  pyRT | |
  apps | The pyRT.apps package has many fully functional real-time services: |
  DMA | The pyRT.apps.DMA package has examples for mining Direct Exchange recorded data from the DMA module: |
 AcVol | |
| BookDump | |
| ComboCop | Chew thru tape to determine the following: |
| PrintBook | |
| TopOfBook1 | |
| TradeFilter | |
| WhaleFinder | |
 Yellow | |
| feeds | The pyRT.apps.feeds package has a few utilities for gatea.feeds.xxx |
| BuildBook | |
| Drop2sql | |
| LoadDB | |
| MemoirDump | |
| MemoirSeqCheck | |
| split_pcap | |
| GateaEx | The pyRT.apps.GateaEx package builds and cracks the Gatea Exchange wire protocol |
| Rewind | GateaEx atsRewind client |
 warp | The pyRT.apps.warp package has many fully functional real-time services from the Data Capture (Record / Replay) platform: |
| Algo | Algorithmic-based calculations and alerts: |
| SMACrossover | Simple Moving Average
|
| Filter | Real-time data stream filters: |
| BlockTrade1 | Pubish block trades:
- Exceeding $1 million (configurable)
|
| BlockTrade2 | Pubish block trades:
- Exceeding $1 million (configurable)
- Any other configured value (multiple streams)
|
| FeedAgg | |
| OPRATrade4 | |
| Tick2TimeSeries | Convert Tick-by-Tick from Tape to Time Series in CSV
- Configurable Interval
- Configurable Fields to Dump
|
| Monitor | Data Quality Monitors: |
| Config | |
| CrossMkt | |
| Latency5 |
|
| LatencyReport | |
| PriceCheck | Monitor BID, ASK, LAST for whacked-out prices |
| monWarp | |
| Simple | Simple Examples: |
| DelayOpen | Delay publication of Initial Image |
| FieldMap | 'Fan out' fields at publication time as follows: |
| HelloWorld | |
| MsgCount | Calculate and publish Message Rate every 60 secs (configurable) for user-defined data sets defined by either RegExp or ticker list |
| NickelSpreader | Simple example to widen quote spread by 0.05 (a nickel):
- Hook BID, ASK real-time fields
- Deduct a _NICKEL from BID
- Add a _NICKEL to ASK
|
| NoWarp | The simplest example : Pipe from Tape to TREP / MDDirect |
| PubStale | Publish STALE status on command from user |
| QuoteWarp | Warp BID, ASK, LAST from prices in Pre-Market Risk file (scraped from Google)
- Load Pre-Market risk file from Google
- Hook BID, ASK, LAST real-time fields
- Add Offset from Pre-Market Risk File to BID, ASK, LAST
|
| ReplayCtl |
- Pipe from Tape to TREP / MDDirect
- Replay Control
|
| RestrictedList | Hook DSPLY_NAME : Add '[R]' |
| Snap | |
| SpreadQuote | Simple example to flip BID and ASK to break downstream apps |
| TradeCount | |
| Stat | Statistics-based analysis: |
| PairCorrelate7 | |
| ValueAdded | New calculations: |
| BasketCalc1 | |
| ChainMaker1 | |
| DailyHiLo | |
| FeedAgg | Feed Aggregator / Conflator that conflates quotes and flushes at a user-defined interval (1-sec) or when the ticker trades |
| SyntheticBBO | National BBO Book |
| TWAP | Calc and publish to 3 value added data sets
- Time-Weighted BID and ASK on every Quote Update
- Open, High, Low, Close on every Trade Update, if configured
- Candle Bar as <ticker>.BAR, if configured
|
| VendorCmp | Vendor Comparison: |
| Basic | NASDAQ Basic Comparator
|
| SeqNum1 | |
| crypto | The pyRT.crypto package has Crypto Exchange Classes : bybit, deribit, etc |
| Algo | FlashJ Algos |
| AlgoBase | AlgoBase : Base class for AlgoServer instances |
| BurnCPU | |
| ByHand | ByHand : FlashJ Algo |
| DreamChaser | Logic:
- Chase Bid / Ask Top of Book
- Cxl/Rpl when Market Data Changes
- Publish Stats to MDD
|
| PingPong | PingPong : FlashJ Algo |
| RestSvr | AlgoServer : Rest API |
| SpreadMaker | Logic:
- We have 2 related coins A and B; Order doesn't matter
- You want a Cockpit-adjustable spread of 10:
- A is 11 bid at 12; B is 21 bid at 22
- Put BUY order on A for 11; SELL on B for 22; Spread is 11
|
| BybitOE | Bybit Order Entry WebSox Bridge |
| DeribitOE | Deribit Order Entry WebSox Bridge |
| Enum | Enumerated types for exchanges: |
| Bybit | |
| Deribit | |
| ExchSvr | CryptoOMS Exchange Server |
| LiveOrderDb | Common Crypto Live Order D/B |
| OEMsg | OEMsg : JSON-ified FlashJ Order Flow Messages
- NewOrder
- RplOrder
- CxlOrder
- ExecRpt
|
| util | The pyRT.crypto.util package has Crypto utilities : tapeDump / CSV data parsing and scrubbing, etc |
| BybitDict | |
| DataScrub | |
| FlashJ | |
| WebSoxSvr | |
| customers | The pyRT.customers package has customer-specific code |
| blue | The pyRT.customers.blue package has Blue Ocean-specific code |
| FIXPump | Blue Ocean Market FIX Message Pump |
| IMsgPump | Blue Ocean Market Data Abstract Message Pump |
| MemoirPump | Blue Ocean Market Memoir Message Pump |
| gatea | The pyRT.gatea library includes several modules to help your quickly build value added services atop the Gatea platforms |
| admin | XML Admin / Control Channel Stuff
- gateaReplay
- etc
|
| gateaReplay | GateaReplay XML Control Channel Web Interface
- HttpMgr : Web Server;
- HttpChan :
|
| DMA | Higher-order classes to use data from native.dmaModule: |
| Manager | Abstract base class for holding Securities, Records, etc |
| Security | Real-time Security record and Listener class to receive notification when life-cycle events - TRADE and QUOTE - are driven into the Security |
| feeds | The pyRT.gatea.feeds has includes several modules for consuming market data |
| BidFX | BidFX Specific Stuff:
- BidFX : Streaming API
|
| BidFX | |
| CITI | CITI Specific Stuff:
- Velocity : CITI Velocity API
|
| Velocity | CITI Velocity API |
| common | Shared Stuff:
- DeadCache : Dead Tickers Cache to protect data source from constant re-request
|
| DeadCache | Cache of Dead Tickers |
| ErisX | ErisX Specific Stuff:
- RestAPI : Historical Rest API
|
| RestAPI | ErisX Historical Rest API |
| MDD | Gatea MDDirect Platform API |
| libMDDirect | |
| memx | Members Exchange Message Cracking Stuff: |
| DataDict | |
| Depth | MEMOIR Full Book Message Cracking |
| LastSale | MEMOIR Last Sale Message Cracking |
| Memoir | MEMOIR Message Cracking - Common Messages |
| SBE | MEMX-SBE Message Cracking |
| TopOfBook | MEMOIR Top of Book Message Cracking |
| UDP | MEMX MEMX-UDP Header Message Cracking |
| nasdaq | NASDAQ protocols message cracking and building |
| BasicEnum | NASDAQ Basic Enumerated Types |
| BasicMsg | NASDAQ Basic Message Cracking Classes |
| CanadaEnum | NASDAQ Basic Canada Enumerated Types |
| CanadaMsg | NASDAQ Basic Canada Message Cracking Classes |
| NFIEnum | NASDAQ Fixed Income (NFI) Enumerated Types |
| NFIMsg | NASDAQ Fixed Income (NFI) Message Cracking classes |
| SoupChannel | One-shot Soup protocol channel |
| nyse | NYSE protocols message cracking and building |
| CTFDataDict | CTF Protocol Data Dictionary including handy field and message dicts: |
| CTFMsg | CTF Message Cracker |
| XDPEnum | NYSE XDP Enumerated Types |
| XDPMsg | NYSE XDP Message Cracker |
| Symbology | Cross-Asset Symbology Stuff
- ForEx : FX Name Translation
|
| ForEx | FX Symbology Translation |
| FIX | FIX protocol message cracking and building |
| EventGroups | Cracked EventGroups repeat group of FIX fields : Count = NoEvenbts |
| FIXDictionary | FIX Protocol Data Dictionary including handy field and message dicts: |
| MDEntries | Cracked MDEntries repeat group of FIX fields : Count = NoMDEntries |
| Message | FIX Message Cracker |
| RepeatGroups | Cracked repeat group of FIX fields |
| SecListGroups | Cracked SecListGroups repeat group of FIX fields : Count = NoRelatedSym |
| GateaEx | GateaEx Wire Protocol |
| Enum | GateaEx string-ified Enumerated Types |
| Messages | Any message on the GateaEx backbone |
| OuchMsgs | NASDAQ Ouch Message Pack / Unpack |
| Platform | GateaEx Platform Stuff: |
| MktData | Commonly used Market Data Constructs:
- Calculations : Open/Hi/Lo, TWAP, etc
- Data Dictionary
- Refinitiv Enum d/b
- Chains
- Field Lists
- Gatea MD-Direct Real-Time Platform
|
| Calc | Common market data calculations: |
| Chain | Sorted and Unsorted Chain of related records |
| DataDictionary | Dictionary of all defined fields |
| FieldList | |
| Fundamental | Fundamental data from a Security Master |
| Index | Index Calculator : Weighted and Non-Weighted |
| MDDirect | librtEdge C Extension in Python
|
| ReuterEnumDb | Refinitiv (aka Reuters) Enum Type d/b |
| net | General Purpose Network-related classes: |
| DataDog | DataDog StatsD Protocol |
| GLconn | Robust, auto-reconnecting asyncore-driven TCP socket connection classes |
| GLeventQueue | Inter-thread event queue |
| GLthread | A native asyncore-driven thread capable of dispatching:
- read/write and timer events into GLconn
- Events from GLeventQueue
|
| pcap | Pcap File / Record Header Cracker |
| Pump | A gatea.sys.Thread.Thread-based asyncore pump |
| Socket | A gatea.net.Pump.Pump-driven TCP connection |
| OMS | Order Management Stuff: |
| OrderBook | Live Order Book with Orders, Price Levels, etc |
| TradeDB | Database of Trades, indexed by Security |
| quant | Quant Stuff, mostly from Numerical Recipes in C: |
| CubicSpline | Cubic Spline : From Numberical Recipe in C, (c) 1986-1992 |
| stat | Time-series Stats: |
| Correlation | Correlaton of EQUAL-LENGTH Time Series |
| TimeSeries | A time series of data points w/ variance, StdDev, mean, RSI, etc |
| sys | System-level stuff: |
| asyncore | Vanilla asyncore with 2 lines of code so that dispatchers don't spin uncontrollably after handle_close |
| Digest | Event conflator to throttle events every configurable interval |
| GLcommon | Commonly used routines |
| GLmmap | Memory-mapped file |
| GLodbc | Resilient pyodbc connection to ODBC d/b |
| OSaddin | Missing stuff from OS : SetThreadName(), etc |
| SMTP | Send E-mail / text via SMTP |
| Thread | Named thread that start and stops cleanly |
| web | Web-related classes |
| HttpServer | Embedded HTTP Server instance |
| WebSockets | WebSockets consumer class |
| xml | XML parsing and building |
| DTD | XML DTD : Commonly used strings |
| GLxml | |
| GLxml_sax | OSaddin- or xml.sax-driven parsing logic and classes:
- Parser
- Element
|
| native | The pyRT.native package contains Python classes to give you a Pythonic view of the native Embedded Reactor API through a single class |
| AlgoServerReactor | Embedded AlgoServer Reactor API |
| Constants | Hard-coded constant values and useful utilities used across all native embedded modules |
| cryptoOMSReactor | Embedded cryptoOMS Reactor API |
| dmaModule | Embedded DMA Module API |
| omniBridgeModule | Embedded omniBridge Reactor API |
| warpModule | Embedded warp Module API |
1.8.5 
