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

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 real-time and 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!

FranklinMa810/cryptofeed