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Cryptocurrency Exchange Feed Handler with synthetic NBBO
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README.md

Cryptocurrency Exchange Feed Handler

License Python Build Status Codacy Badge PyPi

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
  • Bitfinex
  • BitMEX
  • Bitstamp
  • Bittrex
  • Bybit
  • Coinbase
  • Coinbene
  • Deribit
  • EXX
  • FTX
  • Gemini
  • HitBTC
  • Huobi
  • HuobiDM
  • HuobiUS
  • Kraken
  • Kraken Futures
  • OKCoin
  • OKEx
  • Poloniex

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
  • INSTRUMENT - Exchange specific instrument information

Backends

Cryptofeeds 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
  • MongoDB
  • Kafka
  • Elastic Search

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

  • Postgres
  • ??

Contributing

Issues and PRs are welcomed. If you'd like to discuss ongoing development please join the slack

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