tickrush 0.1.0

High-performance Betfair price stream reader

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 MarketBook objects consumable by flumine
• access fields on said MarketBook objects

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 getter overhead

Status

This project is under active development and not yet API-stable.