Basic Usage

All the functions in C API have similar ones in Python with the same name. Not all arguments are supported by now, this work is in progress.

First of all you have to import the package:

import dxfeed as dx

Next, the connection to dxfeed server should be established:

con = dx.dxf_create_connection(address='demo.dxfeed.com:7300')

To get events of certain types the subscription with this type should be create. One connection may have several subscriptions.

sub1 = dx.dxf_create_subscription(con, 'Trade')
sub2 = dx.dxf_create_subscription(con, 'Quote')

Note

‘Trade’, ‘Quote’, ‘Summary’, ‘Profile’, ‘Order’, ‘TimeAndSale’, ‘Candle’, ‘TradeETH’, ‘SpreadOrder’, ‘Greeks’, ‘TheoPrice’, ‘Underlying’, ‘Series’, ‘Configuration’ event types are supported.

Special function called listener should be attached to the subscription to start receiving events. There are default listeners already implemented in dxpyfeed, but you can write your own with cython: Custom listener. To attach default listener just call dxf_attach_listener

dx.dxf_attach_listener(sub1)
dx.dxf_attach_listener(sub2)

Each subscription should be provided with tickers to get events for:

dx.dxf_add_symbols(sub1, ['AAPL', 'MSFT'])
dx.dxf_add_symbols(sub2, ['AAPL', 'C'])

The data can be extracted with get_data() method. It is stored as dict with list of columns and list of events. Note that get_data extracts the data and then clean the field. To look at data call this property:

sub1.get_data()
sub2.get_data()

The more convenient way to look at data is to convert it into pandas DataFrame. to_dataframe method of subscription class is responsible for that:

sub1.to_dataframe()
sub2.to_dataframe()

To stop receiving events just detach the listener:

dx.dxf_detach_listener(sub1)
dx.dxf_detach_listener(sub2)

When you are done with subscription you’d better close it:

dx.dxf_close_subscription(sub1)
dx.dxf_close_subscription(sub2)

Same with connection:

dx.dxf_close_connection(con)