API Reference

This page contains only automatically generated documentation to functions, classes, methods, etc.

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_status

Status of current connection

Type:str
address

Current connection endpoint address

Type:str
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, 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 ‘’
  • 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], exact_format: bool = True)

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

event_type

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

Type:str
symbols

Symbols of current subscription.

Type:Iterable

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. If no event handler was set, DefaultHandler will be initialized.

Parameters:symbols (str, Iterable) – Symbols to add. Previously added and remained symbols are ignored on C-API level
Returns:self
Return type:Subscription
close_subscription()

Method to close subscription. All received data will remain in the object.

get_event_handler()

Method to get event handler. If no handlers passed previously returns None.

Returns:handler
Return type:EventHandler
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
set_event_handler(handler: dxfeed.core.utils.handler.EventHandler)

Method to set the handler.

Parameters:handler (EventHandler) – Event handler with update method defined.
Returns:self
Return type:Subscription
class dxfeed.core.utils.handler.DefaultHandler
get_dataframe()

Returns received data as pandas.DataFrame object.

Warning

There are no restriction on attaching one event handler to several subscriptions. In this case, method will work correctly if different subscriptions have same event type. Otherwise error will occur.

Parameters:keep (bool) – When False clears internal DequeWithLock object after call. Default True.
Returns:df – Dataframe with received events.
Return type:pandas.DataFrame
get_list()

Method to get data stored in DequeWithLock as list.

Parameters:keep (bool) – When False clears internal DequeWithLock object after call. Default True.
Returns:data – List of received events.
Return type:list
update()

Utility method that is called by underlying Cython level when new event is received. Stores events in DequeWithLock.

Parameters:event (list) – List of various data specific to certain event type.
class dxfeed.core.utils.handler.EventHandler

Master class for user defined event handlers. update method should be considered as abstract.

columns

After attaching listener the field contains one-word descriptors of the values in upcoming event the order coincides

Type:list
update()

Method that is called, when event arrives to related Subscription. Currently (Cython version 0.29.17), abstract methods are not implemented, so this implementation is sort of stub method.

Parameters:event (list) – List of various data specific to certain event type

Low-level API

class dxfeed.core.DXFeedPy.ConnectionClass

Data structure that contains connection

add_weakref()

Method to link ConnectionClass with its users (e.g. SubscriptionClass) via weak reference.

Parameters:
get_weakrefs()

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

set_event_handler()

Method to assign event handler to SubscriptionClass. If the SubscriptionClass already has active listener the method will save the listener. After that listener will be reattached.

Parameters:event_handler (EventHandler) – Handler to attach to SubscriptionClass
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
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 ‘’
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)
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

append()

Add an element to the right side of the deque.

appendleft()

Add an element to the left side of the deque.

clear()

Remove all elements from the deque.

copy()

Return a shallow copy of a deque.

count(value) → integer -- return number of occurrences of value
extend()

Extend the right side of the deque with elements from the iterable

extendleft()

Extend the left side of the deque with elements from the iterable

index(value[, start[, stop]]) → integer -- return first index of value.

Raises ValueError if the value is not present.

insert()

D.insert(index, object) – insert object before index

maxlen

maximum size of a deque or None if unbounded

pop()

Remove and return the rightmost element.

popleft()

Remove and return the leftmost element.

remove()

D.remove(value) – remove first occurrence of value.

reverse()

D.reverse() – reverse IN PLACE

rotate()

Rotate the deque n steps to the right (default n=1). If n is negative, rotates left.

safe_append(data: Any)

Method appends data while locked :param data: Data to append :type data: any

safe_get(keep: bool = True)

Method that pops all the data with subsequent clearing

Parameters:keep (bool) – When False clears internal collections.deque object after call. Default True.
Returns:list_to_return – List filled with data
Return type:list