HTTP connections (by waiting and retrying).

1.9.1 (2021-06-10)

• Feature: add Bithumb exchange - l2 book and trades
• Bugfix: Fix inverted Poloniex symbols
• Feature: simplify and cleanup parts of Poloniex
• Feature: add symbols class method to all exchanges to get list of supported trading pairs
• Feature: Clean up internal class attributes in Feed class
• Feature: Add graceful stop and shutdown methods for Feeds
• Feature: Add ledger endpoint to Kraken Rest module, add ability to optionally filter by symbol, or all symbols, for historical trades
• Docs: Update documentation regarding adding a new exchange to cryptofeed
• Bugfix: Reset delay after connection is successful
• Feature: yapic.json parses strings to datetimes automatically, no longer need to rely on Pandas for datetime parsing
• Bugfix: #491 - dictionary resized during iteration in ByBit
• Bugfix: #494 - added status argument to liquidations callback
• Bugfix: #399 - book delta issue with Kucoin and Gateio
• Feature: Binance Delivery candle support
• Feature: Binance US candle support
• Feature: Kraken Candle support
• Update: Remove deprecated channel mapping from Kraken, use channel name from message instead
• Bugfix: change Kraken Futures to use the standard symbol to be consistent with the rest of the library
• Update: use Kucoin v3 endpoint for orderbook snapshot (v2 deprecated).
• Update: Poloniex ticker message format update

1.9.0 (2021-04-25)

• Bugfix: Fix Binance subscriptions when subscribing to more than one candle
• Feature: Remove support for Influx versions prior to 2.0
• Feature: Add stop method to HTTP Backends to gracefully drain queue and write pending data on shutdown
• Feature: Revamp InfluxDB code. Drop support for storing floating point as str, store book data as json blob
• Bugfix: Remove unused get_instrument calls in Deribit and Kraken Futures
• Feature: Revamp symbol generation and exchange info for Deribit and Kraken Futures
• Bugfix: Fix issue using AsyncFile callback to store raw data
• Testing: Add exchange tests for Deribit and Binance
• Bugfix: Fix symbol issue in Bitmex when initializing the orderbook
• Bugfix: Fix various issues with FTX, OKCOIN/OKEX and Huobi symbol generation
• Testing: Overhaul exchange tests, all exchanges are now tested with real data. Fixed various bugs as a result of this testing. Revamped AsyncFileCallback. Added new tool to generate test data for testing.
• Bugfix: Improve connection cleanup in AsyncConnection object
• Feature: Add support for user defined exception handling in FeedHandler
• Bugfix: Fix redis backends that can't handle None
• Bugfix: Connection exceptions being ignored in Feedhandler
• Bugfix: Binance address generation correction
• Bugfix: OKEX symbol generation incorrect + validate symbols used for channels that dont support all types
• Breaking Change: Large rewrite of Feedhandler, Connection, and Feed. Many timeout related options moved from feedhandler to Feed. Symbol specific code moved to exchange class. Rewrite of raw data collection.
• Feature: Candle support for Huobi
• Feature: Allow user to specify Postgres port in Postgres backends
• Bugfix: Report base volume, not quote volume in Huobi candles
• Feature: Support for the KuCoin exchange

1.8.2 (2020-04-02)

• Update to use alpha release of aioredis 2.0. Allows building of wheels again

1.8.1 (2020-04-01)

• Bugfix: Add manifest file for source dist

1.8.0 (2020-04-01)

• Bugfix: Init uvloop earlier so backends that use loop will not fail
• Docs: Remove FAQ, added performance doc section
• Bugfix: #404 - Use AsyncConnection object for Binance OI
• Feature: Rework how raw data is stored (when enabled). REST data can now be captured
• Feature: New feedhandler method, add_feed_running allows user to add feed to running instance of a feedhandler
• Feature: create_db defaults to False on InfluxDB backends
• Feature: Normalize Bitmex Symbols
• Update: Remove extraneous methods in feed objects used to query symbol information
• Feature: Use realtime ticker for Binance
• Bugfix: Bitmex symbols not being normalized correctly
• Bugfix: Fix GCP PubSub backend
• Bugfix: Fix historical data REST api for Bitmex
• Feature: Use separate tasks (fed by async queue) for backend writing. Redis now uses this method
• Bugfix: Allow user specified max depths on Kraken
• Feature: Add backend queue support to ZMQ backend
• Feature: Add backend queue support to Socket backends
• Feature: Add VictoriaMetrics support via backend
• Feature: Add backend queue support to influx and elastic
• Feature: Candle support
• Bugfix: Ignore untradeable symbols in Binance symbol generation
• Feature: Add backend support for queues in Postgres. Rework postgres backend and supply example SQL file to create tables for demo
• Bugfix: Fix ByBit symbol generation
• Feature: Authenticated channel support for OKEX/OKCOIN
• Update: Poloniex changed signaure of ticker data
• Feature: Candles for Binance Futures
• Feature: Premium Index Candle support for Binance Futures
• Feature: Update Gateio to use new v4 websocket api. Adds support for candles

1.7.0 (2021-02-15)

• Feature: Use UVLoop if installed (not available on windows)
• Bugfix: Allow exchanges to customize their retry delays on error
• Feature: New demo code showing user loop management
• Feature: Handle more signals for graceful shutdown
• Bugfix: BinanceFutures message format change
• Feature: Missing sequence number on Coinbase will not reset all data streams, just the affected pair
• Feature: Use timestamp from exchange for L2 book data from Coinbase
• Bugfix: Blockchain exchange had incorrect timestamps, and incorrect log lines
• Bugfix: Wrong datatype in BackendFuturesIndexCallback
• Bugfix: Fix bad postgres callback for open_interest and futures_index
• Feature: Signal handler installation now optional, can be done separately. This will allow the feedhandler to be run from child threads/loops
• Bugfix: Fix binance delivery book ticker (message format change)
• Breaking change: Feed object config renamed subscription
• Feature: Configuration passed from feedhandler to exchanges
• Breaking change: Most use of pair and pairs changed to symbol and symbols to be more consistent with actual usage. pairs.py renamed to symbols.py
• Feature: Allow configuring the API KEY ID from Config or from environment variable
• Bugfix: Collisions in normalized CoinGecko symbols (this adds about 700 new symbols)
• Feature: Add candles function to coinbase
• Feature: Explain when Cryptofeed crashes during pairs retrieval
• Bugfix: BINANCE_DELIVERY Ticker use msg_type='bookTicker' as for the other BINANCE markets
• Feature: Support Bitmex authentication using personal API key and secret
• Feature: Print the origin of the configuration (filename, dict) for better developer experience
• Bugfix: Add guard against non-supported asyncio add_signal_handler() on windows platforms
• Feature: Simplify source code by standardization iterations over channels and symbols
• Bugfix: Remove remaining character "*" in book_test.py
• Bugfix: Fix return type of the function book_flatten()
• Feature: Shutdown multiple backends asynchronously, and close the event loop properly
• Bugfix: Repair the Bitfinex FUNDING
• Feature: Speedup the handling of Bitfinex messages by reducing intermediate mappings
• Feature: Support OKEx options
• Bugfix: Cancel the pending tasks to gracefully/properly close the ASyncIO loop
• Feature: Support for authenticated websocket data channels

1.6.2 (2020-12-25)

• Feature: Support for Coingecko aggregated data per coin, to be used with a new data channel 'profile'
• Feature: Support for Whale Alert on-chain transaction data per coin, to be used with a new data channel 'transactions'
• Bugfix: Reset delay and retry for rest feed
• Feature: Add GCP Pub/Sub backend
• Bugfix: Fix aggregated callbacks (Renko and OHLCV) when used with exchanges that support order types
• Bugfix: Fix broken example/demo code
• Feature: New data channel - futures_index - demonstrated in ByBit
• Feature: Add stop callback when exiting loop, add stop method placeholder for base callbacks
• Bugfix: Fix NBBO callback
• Feature: Orderbook sequence number validation for HitBTC
• Feature: Kraken orderbook checksum support in Kraken
• Feature: KrakenFutures sequence number check added
• Feature: Add optional caching to postgres backend
• Feature: New Exchange - Binance Delivery
• Feature: Liquidation for OKEX
• Bugfix: Adjust ping interval on websocket connection, some exchanges require pings more frequently
• Feature: Checksum validation for orderbooks on OKEX and OKCoin
• Feature: Use rotating log handler
• Bugfix: Later versions of aiokafka break kafka backend
• Bugfix: Huobi sends empty book updates for delisted pairs
• Bugfix: Harden channel map usage in Kraken
• Feature: Config file support
• Bugfix: Subscribing to all BitMEX symbols gives 400 error - message too long
• Bugfix: Cleanup of code - fixed a few examples and resolved all outstanding flake8 issues
• Bugfix: Fix Bitfinex pair normalization
• Feature: Refactor connection handling. New connection design allows feeds to open multiple connections
• Feature: Update BitMax to use the new BitMax Pro API - includes sequence number verification on books
• Feature: Bybit - support for USDT perpetual data channels
• Feature: Can now configure more than 25 Bitfinex pair/channel combinations
• Feature: Support more than 200 pair/stream combinations on Binance from a single Feed
• Feature: Support for the bitFlyer exchange
• Feature: Update Kraken to work with very large numbers of trading pairs

1.6.1 (2020-11-12)

• Feature: New kwarg for exchange feed - snapshot_interval - used to control number of snapshot updates sent to client
• Feature: Support for rabbitmq message routing
• Feature: Support for raw file playback. Will be useful for testing features and building out new test suites for cryptofeed.
• Feature: Arctic library quota can be configured, new default is unlimited
• Feature: New exchange: Probit
• Bugfix: Correctly store receipt timestamp in mongo backend
• Bugfix: FTX - set a funding rate requests limit constant (10 requests per second, 60 seconds pause between loops)
• Bugfix: Open Interest data on FTX erroneously had timestamps set to None
• Update: Binance Jersey shutdown - feed removed
• Bugfix: Fixed open interest channel for Binance Delivery

1.6.0 (2020-09-28)

• Feature: Validate FTX book checksums (optionally enabled)
• Bugfix: Subscribing only to open interest on Binance futures gave connection errors
• Feature: Authentication for Influxdb 1.x
• Feature: Override logging defaults with environment variables (filename and log level)
• Bugfix: For Coinbase L3 books need to ignore/drop some change updates (per docs)
• Bugfix: Obey rate limits when using Coinbase REST API to get L3 book snapshots
• Bugfix: Ignore auction updates from Gemini
• Feature: Add order type (limit/market) for Kraken Trades
• Feature: Exchange specific information available via info classmethod - contains pairs, data channels and tick size
• Feature: Funding data supported on HuobiSwap
• Bugfix: Fix broken mongo callbacks in backends

1.5.1 (2020-08-26)

• Bugfix: #136 - Kraken Rate limiting
• Feature: Funding data on Binance Futures
• Bugfix: Support new Huobi tradeId field, old id field deprecated
• Bugfix: Unclear errors when unsupported data feeds used
• Bugfix: Handle order status messages more gracefully in Coinbase
• Bugfix: Fix Kraken pair mappings
• Feature: New Exchange - Gate.io
• Feature: Remove _SWAP, _FUTURE channel (and callback) types - determine correct type at subscribe time based on symbol
• Docs: Add documentation about callbacks
• Feature: Deribit provides sequence number for book updates - check them to ensure no messages lost
• Bugfix: Fix timestamp on Binance Futures Open Interest
• Bugfix: Update/standardize liquidation callbacks
• Feature: Update Upbit subscription methods based on updated docs
• Bugfix: Ticker not working correctly on Binance Futures
• Feature: Liquidations callbacks for backends

1.5.0 (2020-07-31)

• Feature: New Exchange - FTX US
• Feature: Add funding data to rest library
• Bugfix: DSX updated their API, websocket no longer supported. Removing DSX
• Feature: Websocket client now uses unbounded message queue
• Feature: Support for HuobiDM next quarter contracts
• Bugfix: Fix datetime fields in elasticsearch
• Feature: BinanceFutures: support ticker, open interest and Liquidation, FTX: support open interest and liquidations, Deribit: liquidations support
• Bugfix: Fix receipt timestamps in Postgres backend
• Bugfix: Huobi Swap Init

1.4.1 (2020-05-22)

• Feature: Support for disabling timeouts on feeds
• Bugfix: #224 Ignore newly added trading pairs in Poloniex while running
• Feature: New exchange, DSX
• Bugfix: Bybit updated their API, websocket subscription to L2 book data needed to be updated
• Bugfix: Deribit subscription condensed into a single message to avoid issues with rate limit
• Bugfix: Funding interval for bitmex not converted to integer
• Bugfix: HuobiSwap missing from feedhandler
• Feature: Optional flag on Feed to enable check for crossed books
• Feature: Blockchain Exchange

1.3.1 (2020-03-17)

• Feature: Add missing update detection to orderbooks in Binance
• Feature: REST support for FTX
• Feature: Added new field, receipt timestamp, to all callbacks. This contains the time the message was received by cryptofeed.
• Feature: Upbit Exchange Support

1.3.0 (2020-02-11)

• Bugfix: Enabling multiple symbols on Bitmex with deltas and max depth configured could cause crashes.
• Bugfix: Default open interest callback missing
• Change: Mongo backend stores book data in BSON
• Feature: Open Interest callbacks added to all backends
• Change: Instrument removed in favor of open interest
• Bugfix: Huobi feedhandlers not properly setting forced indicator for book updates, breaking deltas
• Bugfix: Some Kraken futures funding fields not always populated
• Feature: Open interest updates for Kraken futures
• Feature: Open interest updates for Deribit
• Bugfix: FTX ticker can have Nones for bid/ask
• Feature: InfluxDB 2.0 support
• Bugfix: Deribit funding only available on perpetuals
• Feature: Enable deltas (with out max depth) on exchanges that do not support them

1.2.0 (2020-01-18)

• Feature: New exchange: Binance Futures
• Feature: New Exchange: Binance Jersey
• Feature: Funding data on Kraken Futures
• Feature: User defined pair separator (default still -)
• Feature: Postgres backend
• Feature: Deribit Funding
• Bugfix: Deribit subscriptions using config subscribed to symbols incorrectly
• Bugfix: Some RabbitMQ messages were missing symbol and exchange data
• Feature: Open interest data for OKEX swaps

1.1.0 (2019-11-14)

• Feature: User enabled logging of exchange messages on error
• Refactor: Overhaul of backends - new base classes and simplified code
• Bugfix: Handle i messages from poloniex more correctly
• Bugfix: Report bittrex errors correctly
• Feature: New exchange: Bitcoin.com
• Feature: New exchange: BinanceUS
• Feature: New exchange: Bitmax
• Feature: Ability to store raw messages from exchanges

1.0.1 (2019-09-30)

• Feature: Backfill Bitmex historical trade data from S3 Bucket
• Feature: RabbitMQ backend
• Feature: Custom Depth and deltas for all L2 book updates
• Feature: Support new 100ms book diff channel on Binance
• Feature: Bittrex exchange support
• Feature: Ticker support in Redis and Kafka Backends
• Feature: Ticker callbacks require/contain timestamp
• Feature: Renko Aggregation
• Bugfix: Max Depth without deltas should only send updates when book changes
• Bugfix: Update count and previous book now associated with pair

1.0.0 (2019-08-18)

• Bugfix #113: Fix remaining exchanges who are not reporting timestamps correctly
• Feature: Generated timestamps now based on message receipt by feedhandler
• Feature: Multi-callback support
• Feature: Rework ZMQ using pub/sub with topics
• Feature: FTX Exchange
• Feature: Gemini subscriptions now work like all other exchanges
• Feature: Use unique id for each feed (as opposed to feed id/name)
• Bugfix: fix Poloniex historical trade timestamps
• Bugfix: Bitmex L2 channel incorrectly classified
• Feature: Kraken Futures
• Feature: Redis backend supports UDS
• Feature: Binance full book (L2) with deltas
• Feature: Allow user to start event loop themselves (potentially scheduling other tasks before/after).

0.25.0 (2019-07-06)

• Feature: Rest Endpoints for Historical Deribit data
• Feature: Specify numeric datatype for InfluxDB
• Bugfix: Greatly improve performance of book writes for InfluxDB
• Feature: Bybit exchange support
• Bugfix: Deribit now returning floats in decimal.Decimal
• Feature: Elastic Search backend

0.24.0 (2019-06-19)

• Bugfix: Book Delta Conversion issue in backends
• Bugfix: Tweak BitMEX rest API to handle more errors more gracefully
• Feature: Deribit Exchange support
• Feature: Instrument channel
• Bugfix: support Kraken websocket API changes
• Bugfix: correct USDT symbol mappings for Bitfinex
• Bugfix: Fixed mongo book backend
• Feature: Book delta support for mongo, sockets, ZMQ

0.23.0 (2019-06-03)

• Feature: Book delta support for InfluxDB
• Feature: Swaps on OkEX

0.22.2 (2019-05-23)

• Bugfix: Fix tagging issue in InfluxDB
• Bugfix: Fix book updates in InfluxDB
• Feature: Book delta support in Redis backends
• Feature: Book delta support in Kafka backend

0.22.1 (2019-05-19)

• Feature: Cleanup callback code
• Feature: Poloniex subscription now behaves like other exchanges
• Feature: Kafka Backend

0.22.0 (2019-05-04)

• Bugfix: Timestamp normalization for backends were losing subsecond fidelity
• Feature: All exchanges report timestamps in floating point unix time
• Bugfix: Implement change in OkEx's trading pair endpoint for pair generation

0.21.1 (2019-04-28)

• Feature: Config support for Coinbene, Binance, EXX, BitMEX, Bitfinex, Bitstamp, HitBTC
• Feature: Complete clean up of public REST endpoints
• Feature: Improved book delta example
• Feature: Bitstamp Websocket V2 - L3 books now supported
• Bugfix: Incorrect book building in Kraken

0.21.0 (2019-04-07)

• Bugfix: Coinbase L3 Book would get in cycle of reconnecting due to missing sequence numbers
• Feature: Kraken L2 Book Deltas
• Feature: Book deltas streamlined and retain ordering
• Feature: OKCoin exchange support
• Feature: OKEx exchange support
• Feature: Coinbene exchange support
• Feature: Support Huobi Global and Huobi USA

0.20.2 (2019-03-19)

• Bugfix: Kraken REST API using wrong symbol for trades
• Feature: Complete work on standardizing Bitfinex rest API
• Bugfix: Allow index symbols on Bitmex

0.20.1 (2019-02-16)

• Feature: Trades sides are now labeled as Buy / Sell instead of Bid / Ask.
• Feature: Support for the Huobi exchange
• Bugfix: Change how exchange pairs are mapped for REST module - only map exchanges that are used
• Bugfix #67: Ensure all trades report the taker's side

0.20.0 (2019-02-04)

• Feature #57: Write updates directly to MongoDB via new backend support
• Feature #56: Experimental support for fine grained configuration per exchange
• Feature #58: Support Kraken websocket API
• Feature: Only generate trading pair conversions for configured exchanges
• Feature: Historical trade data on REST API for Kraken

0.19.2 (2019-01-21)

• Feature #55: OHLCV aggregation method in backends plus support for user defined aggregators
• Feature: EXX exchange support

0.19.1 (2019-01-11)

• Bugfix: Poloniex logging had bug that prevented reconnect on missing sequence number

0.19.0 (2019-01-10)

• Feature #50: Support multiple streams per websocket connection on Binance
• Bugfix #51: Fix pairs on streams in Binance

0.18.0 (2018-12-15)

• Feature: InfluxDB support via backend
• Feature: Aggregation backend wrappers
• Bugfix: BookDelta callback no longer needs to be an instance of BookUpdateCallback
• Bugfix: REST module was creating duplicate log handlers
• Bugfix: Bitfinex REST now properly handles cases when there are more than 1000 updates for a single tick

0.17.4 (2018-11-17)

• README change for long description rendering issue

0.17.3 (2018-11-17)

• Feature #41: Rework trading pairs to generate them dynamically (as opposed to hard coded)
• Feature: When book depth configured Redis, ZMQ and UDP backends only report book changes when changed occurred in depth window
• Feature: TCP socket backend support
• Feature: UDS backend support

0.17.2 (2018-11-03)

• Bugfix #45: Bitstamp prices and sizes in L2 book are string, not decimal.Decimal
• Feature: Binance support

0.17.1 (2018-10-19)

• Bugfix #43: Coinbase L2 book used "0" rather than 0 for comparisons against decimal.Decimal
• Feature: REST feed market data supported via normal subscription methods
• Feature: Kraken support
• Bugfix: Bitfinex book timestamps match expected Bitfinex timestamps (in ms)

0.17.0 (2018-10-13)

• Feature: Timestamps for orderbooks and book deltas
• Feature #40: NBBO now uses best bid/ask from L2 books
• Feature #28: GDAX now renamed Coinbase and uses Coinbase endpoints
• Feature: ZeroMQ backend. Write updates directly to ZMQ connection
• Feature: UDP Socket backend. Write updates directly to UDP socket

0.16.0 (2018-10-4)

• Feature: L2 books are now all price aggregated amounts, L3 books are price aggregated orders
• Book deltas supported on all feeds
• Bugfix: Fix NBBO feed

0.15.0 (2018-09-29)

• Feature: GDAX/Coinbase rest support - trades, order status, etc
• Feature: Arctic backend, supports writing to arctic directly on trade/funding updates
• Bugfix: #36 Update poloniex to use new trading pairs and handle sequence numbers
• Bugfix: Improve Bitfinex orderbooks and handle sequence numbers
• Bugfix: GDAX and Bitmex orderbook and logging improvements

0.14.1 (2018-09-14)

• Added some docstrings
• Feature: Add exchanges by name to feedhandler. Easier to instantiate a feedhandler from config
• Logging improvements
• Bugfix: non-gathered futures were suppressing exceptions when multiple feeds are configured. Changed to tasks
• Redis backend uses a connection pool

0.14.0 (2018-09-04)

• Feature: support for writing order books directly to Redis
• Feature: ability to specify book depth for Redis updates

0.13.3 (2018-08-31)

• Feature: normalize Bitfinex funding symbols

0.13.2 (2018-08-31)

• Bugfix: fix symbol in Bitfinex rest

0.13.1 (2018-08-31)

• Feature: access rest endpoints via getitem / []
• Bugfix: #31 - funding channel broke Gemini
• Feature: Book deltas for GDAX
• Bugfix: Fix intervals on Bitmex (rest)

0.13.0 (2018-08-22)

• Feature: Funding data from Bitmex on ws
• Feature: Funding historical data via rest
• Bugfix: Python 3.7 compatibility
• Feature: Rest trade APIs are now generators
• Feature: funding data on Bitfinex - ws and rest

0.12.0 (2018-08-20)

• Bugfix: Handle 429s in Bitmex (REST)
• Feature: Redis backend for trades to write updates directly to Redis
• Bugfix: issue #27 - Bitmex trades missing timestamps

0.11.1 (2018-08-18)

• Bitfinex and Bitmex historical trade data via REST
• Bugfix: interval incorrect for rest time ranges
• Bugfix: lowercase attrs in Rest interface

0.11.0 (2018-08-05)

• Feature: Support for delta updates for order books
• REST API work started

0.10.2

• Bugfix: Clear data structures on reconnect in bitmex
• Feature: Support reconnecting on more connection errors
• Feature: Timestamp support on trade feeds
• Feature: Connection watcher will terminate and re-open idle connections

0.10.1 (2018-5-11)

• Feature: Reconnect when a connection is lost
• Bugfix #22: Check for additional connection failures
• Feature #4: Trade ID support
• Feature: Account for new Gemini message type

0.10.0 (2018-03-18)

• Feature: Bitmex

0.9.2 (2018-03-13)

• Bugfix #10: Change from float to decimal.Decimal in GDAX
• Feature #5: use sorted dictionaries for order books
• Feature #17: logging support
• Bugfix: Gemini order books now work
• Bugfix: All json floats parsed to Decimal
• Bugfix: Fix Bitstamp pair parsing
• Feature: Major clean up of channel, exchange, and trading pair names

0.9.1 (2018-01-27)

• Bugfix #4: produce ticker from trades channel on GDAX
• Feature: Bitstamp feed

0.8.0 (2018-01-07)

• Feature: HitBTC feed
• Feature: Poloniex Orderbook support

0.6.0 (2018-01-02)

• Feature: Gemini Feed

0.5.0 (2018-01-02)

• Initial release: GDAX, Poloniex, Bitfinex Support
• Feature: NBBO support