Low-level API¶
Note
High-Level API have priority support in case of any issues. We highly recommend to use it and touch the Low-Level API only in special cases.
This tutorial is about the Cython level of the package, which connects Python and C API. Though high-level Python classes provide the necessary functionality safely and conveniently, the user is not restricted to use low-level functions.
Import core functions¶
Here we deal with low level C styled api, so the import is slightly differ.
from dxfeed.core import DXFeedPy as dxc
from dxfeed.core.utils.handler import DefaultHandler
from datetime import datetime # for timed suscription
from dateutil.relativedelta import relativedelta
Create connection¶
There are two ways at the moment to create connection: with token or with specifying connection address. Here we use the latter for simplicity.
con = dxc.dxf_create_connection('demo.dxfeed.com:7300')
Create subscription¶
There are two types of subscriptions: ordinary for delivering stream data as-is and timed for conflated data. Except type of subscription you should provide type of events you want to get. Note: some event types, e.g. Candle, support only timed subscription.
sub = dxc.dxf_create_subscription(con, 'Trade')
sub_timed = dxc.dxf_create_subscription_timed(con, 'Candle', int((datetime.now() - relativedelta(days=3)).timestamp()))
Attach event handler¶
To process incoming data you have to define define update(event)
method in your EventHandler child class. Or you may use DefaultHandler
which stores upcoming data in deque of the length 100k. In this example
we choose the latter.
trade_handler = DefaultHandler()
candle_handler = DefaultHandler()
sub.set_event_handler(trade_handler)
sub_timed.set_event_handler(candle_handler)
Attach listener¶
A special function that processes incoming on the C level events should be initialized. There are default ones for each event type.
dxc.dxf_attach_listener(sub)
dxc.dxf_attach_listener(sub_timed)
Add tickers¶
Symbols that will be processed should be defined. For Candle event type along with base symbol, you should specify an aggregation period. You can also set price type. More details: https://kb.dxfeed.com/display/DS/REST+API#RESTAPI-Candlesymbols.
dxc.dxf_add_symbols(sub, ['AAPL', 'MSFT'])
dxc.dxf_add_symbols(sub_timed, ['AAPL{=d}', 'MSFT{=d}'])
Access data¶
The DefaultHandler class has get_list() and get_dataframe()
methods to access the data.
trade_handler.get_list()[-5:]
[['MSFT', 196.14, 'X', 100, 2, 0.0, 100.0, 1592510399515, 0],
['MSFT', 196.27, 'Y', 100, 2, 0.0, 18.0, 1592510398017, 0],
['MSFT', 196.33, 'Z', 100, 1, 0.0, 2693.0, 1592510399823, 0],
['AAPL', 351.57, 'D', 200, 1, 0.0, 44022.0, 1592510399435, 0],
['AAPL', 351.73, 'Q', 1406354, 1, 0.0, 234771.0, 1592510400351, 0]]
candle_handler.get_dataframe().head(3)
| Symbol | Index | Time | Sequence | Count | Open | High | Low | Close | Volume | VWap | BidVolume | AskVolume | OpenInterest | ImpVolatility | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | AAPL{=d} | 6839841934068940800 | 2020-06-19 | 0 | 807.0 | 354.05 | 355.55 | 353.35 | 354.79 | 184838.0 | 354.45447 | 75518.0 | 109320.0 | 0 | 0.3690 |
| 1 | AAPL{=d} | 6839470848894566400 | 2020-06-18 | 0 | 96172.0 | 351.41 | 353.45 | 349.22 | 351.73 | 24205096.0 | 351.56873 | 8565421.0 | 10394906.0 | 0 | 0.3673 |
| 2 | AAPL{=d} | 6839099763720192000 | 2020-06-17 | 0 | 110438.0 | 355.15 | 355.40 | 351.09 | 351.59 | 28601626.0 | 353.70998 | 10686232.0 | 12141490.0 | 0 | 0.3713 |
Detach listener¶
When you are no longer interested in recieving data detach the listener
dxc.dxf_detach_listener(sub)
dxc.dxf_detach_listener(sub_timed)
Close connection¶
dxc.dxf_close_connection(con)
Transform data to pandas DataFrame¶
df1 = trade_handler.get_dataframe()
df1.head(3)
| Symbol | Price | ExchangeCode | Size | Tick | Change | DayVolume | Time | IsETH | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | AAPL | 351.73 | Q | 1406354 | 1 | 0.0 | 234761.0 | 2020-06-18 20:00:00.351 | 0 |
| 1 | AAPL | 351.73 | Q | 1406354 | 1 | 0.0 | 41051.0 | 2020-06-18 20:00:00.351 | 0 |
| 2 | MSFT | 196.32 | Q | 2364517 | 2 | 0.0 | 160741.0 | 2020-06-18 20:00:00.327 | 0 |
df2 = candle_handler.get_dataframe()
df2.head(3)
| Symbol | Index | Time | Sequence | Count | Open | High | Low | Close | Volume | VWap | BidVolume | AskVolume | OpenInterest | ImpVolatility | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | AAPL{=d} | 6839841934068940800 | 2020-06-19 | 0 | 807.0 | 354.05 | 355.55 | 353.35 | 354.79 | 184838.0 | 354.45447 | 75518.0 | 109320.0 | 0 | 0.3690 |
| 1 | AAPL{=d} | 6839470848894566400 | 2020-06-18 | 0 | 96172.0 | 351.41 | 353.45 | 349.22 | 351.73 | 24205096.0 | 351.56873 | 8565421.0 | 10394906.0 | 0 | 0.3673 |
| 2 | AAPL{=d} | 6839099763720192000 | 2020-06-17 | 0 | 110438.0 | 355.15 | 355.40 | 351.09 | 351.59 | 28601626.0 | 353.70998 | 10686232.0 | 12141490.0 | 0 | 0.3713 |