tickrush
tickrush is a performance-first ingestion layer for saved Betfair Exchange price stream data.
Its sole purpose is to get historical Betfair MarketBook updates into flumine as fast as possible.
Installation
Initial releases are available from GitHub. A PyPI release will follow shortly.
pip install git+https://github.com/mberk/tickrush.git
Python >=3.10 required. A Rust toolchain is required to build the PyO3 extension.
Usage
To use tickrush when running a flumine simulation simply apply a trivial monkey-patch to HistoricalStream.create_generator.
Here is an illustration using the flumine LowestLayer example strategy:
# Store original create_generator for restoration
_original_create_generator = HistoricalStream.create_generator
# Monkey-patch HistoricalStream to use tickrush
HistoricalStream.create_generator = tickrush.create_generator
client = clients.SimulatedClient()
framework = FlumineSimulation(client=client)
markets = ["tests/resources/PRO-1.170258213"]
strategy = LowestLayer(
market_filter={"markets": markets},
max_order_exposure=1000,
max_selection_exposure=105,
context={"stake": 2},
)
framework.add_strategy(strategy)
framework.run()
# Restore original
HistoricalStream.create_generator = _original_create_generator
Intent
tickrush is obsessively focused on minimising the time taken to:
- parse archived Betfair stream messages
- produce
MarketBookobjects consumable byflumine - access fields on said
MarketBookobjects
Everything else is deliberately out of scope.
Technology
- Rust parser exposed via PyO3
- Low-allocation decoding of Betfair stream messages
- Efficient runner- and price-level cache reuse
- Thin Python surface designed to integrate directly with
flumine
Roadmap
Planned future work includes:
- A compact proprietary file format for even more efficient parsing
- Offering a range of stripped down
MarketBook-like objects to avoid unnecessarily constructing unused fields - Switching to a pure C extension to minimise
getteroverhead
Status
This project is under active development and not yet API-stable.
1 maintainer
Metadata
1 maintainer
Release files for tickrush 0.1.0
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| tickrush-0.1.0.tar.gz | 858.7 kB | Details |
Built distributions (wheels)
Total release size: 7.6 MB
Release files / tickrush-0.1.0.tar.gz
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|---|---|
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| Tags | Source |
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Transparency logRelease files / tickrush-0.1.0-cp310-cp310-macosx_11_0_arm64.whl
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| Tags | CPython 3.10 macOS 11.0+ ARM64 |
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| Download URL | tickrush-0.1.0-cp310-cp310-macosx_10_12_x86_64.whl |
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| Size | 355.8 kB |
| Tags | CPython 3.10 macOS 10.12+ x86-64 |
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