This is a Python library for connecting with high frequency market data endpoints (via websocket/FIX) and storing/acessing data with postgresql. Websocket connections auto-reconnect on close.

Data is stored both in raw message format for replay purposes and is also indexed by field for more efficient querying.

Requirements

You will need to install postgresql and the pip package psycopg2.

On ubuntu:

./setup.sh

Then, you will need to create the hfd database:

sudo -u postgres psql
> CREATE DATABASE hfd;
> CREATE USER "user" WITH ENCRYPTED PASSWORD 'password';
> \q

Run dataManager.py to start the data processing. Set configurations in config.py.

To do

-BitMEX, Bitfinex, Kraken, FTX, BitMax, and other derivative exchange support