PyRFA

PyRFA is a Python API for accessing Refinitiv (Thomson Reuters) market data feeds known as Elektron, Thomson Reuter Enterprise Platform for Real-time (TREP-RT) or legacy RMDS. It supports subscription and publication of market data using OMM data message model.

Features

• Subscription for MARKET_PRICE (level 1)
• Subscription for MARKET_BY_ORDER (order book)
• Subscription for MARKET_BY_PRICE (market depth)
• Snapshot/streaming request
• Multiple service subscription
• Pause and resume subscription
• OMM Posting
• View
• Dictionary download or use local files
• Directory request
• Symbol list request
• Time-series request and decoder for IDN TS1
• Custom domain MMT_HISTORY which can be used for intraday timeseries publishing
• Non-interactive provider (full-cached) for MARKET_PRICE, MARKET_BY_ORDER, MARKET_BY_PRICE, SYMBOLLIST, HISTORY domains
• Interactive provider for MARKET_PRICE domain
• Debug mode
• Logging
• Low-latency mode
• Subscription outbound NIC binding

Installation

PyRFA supports both Windows and Linux platforms. Simply install from PyPI using pip:

> pip install pyrfa

Windows users might need to install Microsoft Visual C++ 2010 SP1 Redistributable Package (x64) or (x86).

Platform Availability

Windows

Linux

Example

import pyrfa
p = pyrfa.Pyrfa()
p.createConfigDb("./pyrfa.cfg")
p.acquireSession("Session1")
p.createOMMConsumer()
p.login()
p.directoryRequest()
p.dictionaryRequest()
p.marketPriceRequest("JPY=,EUR=")
end = False
while not end:
    try:
        for data in p.dispatchEventQueue(10):
            print(data)
    except KeyboardInterrupt:
        end = True

Output:

...
{'MTYPE': 'UPDATE', 'RIC': 'JPY=', 'SERVICE': 'IDN_RDF_SDS', 'IRGPRC': 0.24}
{'MTYPE': 'UPDATE', 'ASIA_NETCH': 0.7, 'SERVICE': 'IDN_RDF_SDS', 'RIC': 'JPY='}
{'MTYPE': 'UPDATE', 'BID_NET_CH': 0.26, 'RIC': 'JPY=', 'SERVICE': 'IDN_RDF_SDS'}
...

Support

Available support including API documentation, Replay Service guide, changelog, issue tracker:

• Community support - GitHub
• PyRFA Enterprise Support - access to private GitHub for Early Access releases, complete documentation and Replay Service
• Issue tracker