Feed

Feed is the tick data layer above quantpylib.gateway.master.Gateway. It subscribes through the gateway executor, receives standardized native market-data events from wrapper subscriptions, stores the latest event for each feed id, and forwards each event to configured sinks and optional on_msg callback.

Feed Path

exchange message
    |
    v
wrapper subscription
    |
    v
gateway executor
    |
    v
Feed
    |
    +--> FeedSink.write(feed_id, event)
    |
    +--> on_msg(event)
    |
    +--> feed.feeds[feed_id] / feed.get_feed(feed_id)

add_*_feed methods return a quantpylib.standards.models.FeedId. Use that id with get_feed(feed_id) to read the latest object or buffer held by the feed.

Event Objects

BBA, L2 book, and trades feed methods use standardize_schema=2, so the event passed to sinks and callbacks is a native quantpylib model object.

Feed method	Feed type	Event received by sinks and callbacks	Feed storage
`add_bba_feed(...)`	`bba`	quantpylib.standards.models.BBAUpdate	latest `BBAUpdate`
`add_l2_book_feed(...)`	`l2book`	quantpylib.standards.models.BookUpdate	latest `BookUpdate`
`add_l2_book_feeds(...)`	`l2book`	quantpylib.standards.models.BookUpdate per ticker	latest `BookUpdate` per returned `FeedId`
`add_trades_feed(...)`	`trades`	quantpylib.standards.models.TradeUpdate	latest `TradeUpdate`
`add_trades_feeds(...)`	`trades`	quantpylib.standards.models.TradeUpdate per ticker	latest `TradeUpdate` per returned `FeedId`
`add_oracle_feed(...)`	`mid`	numeric oracle value	quantpylib.utilities.cringbuffer.RingBuffer

Sink Contract

A sink is a quantpylib.hft.archival.FeedSink instance. Feed calls:

sink.write(feed_id, event)

for every event routed to that sink. write() may be synchronous or asynchronous; if it returns an awaitable, Feed awaits it. The return value is sink-specific and is ignored by Feed.

Feed.cleanup() calls sink.close() for configured sinks. close() may also be synchronous or asynchronous and should be safe to call more than once. Sinks that buffer work may expose flush(), but Feed does not require custom sinks to implement flushing semantics if the default FeedSink base method is sufficient.

Sink routing is explicit:

Where sinks are passed	Meaning
`Feed(gateway, sinks=[...])`	Global sinks used by feeds that do not override sinks.
`add_*_feed(..., sinks=None)`	Use the global sinks.
`add_*_feed(..., sinks=[...])`	Use these sinks for this feed.
`add_*_feed(..., sinks=[])`	Disable sink fanout for this feed.

Order Book Materialization

Use quantpylib.hft.materializers.OrderbookMaterializerSink when a strategy needs live order-book state from BookUpdate events:

from quantpylib.hft import OrderbookMaterializerSink
from quantpylib.hft.feed import Feed

book_sink = OrderbookMaterializerSink()
feed = Feed(gateway=gateway)

book_feed = await feed.add_l2_book_feed(
    exc="binance",
    ticker="BTCUSDT",
    sinks=[book_sink],
)

orderbook = book_sink.orderbook #in memory orderbook
latest_update = feed.get_feed(book_feed)

L0/QBN Capture

Use quantpylib.hft.l0.L0ArchiveSink when you want to persist feed events as L0/QBN records:

from quantpylib.hft.feed import Feed
from quantpylib.hft.l0 import L0ArchiveSink

archive_sink = L0ArchiveSink(root="./archives")
feed = Feed(gateway=gateway, sinks=[archive_sink])

await feed.add_bba_feed(exc="binance", ticker="BTCUSDT")
await feed.add_l2_book_feed(exc="binance", ticker="BTCUSDT")
await feed.add_trades_feed(exc="binance", ticker="BTCUSDT")

See L0 Data Capture / QBN for file layout, writers, readers, and read-back examples.

See quantpylib.hft.archival for the base sink interfaces and queue sinks. See quantpylib.hft.materializers for materializer sinks.

API Reference

`Feed`

Gateway-backed market-data fanout.

Feed subscribes through a gateway executor, stores the latest event or buffer for each FeedId, writes each event to configured (if any) FeedSink objects, and then calls the optional on_msg callback. Native market-data feed methods use standardize_schema=2, so BBA, L2 book, and trade feeds receive BBAUpdate, BookUpdate, and TradeUpdate objects.

Feed does not materialize order-book state or persist records by itself. Use a materializer sink, such as OrderbookMaterializerSink, for live derived state, or L0ArchiveSink for L0/QBN capture.

`init(gateway, exchanges=None, sinks=None)`

Initialize the feed object.

Parameters:

Name	Type	Description	Default
`gateway`	`Gateway`	Initialized gateway.	required
`exchanges`	`list`	Exchanges this feed may subscribe to. If `None`, use the clients configured on the gateway.	`None`
`sinks`	`FeedSink or iterable[FeedSink]`	Global sinks used by feed subscriptions that do not provide a per-feed override.	`None`

`add_bba_feed(exc, ticker, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

Add a best bid/ask feed.

Sinks and on_msg receive quantpylib.standards.models.BBAUpdate objects. get_feed(feed_id) returns the latest received BBAUpdate.

Parameters:

Name	Type	Description	Default
`exc`	`str`	Exchange name.	required
`ticker`	`str`	Ticker symbol.	required
`on_msg`	`callable`	Callback for `BBAUpdate` events after sink fanout.	`None`
`sinks`	`FeedSink or iterable[FeedSink]`	Per-feed sink override. `None` uses global sinks; `[]` disables sinks.	`None`
`feed_cls`	`str`	Feed market class. Defaults to `FeedCls.PERPETUAL`.	`PERPETUAL`

Returns:

Type	Description
`FeedId`	quantpylib.standards.models.FeedId: Feed id for the latest event.

`add_bba_feeds(exc, tickers, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

Add multiple best bid/ask feeds as one batched subscription request.

Each returned feed receives quantpylib.standards.models.BBAUpdate objects for the corresponding ticker.

Parameters:

Name	Type	Description	Default
`exc`	`str`	Exchange name.	required
`tickers`	`list`	Ticker symbols.	required
`on_msg`	`callable or list`	Shared callback or one callback per ticker. Each callback receives `BBAUpdate` events after sink fanout.	`None`
`sinks`	`optional`	Per-feed sinks, broadcast or per-ticker. Broadcast (default): `None` (global sinks), a `FeedSink`, or a flat list of `FeedSink`, applied to every ticker. Per-ticker: a list of sink lists (or `None`), one entry per ticker (`len(sinks) == len(tickers)`); entry `i` is assigned to `tickers[i]`, `None` falls back to global sinks, and `[]` disables sinks for that ticker.	`None`
`feed_cls`	`str`	Feed market class. Defaults to `FeedCls.PERPETUAL`.	`PERPETUAL`

Returns:

Type	Description
`list[FeedId]`	list[quantpylib.standards.models.FeedId]: Feed ids in ticker order.

`add_l2_book_feed(exc, ticker, on_msg=None, sinks=None, depth=20, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

Add a level 2 order book feed.

Sinks and on_msg receive quantpylib.standards.models.BookUpdate objects. get_feed(feed_id) returns the latest received BookUpdate. Use OrderbookMaterializerSink when downstream code needs live order-book state.

Parameters:

Name	Type	Description	Default
`exc`	`str`	Exchange name.	required
`ticker`	`str`	Ticker symbol.	required
`on_msg`	`callable`	Callback for `BookUpdate` events after sink fanout.	`None`
`sinks`	`FeedSink or iterable[FeedSink]`	Per-feed sink override. `None` uses global sinks; `[]` disables sinks.	`None`
`depth`	`int`	Feed identity depth parameter. Defaults to 20.	`20`
`feed_cls`	`str`	Feed market class. Defaults to `FeedCls.PERPETUAL`.	`PERPETUAL`

Returns:

Type	Description
`FeedId`	quantpylib.standards.models.FeedId: Feed id for the latest event.

`add_l2_book_feeds(exc, tickers, on_msg=None, sinks=None, depth=20, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

Add multiple level 2 order book feeds as one batched subscription request.

Each returned feed receives quantpylib.standards.models.BookUpdate objects for the corresponding ticker. Use OrderbookMaterializerSink when downstream code needs live order-book state.

Parameters:

Name	Type	Description	Default
`exc`	`str`	Exchange name.	required
`tickers`	`list`	Ticker symbols.	required
`on_msg`	`callable or list`	Shared callback or one callback per ticker. Each callback receives `BookUpdate` events after sink fanout.	`None`
`sinks`	`optional`	Per-feed sinks, broadcast or per-ticker. Broadcast (default): `None` (global sinks), a `FeedSink`, or a flat list of `FeedSink`, applied to every ticker. Per-ticker: a list of sink lists (or `None`), one entry per ticker (`len(sinks) == len(tickers)`); entry `i` is assigned to `tickers[i]`, `None` falls back to global sinks, and `[]` disables sinks for that ticker.	`None`
`depth`	`int`	Feed identity depth parameter. Defaults to 20.	`20`
`feed_cls`	`str`	Feed market class. Defaults to `FeedCls.PERPETUAL`.	`PERPETUAL`

Returns:

Type	Description
`list[FeedId]`	list[quantpylib.standards.models.FeedId]: Feed ids in ticker order.

`add_oracle_feed(exc, ticker, on_msg=None, buffer=100, **kwargs)` `async`

Add a numeric oracle/mid feed.

The received values are appended to a RingBuffer and passed to on_msg when provided. This feed does not use the FeedSink fanout path.

Parameters:

Name	Type	Description	Default
`exc`	`str`	Exchange name.	required
`ticker`	`str`	Ticker symbol.	required
`on_msg`	`callable`	Callback for numeric oracle values.	`None`
`buffer`	`int`	Ring buffer capacity.	`100`

Returns:

Type	Description
`FeedId`	quantpylib.standards.models.FeedId: Feed id for the buffer.

`add_sampling_bars_feed(exc, ticker, buffer=100, feed_cls=FeedCls.PERPETUAL, bar_cls=None, **kwargs)` `async`

Add a sampling bars feed.

Bars remain available as local aggregators in quantpylib.hft.bars. The Feed-level derived stream needs a cleaner materializer/sink contract before it is restored, so this API is intentionally inactive.

`add_trades_feed(exc, ticker, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

Add a trades feed.

Sinks and on_msg receive quantpylib.standards.models.TradeUpdate objects. get_feed(feed_id) returns the latest received TradeUpdate.

Parameters:

Name	Type	Description	Default
`exc`	`str`	Exchange name.	required
`ticker`	`str`	Ticker symbol.	required
`on_msg`	`callable`	Callback for `TradeUpdate` events after sink fanout.	`None`
`sinks`	`FeedSink or iterable[FeedSink]`	Per-feed sink override. `None` uses global sinks; `[]` disables sinks.	`None`
`feed_cls`	`str`	Feed market class. Defaults to `FeedCls.PERPETUAL`.	`PERPETUAL`

Returns:

Type	Description
`FeedId`	quantpylib.standards.models.FeedId: Feed id for the latest event.

`add_trades_feeds(exc, tickers, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

Add multiple trades feeds as one batched subscription request.

Each returned feed receives quantpylib.standards.models.TradeUpdate objects for the corresponding ticker.

Parameters:

Name	Type	Description	Default
`exc`	`str`	Exchange name.	required
`tickers`	`list`	Ticker symbols.	required
`on_msg`	`callable or list`	Shared callback or one callback per ticker. Each callback receives `TradeUpdate` events after sink fanout.	`None`
`sinks`	`optional`	Per-feed sinks, broadcast or per-ticker. Broadcast (default): `None` (global sinks), a `FeedSink`, or a flat list of `FeedSink`, applied to every ticker. Per-ticker: a list of sink lists (or `None`), one entry per ticker (`len(sinks) == len(tickers)`); entry `i` is assigned to `tickers[i]`, `None` falls back to global sinks, and `[]` disables sinks for that ticker.	`None`
`feed_cls`	`str`	Feed market class. Defaults to `FeedCls.PERPETUAL`.	`PERPETUAL`

Returns:

Type	Description
`list[FeedId]`	list[quantpylib.standards.models.FeedId]: Feed ids in ticker order.

`cleanup()` `async`

Cleanup the feeder object.

`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, ticker, **kwargs)` `staticmethod`

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.

`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.
`MIDS`	`str`	Mid prices

Feed

Feed Path

Event Objects

Sink Contract

Order Book Materialization

L0/QBN Capture

API Reference

Feed

__init__(gateway, exchanges=None, sinks=None)

add_bba_feed(exc, ticker, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs) async

add_bba_feeds(exc, tickers, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs) async

add_l2_book_feed(exc, ticker, on_msg=None, sinks=None, depth=20, feed_cls=FeedCls.PERPETUAL, **kwargs) async

add_l2_book_feeds(exc, tickers, on_msg=None, sinks=None, depth=20, feed_cls=FeedCls.PERPETUAL, **kwargs) async

add_oracle_feed(exc, ticker, on_msg=None, buffer=100, **kwargs) async

add_sampling_bars_feed(exc, ticker, buffer=100, feed_cls=FeedCls.PERPETUAL, bar_cls=None, **kwargs) async

add_trades_feed(exc, ticker, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs) async

add_trades_feeds(exc, tickers, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs) async

cleanup() async

get_feed(feed_id)

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

get_feed_ids()

FeedCls

FeedType

`Feed`

`init(gateway, exchanges=None, sinks=None)`

`add_bba_feed(exc, ticker, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

`add_bba_feeds(exc, tickers, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

`add_l2_book_feed(exc, ticker, on_msg=None, sinks=None, depth=20, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

`add_l2_book_feeds(exc, tickers, on_msg=None, sinks=None, depth=20, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

`add_oracle_feed(exc, ticker, on_msg=None, buffer=100, **kwargs)` `async`

`add_sampling_bars_feed(exc, ticker, buffer=100, feed_cls=FeedCls.PERPETUAL, bar_cls=None, **kwargs)` `async`

`add_trades_feed(exc, ticker, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

`add_trades_feeds(exc, tickers, on_msg=None, sinks=None, feed_cls=FeedCls.PERPETUAL, **kwargs)` `async`

`cleanup()` `async`

`get_feed(feed_id)`

`get_feed_id(exc, feed_cls, feed_type, ticker, **kwargs)` `staticmethod`

`get_feed_ids()`

`FeedCls`

`FeedType`