Data Feeds - Horizon SDK

Feeds provide live price data to your pipeline functions via ctx.feeds. Each feed runs as an async task on the engine’s tokio runtime.

Exchange Orderbooks: PolymarketBook, KalshiBook Crypto Prices: BinanceWS, CoinbaseFeed, RobinhoodFeed Equities & Options: AlpacaFeed, IBKRFeed Prediction Markets: PredictIt, Manifold Alternative Data: ESPN, NWS, CalendarFeed, TreasuryFeed On-Chain Oracles: Chainlink, Mempool Generic: REST, RESTJsonPath

Available Feeds

BinanceWS

Real-time trade stream from Binance WebSocket.

PolymarketBook

Polymarket orderbook snapshots via WebSocket.

KalshiBook

Kalshi orderbook polling via REST.

RESTFeed

Generic REST API polling for any endpoint.

PredictItFeed

PredictIt market contract prices.

ManifoldFeed

Manifold Markets crowd probabilities.

ESPNFeed

Live sports scores from ESPN.

NWSFeed

National Weather Service forecasts and alerts.

RESTJsonPathFeed

Any REST API with dot-notation JSON path extraction.

ChainlinkFeed

On-chain Chainlink price oracle via JSON-RPC.

MempoolFeed

Polygon mempool watcher for CTF exchange order flow.

AlpacaFeed

Real-time stock data from Alpaca Markets via WebSocket.

CoinbaseFeed

Coinbase Advanced Trade ticker data via WebSocket.

RobinhoodFeed

Robinhood crypto quotes via REST polling.

IBKRFeed

Interactive Brokers market data via REST polling.

CalendarFeed

Economic events and earnings calendar feed.

TreasuryFeed

Treasury yield curve data from FRED API.

BinanceWS

Real-time price stream from Binance via WebSocket:

hz.run(
    feeds={"btc": hz.BinanceWS("btcusdt")},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    return ctx.feeds["btc"].price

The feed connects to Binance’s trade stream and updates price, bid, ask, and timestamp on each trade.

Field	Description
`symbol`	Binance trading pair (e.g., `"btcusdt"`, `"ethusdt"`)

PolymarketBook

Polymarket orderbook feed via WebSocket. Streams real-time best bid/ask from the CLOB WebSocket and updates on every orderbook change.

hz.run(
    feeds={"poly": hz.PolymarketBook("will-btc-hit-100k")},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    poly = ctx.feeds["poly"]
    return (poly.bid + poly.ask) / 2

Field	Description
`market_slug`	Polymarket market slug or CLOB token ID

You can pass either a market slug (e.g., "will-btc-hit-100k") or a numeric CLOB token ID. When a slug is provided, Horizon automatically resolves it to the YES token ID via the Gamma API on startup (2 retry attempts, 15s timeout). If resolution fails, the slug is used as-is.

The feed handles three Polymarket WebSocket message formats automatically:

Initial book snapshot - full L2 orderbook with bid/ask levels
Price change updates - best bid/ask deltas
Direct book messages - fallback top-of-book format

Asset ID filtering ensures only data for the subscribed YES token is used (Polymarket sends updates for both YES and NO tokens on the same channel).

KalshiBook

Kalshi orderbook feed via REST polling:

hz.run(
    feeds={"kalshi": hz.KalshiBook("KXBTC-25FEB16")},
    ...
)

Field	Description
`ticker`	Kalshi market ticker (e.g., `"KXBTC-25FEB16"`)

RESTFeed

Generic REST API polling feed for any JSON endpoint:

hz.run(
    feeds={"custom": hz.RESTFeed("https://api.example.com/price", interval=5.0)},
    ...
)

Field	Default	Description
`url`	required	REST endpoint URL
`interval`	`5.0`	Polling interval in seconds

PredictItFeed

PredictIt market contract prices via REST polling:

hz.run(
    feeds={"election": hz.PredictItFeed(market_id=7456, contract_id=28562)},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    pi = ctx.feeds["election"]
    return pi.price  # lastTradePrice

Field	Default	Description
`market_id`	required	PredictIt market ID (integer)
`contract_id`	`None`	Specific contract ID. If `None`, uses the first contract.
`interval`	`5.0`	Polling interval in seconds (minimum 1s)

Snapshot mapping: price = lastTradePrice, bid = bestBuyYesCost, ask = bestSellYesCost. Handles HTTP 429 with automatic exponential backoff.

ManifoldFeed

Manifold Markets probability feed via REST polling:

hz.run(
    feeds={"manifold": hz.ManifoldFeed("will-btc-hit-100k-by-2026")},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    return ctx.feeds["manifold"].price  # probability (0-1)

Field	Default	Description
`slug`	required	Manifold market slug
`interval`	`5.0`	Polling interval in seconds

Snapshot mapping: price = probability, volume_24h = volume.

ESPNFeed

Live sports scores from ESPN’s scoreboard API:

hz.run(
    feeds={"nba": hz.ESPNFeed("basketball", "nba")},
    ...
)

def score_signal(ctx: hz.Context) -> float:
    game = ctx.feeds["nba"]
    home_score = game.price
    away_score = game.bid
    period = game.volume_24h
    # game.source contains "espn:basketball:nba:{event_id}:{status}"
    return home_score - away_score

Field	Default	Description
`sport`	required	ESPN sport name (e.g., `"basketball"`, `"football"`)
`league`	required	ESPN league name (e.g., `"nba"`, `"nfl"`)
`event_id`	`None`	Filter to a specific game. If `None`, picks the first active game.
`interval`	`10.0`	Polling interval in seconds

Snapshot mapping: price = home score, bid = away score, volume_24h = period/quarter. The source field encodes the game status ("in_progress", "scheduled", "final").

NWSFeed

National Weather Service data in two modes:

Forecast mode (default)

hz.run(
    feeds={"weather": hz.NWSFeed(office="TOP", grid_x=31, grid_y=80)},
    ...
)

def weather_signal(ctx: hz.Context) -> float:
    wx = ctx.feeds["weather"]
    temperature = wx.price
    wind_speed = wx.bid
    precip_chance = wx.ask
    return precip_chance / 100.0

Alerts mode

hz.run(
    feeds={"alerts": hz.NWSFeed(state="FL", mode="alerts")},
    ...
)

def alert_signal(ctx: hz.Context) -> float:
    al = ctx.feeds["alerts"]
    has_alerts = al.price  # 1.0 if active alerts, 0.0 otherwise
    alert_count = al.bid
    # al.source contains severity: "nws:alerts:FL:Severe"
    return has_alerts

Field	Default	Description
`office`	`""`	NWS office code (e.g., `"TOP"`, `"MIA"`). Required for forecast mode.
`grid_x`	`0`	Grid X coordinate. Required for forecast mode.
`grid_y`	`0`	Grid Y coordinate. Required for forecast mode.
`state`	`""`	US state abbreviation (e.g., `"FL"`). Required for alerts mode.
`mode`	`"forecast"`	`"forecast"` or `"alerts"`
`user_agent`	`"Horizon-SDK/0.4.5"`	User-Agent header (NWS requires one)
`interval`	`60.0`	Polling interval in seconds (minimum 60s per NWS policy)

Forecast mapping: price = temperature, bid = wind speed, ask = precipitation chance. Alerts mapping: price = 1.0 if active alerts else 0.0, bid = alert count. Source encodes severity.

RESTJsonPathFeed

Flexible REST feed that extracts values from any JSON API using dot-notation paths:

hz.run(
    feeds={
        "btc_coingecko": hz.RESTJsonPathFeed(
            url="https://api.coingecko.com/api/v3/simple/price?ids=bitcoin&vs_currencies=usd",
            price_path="bitcoin.usd",
        ),
    },
    ...
)

Path resolution:

"price" → json["price"]
"data.market.price" → json["data"]["market"]["price"]
"markets.0.lastPrice" → json["markets"][0]["lastPrice"]
Numeric segments try array index first, then object key
String values are auto-parsed to f64

Field	Default	Description
`url`	required	REST endpoint URL
`price_path`	`None`	Dot-notation path to price field. Falls back to `json["price"]`.
`bid_path`	`None`	Dot-notation path to bid field. Falls back to `json["bid"]`.
`ask_path`	`None`	Dot-notation path to ask field. Falls back to `json["ask"]`.
`volume_path`	`None`	Dot-notation path to volume field. Falls back to `json["volume"]`.
`interval`	`5.0`	Polling interval in seconds

RESTJsonPathFeed is the most flexible feed - use it to pull data from any public API (CoinGecko, weather services, sports APIs, etc.) without writing custom feed code.

ChainlinkFeed

On-chain Chainlink price oracle feed. Reads latestRoundData() from any Chainlink aggregator proxy contract via JSON-RPC eth_call. Works with any EVM chain - Ethereum, Arbitrum, Polygon, BSC, etc.

hz.run(
    feeds={
        "eth_usd": hz.ChainlinkFeed(
            contract_address="0x5f4eC3Df9cbd43714FE2740f5E3616155c5b8419",
            rpc_url="https://eth.llamarpc.com",
        ),
    },
    ...
)

def fair_value(ctx: hz.Context) -> float:
    return ctx.feeds["eth_usd"].price  # e.g., 3245.12

Field	Default	Description
`contract_address`	required	Chainlink aggregator proxy address (with `0x` prefix)
`rpc_url`	required	JSON-RPC endpoint URL for the target chain
`decimals`	`8`	Price decimals (most Chainlink feeds use 8; some use 18)
`interval`	`10.0`	Polling interval in seconds (minimum 1s)

Snapshot mapping: price = on-chain price (divided by 10^decimals), timestamp = on-chain updatedAt. Common contract addresses (Ethereum mainnet):

Pair	Address
ETH/USD	`0x5f4eC3Df9cbd43714FE2740f5E3616155c5b8419`
BTC/USD	`0xF4030086522a5bEEa4988F8cA5B36dbC97BeE88c`
LINK/USD	`0x2c1d072e956AFFC0D435Cb7AC38EF18d24d9127c`
USDC/USD	`0x8fFfFfd4AfB6115b954Bd326cbe7B4BA576818f6`

Find contract addresses for any chain at data.chain.link. Chainlink feeds work on Ethereum, Arbitrum, Polygon, BSC, Avalanche, and more - just change the rpc_url.

MempoolFeed

Polygon mempool watcher that monitors pending transactions to Polymarket’s CTF exchange contracts. Provides visibility into large pending orders before they confirm on-chain.

hz.run(
    feeds={
        "mempool": hz.MempoolFeed(
            rpc_url="https://polygon-rpc.com",
        ),
    },
    ...
)

def detect_whale(ctx: hz.Context) -> list:
    mp = ctx.feeds.get("mempool")
    if mp and mp.price > 10:  # >10 pending trades
        print(f"Large flow detected: {mp.volume_24h:.0f} USDC pending")
    return []

Field	Default	Description
`rpc_url`	`""`	Polygon JSON-RPC URL (or set `POLYGON_RPC_URL` env var)
`ctf_addresses`	CTF + Neg Risk CTF	Contract addresses to monitor
`interval`	`2.0`	Polling interval in seconds

Snapshot mapping:

price = number of pending CTF trades
volume_24h = total pending USDC volume
bid = largest pending buy
ask = largest pending sell
last_trade_size = largest single trade

Default CTF addresses (Polygon):

Contract	Address
CTF Exchange	`0x4bFb41d5B3570DeFd03C39a9A4D8dE6Bd8B8982E`
Neg Risk CTF	`0xC5d563A36AE78145C45a50134d48A1215220f80a`

Use a private/premium RPC endpoint for mempool access. Public RPCs may not support pending block queries.

AlpacaFeed

Real-time stock and ETF data from Alpaca Markets via WebSocket, streaming trades and quotes for one or more symbols.

hz.run(
    feeds={"stocks": hz.AlpacaFeed(symbols=["AAPL", "SPY"])},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    return ctx.feeds["stocks"].price

Field	Default	Description
`symbols`	`[]`	List of stock/ETF ticker symbols (e.g., `["AAPL", "SPY"]`)
`api_key`	`None`	Alpaca API key (or set `ALPACA_API_KEY` / `APCA_API_KEY_ID` env var)
`api_secret`	`None`	Alpaca API secret (or set `ALPACA_API_SECRET` / `APCA_API_SECRET_KEY` env var)
`data_source`	`"iex"`	Data source: `"iex"` (free) or `"sip"` (paid, all exchanges)

Credentials are resolved from constructor args first, then environment variables. The sip data source provides consolidated tape from all US exchanges but requires a paid Alpaca subscription.

CoinbaseFeed

Coinbase Advanced Trade real-time ticker data via WebSocket for crypto trading pairs.

hz.run(
    feeds={"crypto": hz.CoinbaseFeed(product_ids=["BTC-USD", "ETH-USD"])},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    return ctx.feeds["crypto"].price

Field	Default	Description
`product_ids`	`[]`	List of Coinbase product IDs (e.g., `["BTC-USD", "ETH-USD"]`)
`api_key`	`None`	Coinbase API key (or set `COINBASE_API_KEY` env var)
`api_secret`	`None`	Coinbase API secret (or set `COINBASE_API_SECRET` env var)

RobinhoodFeed

Robinhood crypto quotes via REST polling at a configurable interval.

hz.run(
    feeds={"rh": hz.RobinhoodFeed(symbols=["BTC-USD", "ETH-USD"])},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    return ctx.feeds["rh"].price

Field	Default	Description
`symbols`	`[]`	List of crypto pair symbols (e.g., `["BTC-USD", "ETH-USD"]`)
`api_key`	`None`	Robinhood API key (or set `ROBINHOOD_API_KEY` env var)
`interval`	`5.0`	Polling interval in seconds

IBKRFeed

Interactive Brokers market data feed via REST polling against the Client Portal API. Supports stocks, options, futures, and ForecastEx event contracts.

hz.run(
    feeds={"aapl": hz.IBKRFeed(conids=["265598"])},
    ...
)

def fair_value(ctx: hz.Context) -> float:
    return ctx.feeds["aapl"].price

Field	Default	Description
`conids`	`[]`	List of IBKR contract IDs (e.g., `["265598"]` for AAPL)
`access_token`	`None`	OAuth2 access token (or set `IBKR_ACCESS_TOKEN` env var)
`api_url`	`None`	API base URL (auto-set based on `paper` flag if `None`)
`paper`	`True`	Use paper trading API (`paper-api.ibkr.com`) vs live (`api.ibkr.com`)
`interval`	`5.0`	Polling interval in seconds

Look up contract IDs (conids) via the IBKR Contract Search API or TWS. Set paper=False for live trading data.

CalendarFeed

Economic event and earnings calendar feed. Polls bundled or API-provided event data and maps the nearest upcoming event to FeedSnapshot fields.

hz.run(
    feeds={"events": hz.CalendarFeed()},
    ...
)

def event_signal(ctx: hz.Context) -> float:
    ev = ctx.feeds["events"]
    seconds_to_event = ev.bid
    event_type_code = ev.ask
    return seconds_to_event

Field	Default	Description
`events_json`	`""`	JSON string of custom events. If empty, uses bundled FOMC/CPI dates.
`api_url`	`""`	Optional API URL to fetch events from
`interval`	`300.0`	Polling interval in seconds

Snapshot mapping: bid = seconds until next event, ask = event type code.

TreasuryFeed

Treasury yield curve data from the Federal Reserve Economic Data (FRED) API. Polls multiple maturity series and maps the primary series to the price field.

hz.run(
    feeds={"yields": hz.TreasuryFeed()},
    ...
)

def yield_signal(ctx: hz.Context) -> float:
    return ctx.feeds["yields"].price  # 10Y yield by default

Field	Default	Description
`api_key`	`None`	FRED API key (or set `FRED_API_KEY` env var). Get one free at fred.stlouisfed.org.
`series_ids`	9 maturities	FRED series to fetch: 1M, 3M, 6M, 1Y, 2Y, 5Y, 10Y, 20Y, 30Y
`primary_series`	`"DGS10"`	Series mapped to `price` field (default: 10-year yield)
`interval`	`300.0`	Polling interval in seconds

Snapshot mapping: price = yield for primary_series (default 10Y).

Feed Data in Context

Each feed is accessible in pipeline functions via ctx.feeds:

from horizon.context import FeedData

def fair_value(ctx: hz.Context) -> float:
    btc = ctx.feeds.get("btc", FeedData())

    btc.price       # Last trade price
    btc.bid         # Best bid
    btc.ask         # Best ask
    btc.timestamp   # Unix timestamp of last update

    return btc.price

FeedSnapshot (Engine Level)

At the Engine level, feed data is stored as FeedSnapshot objects:

snap = engine.feed_snapshot("btc")

snap.price       # 100250.0
snap.bid         # 100248.0
snap.ask         # 100252.0
snap.timestamp   # 1700000000.0
snap.source      # "binance_ws"
snap.volume_24h  # 50000.0

Other Engine feed methods:

all_snaps = engine.all_feed_snapshots()  # dict[str, FeedSnapshot]
age = engine.feed_age("btc")            # seconds since last update (or None)
engine.stop_feeds()                      # stop all feeds

Feed Staleness

In live mode, the strategy loop checks feed staleness before quoting. If any feed is stale (no update within the threshold), quoting is skipped for that cycle:

# Default threshold: 30 seconds
# Override via params:
hz.run(
    params={"feed_stale_threshold": 60.0},
    ...
)

The FeedData.is_stale() method checks staleness:

from horizon.context import FeedData

feed = ctx.feeds.get("btc", FeedData())
if feed.is_stale(max_age_secs=30.0):
    # Feed hasn't updated, skip quoting
    return []

Engine-Level Feed Management

When using the Engine directly, start feeds with start_feed():

# Original feeds
engine.start_feed("btc", "binance_ws", symbol="btcusdt")
engine.start_feed("poly", "polymarket_book", symbol="will-btc-hit-100k")
engine.start_feed("kalshi", "kalshi_book", symbol="KXBTC-25FEB16")
engine.start_feed("custom", "rest", url="https://api.example.com/price", interval=5.0)

# New feeds (v0.4.5) - use config_json for structured config
import json

engine.start_feed("pi", "predictit", config_json=json.dumps({
    "market_id": 7456, "contract_id": 28562
}))
engine.start_feed("mf", "manifold", config_json=json.dumps({
    "slug": "will-btc-hit-100k-by-2026"
}))
engine.start_feed("nba", "espn", config_json=json.dumps({
    "sport": "basketball", "league": "nba"
}))
engine.start_feed("wx", "nws", config_json=json.dumps({
    "mode": "alerts", "state": "FL"
}))
engine.start_feed("btc2", "rest_json_path", config_json=json.dumps({
    "url": "https://api.coingecko.com/api/v3/simple/price?ids=bitcoin&vs_currencies=usd",
    "price_path": "bitcoin.usd"
}))
engine.start_feed("eth_usd", "chainlink", config_json=json.dumps({
    "contract_address": "0x5f4eC3Df9cbd43714FE2740f5E3616155c5b8419",
    "rpc_url": "https://eth.llamarpc.com"
}))

# Exchange data feeds (v0.5.0)
engine.start_feed("stocks", "alpaca", config_json=json.dumps({
    "symbols": ["AAPL", "SPY"],
    "api_key": "...", "api_secret": "...", "data_source": "iex"
}))
engine.start_feed("crypto", "coinbase", config_json=json.dumps({
    "product_ids": ["BTC-USD", "ETH-USD"],
    "api_key": "...", "api_secret": "..."
}))
engine.start_feed("rh", "robinhood", config_json=json.dumps({
    "symbols": ["BTC-USD"], "api_key": "...", "interval": 5.0
}))
engine.start_feed("aapl", "ibkr", config_json=json.dumps({
    "conids": ["265598"], "access_token": "...", "paper": True
}))
engine.start_feed("events", "calendar", config_json=json.dumps({
    "api_url": "", "interval": 300.0
}))
engine.start_feed("yields", "treasury", config_json=json.dumps({
    "api_key": "...", "primary_series": "DGS10", "interval": 300.0
}))

Multiple Feeds

Use multiple feeds to combine data sources across markets:

hz.run(
    feeds={
        # Crypto price
        "btc": hz.BinanceWS("btcusdt"),
        # Prediction market orderbooks
        "poly": hz.PolymarketBook("will-btc-hit-100k"),
        "kalshi": hz.KalshiBook("KXBTC-25FEB16"),
        # Cross-market signals
        "pi_election": hz.PredictItFeed(market_id=7456, contract_id=28562),
        "manifold": hz.ManifoldFeed("will-btc-hit-100k-by-2026"),
        # Sports data for sports-related markets
        "nba": hz.ESPNFeed("basketball", "nba"),
        # Weather for hurricane/climate markets
        "weather_fl": hz.NWSFeed(state="FL", mode="alerts"),
        # Any custom API
        "custom": hz.RESTJsonPathFeed(
            url="https://api.coingecko.com/api/v3/simple/price?ids=bitcoin&vs_currencies=usd",
            price_path="bitcoin.usd",
        ),
        # On-chain Chainlink oracle
        "eth_usd": hz.ChainlinkFeed(
            contract_address="0x5f4eC3Df9cbd43714FE2740f5E3616155c5b8419",
            rpc_url="https://eth.llamarpc.com",
        ),
        # Equities
        "stocks": hz.AlpacaFeed(symbols=["AAPL", "SPY"]),
        # Macro data
        "yields": hz.TreasuryFeed(),
        "events": hz.CalendarFeed(),
    },
    ...
)

def fair_value(ctx: hz.Context) -> float:
    from horizon.context import FeedData
    btc = ctx.feeds.get("btc", FeedData())
    poly = ctx.feeds.get("poly", FeedData())

    # Combine BTC spot price with Polymarket book
    if poly.bid > 0 and poly.ask > 0:
        return (poly.bid + poly.ask) / 2
    return btc.price * 0.01  # Fallback

Getting Started

Core

Exchanges

Infrastructure

Third-Party Providers

Quantitative Toolbox

Development

Prediction Markets

Equities & Options

Cross-Asset

​Available Feeds

BinanceWS

PolymarketBook

KalshiBook

RESTFeed

PredictItFeed

ManifoldFeed

ESPNFeed

NWSFeed

RESTJsonPathFeed

ChainlinkFeed

MempoolFeed

AlpacaFeed

CoinbaseFeed

RobinhoodFeed

IBKRFeed

CalendarFeed

TreasuryFeed

​BinanceWS

​PolymarketBook

​KalshiBook

​RESTFeed

​PredictItFeed

​ManifoldFeed

​ESPNFeed

​NWSFeed

​Forecast mode (default)

​Alerts mode

​RESTJsonPathFeed

​ChainlinkFeed

​MempoolFeed

​AlpacaFeed

​CoinbaseFeed

​RobinhoodFeed

​IBKRFeed

​CalendarFeed

​TreasuryFeed

​Feed Data in Context

​FeedSnapshot (Engine Level)

​Feed Staleness

​Engine-Level Feed Management

​Multiple Feeds

Available Feeds

BinanceWS

PolymarketBook

KalshiBook

RESTFeed

PredictItFeed

ManifoldFeed

ESPNFeed

NWSFeed

Forecast mode (default)

Alerts mode

RESTJsonPathFeed

ChainlinkFeed

MempoolFeed

AlpacaFeed

CoinbaseFeed

RobinhoodFeed

IBKRFeed

CalendarFeed

TreasuryFeed

Feed Data in Context

FeedSnapshot (Engine Level)

Feed Staleness

Engine-Level Feed Management

Multiple Feeds