Integrations
Exchange connectivity and market data protocols that compile directly into your strategy process. Data sources run in-process with the engine scheduler -- no external bridge, no sidecar, no network hop.
Venues
Live exchanges implementing VenueClient. Each row is one datafeed interface -- bind it in your strategy with bind<Datafeed>(...). Order execution plumbing is in place but not wired for v0.1.0.
| Venue | Interface | Detail | Topic | Live | Paper | Replay |
|---|---|---|---|---|---|---|
| Binance | ||||||
| Datafeed | ||||||
| Bar | all intervals | bar://binance/{symbol}@{interval} | • | • | – | |
| OrderBook | full | book://binance/{symbol}@full | • | • | – | |
| OrderBook | 5 | book://binance/{symbol}@5 | • | • | – | |
| OrderBook | 10 | book://binance/{symbol}@10 | • | • | – | |
| OrderBook | 20 | book://binance/{symbol}@20 | • | • | – | |
| OrderBook | ticker | book://binance/{symbol}@ticker | • | • | – | |
| Trade | agg | order://binance/{symbol}/trade | • | • | – | |
| Trade | raw | order://binance/{symbol}/trade | • | • | – | |
| Execution | ||||||
| Market | IOC, FOK | |||||
| Limit | GTC, Day, GTD, IOC, FOK | |||||
| OKX | ||||||
| Datafeed | ||||||
| Bar | all intervals | bar://okx/{symbol}@{interval} | • | • | – | |
| OrderBook | full | book://okx/{symbol}@full | • | • | – | |
| OrderBook | 5 | book://okx/{symbol}@5 | • | • | – | |
| OrderBook | bbo-tbt | book://okx/{symbol}@bbo-tbt | • | • | – | |
| Trade | raw | order://okx/{symbol}/trade | • | • | – | |
| Execution | ||||||
| Market | IOC, FOK | |||||
| Limit | GTC, Day, GTD, IOC, FOK | |||||
Data
Market data protocol adapters. Decode raw exchange data files into Aurum event streams.
| Protocol | Interface | Detail | Topic | Live | Paper | Replay |
|---|---|---|---|---|---|---|
| ITCH 5.0 | Order flow | .txt.gz, 19 event types | order://itch/{SYMBOL}/quote | – | – | • |