PyAlgoEngine: Python Algo-Trading Engine
This module is a high-performance market data buffer implementation written in Python, Cython and C, designed for HFT (High Frequency Trading) system.
📦 Features
- C-level data structures for fast market data access
- Efficient shared memory support for interprocess communication
- Compile-time configurable parameters for memory and layout tuning
⚙️ Compile-Time Configuration
This module allows overriding several constants at compile time via environment variables.
Available Parameters
| Variable | Default | Description |
|---|---|---|
TICKER_SIZE |
32 |
Max length of a ticker symbol |
BOOK_SIZE |
10 |
Max depth of the order book |
ID_SIZE |
16 |
Max length of ID field |
MAX_WORKERS |
128 |
Max number of concurrent workers |
These values are defined in c_market_data_config.h, but can be overridden at build time.
🚀 Building with Custom Parameters
To override default values, set environment variables before building:
Using pip install
TICKER_SIZE=64 BOOK_SIZE=20 pip install .
Using setup.py directly
TICKER_SIZE=64 BOOK_SIZE=20 python setup.py build_ext --inplace
These environment variables are passed to the C compiler as -D flags and will override the fallback values in c_market_data_config.h.
🧪 Verify Compilation
You can verify the values were compiled correctly by running:
from algo_engine.base import C_CONFIG
print(C_CONFIG)
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