feat(py): add live trading feature.

py-hftbacktest/hftbacktest/__init__.py

@@ -6,13 +6,20 @@
 from ._hftbacktest import (
     BacktestAsset as BacktestAsset_,
     build_hashmap_backtest,
-    build_roivec_backtest
+    build_roivec_backtest,
+    LiveInstrument,
+    build_hashmap_livebot,
+    build_roivec_livebot
 )
 from .binding import (
     HashMapMarketDepthBacktest_,
     HashMapMarketDepthBacktest as HashMapMarketDepthBacktest_TypeHint,
     ROIVectorMarketDepthBacktest_,
     ROIVectorMarketDepthBacktest as ROIVectorMarketDepthBacktest_TypeHint,
+    HashMapMarketDepthLiveBot_,
+    HashMapMarketDepthLiveBot as HashMapMarketDepthLiveBot_TypeHint,
+    ROIVectorMarketDepthLiveBot_,
+    ROIVectorMarketDepthLiveBot as ROIVectorMarketDepthLiveBot_TypeHint,
     event_dtype
 )
 from .order import (
@@ -52,6 +59,10 @@
     'HashMapMarketDepthBacktest',
     'ROIVectorMarketDepthBacktest',
 
+    'LiveInstrument',
+    'HashMapMarketDepthLiveBot',
+    'ROIVectorMarketDepthLiveBot',
+
     'ALL_ASSETS',
 
     # Event flags
@@ -196,3 +207,19 @@ def ROIVectorMarketDepthBacktest(
     """
     ptr = build_roivec_backtest(assets)
     return ROIVectorMarketDepthBacktest_(ptr)
+
+
+def ROIVectorMarketDepthLiveBot(
+        assets: List[LiveInstrument]
+) -> ROIVectorMarketDepthLiveBot_TypeHint:
+    """
+    Constructs an instance of `ROIVectorMarketDepthLiveBot`.
+
+    Args:
+        assets: A list of live instruments constructed using :class:`LiveInstrument`.
+
+    Returns:
+        A jit`ed `ROIVectorMarketDepthLiveBot` that can be used in an ``njit`` function.
+    """
+    ptr = build_roivec_livebot(assets)
+    return ROIVectorMarketDepthLiveBot_(ptr)