orderflow-gregorian09 0.2.0

Python ctypes binding for the Orderflow C API

Orderflow Python Binding (orderflow-gregorian09)

Production-focused Python API for the Orderflow runtime.
This package wraps the stable of_ffi_c ABI via ctypes and provides a typed, high-level interface for lifecycle management, subscriptions, snapshots, and external feed ingestion.

The README is intentionally API-complete so the PyPI page can be used as a single reference, similar to high-signal package pages such as TA-Lib and FastAPI.

Architecture

Installation

pip install orderflow-gregorian09

Python support

• Python 3.10+

Native runtime requirement

The Python package is a wrapper. A compatible libof_ffi_c shared library must be available at runtime.

Library resolution order:

1. library_path= passed to Engine(...)
2. ORDERFLOW_LIBRARY_PATH environment variable
3. default local debug path (target/debug/libof_ffi_c.*)

export ORDERFLOW_LIBRARY_PATH=/absolute/path/to/libof_ffi_c.so

Quick Start

from orderflow import DataQualityFlags, Engine, EngineConfig, Symbol, StreamKind

with Engine(EngineConfig(instance_id="py-client")) as eng:
    sym = Symbol("CME", "ESM6", depth_levels=10)
    eng.subscribe(sym, StreamKind.ANALYTICS)
    eng.poll_once(DataQualityFlags.NONE)
    print("api_version", eng.api_version)
    print("build_info", eng.build_info)
    print("analytics", eng.analytics_snapshot(sym))
    print("derived", eng.derived_analytics_snapshot(sym))
    print("signal", eng.signal_snapshot(sym))
    print("metrics", eng.metrics())

Public API Reference

Constants

StreamKind

Name	Value	Meaning
BOOK	1	Level-2 book update stream
TRADES	2	Trade print stream
ANALYTICS	3	Analytics snapshot stream
SIGNALS	4	Signal snapshot stream
HEALTH	5	Health transition stream
BOOK_SNAPSHOT	6	Materialized book snapshot stream after book changes
DERIVED_ANALYTICS	7	Derived analytics stream after trade-driven analytics changes

Side

Name	Value	Meaning
BID	0	Bid / buy side
ASK	1	Ask / sell side

BookAction

Name	Value	Meaning
UPSERT	0	Insert or update price level
DELETE	1	Delete price level

DataQualityFlags

Name	Value	Meaning
NONE	0	No quality issues
STALE_FEED	1 << 0	Feed became stale
SEQUENCE_GAP	1 << 1	Sequence gap detected
CLOCK_SKEW	1 << 2	Clock skew detected
DEPTH_TRUNCATED	1 << 3	Depth truncation occurred
OUT_OF_ORDER	1 << 4	Out-of-order sequence detected
ADAPTER_DEGRADED	1 << 5	Adapter/feed degraded

Exceptions

Exception	Purpose
OrderflowError	Base binding/runtime failure
OrderflowStateError	Invalid lifecycle/state transition
OrderflowArgError	Invalid argument passed to native API

Data Classes

Symbol(venue: str, symbol: str, depth_levels: int = 10)

• venue/instrument descriptor used by subscribe/snapshot/ingest APIs.

EngineConfig(...)

EngineConfig fields:

Field	Type	Default	Notes
instance_id	str	"python"	Runtime instance id
config_path	str	""	Optional runtime config file path
log_level	int	0	Reserved log-level field
enable_persistence	bool	False	Enable local persistence
audit_max_bytes	int	10*1024*1024	Per-file audit size before rotation
audit_max_files	int	5	Number of rotated audit files
audit_redact_tokens_csv	str	"secret,password,token,api_key"	Redaction tokens
data_retention_max_bytes	int	10*1024*1024	Persistence retention limit
data_retention_max_age_secs	int	7*24*60*60	Max retention age

ExternalFeedPolicy(stale_after_ms: int = 15000, enforce_sequence: bool = True)

• external ingest supervision policy for stale and sequence validation.

Engine API

Constructor and properties

Signature	Description
Engine(config: EngineConfig, library_path: Optional[str] = None)	Creates native engine handle
engine.api_version -> int	Returns native ABI version
engine.build_info -> str	Returns native build descriptor

Lifecycle and session

Signature	Description
start() -> None	Starts runtime
stop() -> None	Stops runtime
close() -> None	Unsubscribes and destroys native handle
context-manager (with Engine(...))	Calls start() / close() automatically

Subscription and polling

Signature	Description
subscribe(symbol, stream_kind=StreamKind.ANALYTICS, callback=None)	Registers stream subscription with optional callback
unsubscribe(symbol)	Unsubscribes all streams for symbol
poll_once(quality_flags=DataQualityFlags.NONE)	Drains adapter/runtime once
reset_symbol_session(symbol)	Resets per-symbol session/profile state

External feed supervision

Signature	Description
configure_external_feed(policy)	Sets stale/sequence policy
set_external_reconnecting(reconnecting)	Marks reconnect/degraded state
external_health_tick()	Re-evaluates stale status without ingest

External ingest

Signature	Description
ingest_trade(symbol, price, size, aggressor_side, sequence=0, ts_exchange_ns=0, ts_recv_ns=0, quality_flags=DataQualityFlags.NONE)	Injects one external trade
ingest_book(symbol, side, level, price, size, action=BookAction.UPSERT, sequence=0, ts_exchange_ns=0, ts_recv_ns=0, quality_flags=DataQualityFlags.NONE)	Injects one external book update

Snapshots and metrics

Signature	Description	Return
book_snapshot(symbol)	Current book snapshot	dict[str, Any]
analytics_snapshot(symbol)	Current analytics snapshot	dict[str, Any]
derived_analytics_snapshot(symbol)	Current derived analytics snapshot	dict[str, Any]
session_candle_snapshot(symbol)	Current session candle snapshot	dict[str, Any]
interval_candle_snapshot(symbol, window_ns)	Current rolling interval candle snapshot	dict[str, Any]
signal_snapshot(symbol)	Current signal snapshot	dict[str, Any]
metrics()	Runtime metrics	dict[str, Any]

book_snapshot(symbol) returns a dictionary with:

• venue
• symbol
• bids
• asks
• last_sequence
• ts_exchange_ns
• ts_recv_ns

The Python wrapper retries automatically if the native snapshot payload is larger than the initial buffer.

session_candle_snapshot(symbol) returns a dictionary with:

• open
• high
• low
• close
• trade_count
• first_ts_exchange_ns
• last_ts_exchange_ns

interval_candle_snapshot(symbol, window_ns) returns a dictionary with:

• window_ns
• open
• high
• low
• close
• trade_count
• total_volume
• vwap
• first_ts_exchange_ns
• last_ts_exchange_ns

Usage Patterns

Poll-only flow (no callback)

from orderflow import DataQualityFlags, Engine, EngineConfig, Symbol, StreamKind

with Engine(EngineConfig(instance_id="poll-only")) as eng:
    sym = Symbol("CME", "ESM6", 10)
    eng.subscribe(sym, StreamKind.ANALYTICS, callback=None)
    eng.poll_once(DataQualityFlags.NONE)
    snap = eng.analytics_snapshot(sym)
    print("delta", snap.get("delta"))

Callback flow

from orderflow import Engine, EngineConfig, Symbol, StreamKind

def on_analytics(ev: dict) -> None:
    print("analytics event:", ev)

with Engine(EngineConfig(instance_id="cb-flow")) as eng:
    sym = Symbol("CME", "ESM6", 10)
    eng.subscribe(sym, StreamKind.ANALYTICS, callback=on_analytics)
    eng.poll_once()

External ingest + quality gating

from orderflow import (
    BookAction,
    DataQualityFlags,
    Engine,
    EngineConfig,
    ExternalFeedPolicy,
    Side,
    Symbol,
    StreamKind,
)

sym = Symbol("BINANCE", "BTCUSDT", depth_levels=20)

with Engine(EngineConfig(instance_id="external-ingest")) as eng:
    eng.configure_external_feed(
        ExternalFeedPolicy(stale_after_ms=2_000, enforce_sequence=True)
    )
    eng.subscribe(sym, StreamKind.HEALTH, callback=lambda ev: print("health:", ev))

    eng.ingest_book(sym, Side.BID, 0, 62500000, 1000, BookAction.UPSERT, sequence=1)
    eng.ingest_trade(sym, 62510000, 200, Side.ASK, sequence=2)
    eng.poll_once(DataQualityFlags.NONE)

Operational Notes

• callbacks fire during poll_once(...) and ingest_* calls.
• callback handlers should remain non-blocking.
• snapshot APIs decode runtime JSON and return Python dict.
• OrderflowStateError("engine is closed") means close() was already called.

Troubleshooting

FileNotFoundError: Orderflow shared library not found

• build native runtime (cargo build -p of_ffi_c) or provide explicit path.
• verify ORDERFLOW_LIBRARY_PATH points to the correct platform library.

OrderflowArgError from subscribe/ingest

• validate symbol fields (venue, symbol not empty).
• validate enum-like integer constants (Side, BookAction, StreamKind).

No callback events

• ensure subscription callback is not None.
• call poll_once(...) regularly if using adapter-driven mode.

Documentation and Links

• Project docs: https://github.com/gregorian-09/orderflow/tree/main/docs
• Binding guide: https://github.com/gregorian-09/orderflow/tree/main/docs/bindings/python.md
• Handbook: https://github.com/gregorian-09/orderflow/tree/main/docs/handbook
• Changelog: https://github.com/gregorian-09/orderflow/blob/main/CHANGELOG.md