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.
It is not common to have Push APIs for Exchange sites. However Poloniex has WAMP (Web Application Messaging Protocol) over WebSocket for ticker:
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.