API Reference¶

API¶

class dxfeed.wrappers.endpoint.Endpoint(connection_address: str = 'demo.dxfeed.com:7300', connect: bool = True)¶

Class for connection management. After successful creation Instance will be connected to server with provided credentials

connection_address¶

One of possible connection addresses:

the single address: host:port or just host
address with credentials: host:port[username=xxx,password=yyy]
multiple addresses: (host1:port1)(host2)(host3:port3[username=xxx,password=yyy])

Default: demo.dxfeed.com:7300

Type:	str

connect¶

When True connect method is called during instance creation. Default - True

Type:	bool

close_connection()¶: Method to close connections and all related subscriptions.

connect(reconnect: bool = True)

Creates connection. If connection status differs from “Not connected” and reconnect is False, does nothing

Parameters:	reconnect (bool) – When True closes previous connection. Default - True
Returns:	self
Return type:	Endpoint

create_subscription(event_type: str, data_len: int = 100000, date_time: Union[str, datetime.datetime] = None)¶

Method creates certain event type subscription and returns Subscription class

Parameters:

event_type (str) – One of possible event types: ‘Trade’, ‘Quote’, ‘Summary’, ‘Profile’, ‘Order’, ‘TimeAndSale’, ‘Candle’, ‘TradeETH’, ‘SpreadOrder’, ‘Greeks’, ‘TheoPrice’, ‘Underlying’, ‘Series’, ‘Configuration’ or ‘’
data_len (int) – The amount of events kept in Subscription class. To have no limits set this value to -1
date_time (str or datetime.datetime) – If present timed subscription will be created (conflated stream). For sting date format is following: %Y-%m-%d %H:%M:%S.%f. If None - stream subscription will be created. Default - None.

Note

Some event types (e.g. Candle) support only timed subscription.

Returns:	subscription – Subscription class related to current connection
Return type:	Subscription

class dxfeed.wrappers.subscription.Subscription(connection, event_type: str, date_time: Union[str, datetime.datetime], data_len: int = 100000)¶

Class for subscription management. Recommended to be created only via create_subscription method in Endpoint class. Also stores incoming events

connection¶

Core class written in cython, that handle connection related details on the low level

Type:	dxfeed.core.DXFeedPy.ConnectionClass

event_type¶

One of possible event types: ‘Trade’, ‘Quote’, ‘Summary’, ‘Profile’, ‘Order’, ‘TimeAndSale’, ‘Candle’, ‘TradeETH’, ‘SpreadOrder’, ‘Greeks’, ‘TheoPrice’, ‘Underlying’, ‘Series’, ‘Configuration’ or ‘’

Type:	str

data_len¶

The amount of events kept in Subscription class. By default event is received as list and each event is stored in deque of fixed size. To have no limits for the deque set this value to -1. Default 100000.

Type:	int

date_time¶

If present timed subscription will be created (conflated stream). For sting date format is following: %Y-%m-%d %H:%M:%S.%f. If None - stream subscription will be created (non-conflated). Default - None.

Type:	str or datetime.datetime

Note

Some event types (e.g. Candle) support only timed subscription.

add_symbols(symbols: Union[str, Iterable[str]])¶

Method to add symbol. Supports addition of one symbol as a string as well as list of symbols :param symbols: Symbols to add. Previously added and remained symbols are ignored on C-API level :type symbols: str, Iterable

Returns:	self
Return type:	Subscription

attach_listener()¶

Method to attach default listener.

Returns:	self
Return type:	Subscription

close_subscription()¶: Method to close subscription. All received data will remain in the object.

detach_listener()¶

Removes listener so new events won’t be received

Returns:	self
Return type:	Subscription

get_dataframe(keep: bool = True)¶

Method converts data to the Pandas DataFrame

Parameters:	keep (bool) – When True copies data to dataframe, otherwise pops. Default True
Returns:	df – Dataframe each row - one event.
Return type:	pandas.DataFrame

get_list()¶

Method to get data. When called internal field is cleared

Returns:	data – List of events. Each event contains list with data related to subscription type.
Return type:	list

remove_symbols(symbols: Union[str, Iterable[str], None] = None)¶

Method removes symbols from subscription. If no symbols provided removes all symbols

Parameters:	symbols (str, Iterable) – One ticker or list of tickers to remove from subscription
Returns:	self
Return type:	Subscription

Low-level API¶

class dxfeed.core.DXFeedPy.ConnectionClass¶

Data structure that contains connection

get_sub_refs()¶

Method to get list of references to all subscriptions related to current connection

Returns:	List of weakref objects. Empty list if no refs
Return type:	list

class dxfeed.core.DXFeedPy.SubscriptionClass¶

Data structure that contains subscription and related fields

get_data()¶

Method returns list with data, specified in event listener and returned data will be removed from object buffer

Returns:	List with data
Return type:	list

to_dataframe()¶

Method converts data to the Pandas DataFrame

Parameters:	keep (bool) – When True copies data to dataframe, otherwise pops. Default True
Returns:	df
Return type:	pandas DataFrame

dxfeed.core.DXFeedPy.dxf_add_symbols()¶

Adds symbols to subscription

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription symbols (list) – List of symbols to add

dxfeed.core.DXFeedPy.dxf_attach_custom_listener()¶

Attaches custom listener

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription fw (FuncWrapper) – c function wrapped in FuncWrapper class with Cython columns (list) – Columns for internal data of SubscriptionClass data (dict) – Dict with new internal data structure of SubscriptionClass

dxfeed.core.DXFeedPy.dxf_attach_listener()¶

Function attaches default listener according to subscription type

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription

dxfeed.core.DXFeedPy.dxf_clear_symbols()¶

Removes all symbols from the subscription

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription

dxfeed.core.DXFeedPy.dxf_close_connection()¶

Closes connection

Parameters:	cc (ConnectionClass) – Variable with connection information

dxfeed.core.DXFeedPy.dxf_close_subscription()¶

Closes subscription

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription

dxfeed.core.DXFeedPy.dxf_create_connection()¶

Function creates connection to dxfeed given url address

Parameters:

address (str) –

One of possible connection addresses:

the single address: host:port or just host

address with credentials: host:port[username=xxx,password=yyy]

multiple addresses: (host1:port1)(host2)(host3:port3[username=xxx,password=yyy])

the data from file: /path/to/file on nix and drive:pathtofile on Windows

Default: demo.dxfeed.com:7300

Returns: cc – Cython ConnectionClass with information about connection

Return type: ConnectionClass

dxfeed.core.DXFeedPy.dxf_create_connection_auth_bearer()¶

Function creates connection to dxfeed given url address and token

Parameters:	address (str) – dxfeed url address token (str) – dxfeed token
Returns:	cc – Cython ConnectionClass with information about connection
Return type:	ConnectionClass

dxfeed.core.DXFeedPy.dxf_create_subscription()¶

Function creates subscription and writes all relevant information to SubscriptionClass

Parameters:	cc (ConnectionClass) – Variable with connection information event_type (str) – Event types: ‘Trade’, ‘Quote’, ‘Summary’, ‘Profile’, ‘Order’, ‘TimeAndSale’, ‘Candle’, ‘TradeETH’, ‘SpreadOrder’, ‘Greeks’, ‘TheoPrice’, ‘Underlying’, ‘Series’, ‘Configuration’ or ‘’ data_len (int) – Sets maximum amount of events, that are kept in Subscription class. Default 100000.
Returns:	sc – Cython SubscriptionClass with information about subscription
Return type:	SubscriptionClass

dxfeed.core.DXFeedPy.dxf_create_subscription_timed()¶

Creates a timed subscription with the specified parameters.

Notes

Default limit for ‘Candle’ event type is 8000 records. The other event types have default limit of 1000 records.

Parameters:	cc (ConnectionClass) – Variable with connection information event_type (str) – Event types: ‘Trade’, ‘Quote’, ‘Summary’, ‘Profile’, ‘Order’, ‘TimeAndSale’, ‘Candle’, ‘TradeETH’, ‘SpreadOrder’, ‘Greeks’, ‘TheoPrice’, ‘Underlying’, ‘Series’, ‘Configuration’ or ‘’ time (int) – UTC time in the past (unix time in milliseconds) data_len (int) – Sets maximum amount of events, that are kept in Subscription class. Default 100000.
Returns:	sc – Cython SubscriptionClass with information about subscription
Return type:	SubscriptionClass

dxfeed.core.DXFeedPy.dxf_detach_listener()¶

Detaches any listener

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription

dxfeed.core.DXFeedPy.dxf_get_current_connected_address()¶

Returns current connected address

Parameters:	cc (ConnectionClass) – Variable with connection information
Returns:	address – Current connected address
Return type:	str

dxfeed.core.DXFeedPy.dxf_get_current_connection_status()¶

Returns one of four possible statuses

Parameters:	cc (ConnectionClass) – Variable with connection information return_str (bool) – When True returns connection status in string format, otherwise internal c representation as integer

dxfeed.core.DXFeedPy.dxf_get_subscription_event_types()¶

Gets subscription event type

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription return_str (bool) – When True returns event type in string format, otherwise internal c representation as integer
Returns:	Subscription type
Return type:	str or int

dxfeed.core.DXFeedPy.dxf_get_symbols()¶

Retrieves the list of symbols currently added to the subscription.

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription
Returns:	List of unicode strings of subscription symbols
Return type:	list

dxfeed.core.DXFeedPy.dxf_initialize_logger()¶

Initializes the internal logger. Various actions and events, including the errors, are being logged throughout the library. They may be stored into the file.

Parameters:

file_name (str) – A full path to the file where the log is to be stored
rewrite_file (bool) – A flag defining the file open mode if it’s True then the log file will be rewritten
show_timezone_info (bool) – A flag defining the time display option in the log file if it’s True then the time will be displayed with the timezone suffix
verbose (bool) – A flag defining the logging mode if it’s True then the verbose logging will be enabled

dxfeed.core.DXFeedPy.dxf_remove_symbols()¶

Removes several symbols from the subscription

Parameters:	sc (SubscriptionClass) – SubscriptionClass with information about subscription symbols (list) – List of symbols to remove

dxfeed.core.DXFeedPy.process_last_error()¶

Function retrieves last error

Parameters:	verbose (bool) – If True error description is printed
Returns:	error_code – Error code is returned
Return type:	int

Utils functions¶

dxfeed.core.utils.helpers.event_type_convert()¶

The function converts event type given as string to int, used in C dxfeed dxfeed

Parameters:	event_type (str) – Event type: ‘Trade’, ‘Quote’, ‘Summary’, ‘Profile’, ‘Order’, ‘TimeAndSale’, ‘Candle’, ‘TradeETH’, ‘SpreadOrder’, ’Greeks’, ‘TheoPrice’, ‘Underlying’, ‘Series’, ‘Configuration’ or ‘’
Returns:	Integer that corresponds to event type in C dxfeed dxfeed
Return type:	int

dxfeed.core.utils.helpers.get_include()¶

Function returns paths to header files of dxfeed-c-api library. Used for writing custom listeners

Returns:	out_dir – List of paths to header files
Return type:	list

class dxfeed.core.utils.data_class.DequeWithLock(iterable=(), maxlen=None)¶

Class that provides lock mechanism to deque from collections for append, copy and get operations

safe_append(data: Any)¶

Method appends data while locked

Parameters:	data (any) – Data to append

safe_get()¶

Method that pops all the data with subsequent clearing

Returns:	list_to_return – List filled with data
Return type:	list

API Reference¶

API¶

Low-level API¶

Utils functions¶

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