Gexbot Real-Time Data Client (Python)

This toy client demonstrates how API Quant users connect to Gexbot real-time sockets:

1. Build the unprefixed websocket groups you want, e.g. ES_SPX_classic_gex_full.
2. POST /v2/negotiate with {"groups": [...]}.
3. Open the returned Azure Web PubSub URLs. The negotiated token already includes the requested groups, so the client does not call join_group.

Project Structure

.
├── proto/                  # Source .proto definitions (e.g., gex.proto)
├── generated_proto/        # Compiled _pb2.py files
├── main.py                 # 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

   pip install -r requirements.txt

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2. Compile Protobuf Definitions

This client reads data from Protobuf messages. Compile the source .proto files in proto/ into Python modules.

mkdir -p generated_proto
touch generated_proto/__init__.py
python3 -m grpc_tools.protoc -I=proto --python_out=generated_proto --pyi_out=generated_proto proto/*.proto

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3. Configuration

Set the required environment variables:

export GEXBOT_API_KEY="your_api_key_here"
export GEXBOT_USER_AGENT="YourClientApp/1.0"

Then open main.py and edit the USER SELECTION section:

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

Groups sent to negotiate are as follows:

{ticker}_{package}_{category}

Examples:

SPX_classic_gex_full
ES_SPX_state_gamma_zero
SPX_orderflow_orderflow

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4. Run the Client

python main.py