def add_nbbo(self, feeds: List[Feed], symbols: List[str], callback):
"""
feeds: list of feed classes
list of feeds (exchanges) that comprises the NBBO
symbols: list str
the trading symbols
callback: function pointer
the callback to be invoked when a new tick is calculated for the NBBO
"""
cb = NBBO(callback, symbols)
for feed in feeds:
self.add_feed(feed(channels=[L2_BOOK], symbols=symbols, callbacks={L2_BOOK: cb}))
def add_nbbo(self, feeds: List[Feed], symbols: List[str], callback, config=None):
"""
feeds: list of feed classes
list of feeds (exchanges) that comprises the NBBO
symbols: list str
the trading symbols
callback: function pointer
the callback to be invoked when a new tick is calculated for the NBBO
config: dict, str, or None
optional information to pass to each exchange that is part of the NBBO feed
"""
cb = NBBO(callback, symbols)
for feed in feeds:
self.add_feed(feed(channels=[L2_BOOK], symbols=symbols, callbacks={L2_BOOK: cb}, config=config))
def add_nbbo(self, feeds, pairs, callback, timeout=120):
"""
feeds: list of feed classes
list of feeds (exchanges) that comprises the NBBO
pairs: list str
the trading pairs
callback: function pointer
the callback to be invoked when a new tick is calculated for the NBBO
timeout: int
seconds without a message before a connection will be considered dead and reestablished.
See `add_feed`
"""
cb = NBBO(callback, pairs)
for feed in feeds:
self.add_feed(feed(channels=[L2_BOOK], pairs=pairs, callbacks={L2_BOOK: cb}), timeout=timeout)