Feeds

The feeds module defines the AbstractVenueFeed protocol — the standardized interface that all exchange plugins must implement.

Overview

AbstractVenueFeed is a Protocol (structural subtyping in Python) that defines the contract every exchange feed must fulfill. This ensures consistent behavior across all exchange plugins regardless of their underlying API differences.

AbstractVenueFeed Protocol

class AbstractVenueFeed(Protocol):
    """Protocol defining the interface for all exchange feeds."""

    async def connect(self) -> None: ...
    async def disconnect(self) -> None: ...
    async def is_connected(self) -> bool: ...

    # Market Data
    async def get_tick(self, symbol: str) -> Optional[Ticker]: ...
    async def get_depth(self, symbol: str, count: int = 20) -> Optional[OrderBook]: ...
    async def get_kline(self, symbol: str, period: str, count: int = 100) -> Optional[List[Bar]]: ...

    # Trading
    async def make_order(self, order_request: OrderRequest) -> Order: ...
    async def cancel_order(self, symbol: str, order_id: str) -> bool: ...
    async def get_order(self, symbol: str, order_id: str) -> Optional[Order]: ...
    async def get_orders(self, symbol: str, limit: int = 100) -> List[Order]: ...

    # Account
    async def get_balance(self, asset: Optional[str] = None) -> List[Balance]: ...
    async def get_position(self, symbol: Optional[str] = None) -> List[Position]: ...

    @property
    def capabilities(self) -> FeedCapabilities: ...

AsyncWrapperMixin

Provides async method wrappers around sync methods for feeds that only implement sync interfaces.

class AsyncWrapperMixin:
    """Mixin providing async wrappers for sync methods."""

    async def async_get_tick(self, symbol: str) -> Optional[Ticker]:
        """Async wrapper for get_tick."""
        return self.get_tick(symbol)

    async def async_make_order(self, order_request: OrderRequest) -> Order:
        """Async wrapper for make_order."""
        return self.make_order(order_request)

FeedCapabilities

@dataclass
class FeedCapabilities:
    """Describes what a feed can do."""
    support_spot: bool = False
    support_margin: bool = False
    support_swap: bool = False
    support_future: bool = False
    support_option: bool = False
    support_order: bool = False
    support_cancel: bool = False
    support_balance: bool = False
    support_position: bool = False
    support_kline: bool = False
    support_depth: bool = False

---

中文

概述

feeds 模块定义了 AbstractVenueFeed 协议 — 所有交易所插件必须实现的标准接口。

AbstractVenueFeed 协议

AbstractVenueFeed 是一个 Protocol（Python 结构子类型），定义了每个交易所 feed 必须履行的契约。

主要方法

类别	方法	说明
连接	connect(), disconnect(), is_connected()	连接管理
行情	get_tick(), get_depth(), get_kline()	市场数据
交易	make_order(), cancel_order(), get_order()	订单操作
账户	get_balance(), get_position()	账户查询

FeedCapabilities

描述 feed 的能力：

字段	说明
support_spot	支持现货
support_swap	支持合约
support_future	支持期货
support_option	支持期权
support_order	支持下单

AsyncWrapperMixin

为仅实现同步接口的 feed 提供异步方法包装：

class MyFeed(AsyncWrapperMixin):
    def get_tick(self, symbol: str):
        return self.fetch_tick_sync(symbol)
    # AsyncWrapperMixin provides async_get_tick() automatically