pfeed 0.0.8

Data pipeline for algo-trading, getting and storing both real-time and historical data made easy.

PFeed: The Single Source of Truth for Algo-Trading Data. Uniting Traders to Clean Once & Share with All.

This library is NOT ready for use, please wait for 0.1.0 release.

TL;DR: use pfeed to manage your trading data; other traders will help you clean it

For illustration purposes only, not everything shown is currently supported.

Problem

Starting algo-trading requires reliable and clean data, but traders often work in silos, each writing duplicated code to clean the same datasets—wasting time and effort. Accessing clean, ready-to-use data is a challenge, forcing traders to handle tedious data tasks before they can even start trading.

Solution

pfeed leverages modern data engineering tools to centralize data cleaning efforts, automate ETL/ELT, store data in a data lake with Delta Lake support, and output backtesting-ready data, allowing traders to focus on strategy development.

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pfeed (/piː fiːd/) is the data engine for trading, serving as a pipeline between raw data sources and traders. It enables you to download historical data, stream real-time data, and store cleaned data in a local data lake for quantitative analysis, supporting both batch processing and streaming workflows through streamlined data collection, cleaning, transformation, and storage.

Core Features

• Download or stream reliable, validated and clean data for research, backtesting, or live trading
• Get historical data (dataframe) or live data in standardized formats by just calling a single function
• Own your data by storing them locally using MinIO + Deltalake, or in the cloud
• Interact with different kinds of data (including TradFi, CeFi and DeFi) using a unified interface
• Scale using modern data tools (e.g. Polars, Dask) and workflow orchestration frameworks (e.g. Prefect for batch processing)

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Table of Contents

• Installation
• Quick Start
  • Get Historical Data in Dataframe
  • Download Historical Data
• Supported Data Sources
• Related Projects
• Disclaimer

Installation

For more installation options, please refer to the documentation.

# [RECOMMENDED]: Core Features, including MinIO, DeltaLake, Ray, Prefect, etc.
pip install -U "pfeed[core]"

# add your desired data sources, e.g. databento, polygon, etc.
pip install -U "pfeed[core,databento,polygon]"

# Minimal Features
pip install -U "pfeed"

Quick Start

Create data feed object

import pfeed as pe

bybit = pe.Bybit(data_tool='polars')
feed = bybit.market_feed  # this could be xxx.news_feed if the data source supports it

1. Get Historical Data in Dataframe

Get Bybit's data in dataframe, e.g. 1-minute data (data is downloaded on the fly if not found in storage)

df = feed.get_historical_data(
    product='BTC_USDT_PERP',  # or BTC_USDT_PERPETUAL in full
    resolution='1minute',  # '1tick'/'1t' or '2second'/'2s' etc.
    start_date='2025-01-01',
    end_date='2025-01-01',
)

See the first few rows of df:

date	resolution	product	symbol	open	high	low	close	volume
2025-01-01 00:00:00	1m	BTC_USDT_PERP	BTCUSDT	93530	93590.8	93501.3	93590.5	30.284
2025-01-01 00:01:00	1m	BTC_USDT_PERP	BTCUSDT	93590.5	93627.7	93571.8	93625	30.334

By using pfeed, you are just one function call away from getting a standardized dataframe

2. Download Historical Data

Download historical data to the storage (e.g. local, MinIO, DuckDB etc.)

feed.download(
    product='ETH_USDT_SPOT',
    resolution='1s',  # 1-second data
    rollback_period='1w',  # rollback 1 week
    to_storage='local',
)

Supported Data Sources

Data Source	Get Historical Data	Download Historical Data	Get Live Data	Stream Live Data
Yahoo Finance	🟢	⚪	⚪	⚪
Bybit	🟢	🟢	🟡	🔴
*Interactive Brokers	🔴	⚪	🔴	🔴
*FirstRate Data	🔴	🔴	⚪	⚪
*Databento	🔴	🔴	🔴	🔴
*Polygon	🔴	🔴	🔴	🔴
Binance	🔴	🔴	🔴	🔴
OKX	🔴	🔴	🔴	🔴

🟢 = finished
🟡 = in progress
🔴 = todo
⚪ = not applicable
* = paid data

Related Projects

• PFund — A Complete Algo-Trading Framework for Machine Learning, TradFi, CeFi and DeFi ready. Supports Vectorized and Event-Driven Backtesting, Paper and Live Trading
• PyTrade.org - A curated list of Python libraries and resources for algorithmic trading.

Disclaimer

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE, AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES, OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF, OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

This framework is intended for educational and research purposes only. It should not be used for real trading without understanding the risks involved. Trading in financial markets involves significant risk, and there is always the potential for loss. Your trading results may vary. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this platform.

The developers of this framework are not responsible for any financial losses incurred from using this software. This includes but not limited to losses resulting from inaccuracies in any financial data output by PFeed. Users should conduct their due diligence, verify the accuracy of any data produced by PFeed, and consult with a professional financial advisor before engaging in real trading activities.