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Does any exchange provide API to call callback function on each transaction?

I would like to build a auto trade platform based on the tick event, but instead of pulling the price, I would like to use the push mechanism.

  • you mean such as websocket? – venzen Jun 27 '17 at 9:33
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It is not common to have Push APIs for Exchange sites. However Poloniex has WAMP (Web Application Messaging Protocol) over WebSocket for ticker:

https://poloniex.com/support/api/

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After some search, I think pyalgotrade is closest to what I am looking for. I post answer to my own question in case someone has the same question. Thank you.

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