Gexbot Real-Time Data Client (Python)

This script connects to the Gexbot real-time data API. It negotiates a connection, joins specified data groups, and decompresses/parses incoming Zstandard-compressed Protobuf messages.

Project Structure

.
├── proto/                  # Source .proto definitions (e.g., gex.proto)
├── generated_proto/        # (Ignored by git) Compiled _pb2.py files
├── main.py                 # The main client script
├── decompression_utils.py  # Decompression helper functions
├── requirements.txt        # Python dependencies
├── .gitignore
└── README.md

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1. Setup and Installation

1. Clone Repository Clone this repository to your local machine.

2. Create Virtual Environment It's highly recommended to use a virtual environment.

   python3 -m venv venv
   source venv/bin/activate

3. Install Dependencies Install all required Python packages.

   pip install -r requirements.txt

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2. Compile Protobuf Definitions

This client reads data from Protobuf messages. You must compile the source .proto files (located in the proto/ directory) into Python modules.

1. Ensure generated_proto Exists Create the output directory.

   mkdir -p generated_proto

2. Create Python Package The directory must be a Python package to be importable.

   touch generated_proto/__init__.py

3. Run protoc Compiler Use grpc_tools.protoc (installed from requirements.txt) to generate the Python files. This command finds all .proto files in the proto/ directory and outputs the compiled _pb2.py and _pb2.pyi files into generated_proto/.

   python3 -m grpc_tools.protoc -I=proto --python_out=generated_proto --pyi_out=generated_proto proto/*.proto

   • -I=proto: Specifies the proto directory as the import path.
   • --python_out=generated_proto: Outputs _pb2.py files to this directory.
   • --pyi_out=generated_proto: Outputs _pb2.pyi type-hinting files to this directory.
   • proto/*.proto: Compiles all .proto files in the proto directory.

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3. Configuration

1. Set API Key The script requires your GEXBOT_API_KEY to be set as an environment variable.

   export GEXBOT_API_KEY="your_api_key_here"

2. Configure Subscriptions Open main.py and edit the "USER SELECTION" section (lines 70-137) to subscribe to your desired tickers and data feeds. Uncomment or add items to:

   • ACTIVE_TICKERS
   • ACTIVE_CLASSIC_CATEGORIES
   • ACTIVE_STATE_GEX_CATEGORIES
   • ACTIVE_STATE_GREEKS_ZERO_CATEGORIES
   • ACTIVE_STATE_GREEKS_ONE_CATEGORIES
   • ACTIVE_ORDERFLOW_CATEGORIES

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4. Run the Client

After setting your API key and configuring subscriptions, run the script:

python main.py