Thank you for the quick reply!
I am also thinking of writing a custom live data feed. I read in one of the threads (https://community.backtrader.com/topic/543/how-to-create-live-data-feed) that "Docs Binary Datafeed Development" is relevant. You mentioned a method "live" which is not currently in the document. I tried looking through the code base at github (specifically feeds/oanda.py) but could only find the method "islive". Is this the method you were referring to? Does setting this to return True stops Cerebro from terminating like a backtest but stay idle and wait for further notification from the feeds?