NautilusTrader Polygon Repository

A repository of code that interacts with the Polygon API by pssolanki111. This is a fork of the MarketMakerLite wrapper repository, which has been modified/extended to aid users of NautilusTrader.

Websockets

The websocket files send data to a Redis list, which is then consumed through the listener script - saving the data in chunks to a NautilusTrader parquet data catalog.

crypto_stream.py

This script streams aggregated minutely bars for all crypto pairs available on Polygon. This data is fed to a Redis list to be consumed by the listener script.

options_stream.py

This script streams options trades for all options available on Polygon. This data is fed to a Redis list to be consumed by the listener script.

stock_stream.py

This script streams aggregated seconds for all stocks available on Polygon. This data is fed to a Redis list to be consumed by the listener script.

stream_listener.py

This script listens and consumes the Redis lists created by the streaming scripts.