dxfeed package

This package provides access to dxFeed streaming data. The library is build as a thin wrapper over dxFeed C-API library. We use Cython in this project as it combines flexibility, reliability and usability in writing C extensions.

This package already contains basic C-API functions related to creating connections, subscriptions etc. Moreover default listeners (functions responsible for event processing) are ready to use. The user is also able to write his own custom listener in Cython

Installation

Requirements: python >3.6, pandas

pip3 install pandas

Install package via PyPI

pip3 install dxfeed

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.

Import dxfeed library:

import dxfeed as dx

Create connection:

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

Create one or several subscriptions of certain event types:

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

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

Attach listeners:

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

Add tickers you want to get data for:

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

dxfeed has default listeners for each event type, but you are able to write your custom one. You can find how to do it at example/Custom listener example.ipynb.

Look at the data:

sub1.get_data()
sub2.get_data()

The data is stored in Subscription class. You can also turn dict to pandas DataFrame simply calling sub1.to_dataframe().

Detach the listener, if you want to stop recieving data:

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

Finally, close your connection:

dx.dxf_close_connection(con)