rustrade-data
Integration library for streaming public market data from exchanges and data providers.
Supported Exchanges
Binance, Bitfinex, Bitmex, Bybit, Coinbase, Gate.io, Kraken and OKX are always available. The other
exchanges and the data providers are each behind a Cargo feature, none enabled by default:
alpaca, databento, hyperliquid, ibkr, lse (lse-parquet adds Parquet export decoding)
and massive.
| Exchange | Constructor | InstrumentKinds | SubscriptionKinds |
|---|---|---|---|
| BinanceSpot | BinanceSpot::default() |
Spot | PublicTrades, OrderBooksL1, OrderBooksL2, Candles |
| BinanceFuturesUsd | BinanceFuturesUsd::default() |
Perpetual | PublicTrades, OrderBooksL1, OrderBooksL2 |
| BinanceFuturesUsdMarket | BinanceFuturesUsdMarket::default() |
Perpetual | Liquidations, Candles |
| Bitfinex | Bitfinex |
Spot | PublicTrades |
| Bitmex | Bitmex |
Perpetual | PublicTrades |
| BybitSpot | BybitSpot::default() |
Spot | PublicTrades, OrderBooksL1, OrderBooksL2 |
| BybitPerpetualsUsd | BybitPerpetualsUsd::default() |
Perpetual | PublicTrades, OrderBooksL1, OrderBooksL2 |
| Coinbase | Coinbase |
Spot | PublicTrades |
| GateioSpot | GateioSpot::default() |
Spot | PublicTrades |
| GateioFuturesUsd | GateioFuturesUsd::default() |
Future | PublicTrades |
| GateioFuturesBtc | GateioFuturesBtc::default() |
Future | PublicTrades |
| GateioPerpetualsUsd | GateioPerpetualsUsd::default() |
Perpetual | PublicTrades |
| GateioPerpetualsBtc | GateioPerpetualsBtc::default() |
Perpetual | PublicTrades |
| GateioOptions | GateioOptions::default() |
Option | PublicTrades |
| Kraken | Kraken |
Spot | PublicTrades, OrderBooksL1 |
| Okx | Okx |
Spot, Future, Perpetual, Option | PublicTrades |
| Hyperliquid | Hyperliquid::default() |
Perpetual | PublicTrades, OrderBooksL2 |
| HyperliquidSpot | HyperliquidSpot::default() |
Spot | PublicTrades, OrderBooksL2 |
| IBKR | IbkrMarketStream::init(config, contracts, subscriptions) |
Spot, Future, Option | PublicTrades, Quotes, OrderBooksL1, OrderBooksL2, Candles, OptionGreeks |
| AlpacaIex | AlpacaIex::default(), with AlpacaSubscriber |
Spot (Equities) | PublicTrades, Quotes, OrderBooksL1 |
| AlpacaSip | AlpacaSip::default(), with AlpacaSubscriber |
Spot (Equities) | PublicTrades, Quotes, OrderBooksL1 |
| AlpacaCrypto | AlpacaCrypto::default(), with AlpacaSubscriber |
Spot (Crypto) | PublicTrades, Quotes, OrderBooksL1 |
| AlpacaOptionsClient | AlpacaOptionsClient::from_env() |
Option | Quotes, OptionGreeks (REST snapshots) |
Binance USD-M futures WebSocket tiers: Binance routes futures streams across mutually-exclusive WebSocket tiers, so the typed
Streamspath splits them across two server types.Liquidations(@forceOrder) andCandles(@continuousKline_) are served only on the/markettier, exposed asBinanceFuturesUsdMarket; trades and order books stay onBinanceFuturesUsd. TheDynamicStreams/ExchangeIdpath handles this routing automatically.
Hyperliquid coins: Hyperliquid sends no data for a coin it does not list and then closes the connection, ending the other subscriptions on it. A
MarketDataInstrumentderives the coin from its asset names, which gets mixed-case perpetuals (kPEPE) and builder-deployed (HIP-3) perpetuals (xyz:TSLA) wrong, and names no spot pair but PURR/USDC unless its base is given as@{index}. Read the coins withHyperliquidMeta::fetch(network, deployers)and build instruments withMarketInstrumentData::hyperliquid_perporhyperliquid_spot.
Authenticated feeds: Alpaca, Massive and London Strategic Edge each take a subscriber that carries the credentials (
AlpacaSubscriber,MassiveSubscriber,LseSubscriber, each withnew(credentials)andfrom_env()). Clones of one subscriber share its connections, and each provider limits how many connections a key may hold. TheDynamicStreamspath does not build these subscribers: pass them in throughDynamicSubscribers::with_alpaca,with_massiveandwith_lse, then callDynamicStreams::init_with.
Data Providers
| Provider | Constructor | InstrumentKinds | SubscriptionKinds |
|---|---|---|---|
| Massive (REST) | MassiveRestClient::from_env() |
Spot, Future, Option | PublicTrades, Quotes, Candles (historical) |
| MassiveStocks / MassiveCrypto / MassiveOptions | MassiveStocks::default() etc., with MassiveSubscriber |
Spot (Equities, Crypto), Option | PublicTrades, Quotes, OrderBooksL1, Candles (1s, 1m) |
| MassiveForex | MassiveForex::default(), with MassiveSubscriber |
Spot (FX) | Quotes, OrderBooksL1, Candles (1s, 1m) |
| Databento | DatabentoHistorical / DatabentoLive |
Spot, Future, Option | PublicTrades, Quotes, Candles |
| LseFx | LseFx::default(), with LseSubscriber |
Spot (FX) | PublicTrades, OrderBooksL1 |
| LseCrypto | LseCrypto::default(), with LseSubscriber |
Spot (Crypto) | PublicTrades, OrderBooksL1 |
| LseEquities | LseEquities::default(), with LseSubscriber |
Spot (Equities, ETFs) | PublicTrades, OrderBooksL1 |
| LseFutures | LseFutures::default(), with LseSubscriber |
Cfd (continuous front-month proxies) | PublicTrades, OrderBooksL1 |
| LseCfd | LseCfd::default(), with LseSubscriber |
Cfd (indices, commodities, rates, volatility) | PublicTrades, OrderBooksL1 |
| LseOptions | LseOptions::default(), with LseSubscriber |
Option (US equity and ETF contracts) | PublicTrades |
| LSE historical | LseVaultClient::from_env() |
— | Candles (REST, not a subscription) |
⚠️ London Strategic Edge data is NOT redistributable. This integration's code is MIT like the rest of the repository; the data it retrieves is not. LSE permits use for your own research, trading and model training — including commercially — but prohibits redistributing, reselling, or otherwise making the data available to third parties, in bulk or through any competing feed, download service or interface. Do not commit retrieved data, publish it as fixtures or example datasets, or re-serve it. Terms: https://londonstrategicedge.com/terms
The LSE feed has properties that will silently mislead if assumed away — FX candles are BID candles, candle volume is unreliable, non-trading days are emitted as flat bars, the live tick is a quote rather than a print (except on options), and live volume is fabricated on
LseFxandLseCfd. See theexchange::lsemodule documentation before relying on any of it.
See the workspace README for documentation, examples, and contributing guidelines.