Rithmic MBO & Trade Data Bridge

A high-performance market data bridge that connects to Rithmic via R|API+ (.NET) and publishes MBO (Market-by-Order) and Trade data over ZeroMQ. Designed for low-latency algorithmic trading and RL (Reinforcement Learning) environments.

日本語版はこちら (Japanese version)

Architecture

sequenceDiagram
    participant Client as Client Application (WSL2/Linux/Python)
    participant Publisher as Rithmic Bridge Publisher (Windows)
    participant Rithmic as Rithmic Infrastructure (R|API+)

    Note over Publisher, Rithmic: Connects via Plugin Mode (Port 56000)
    Publisher->>Rithmic: Subscribe(Symbol, Exchange)
    Rithmic-->>Publisher: Market Data (MBO/Trade)
    Publisher-->>Client: ZeroMQ PUB (Stream Data)
    Client->>Publisher: ZeroMQ REQ (Dynamic Subscription)

Features

• Dynamic Subscription: Subscribe to symbols on-the-fly without restarting the server.
• MBO Support: Real-time Order Book reconstruction (Level 3 data).
• ZeroMQ Distribution: Publish data to multiple clients over the network (e.g., from Windows to WSL2).
• Python Library: Ready-to-use RithmicClient class for easy integration.
• Low Latency: Optimized queue management and data serialization.

Prerequisites

• Windows 10/11 (for the Publisher)
• R | API+ (.NET) from Rithmic
• R | Trader Pro (for Plugin Mode connection)
• Python 3.10+

Installation

1. R | API+ (.NET) Setup

This project requires the Rithmic API library rapiplus.dll. Redistribution of this DLL is prohibited.

1. Request the API: Visit https://www.rithmic.com/api-request and request the R | API (.NET).
2. Installation: Place the rapiplus.dll from the downloaded package into the standard Rithmic path: C:\Program Files (x86)\Rithmic\Rithmic Trader Pro\rapiplus.dll

2. Install the Bridge

pip install rithmic-bridge

# Recommended for local editable CLI usage
uv tool install --editable .

Quick Start

1. Launch the Publisher (Windows)

Launch the publisher in R|API mode. You can provide credentials via command-line arguments:

uvx rithmic-bridge publish --mode rapi --user YOUR_USER --password YOUR_PASS --symbol GCJ6 --exchange COMEX

Note: Use --mode dummy for testing without a Rithmic account.

2. Use the Client Library (Client/WSL2)

from rithmic_bridge.client.library import RithmicClient

# Connect to the publisher on Windows
client = RithmicClient(host="192.168.x.x")

# Define callbacks
def on_mbo(event):
    print(f"MBO: {event.price} x {event.size}")

def on_trade(event):
    print(f"TRADE: {event.price} @ {event.size}")

client.on_mbo(on_mbo)
client.on_trade(on_trade)

client.connect()
client.subscribe("GCJ6", "COMEX")

# Keep the script running
import time
while True:
    time.sleep(1)

3. CLI Client

You can also use the built-in CLI client for quick monitoring:

uvx rithmic-bridge client --host 192.168.x.x --symbol GCJ6 --exchange COMEX

Configuration

The system can be configured via command-line arguments (recommended) or a .env file.

Development

We use uv for dependency management.

git clone https://github.com/akivajp/rithmic-bridge
cd rithmic-bridge
uv sync

License

MIT License