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Changelog

2.4.0

  • Update: Fix tests
  • Update: Okcoin moved to v5 API used by OKX
  • Bugfix: InfluxDB none type conversions
  • New Exchange: GateIO Futures
  • Bugfix: Fix instrument types in symbol parsing on Bitmex

2.3.2 (2023-05-27)

  • Bugfix: Fix Socket backend
  • Bugfix: Fix AUCTION symbol parsing on Coinbase
  • Bugfix: Fix PERPETUAL symbol parsing on Phemex
  • Bugfix: Fix PERPETUAL symbol parsing on Kraken Futures
  • Feature: Access to all AIOKafka configuration options
  • Feature: Use backend Queue for Kafka
  • Feature: Add support for storing book snapshots in Redis as key-value
  • Update: Switch from unmaintained aioredis to redis-py
  • Bugfix: Correct value for Crypto.com Ask price
  • Update: Remove cChardet dependency
  • Feature: Binance TR support

2.3.1 (2022-10-31)

  • Bugfix: timestamp not reset correctly on reconnect
  • Bugfix: Arctic backend failing to write Trades when trade type was not present in data
  • Bugfix: Timestamp sometimes not present in Coinbase ticker updates
  • Bugfix: Phemex, symbols parsing
  • Bugfix: OKx - handle empty liquidations correctly

2.3.0 (2022-09-04)

  • Bugfix: added list and str support to websocket_endpoint creation (allows more than 200 symbols on Binance)
  • Feature: Add support for OKx streaming candles
  • Bugfix: Binance Futures, double slash in open interest url
  • Update: Set 'next_funding_rate' to None in Bybit if not present
  • Feature: Added authentication to private channels of Bittrex. ORDER_INFO and BALANCES implemented.
  • Bugfix: Bitget, bug in subscribe method
  • Update: Poloniex API update

2.2.3 (2022-05-29)

  • Feature: Authenticated channel support for Bitget
  • New Exchange: FTX TR
  • New Exchange: AscendEX Futures
  • Update: AscendEX, add sandbox endpoint. Add channel filter.
  • Update: Binance, add sandbox endpoint.
  • Update: Binance Delivery, add sandbox endpoint.
  • Update: Bitmex, add sandbox endpoint.
  • Update: KrakenFutures, add sandbox endpoint.
  • Bugfix: Bybit, the quantity for order_info stream was incorrect.
  • Bugfix: Bitmex, timestamp was not returned in book.
  • Bugfix: KrakenFutures, timestamp was not returned in book.
  • Bugfix: Phemex, websocket subscription error.
  • Bugfix: OKX, liquidations subscription was never called.
  • Update: OKX, use publicly available channel for book updates.
  • Bugfix: Fix race condition when resetting feeds with multiple connections
  • Update: Send Phemex subscriptions one symbol at a time
  • Bugfix: BitDotCom, the subscription message for perpetuals was incorrect
  • Bugfix: Allow empty subscriptions (channel with no symbols) for FTX
  • Update: Add SOL and USDC to Deribit symbol mapping

2.2.2 (2022-04-17)

  • Bugfix: OKX filled amount being reported incorrectly in OrderInfo
  • Bugfix: Tweak QuestDB coulmn types and layout
  • Bugfix: Fix Bybit Private Channel connections / subscriptions
  • Bugfix: Return client order id in OrderInfo object returned by Coinbase
  • Feature: Add Order type
  • Feature: Add support for closed candles only in Bybit
  • Update: Kraken Futures new instrument type: Perpetual Linear Multi-collateral Futures
  • New Exchange: Bitget
  • New Exchange: Independent Reserve
  • Feature: Add perpetuals to Bitget
  • Update: Add indicator in symbol info if instrument is a qunto
  • Feature: Configuration option to allow invalid symbols
  • Bugfix: use supplied timestamp from snapshot in Binance
  • Feature: Optional multiprocessing support for backends
  • Update: Remove unsupported backends
  • Feature: Support checksum validation on Bitget orderbooks

2.2.1 (2022-02-27)

  • Feature: Support for order info stream on BitMEX
  • Bugfix: Datetime/Timestamp conversion fixes
  • Feature: Add support for Huobi Linear Swaps
  • Update: Change Coinbase REST calls to use Ticker and Trade data types
  • Bugfix: Instrument and channel filtering sometimes matched incorrectly when creating connection specific subscriptions
  • Bugfix: retry kwargs were not correctly passed through to the async HTTP connection handler in Coinbase REST methods
  • Update: Revamp Coinbase authenticated REST endpoints; change to use the Cython data types
  • Feature: Add from_dict static method in Cython types to support creation of object from dict (for serialization/deserialization)
  • Feature: New QuestDB backend
  • Update: Exchange name change OKEx -> OKX
  • Bugfix: OKX candle REST code was setting values incorrectly
  • Update: OKX now uses v5 for all connections (REST and WS). Update endpoints to new exchange name: okex.com -> okx.com

2.2.0 (2021-02-16)

  • Feature: New exchange: Bit.com
  • Feature: Rework how exchanges that have multiple websocket endpoints are managed and configured.
  • Bugfix: Use UTC for datetime conversions in REST api
  • Bugfix: Funding rate of 0 was being converted to None when to_dict was called
  • Feature: Add OKEx REST API and implement candle function
  • Feature: Added trading endpoints to Bitfinex REST mixin
  • Bugfix: Change to Okex to allow futures and options subscriptions
  • Update: Deribit ticker, trades, and orderbook channels now require authentication
  • Bugfix: Fix candle backend for InfluxDB
  • Bugfix: OKEx REST candle fix
  • Feature: Added ability to use your own Postgres table layouts
  • Bugfix: Binance connections that do not require websocket were failing on connect
  • Feature: Write native datetimes to Mongo
  • Feature: Mongo backend now supports bulk writes + queuing of messages

2.1.2 (2021-12-23)

  • Feature: Tweak Postgres backend to not store duplicated data for orderbooks.
  • Feature: Provide sample book schema for Postgres.
  • Feature: Add subaccount info to OrderInfo and Fills data types.
  • Bugfix: Fix issue in orderbook cross check.
  • Bugfix: Simplify dYdX orderbook logic.
  • Bugfix: Raise error if client tries to subscribe to KuCoin book data without an API key.
  • Feature: Add ByBit sandbox endpoints.
  • Bugfix: Fix calculation in OrderInfo on Binance.
  • Feature: Support list of bootstrap servers for Kafka backend.
  • Feature: Add OrderInfo and Fills zmq callbacks

2.1.1 (2021-11-29)

  • Bugfix: Position data type missing side field.
  • Bugfix: Position data type had unused field 'id'.
  • Bugfix: Fix Bybit OrderInfo msg/data dict.
  • Feature: Add support for sandbox/testnet on BinanceFutures.
  • Feature: New exchange - Crypto.com.
  • Bugfix: Fix MongoDB backend.
  • Update: reduce code duplication for candle interval normalization.
  • Update: Simplify code around address specification and selection when using sandbox/testnet.
  • Bugfix: Phemex rounding errors, incorrect volume.
  • Feature: Add sandbox/testnet endpoint for Phemex.
  • Feature: New exchange - Delta.
  • Update: Tweak tests to remove deprecation warnings.
  • Bugfix: Fix token usage in Binance.
  • Update: Change Binance trades to use trade timestamp instead of event timestamp.

2.1.0 (2021-11-14)

  • Bugfix: Update binance user data streams to use cdef types.
  • Feature: Add none_to kwarg to to_dict method of data type objects. Allows replacmen of Nones with specified value.
  • Bugfix: Some redis backends were trying to write Nones to storage and failing.
  • Update: Renamed as_type kwarg on to_dict to numeric_type.
  • Bugfix: Some dYdX symbols were incorrectly classified as spot.
  • Update: Drop support for Python 3.7.
  • Bugfix: Orderbooks need to be truncated to the correct depth when max depth is smaller than the maximum on Kraken.
  • Update: Coinbase having similar issues other exchanges with websocket compliance. Updated to fix connection
  • Update: Backends will fill in missing timestamps with receipt_timestamp
  • Update: Okex auth channel Orders added

2.0.3 (2021-10-26)

  • Bugfix: Use timestamp_e6 for data derived from Bybit's instrument_info data feed.
  • Bugfix: Update postgres examples and schema. Fix postgres backend for all dtypes.
  • Bugfix: Kucoin has a limit of 100 symbols per subscription message and 300 per connection. These limits are now respected.
  • Bugfix: Error messages were not handled correctly on Kucoin, causing a crash.
  • Bugfix: FTX websocket endpoint update.
  • Bugfix: Fix the address used for authenticated Binance streams.
  • Bugfix: Handle cases where Bitmex book data is empty.

2.0.2 (2021-10-12)

  • Feature: random backoff when 429s are hit
  • Bugfix: Add rate limiting delay to snapshot querying on Binance
  • Update: Write deltas then snapshot when book interval is hit on Book Backends
  • Feature: Bybit liquidation support
  • Feature: Add support for Binance websocket orders stream
  • Bugfix: typo in influxDB backend
  • Bugfix: typo in optional type checking in cython module
  • Feature: compile cython code (and toggle optional assertions) correctly on windows
  • Feature: Allow logging disable via config option
  • Feature: Remove add_feed_running() method, add_feed can be used to add exchange feeds to running feedhandler.
  • Bugfix: Allow empty feedhandler to be started
  • Bugfix: Funding missing type conversion for to_dict method.
  • Bugfix: RedisStream candles boolean not being converted properly
  • Bugfix: FTX order info not handling price of None correctly on reduce only updates
  • Bugfix: Fills using incorrect order id
  • Feature: Periodically refresh order books in Binance to reduce the likelihood of order levels becoming stale
  • Update: Bitcoin.com exchange migrated to FMFW.io and API was updated
  • Revert: Temporarily revert the concurrent http changes in Binance as well as the snapshot refresh code while bugs are resolved
  • Bugfix: Fix Throttle callback, added an example to illustrate usage
  • Bugfix: BinanceFutures and BinanceDelivery not handling rates and funding times of 0/null for futures contracts
  • Bugfix: Open Interest in Bitmex not being converted to decimal
  • Update: Renamed field quantity in Liquidation data type

2.0.1 (2021-09-22)

  • Bugfix: BinanceDelivery and BinanceFutures WS compression
  • Bugfix: Upbit REST candles do not work when start/end are not specified
  • Bugfix: New version of websockets enforces RFC rules and non-compliant exchanges will fail to connect.
  • Feature: Add support for candles on Bitfinex REST
  • Bugfix: Book callback with cross_check option enabled causes an error
  • Bugfix: Kraken Candle timestamps strings instead of floats
  • Bugfix: Coinbase book _change handler passing wrong book type
  • Bugfix: dYdX orderbooks contained prices levels of size 0
  • Bugfix: FTX trade id for liquidations not correctly being converted to str
  • Bugfix: L3 OrderBooks not being correctly converted when as_type was used with to_dict
  • Feature: kwarg snapshots_only when true allow storage of full book updates only (no deltas)
  • Bugfix: initial snapshot of Binance books did not have delta set to None
  • Bugfix: RedisBook callback accessed key delta when it did not exist, causing crash
  • Feature: Candle support for Bybit
  • Bugfix: Fix L3 Book Deltas when use as_type kwarg in to_dict
  • Bugfix: Use V3 endpoint for book snapshots in Binance and BinanceUS
  • Bugfix: Coinbase level 3 book potential memory leak
  • Feature: Perpetual support for Bitfinex
  • Feature: Type checking in Cython code (disabled by default, enable in setup.py)
  • Bugfix: Fix type issues in OKEx and Binance Futures - some numeric data being returned as string
  • Bugfix: Fix symbol normalization in FTX and Huoni Swap
  • Feature: Redis backend to choose sleep interval for writer
  • Feature: snapshot_interval added to book backends

2.0.0 (2021-09-11)

  • Feature: Binance REST support
  • Feature: Add next funding rate data to FTX funding data
  • Bugfix: Kraken info dict returning empty
  • Breaking Change: Rename REST endpoints. Sync endpoints end with _sync, non-sync endpoints are now async. Clean up and remove old/unused test cases
  • Feature: Remove pandas dependency
  • Breaking Change: Rewrite all rest endpoints to support sync and async versions of the endpoint.
  • Feature: Add dYdX REST endpoints
  • Feature: Add Binance authentication for User Data Streams
  • Feature: Add support for Binance trading REST API
  • Bugfix: Fix typo by renaming rest_options to order_options
  • Bugfix: Use correct max depth for Binance (and its child classes).
  • Bugfix: Fix test data generation, fix Binance test cases, clean up and fix issues in various code samples in example/
  • Feature: BinanceUS rest mixin
  • Update: add feed/exchange cleanup to integration tests
  • Bugfix: Last message received not being correctly set on websocket connection, causing multiple restarts when an exchange encounters a timeout
  • Bugfix: Binance Futures not correctly formatting the side on liquidations
  • Bugfix: Interval from candle_sync was not being passed correctly to async candle interface in REST mixins.
  • Update: Cleanup Coinbase candle REST interface, use standard string interval
  • Feature: Add balances to Bybit
  • Bugfix: Kraken valid depths incorrect
  • Feature: Add support for gracefully stopping Redis backends and writing queued message
  • Bugfix: OKEx incorrect creating multiple connections
  • Breaking Change: Data types for majority of callbacks have changed to Objects (previously was a dict)
  • Update: Remove redundant example code
  • Breaking Change: OrderInfo now an object
  • Bugfix: NBBO updated to use new orderbook
  • Breaking Change: Balance callback changed to return object
  • Breaking Change: L1_Book callback returns object
  • Update: Subscribe to 200 levels per side for Bybit
  • Feature: Candles support added to Binance REST
  • Breaking Change: Candle REST methods return Candle object
  • Feature: data objects now hashable and comparable (equal only)
  • Breaking Changes: USER_FILLS renamed FILLS, FILLS not use data objects for callbacks
  • Feature: Add support for candles in FTX REST
  • Feature: Add support for candles in Bitstamp REST
  • Feature: Add support for candles in Upbit REST

1.9.3 (2021-08-05)

  • Feature: Add support for private channel USER_DATA, public channel LAST_PRICE on Phemex
  • Feature: Add support for private channels FILLS, ORDER_INFO, BALANCES on Deribit
  • Feature: Add support for public channel L1_BOOK on Deribit
  • Feature: Add support for private channels FILLS and ORDER_INFO on Bybit
  • Bugfix: Fix demo.py
  • Feature: Allow user to specify a delay when starting an exchange connection (useful for avoiding 429s when creating a large number of feeds)
  • Update: Support Okex v5
  • Breaking Change: Update symbol standardization. Now uses standard names across all exchanges for futures, swaps, and options.
  • Feature: Allow user to specify depth_interval for Binance L2_BOOK.
  • Bugfix: Use order id in FTX fill channel callback
  • Feature: Add ability to use the Symbols class to identify all exchanges that support a given instrument
  • Feature: Allow user to specify 'http_proxy' in feeds.
  • Feature: Add support for 'concurrent_http' requests in Binance feeds.
  • Bugfix: funding and open interest data not being collected
  • Breaking Change: Rework how REST endpoints are integrated into exchange classes. Rest module has been removed. REST methods are part of exchanges classes.
  • Feature: Add support for funding data in Bybit
  • Update: Correct and update sections of the documentation.
  • Feature: Add support for open_interest_interval in Binance Futures.
  • Bugfix: Fix subaccounts impl in FTX

1.9.2 (2021-07-14)

  • Bugfix: add config kwarg to add_nbbo method
  • Update: changed KuCoin authentication to match new signing method
  • Bugfix: #518 - fix aggregator example code
  • Update: Support Bittrex V3
  • Feature: Add support for candles on Bittrex
  • Feature: Add support to authenticate private channels (e.g. FILLS) on FTX
  • Feature: Support private rest api commands for FTX
  • Update: Improve impl for FTX rest api
  • Bugfix: #528 - Fix standardisation of Deribit's symbols when passed to callbacks
  • Feature: Add support for private "orders" channel on FTX
  • Feature: Add support for subaccounts in feeds and REST API for FTX
  • Bugfix: Fix FTX rest api return value
  • Exchange: New exchange - dYdX
  • Bugfix: Issue #531 - Gemini symbol generation included closed symbols
  • Feature: Allow user to override the score used in Redis ZSETs
  • Update: Get information about size increment from FTX symbol data
  • Bugfix: Fix trades write for Arctic backend
  • Feature: new exchange: Bequant. Supports ticker, L2 book, trades, candles, plus authenticated channels: order info, account transactions and account balances
  • Update: BitMax renamed AscendEX
  • Bugfix: Feed level timeout and timeout interval not being set properly
  • Exchange: Phemex exchange support
  • Features: added support for candles, order info, account transactions and account balances to HitBTC & Bitcoin.com, plus authentication where required to access these channels
  • Update: previous HitBTC & Bitcoin.com websocket endpoints deprecated. Now using separate Market, Trading and Account endpoints
  • Bugfix: max_depth on Binance and Kraken was not properly used when querying the snapshot
  • Bugfix: Handle 429s in HTTP connections (by waiting and retrying).

1.9.1 (2021-06-10)

  • Feature: add Bithumb exchange - l2 book and trades
  • Bugfix: Fix inverted Poloniex symbols
  • Feature: simplify and cleanup parts of Poloniex
  • Feature: add symbols class method to all exchanges to get list of supported trading pairs
  • Feature: Clean up internal class attributes in Feed class
  • Feature: Add graceful stop and shutdown methods for Feeds
  • Feature: Add ledger endpoint to Kraken Rest module, add ability to optionally filter by symbol, or all symbols, for historical trades
  • Docs: Update documentation regarding adding a new exchange to cryptofeed
  • Bugfix: Reset delay after connection is successful
  • Feature: yapic.json parses strings to datetimes automatically, no longer need to rely on Pandas for datetime parsing
  • Bugfix: #491 - dictionary resized during iteration in ByBit
  • Bugfix: #494 - added status argument to liquidations callback
  • Bugfix: #399 - book delta issue with Kucoin and Gateio
  • Feature: Binance Delivery candle support
  • Feature: Binance US candle support
  • Feature: Kraken Candle support
  • Update: Remove deprecated channel mapping from Kraken, use channel name from message instead
  • Bugfix: change Kraken Futures to use the standard symbol to be consistent with the rest of the library
  • Update: use Kucoin v3 endpoint for orderbook snapshot (v2 deprecated).
  • Update: Poloniex ticker message format update

1.9.0 (2021-04-25)

  • Bugfix: Fix Binance subscriptions when subscribing to more than one candle
  • Feature: Remove support for Influx versions prior to 2.0
  • Feature: Add stop method to HTTP Backends to gracefully drain queue and write pending data on shutdown
  • Feature: Revamp InfluxDB code. Drop support for storing floating point as str, store book data as json blob
  • Bugfix: Remove unused get_instrument calls in Deribit and Kraken Futures
  • Feature: Revamp symbol generation and exchange info for Deribit and Kraken Futures
  • Bugfix: Fix issue using AsyncFile callback to store raw data
  • Testing: Add exchange tests for Deribit and Binance
  • Bugfix: Fix symbol issue in Bitmex when initializing the orderbook
  • Bugfix: Fix various issues with FTX, OKCOIN/OKX and Huobi symbol generation
  • Testing: Overhaul exchange tests, all exchanges are now tested with real data. Fixed various bugs as a result of this testing. Revamped AsyncFileCallback. Added new tool to generate test data for testing.
  • Bugfix: Improve connection cleanup in AsyncConnection object
  • Feature: Add support for user defined exception handling in FeedHandler
  • Bugfix: Fix redis backends that can't handle None
  • Bugfix: Connection exceptions being ignored in Feedhandler
  • Bugfix: Binance address generation correction
  • Bugfix: OKX symbol generation incorrect + validate symbols used for channels that dont support all types
  • Breaking Change: Large rewrite of Feedhandler, Connection, and Feed. Many timeout related options moved from feedhandler to Feed. Symbol specific code moved to exchange class. Rewrite of raw data collection.
  • Feature: Candle support for Huobi
  • Feature: Allow user to specify Postgres port in Postgres backends
  • Bugfix: Report base volume, not quote volume in Huobi candles
  • Feature: Support for the KuCoin exchange

1.8.2 (2020-04-02)

  • Update to use alpha release of aioredis 2.0. Allows building of wheels again

1.8.1 (2020-04-01)

  • Bugfix: Add manifest file for source dist

1.8.0 (2020-04-01)

  • Bugfix: Init uvloop earlier so backends that use loop will not fail
  • Docs: Remove FAQ, added performance doc section
  • Bugfix: #404 - Use AsyncConnection object for Binance OI
  • Feature: Rework how raw data is stored (when enabled). REST data can now be captured
  • Feature: New feedhandler method, add_feed_running allows user to add feed to running instance of a feedhandler
  • Feature: create_db defaults to False on InfluxDB backends
  • Feature: Normalize Bitmex Symbols
  • Update: Remove extraneous methods in feed objects used to query symbol information
  • Feature: Use realtime ticker for Binance
  • Bugfix: Bitmex symbols not being normalized correctly
  • Bugfix: Fix GCP PubSub backend
  • Bugfix: Fix historical data REST api for Bitmex
  • Feature: Use separate tasks (fed by async queue) for backend writing. Redis now uses this method
  • Bugfix: Allow user specified max depths on Kraken
  • Feature: Add backend queue support to ZMQ backend
  • Feature: Add backend queue support to Socket backends
  • Feature: Add VictoriaMetrics support via backend
  • Feature: Add backend queue support to influx and elastic
  • Feature: Candle support
  • Bugfix: Ignore untradeable symbols in Binance symbol generation
  • Feature: Add backend support for queues in Postgres. Rework postgres backend and supply example SQL file to create tables for demo
  • Bugfix: Fix ByBit symbol generation
  • Feature: Authenticated channel support for OKX/OKCOIN
  • Update: Poloniex changed signaure of ticker data
  • Feature: Candles for Binance Futures
  • Feature: Premium Index Candle support for Binance Futures
  • Feature: Update Gateio to use new v4 websocket api. Adds support for candles
  • Bugfix: Fix open interest on OKEx
  • Bugfix: OKEx was duplicating subscriptions
  • Breaking Change: Core callbacks (trade, candle, books, ticker, open interest, funding, liquidations, index) now use custom objects

1.7.0 (2021-02-15)

  • Feature: Use UVLoop if installed (not available on windows)
  • Bugfix: Allow exchanges to customize their retry delays on error
  • Feature: New demo code showing user loop management
  • Feature: Handle more signals for graceful shutdown
  • Bugfix: BinanceFutures message format change
  • Feature: Missing sequence number on Coinbase will not reset all data streams, just the affected pair
  • Feature: Use timestamp from exchange for L2 book data from Coinbase
  • Bugfix: Blockchain exchange had incorrect timestamps, and incorrect log lines
  • Bugfix: Wrong datatype in BackendFuturesIndexCallback
  • Bugfix: Fix bad postgres callback for open_interest and futures_index
  • Feature: Signal handler installation now optional, can be done separately. This will allow the feedhandler to be run from child threads/loops
  • Bugfix: Fix binance delivery book ticker (message format change)
  • Breaking change: Feed object config renamed subscription
  • Feature: Configuration passed from feedhandler to exchanges
  • Breaking change: Most use of pair and pairs changed to symbol and symbols to be more consistent with actual usage. pairs.py renamed to symbols.py
  • Feature: Allow configuring the API KEY ID from Config or from environment variable
  • Bugfix: Collisions in normalized CoinGecko symbols (this adds about 700 new symbols)
  • Feature: Add candles function to coinbase
  • Feature: Explain when Cryptofeed crashes during pairs retrieval
  • Bugfix: BINANCE_DELIVERY Ticker use msg_type='bookTicker' as for the other BINANCE markets
  • Feature: Support Bitmex authentication using personal API key and secret
  • Feature: Print the origin of the configuration (filename, dict) for better developer experience
  • Bugfix: Add guard against non-supported asyncio add_signal_handler() on windows platforms
  • Feature: Simplify source code by standardization iterations over channels and symbols
  • Bugfix: Remove remaining character "*" in book_test.py
  • Bugfix: Fix return type of the function book_flatten()
  • Feature: Shutdown multiple backends asynchronously, and close the event loop properly
  • Bugfix: Repair the Bitfinex FUNDING
  • Feature: Speedup the handling of Bitfinex messages by reducing intermediate mappings
  • Feature: Support OKEx options
  • Bugfix: Cancel the pending tasks to gracefully/properly close the ASyncIO loop
  • Feature: Support for authenticated websocket data channels

1.6.2 (2020-12-25)

  • Feature: Support for Coingecko aggregated data per coin, to be used with a new data channel 'profile'
  • Feature: Support for Whale Alert on-chain transaction data per coin, to be used with a new data channel 'transactions'
  • Bugfix: Reset delay and retry for rest feed
  • Feature: Add GCP Pub/Sub backend
  • Bugfix: Fix aggregated callbacks (Renko and OHLCV) when used with exchanges that support order types
  • Bugfix: Fix broken example/demo code
  • Feature: New data channel - futures_index - demonstrated in ByBit
  • Feature: Add stop callback when exiting loop, add stop method placeholder for base callbacks
  • Bugfix: Fix NBBO callback
  • Feature: Orderbook sequence number validation for HitBTC
  • Feature: Kraken orderbook checksum support in Kraken
  • Feature: KrakenFutures sequence number check added
  • Feature: Add optional caching to postgres backend
  • Feature: New Exchange - Binance Delivery
  • Feature: Liquidation for OKX
  • Bugfix: Adjust ping interval on websocket connection, some exchanges require pings more frequently
  • Feature: Checksum validation for orderbooks on OKX and OKCoin
  • Feature: Use rotating log handler
  • Bugfix: Later versions of aiokafka break kafka backend
  • Bugfix: Huobi sends empty book updates for delisted pairs
  • Bugfix: Harden channel map usage in Kraken
  • Feature: Config file support
  • Bugfix: Subscribing to all BitMEX symbols gives 400 error - message too long
  • Bugfix: Cleanup of code - fixed a few examples and resolved all outstanding flake8 issues
  • Bugfix: Fix Bitfinex pair normalization
  • Feature: Refactor connection handling. New connection design allows feeds to open multiple connections
  • Feature: Update BitMax to use the new BitMax Pro API - includes sequence number verification on books
  • Feature: Bybit - support for USDT perpetual data channels
  • Feature: Can now configure more than 25 Bitfinex pair/channel combinations
  • Feature: Support more than 200 pair/stream combinations on Binance from a single Feed
  • Feature: Support for the bitFlyer exchange
  • Feature: Update Kraken to work with very large numbers of trading pairs

1.6.1 (2020-11-12)

  • Feature: New kwarg for exchange feed - snapshot_interval - used to control number of snapshot updates sent to client
  • Feature: Support for rabbitmq message routing
  • Feature: Support for raw file playback. Will be useful for testing features and building out new test suites for cryptofeed.
  • Feature: Arctic library quota can be configured, new default is unlimited
  • Feature: New exchange: Probit
  • Bugfix: Correctly store receipt timestamp in mongo backend
  • Bugfix: FTX - set a funding rate requests limit constant (10 requests per second, 60 seconds pause between loops)
  • Bugfix: Open Interest data on FTX erroneously had timestamps set to None
  • Update: Binance Jersey shutdown - feed removed
  • Bugfix: Fixed open interest channel for Binance Delivery

1.6.0 (2020-09-28)

  • Feature: Validate FTX book checksums (optionally enabled)
  • Bugfix: Subscribing only to open interest on Binance futures gave connection errors
  • Feature: Authentication for Influxdb 1.x
  • Feature: Override logging defaults with environment variables (filename and log level)
  • Bugfix: For Coinbase L3 books need to ignore/drop some change updates (per docs)
  • Bugfix: Obey rate limits when using Coinbase REST API to get L3 book snapshots
  • Bugfix: Ignore auction updates from Gemini
  • Feature: Add order type (limit/market) for Kraken Trades
  • Feature: Exchange specific information available via info classmethod - contains pairs, data channels and tick size
  • Feature: Funding data supported on HuobiSwap
  • Bugfix: Fix broken mongo callbacks in backends

1.5.1 (2020-08-26)

  • Bugfix: #136 - Kraken Rate limiting
  • Feature: Funding data on Binance Futures
  • Bugfix: Support new Huobi tradeId field, old id field deprecated
  • Bugfix: Unclear errors when unsupported data feeds used
  • Bugfix: Handle order status messages more gracefully in Coinbase
  • Bugfix: Fix Kraken pair mappings
  • Feature: New Exchange - Gate.io
  • Feature: Remove _SWAP, _FUTURE channel (and callback) types - determine correct type at subscribe time based on symbol
  • Docs: Add documentation about callbacks
  • Feature: Deribit provides sequence number for book updates - check them to ensure no messages lost
  • Bugfix: Fix timestamp on Binance Futures Open Interest
  • Bugfix: Update/standardize liquidation callbacks
  • Feature: Update Upbit subscription methods based on updated docs
  • Bugfix: Ticker not working correctly on Binance Futures
  • Feature: Liquidations callbacks for backends

1.5.0 (2020-07-31)

  • Feature: New Exchange - FTX US
  • Feature: Add funding data to rest library
  • Bugfix: DSX updated their API, websocket no longer supported. Removing DSX
  • Feature: Websocket client now uses unbounded message queue
  • Feature: Support for HuobiDM next quarter contracts
  • Bugfix: Fix datetime fields in elasticsearch
  • Feature: BinanceFutures: support ticker, open interest and Liquidation, FTX: support open interest and liquidations, Deribit: liquidations support
  • Bugfix: Fix receipt timestamps in Postgres backend
  • Bugfix: Huobi Swap Init

1.4.1 (2020-05-22)

  • Feature: Support for disabling timeouts on feeds
  • Bugfix: #224 Ignore newly added trading pairs in Poloniex while running
  • Feature: New exchange, DSX
  • Bugfix: Bybit updated their API, websocket subscription to L2 book data needed to be updated
  • Bugfix: Deribit subscription condensed into a single message to avoid issues with rate limit
  • Bugfix: Funding interval for bitmex not converted to integer
  • Bugfix: HuobiSwap missing from feedhandler
  • Feature: Optional flag on Feed to enable check for crossed books
  • Feature: Blockchain Exchange

1.3.1 (2020-03-17)

  • Feature: Add missing update detection to orderbooks in Binance
  • Feature: REST support for FTX
  • Feature: Added new field, receipt timestamp, to all callbacks. This contains the time the message was received by cryptofeed.
  • Feature: Upbit Exchange Support

1.3.0 (2020-02-11)

  • Bugfix: Enabling multiple symbols on Bitmex with deltas and max depth configured could cause crashes.
  • Bugfix: Default open interest callback missing
  • Change: Mongo backend stores book data in BSON
  • Feature: Open Interest callbacks added to all backends
  • Change: Instrument removed in favor of open interest
  • Bugfix: Huobi feedhandlers not properly setting forced indicator for book updates, breaking deltas
  • Bugfix: Some Kraken futures funding fields not always populated
  • Feature: Open interest updates for Kraken futures
  • Feature: Open interest updates for Deribit
  • Bugfix: FTX ticker can have Nones for bid/ask
  • Feature: InfluxDB 2.0 support
  • Bugfix: Deribit funding only available on perpetuals
  • Feature: Enable deltas (with out max depth) on exchanges that do not support them

1.2.0 (2020-01-18)

  • Feature: New exchange: Binance Futures
  • Feature: New Exchange: Binance Jersey
  • Feature: Funding data on Kraken Futures
  • Feature: User defined pair separator (default still -)
  • Feature: Postgres backend
  • Feature: Deribit Funding
  • Bugfix: Deribit subscriptions using config subscribed to symbols incorrectly
  • Bugfix: Some RabbitMQ messages were missing symbol and exchange data
  • Feature: Open interest data for OKX swaps

1.1.0 (2019-11-14)

  • Feature: User enabled logging of exchange messages on error
  • Refactor: Overhaul of backends - new base classes and simplified code
  • Bugfix: Handle i messages from poloniex more correctly
  • Bugfix: Report bittrex errors correctly
  • Feature: New exchange: Bitcoin.com
  • Feature: New exchange: BinanceUS
  • Feature: New exchange: Bitmax
  • Feature: Ability to store raw messages from exchanges

1.0.1 (2019-09-30)

  • Feature: Backfill Bitmex historical trade data from S3 Bucket
  • Feature: RabbitMQ backend
  • Feature: Custom Depth and deltas for all L2 book updates
  • Feature: Support new 100ms book diff channel on Binance
  • Feature: Bittrex exchange support
  • Feature: Ticker support in Redis and Kafka Backends
  • Feature: Ticker callbacks require/contain timestamp
  • Feature: Renko Aggregation
  • Bugfix: Max Depth without deltas should only send updates when book changes
  • Bugfix: Update count and previous book now associated with pair

1.0.0 (2019-08-18)

  • Bugfix #113: Fix remaining exchanges who are not reporting timestamps correctly
  • Feature: Generated timestamps now based on message receipt by feedhandler
  • Feature: Multi-callback support
  • Feature: Rework ZMQ using pub/sub with topics
  • Feature: FTX Exchange
  • Feature: Gemini subscriptions now work like all other exchanges
  • Feature: Use unique id for each feed (as opposed to feed id/name)
  • Bugfix: fix Poloniex historical trade timestamps
  • Bugfix: Bitmex L2 channel incorrectly classified
  • Feature: Kraken Futures
  • Feature: Redis backend supports UDS
  • Feature: Binance full book (L2) with deltas
  • Feature: Allow user to start event loop themselves (potentially scheduling other tasks before/after).

0.25.0 (2019-07-06)

  • Feature: Rest Endpoints for Historical Deribit data
  • Feature: Specify numeric datatype for InfluxDB
  • Bugfix: Greatly improve performance of book writes for InfluxDB
  • Feature: Bybit exchange support
  • Bugfix: Deribit now returning floats in decimal.Decimal
  • Feature: Elastic Search backend

0.24.0 (2019-06-19)

  • Bugfix: Book Delta Conversion issue in backends
  • Bugfix: Tweak BitMEX rest API to handle more errors more gracefully
  • Feature: Deribit Exchange support
  • Feature: Instrument channel
  • Bugfix: support Kraken websocket API changes
  • Bugfix: correct USDT symbol mappings for Bitfinex
  • Bugfix: Fixed mongo book backend
  • Feature: Book delta support for mongo, sockets, ZMQ

0.23.0 (2019-06-03)

  • Feature: Book delta support for InfluxDB
  • Feature: Swaps on OkEX

0.22.2 (2019-05-23)

  • Bugfix: Fix tagging issue in InfluxDB
  • Bugfix: Fix book updates in InfluxDB
  • Feature: Book delta support in Redis backends
  • Feature: Book delta support in Kafka backend

0.22.1 (2019-05-19)

  • Feature: Cleanup callback code
  • Feature: Poloniex subscription now behaves like other exchanges
  • Feature: Kafka Backend

0.22.0 (2019-05-04)

  • Bugfix: Timestamp normalization for backends were losing subsecond fidelity
  • Feature: All exchanges report timestamps in floating point unix time
  • Bugfix: Implement change in OkEx's trading pair endpoint for pair generation

0.21.1 (2019-04-28)

  • Feature: Config support for Coinbene, Binance, EXX, BitMEX, Bitfinex, Bitstamp, HitBTC
  • Feature: Complete clean up of public REST endpoints
  • Feature: Improved book delta example
  • Feature: Bitstamp Websocket V2 - L3 books now supported
  • Bugfix: Incorrect book building in Kraken

0.21.0 (2019-04-07)

  • Bugfix: Coinbase L3 Book would get in cycle of reconnecting due to missing sequence numbers
  • Feature: Kraken L2 Book Deltas
  • Feature: Book deltas streamlined and retain ordering
  • Feature: OKCoin exchange support
  • Feature: OKEx exchange support
  • Feature: Coinbene exchange support
  • Feature: Support Huobi Global and Huobi USA

0.20.2 (2019-03-19)

  • Bugfix: Kraken REST API using wrong symbol for trades
  • Feature: Complete work on standardizing Bitfinex rest API
  • Bugfix: Allow index symbols on Bitmex

0.20.1 (2019-02-16)

  • Feature: Trades sides are now labeled as Buy / Sell instead of Bid / Ask.
  • Feature: Support for the Huobi exchange
  • Bugfix: Change how exchange pairs are mapped for REST module - only map exchanges that are used
  • Bugfix #67: Ensure all trades report the taker's side

0.20.0 (2019-02-04)

  • Feature #57: Write updates directly to MongoDB via new backend support
  • Feature #56: Experimental support for fine grained configuration per exchange
  • Feature #58: Support Kraken websocket API
  • Feature: Only generate trading pair conversions for configured exchanges
  • Feature: Historical trade data on REST API for Kraken

0.19.2 (2019-01-21)

  • Feature #55: OHLCV aggregation method in backends plus support for user defined aggregators
  • Feature: EXX exchange support

0.19.1 (2019-01-11)

  • Bugfix: Poloniex logging had bug that prevented reconnect on missing sequence number

0.19.0 (2019-01-10)

  • Feature #50: Support multiple streams per websocket connection on Binance
  • Bugfix #51: Fix pairs on streams in Binance

0.18.0 (2018-12-15)

  • Feature: InfluxDB support via backend
  • Feature: Aggregation backend wrappers
  • Bugfix: BookDelta callback no longer needs to be an instance of BookUpdateCallback
  • Bugfix: REST module was creating duplicate log handlers
  • Bugfix: Bitfinex REST now properly handles cases when there are more than 1000 updates for a single tick

0.17.4 (2018-11-17)

  • README change for long description rendering issue

0.17.3 (2018-11-17)

  • Feature #41: Rework trading pairs to generate them dynamically (as opposed to hard coded)
  • Feature: When book depth configured Redis, ZMQ and UDP backends only report book changes when changed occurred in depth window
  • Feature: TCP socket backend support
  • Feature: UDS backend support

0.17.2 (2018-11-03)

  • Bugfix #45: Bitstamp prices and sizes in L2 book are string, not decimal.Decimal
  • Feature: Binance support

0.17.1 (2018-10-19)

  • Bugfix #43: Coinbase L2 book used "0" rather than 0 for comparisons against decimal.Decimal
  • Feature: REST feed market data supported via normal subscription methods
  • Feature: Kraken support
  • Bugfix: Bitfinex book timestamps match expected Bitfinex timestamps (in ms)

0.17.0 (2018-10-13)

  • Feature: Timestamps for orderbooks and book deltas
  • Feature #40: NBBO now uses best bid/ask from L2 books
  • Feature #28: GDAX now renamed Coinbase and uses Coinbase endpoints
  • Feature: ZeroMQ backend. Write updates directly to ZMQ connection
  • Feature: UDP Socket backend. Write updates directly to UDP socket

0.16.0 (2018-10-4)

  • Feature: L2 books are now all price aggregated amounts, L3 books are price aggregated orders
  • Book deltas supported on all feeds
  • Bugfix: Fix NBBO feed

0.15.0 (2018-09-29)

  • Feature: GDAX/Coinbase rest support - trades, order status, etc
  • Feature: Arctic backend, supports writing to arctic directly on trade/funding updates
  • Bugfix: #36 Update poloniex to use new trading pairs and handle sequence numbers
  • Bugfix: Improve Bitfinex orderbooks and handle sequence numbers
  • Bugfix: GDAX and Bitmex orderbook and logging improvements

0.14.1 (2018-09-14)

  • Added some docstrings
  • Feature: Add exchanges by name to feedhandler. Easier to instantiate a feedhandler from config
  • Logging improvements
  • Bugfix: non-gathered futures were suppressing exceptions when multiple feeds are configured. Changed to tasks
  • Redis backend uses a connection pool

0.14.0 (2018-09-04)

  • Feature: support for writing order books directly to Redis
  • Feature: ability to specify book depth for Redis updates

0.13.3 (2018-08-31)

  • Feature: normalize Bitfinex funding symbols

0.13.2 (2018-08-31)

  • Bugfix: fix symbol in Bitfinex rest

0.13.1 (2018-08-31)

  • Feature: access rest endpoints via getitem / []
  • Bugfix: #31 - funding channel broke Gemini
  • Feature: Book deltas for GDAX
  • Bugfix: Fix intervals on Bitmex (rest)

0.13.0 (2018-08-22)

  • Feature: Funding data from Bitmex on ws
  • Feature: Funding historical data via rest
  • Bugfix: Python 3.7 compatibility
  • Feature: Rest trade APIs are now generators
  • Feature: funding data on Bitfinex - ws and rest

0.12.0 (2018-08-20)

  • Bugfix: Handle 429s in Bitmex (REST)
  • Feature: Redis backend for trades to write updates directly to Redis
  • Bugfix: issue #27 - Bitmex trades missing timestamps

0.11.1 (2018-08-18)

  • Bitfinex and Bitmex historical trade data via REST
  • Bugfix: interval incorrect for rest time ranges
  • Bugfix: lowercase attrs in Rest interface

0.11.0 (2018-08-05)

  • Feature: Support for delta updates for order books
  • REST API work started

0.10.2

  • Bugfix: Clear data structures on reconnect in bitmex
  • Feature: Support reconnecting on more connection errors
  • Feature: Timestamp support on trade feeds
  • Feature: Connection watcher will terminate and re-open idle connections

0.10.1 (2018-5-11)

  • Feature: Reconnect when a connection is lost
  • Bugfix #22: Check for additional connection failures
  • Feature #4: Trade ID support
  • Feature: Account for new Gemini message type

0.10.0 (2018-03-18)

  • Feature: Bitmex

0.9.2 (2018-03-13)

  • Bugfix #10: Change from float to decimal.Decimal in GDAX
  • Feature #5: use sorted dictionaries for order books
  • Feature #17: logging support
  • Bugfix: Gemini order books now work
  • Bugfix: All json floats parsed to Decimal
  • Bugfix: Fix Bitstamp pair parsing
  • Feature: Major clean up of channel, exchange, and trading pair names

0.9.1 (2018-01-27)

  • Bugfix #4: produce ticker from trades channel on GDAX
  • Feature: Bitstamp feed

0.8.0 (2018-01-07)

  • Feature: HitBTC feed
  • Feature: Poloniex Orderbook support

0.6.0 (2018-01-02)

  • Feature: Gemini Feed

0.5.0 (2018-01-02)

  • Initial release: GDAX, Poloniex, Bitfinex Support
  • Feature: NBBO support