truedata-ws 5.0.11

Truedata's Official Python Package

Official Python repository for TrueData (Market Data APIs)

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This Python library attempts to make it easy for you to connect to TrueData Market Data Apis, thereby allowing you to concentrate on startegy development, while this library works to get you all the data you need from the TrueData backend both for Real Time & Historical.

Please make sure you follow us on our Telegram channel where we push a lot of information with regards to API updates, implementation ideas, tips & tricks to use this library & raw feed, etc...

• TrueData Market Data API - Telegram Channel
• TrueData Market Data APIs - Website

We have also built a sandbox environmemt for testing the raw feed. Please feel free to use this environment to check/test/compare your results with the raw data feed (real time & historical).

• TrueData Market Data API - Sandbox Environment

We are trying to improve this library continuously and feedback for the same is welcome.

It is essential to ensure that the data received through our APIs is not being utilized for any commercial purposes. Additionally, please be mindful that all information or data provided to you is exclusively intended for your internal use and must be utilized and discontinued at your end as required.

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What have we covered so far ?

WebSocket APIs

• Live data (Streaming Ticks) - Enabled by Default
• Live Data (Streaming 1 min bars) - Needs to be enabled from our backend
• Live Data (Streaming 5 min bars) - Needs to be enabled from our backend
• Live data (Streaming Ticks + 1 min bars) - Needs to be enabled from our backend
• Live Data (Streaming Ticks + 5 min bars) - Needs to be enabled from our backend
• Live Data (Streaming Ticks + 1 min bars + 5 min bars) - Needs to be enabled from our backend
• Live Data (Streaming 1 min + 5 min bars) - Needs to be enabled from our backend
• Option Greek streaming - Needs to be enabled from our backend

Note:- Kindly note that data that is not enabled by default may require exchange approvals, which vary depending on the specific exchange and segment in question. For any inquiries or clarifications, please feel free to reach out to our dedicated support team.

REST APIs

• Historical Data

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Getting Started

Installation

• Installing the truedata-ws library from PyPi

python3 -m pip install truedata_ws

or

pip3 install truedata_ws

Minimum Requirements

The minimum required versions are:-

- Python >= 3.7

In-built dependencies

All these dependencies should get installed automatically when you install the truedata_ws library. In case of an issue, make sure you meet the requirements as mentioned below.

- websocket-client>=0.57.0
- colorama>=0.4.3
- python-dateutil>=2.8.1
- pandas>=1.0.3
- setuptools>=50.3.2
- requests>=2.25.0
- lz4==3.1.3 (Note lz4 versions >3.1.3 currently have some errors and thus
  lz4 should not be upgraded till these dependency issues are resolved).

Connecting / Logging in

• Connecting / Logging in (Both Real time & Historical data feed subscriptions)

from truedata_ws.websocket.TD import TD
td_obj = TD('<enter_your_login_id>', '<enter_your_password>')
# This connects you to the default real time port which is 8082 & the REST History feed. 
# If you have been authorized on another live port please enter another parameter
# Example
# td_obj = TD('<enter_your_login_id>', '<enter_your_password>', live_port=8084)

• Connecting / Logging in (For Historical Data Subscription Only)

from truedata_ws.websocket.TD import TD
td_obj = TD('<enter_your_login_id>', '<enter_your_password>', live_port=None)

• Connecting / Logging in (For Real time Data Subscription Only)

from truedata_ws.websocket.TD import TD
td_obj = TD('<enter_your_login_id>', '<enter_your_password>', historical_api=False)

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Automatic Reconnection of Real Time Streaming Feed

In case of a Websocket disconnection, the library will check for the internet connection and once the connection is steady, it will try to re-connect the Websocket, automatically.

Once the websocket connection is re-established, the library will automatically re-subscribe the symbols & restart the live data seamlessly.

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Logging

We have integrated the python stdlib logger.

You can provide LOG_LEVEL and LOG_FORMAT if you want.

Please try with various log levels & formats to understand what works best for you for a particular setting. Below are 2 samples provided to you. Please test with both to see what works best for you.

from truedata_ws.websocket.TD import TD
import logging
td_obj = TD('<enter_your_login_id>', '<enter_your_password>', live_port=realtime_port,  url=url, 
            log_level=logging.WARNING, log_format="%(message)s")
# td_obj = TD('<enter_your_login_id>', '<enter_your_password>', log_level=logging.WARNING, log_format="(%(asctime)s) %(levelname)s :: %(message)s (PID:%(process)d Thread:%(thread)d)")

Also, If you have subscribed only for a 1 min streaming feed, the bar data would stream every 1 min for all the symbols.

It is therefore recommended enabling logging the Heartbeat responses received from the server. These Heartbeats come every 5 seconds and help establish a steady connection with the server.

To enable the Heartbeats, change your logging level to DEBUG as follows:-

from truedata_ws.websocket.TD import TD
import logging
td_obj = TD('<enter_your_login_id>', '<enter_your_password>', live_port=realtime_port, url=url, 
            log_level=logging.DEBUG, log_format="%(message)s")

The logging level to DEBUG, enables you to see:-

1. Market Status messages (Market Open / Close messages as and when they happen)
2. Automatic Touchline update messages
3. Symbol Add Remove messages
4. Heartbeat messages (every 5 seconds)

If you do not want to see these messages, set your logging level to WARNING

Additional LOG_LEVEL info can be found at https://docs.python.org/3/library/logging.html#logging-levels.

Additional LOG_FORMAT info can be found at https://docs.python.org/3/library/logging.html#logrecord-attributes.

If you really know what you are doing, you can simply provide a log handler.

td_obj = TD('<enter_your_login_id>', '<enter_your_password>', log_handler=log_handler_obj)

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Real Time Data Streaming (Live)

• Starting Live Data For Multiple symbols

req_ids = td_obj.start_live_data(['<symbol_1>', '<symbol_2>', '<symbol_3>', ...])
# Example:
# req_ids = td_obj.start_live_data(['CRUDEOIL-I', 'BANKNIFTY-I', 'RELIANCE', 'ITC'])
# This returns a list that can be used to reference data later

• Accessing Touchline Data

The touchline data is useful post market hours as this provides the last updates / settlement updates / snap quotes.

Please note that it is not recommended to use this during market hours as all the fields of the touchline data already form a part of the real time market data feed.

import time
time.sleep(1)
# You need to wait until for 1 sec for all of the touchline data to populate
for req_id in req_ids:
    print(td_obj.touchline_data[req_id])

• Accessing live streaming data

All updated relevant live data can be found in the object at td_obj.live_data[req_id].

For more details try: print(f"{type(td_obj.live_data[req_id])} -> {td_obj.live_data[req_id]})

last_traded_price       = td_obj.live_data[req_id].ltp
change_perc             = td_obj.live_data[req_id].change_perc
day_high                = td_obj.live_data[req_id].day_high
highest_available_bid   = td_obj.live_data[req_id].best_bid_price

VERY IMPORTANT

(Streaming Tick & Bar data [1 min , 5 min] Simultaneously)

The same code works without any changes, if you are subscribed to

Tick only or Bar only streaming.

td_obj.live_data[req_id]

However, if you are subscribed to both tick & bar streaming, then:-

Tick streaming data could be found at td_obj.live_data[req_id].

1 Min streaming bar data can be found at td_obj.one_min_live_data[req_id].

5 Min streaming bar data can be found at td_obj.five_min_live_data[req_id].

• Stopping live data

td_obj.stop_live_data(['<symbol_1>', '<symbol_2>', '<symbol_3>', ...])

• Disconnect from the WebSocket service

td_obj.disconnect()

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Option Greeks streaming

If user is subscribed to Nse options and also opt for option greek then whenever new greek data arrived the below function executed.

@td_obj.greek_callback
def mygreek_callback( greek_data):
    print("Greek > ", greek_data)

• These are available fields for greek_data -> timestamp, symbol_id, symbol, iv, delta, gamma, theta, vega, rho .

• Each field can be accessed with dot access such as greek_data.symbol , greek_data.delta etc...

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Bidask Streaming

If user is subscribed to bidask then whenever new bidask changed in exchange the below function executed.

@td_obj.bidask_callback
def mybidask_callback( bidask_data):
    print("BidAsk > ", bidask_data )

• These are available fields for bidask_data -> timestamp, symbol_id, symbol, bid, ask .
• Each field can be accessed with dot access such as bidask_data.symbol , bidask_data.ask etc...
• For Nse symbols we offer level 1 bid ask which have one best bid and ask data.
• For bse symbols we offer level 2 bid ask which have five best bid and ask data.
• For level 1 bid ask -> bidask_data.ask return with a list of tuples, containing [ ( ask, ask_qnty )] in the format, This has total length of one.
• For level 2 bid ask -> bidask_data.ask return with a list of tuples, containing [ ( ask_1, ask_1_qnty, ask_1_no_of_trades ) , ( ask_2, ask_2_qnty, ask_2_no_of_trades ) , ....... ] in the format , This has total length of five in bid and also same as the ask.

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QUICK START LIVE DATA CODE (STREAM USING CALLBACKS (Recommended))

The code snippet below shows you how easy it is to stream the data using Callbacks.

from truedata_ws.websocket.TD import TD
import time
import logging


username = 'your_username'
password = 'your_password'
realtime_port = 8082
url = 'push.truedata.in'
# Disable the Production url above and Enable the Replay url below, when you need to work with the replay feed
# Make sure to re-enable the Production url prior to live market start

# url = 'replay.truedata.in'

symbols = ['<symbol_1>', '<symbol_2>', '<symbol_3>', ...]

td_obj = TD(username, password, live_port=realtime_port, url=url, log_level=logging.DEBUG, log_format="%(message)s")

print('\nStarting Real Time Feed.... ')

req_ids = td_obj.start_live_data(symbols)
live_data_objs = {}

time.sleep(1)  # very important - to ensure that the touchine data is populated

for req_id in req_ids:
    print(f'touchlinedata -> {td_obj.touchline_data[req_id]}')

#for trade tick call back . whenever trade happens this function execute with tick data
#all data can be accessed with dotaccess egs -> tick_data.symbol , tick_data.ltp
#each function callback are provided with python dataclass so support all inbuilt dataclass functions  
@td_obj.trade_callback
def mytrade_callback( tick_data):
    print("Tick > ", tick_data )

@td_obj.bidask_callback
def mybidask_callback( bidask_data):
    print("BidAsk > ", bidask_data )

@td_obj.full_feed_trade_callback
def myfullfeed_callback( tick_data):
    print("Tick > ", tick_data )

@td_obj.greek_callback
def mygreek_callback( greek_data):
    print("Greek > ", greek_data)

@td_obj.one_min_bar_callback
def my_onemin_bar(symbol_id, tick_data):
    print("one min > ", tick_data)

@td_obj.five_min_bar_callback
def my_five_min_bar(symbol_id, tick_data):
    print(f"five min > " , tick_data)


# Keep your thread alive
while True:
    time.sleep(120) 

QUICK START LIVE DATA CODE (Using While Loop)

You can also, use a While Loop to stream the data which is recommended for beginners to intermediate developers.

In this example we will simply print data in the format given below:-

• Symbol > LTP > Change

from truedata_ws.websocket.TD import TD
from copy import deepcopy
import time
import logging


username = 'your_username'
password = 'your_password'
realtime_port = 8082
# url = 'push.truedata.in'
# Disable the Production url above and Enable the Replay url below, when you need to work with the replay feed
# Make sure to re-enable the Production url prior to live market start
url = 'replay.truedata.in'

symbols = ['<symbol_1>', '<symbol_2>', '<symbol_3>', ...]

td_obj = TD(username, password, live_port=realtime_port, url=url, log_level=logging.WARNING, log_format="%(message)s")

req_ids = td_obj.start_live_data(symbols)
subs = td_obj.live_websocket.subs
live_data_objs = {}
one_min_live_data_objs = {}
five_min_live_data_objs = {}

time.sleep(3)

if 'tick' in subs :
    for req_id in req_ids:
        live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])
if '1min' in subs:
    for req_id in req_ids:
        one_min_live_data_objs[req_id] = deepcopy(td_obj.one_min_live_data[req_id])
if '5min' in subs:
    for req_id in req_ids:
        five_min_live_data_objs[req_id] = deepcopy(td_obj.five_min_live_data[req_id])

while True:
    for req_id in req_ids:
        if 'tick' in subs  and not td_obj.live_data[req_id] == live_data_objs[req_id] :
            live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])
            print( 'tick ->' , td_obj.live_data[req_id])
        if '1min' in subs and not td_obj.one_min_live_data[req_id] == one_min_live_data_objs[req_id]:
            one_min_live_data_objs[req_id] = deepcopy(td_obj.one_min_live_data[req_id])
            print('one min ->' , td_obj.one_min_live_data[req_id])
        if '5min' in subs and not (td_obj.five_min_live_data[req_id] == five_min_live_data_objs[req_id]):
            five_min_live_data_objs[req_id] = deepcopy(td_obj.five_min_live_data[req_id])
            print('five min ->' , td_obj.five_min_live_data[req_id])
    time.sleep(0.05)  # important otherwise cpu will overthrottle.

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CONVERTING REAL TIME STREAM TO DICT

In some cases, some people may need to convert the real time stream to dict. This could be either to push the real time stream into pandas, a SQL database or work with processing the stream differently at your end.

So, if you need to convert the Real Time Stream to dict, use the to_dict() function.

td_obj.live_data[req_id].to_dict()

Here is a sample code to push the data into a pandas Dataframe. Please adapt to your code as this is just a sample and there could be better ways to do the same thing more efficiently.

from truedata_ws.websocket.TD import TD
import time
import pandas as pd
from copy import deepcopy

td_obj = TD('<enter_your_login_id>', '<enter_your_password>')

symbols = ['CRUDEOIL-I', 'GOLD-I', 'NIFTY-I']
symbol_ids = td_obj.get_req_id_list(2000, len(symbols))  # symbol_ids = list(range(2000, 2000+len(symbols)))

live_data_objs = {}
td_obj.start_live_data(symbols, req_id=symbol_ids)
time.sleep(1)

for symbol_id in symbol_ids:
	live_data_objs[symbol_id] = deepcopy(td_obj.live_data[symbol_id])

df = pd.DataFrame()
# pd.set_option("display.max_rows", None, "display.max_columns", None)

while True:
	time.sleep(0.05)
	for req_id in symbol_ids:
		if td_obj.live_data[req_id] != live_data_objs[req_id]:
			live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])
            # picking up trade packets & discarding only bid ask packets
			if td_obj.live_data[req_id].tick_type == 1:  
				op_dict = deepcopy(td_obj.live_data[req_id].to_dict())
				temp_df = pd.DataFrame.from_records([op_dict])
				# temp_df = pd.DataFrame(op_dict, index=[0])  # BOTH WORK
				df = df.append(temp_df, ignore_index=True)
				print(df)  # just printing out the df with each update

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Option Chain Streaming

It is possible to stream single or multiple option chains within respective pandas dataframes, using the steps & sample as explained below.

The Option Chain Streaming allows the following fields in the dataframe. (In case you don't need any of these columns, with pandas you can pick and choose and create your dataframe columns accordingly)

symbols, strike, type (CE/PE), ltp, ltt (last traded time), ltq (last traded qty), volume (total volume), price change, price change %, oi, oi Change, OI Change %, bid, bid qty, ask, ask qty

Starting Option Chain data for a symbol

from datetime import datetime as dt
from truedata_ws.websocket.TD import TD

td_obj = TD('<enter_your_login_id>', '<enter_your_password>')

nifty_chain = td_obj.start_option_chain( 'NIFTY' , dt(2021 , 8 , 26) )

sensex_chain = td_obj.start_option_chain("SENSEX" , dt(2023 , 9 , 1) , chain_length = 80 ,bse_option = True)
#enabling option chain for NIFTY with corresponding expiry. 

• start_option_chain function takes following arguments:
  • symbols for egs: NIFTY , BANKNIFTY , SBIN etc......
  • expiry : date (date object)
  • chain_length : number of strike need to pull with respect to future prices. default value is 10 (int)
  • bid_ask : enable live quote . default value is false (boolean)
  • market_open_post_hours : extra parameter for updating the chain in extra NSE session like (muhurat session) , default is False
  • put bse_option = True if pulling sensex or bankex option chain

Pulling an Option Chain

df = nifty_chain.get_option_chain()
#returns a dataframe that contain option chain for repective symbol

this get_option_chain function can call anywhere that will return respective option chain

Stop Option Chain Updates

nifty_chain.stop_option_chain()
#this function call will stop updating the respective option chain. 

An example for pulling option chain and live data simultaneously

• A common mistake people make, is leaving while loop without putting proper time sleep, which could overclock your CPU. However, if you use a larger number of symbols, this sleep would need to be smaller else your code would insert an unwanted lag into the data stream.

from truedata_ws.websocket.TD import TD
from copy import deepcopy
import time
import logging
from datetime import datetime as dt

td_obj = TD('<your_login>', '<your_password>' , log_level= logging.WARNING )

symbols = ['BANKNIFTY-I' , 'NIFTY 50' , 'NIFTY21072915600CE' , 'SBIN' ]
#starting live data for symbols 
req_ids = td_obj.start_live_data(symbols)
live_data_objs = {}
time.sleep(1)

# initilizing option chain with symbol expiry chain length(optional) , bid ask (optional)
sbi_chain = td_obj.start_option_chain( 'SBIN', dt(2021 , 8 , 26) )
bnf_chain = td_obj.start_option_chain( 'BANKNIFTY', dt(2021 , 8 , 26) , chain_length = 20 )
nifty_chain = td_obj.start_option_chain( 'NIFTY', dt(2021 , 8 , 26), chain_length = 10, bid_ask = True)
time.sleep(2)

for req_id in req_ids:
    live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])
print(sbi_chain.get_option_chain())
print(nifty_chain.get_option_chain())
print(bnf_chain.get_option_chain())

count = 1
while True:
    for req_id in req_ids:
        if not td_obj.live_data[req_id] == live_data_objs[req_id]:
            #this will priint live tick that requested 
            print( f'{td_obj.live_data[req_id].symbol} ==> {td_obj.live_data[req_id].ltp}')
            live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])
            # fetching option chain every 50 ticks
            if count % 50 == 0:
                print(sbi_chain.get_option_chain())
                print(nifty_chain.get_option_chain())
                print(bnf_chain.get_option_chain())
            count += 1
    time.sleep(0.05)  # important otherwise cpu will overthrottle.

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Historical Data

Historical Data is provided over REST (from the backend) using Start time, End time or Duration

• Using no parameters

hist_data_1 = td_obj.get_historic_data('BANKNIFTY-I')
# This returns 1 minute bars from the start of the present day until current time

• Using a given duration (For available duration options, please read the limitations section)

hist_data_2 = td_obj.get_historic_data('BANKNIFTY-I', duration='3 D')

• Using a specified bar_size (For available bar_size options, please read the limitations section)

hist_data_3 = td_obj.get_historic_data('BANKNIFTY-I', bar_size='30 mins')

• Using start time INSTEAD of duration

from dateutil.relativedelta import relativedelta
hist_data_4 = td_obj.get_historic_data('BANKNIFTY-I', start_time=datetime.now()-relativedelta(days=3))

• Using a specific ending time

from datetime import datetime
hist_data_5 = td_obj.get_historic_data('BANKNIFTY-I', end_time=datetime(2021, 3, 5, 12, 30))
# Any time can be given here

• Using a specific number of bars (Enabled for Tick, 1 min & EOD bars)

You can specify the number of bars (or ticks) which you want to see or use in your code. This is currently enabled for Ticks , 1 min bars & EOD Bars.

hist_data_6=td_app.get_n_historical_bars(symbol, no_of_bars=30, bar_size=barsize

• Enabling / Disabling Bid Ask data with Tick Data History

If you have subscribed for Historical Bid Ask (not activated by default), you can control the visibility of this data depending upon your needs by setting the bidask parameter to True, like, bidask=True.

hist_data_7 = td_obj.get_historic_data(symbol, duration='1 D', bar_size='tick', bidask=True)

Default bidask=False

• Storing data for later use

Until v3.x.x, requested data was stored in the td_obj at td_obj.hist_data[req_id].

As of v4.0.1, you need to explicitly provide a ticker_id to store the data for later use. For example,

td_obj.get_historic_data('BANKNIFTY-I', ticker_id=1000)
# At any later point
print(td_obj.hist_data[1000])

IMPORTANT NOTE:

Now that we have covered the basic parameters, you can mix and match the parameters as you please. If a parameter is not specified, the defaults are as follows

end_time = datetime.now()
duration = "1 D"
bar_size = "1 min"

• Example of mix and match

hist_data_8 = td_obj.get_historic_data('BANKNIFTY-I', duration='3 D', bar_size='15 mins')

On a side note: You can convert historical data to Pandas DataFrames with a single line

import pandas as pd
df = pd.DataFrame(hist_data_1)

Get Bhavcopy

This function enables you to get the NSE & MCX bhavcopies for the day / date.

eq_bhav     = td_obj.get_bhavcopy('EQ')
fo_bhav     = td_obj.get_bhavcopy('FO')
mcx_bhav    = td_obj.get_bhavcopy('MCX')

The request checks if the latest completed bhavcopy has arrived for that segment and, if arrived, it returns the data.

In case it has not arrived it provides the date and time of the last bhavcopy available which can also be pulled by providing the bhavcopy date.

*No complete bhavcopy found for requested date. Last available for 2021-03-19 16:46:00.*

In this case, if you need the bhavcopy of the date provided, you can get it by giving the date for which the bhavcopy is required as shown below..

specific_bhav = td_obj.get_bhavcopy('EQ', date=datetime.datetime(2021, 3, 19))

Limitations and caveats for historical data

1. If you provide both duration and start time, duration will be used and start time will be ignored.

2. If you provide neither duration nor start time, duration = "1 D" will be used

3. If you do not provide the bar size bar_size = "1 min" will be used

4. The following BAR_SIZES are available:

   • tick
   • 1 min
   • 2 mins
   • 3 mins
   • 5 mins
   • 10 mins
   • 15 mins
   • 30 mins
   • 60 mins
   • eod (or EOD)
   • week (or WEEK)
   • month (or MONTH)

5. The following annotation can be used for DURATION:-

   • D = Days
   • W = Weeks
   • M = Months
   • Y = Years

Get Gainers losers information

This function enables you to get the NSE gainers losers information at present state.

gainers = td_obj.get_gainers(segment = "NSEEQ" , topn= 10 , df_style= False)
losers = td_obj.get_losers(segment = "NSEEQ" , topn= 10 )

The function call return a dataframe or list that contains gainers losers information accoriding to your style preferred

• gainers , losers function takes following arguments:
  • segment (string) : NSEEQ, NSEFUT, NSEOPT, MCX
  • topn (int) : default 10 , top n number
  • df_style : default is True , output style customization

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Example Strategies

Here we cover 4 sample strategies. The first 2 use tick data and the last 2 use bar data. We also explain how you can use these strategies using both callbacks and with a constant state check mechanism.

Differences between Callback and State Check strategies

• In the context of this library, callbacks are meant to be light-weight. Primarily used for quick POCs and other speedy development.
• The callback execution happens on the websocket thread and will therefore be harder to divide computation across processing cores.

Strategy 1

• Tick based
• Callback
• BUY when past 50 ticks SMA goes above 100 ticks SMA.
• SELLS when past 50 ticks SMA goes below 100 ticks SMA.

Strategy 2

• Tick based
• State Check
• BUY when past 50 ticks SMA goes above 100 ticks SMA.
• SELLS when past 50 ticks SMA goes below 100 ticks SMA.

Strategy 3

• Minute Bar based
• Callback
• BUY when past 50 bars close SMA goes above 100 bars close SMA.
• SELLS when past 50 bars close SMA goes below 100 bars close SMA.

Strategy 4

• Minute Bar based
• State Check
• BUY when past 50 bars close SMA goes above 100 bars close SMA.
• SELLS when past 50 bars close SMA goes below 100 bars close SMA.

Strategy 1

from truedata_ws.websocket.TD import TD
from copy import deepcopy
import time , os
import logging

td_obj = TD( '<enter_your_login_id>', '<enter_your_password>', log_level= logging.WARNING)
symbols = ['CRUDEOIL-I', 'GOLD-I', 'SILVER-I']

# generating symbol_id for distinguishing which symbol it is for comparison etc....
symbol_ids = td_obj.get_req_id_list(2000, len(symbols))

is_market_open = True
data = {}

# fetching historical data for strategy calculation ,
for symbol_id, symbol in zip(symbol_ids, symbols):
    print(f"Requesting historical data for {symbol}")
    symbol_hist_data = td_obj.get_historic_data(symbol, duration='1 D', bar_size='tick')
    data[symbol_id] = list(map(lambda x: x['ltp'], symbol_hist_data))[-100:]

# live data initilizing for required symbols , passing symbol_id that generated
symbol_ids = td_obj.start_live_data(symbols, req_id=symbol_ids)
time.sleep(1)

# trade_callback callback function , strategy is logic is inside call back function
@td_obj.trade_callback
def new_tick( tick_data):
        symbol_id = tick_data.symbol_id
        data[symbol_id] = data[symbol_id][1:] + [td_obj.live_data[symbol_id].ltp]
        if sum(data[symbol_id][-50:]) / 50 > sum(data[symbol_id]) / 100:
            print(f'{td_obj.live_data[symbol_id].symbol} - 
                    SEND OMS LONG SIGNAL {sum(data[symbol_id][-50:]) / 50:.2f} > 
                    {sum(data[symbol_id]) / 100:.2f},' , f'ltp = {td_obj.[symbol_id].ltp:.2f}')
        else:
            print(f'{td_obj.live_data[symbol_id].symbol} - SEND OMS SHORT SIGNAL 
                    {sum(data[symbol_id][-50:]) / 50:.2f} < {sum(data[symbol_id]) / 100:.2f}' , 
                    f'ltp = {td_obj.live_data[symbol_id].ltp:.2f}')

# keeping the while loop to keep the program running
while is_market_open:
    time.sleep(10)

# Graceful exit
td_obj.clear_bidask_callback()
td_obj.stop_live_data(symbols)
td_obj.disconnect()

Strategy 2

from truedata_ws.websocket.TD import TD
import time

td_obj = TD('<enter_your_login_id>', '<enter_your_password>')
symbols = ['CRUDEOIL-I', 'GOLD-I', 'SILVER-I']
symbol_ids = td_obj.get_req_id_list(2000, len(symbols))
is_market_open = True

data = {}
live_data_objs = {}

for sym_id, symbol in zip(symbol_ids, symbols):
    print(f"Requesting historical data for {symbol}")
    symbol_hist_data = td_obj.get_historic_data(symbol, duration='1 D', bar_size='tick')
    data[sym_id] = list(map(lambda x: x['ltp'], symbol_hist_data))[-100:]

td_obj.start_live_data(symbols, req_id=symbol_ids)

for symbol_id in symbol_ids:
    live_data_objs[symbol_id] = deepcopy(td_obj.live_data[symbol_id])

time.sleep(1)


while is_market_open:  # Remember to keep your main thread alive.
    for symbol_id in symbol_ids:
        if live_data_objs[symbol_id] != td_obj.live_data[symbol_id]:
            live_data_objs[symbol_id] = deepcopy(td_obj.live_data[symbol_id])
            if sum(data[symbol_id][-50:]) / 50 > sum(data[symbol_id]) / 100:
                print(f'{live_data_objs[symbol_id].symbol} - SEND OMS LONG SIGNAL 
                        {sum(data[symbol_id][-50:]) / 50:.2f} > {sum(data[symbol_id]) / 100:.2f}',
                        f'ltp = {live_data_objs[symbol_id].ltp:.2f}')
            else:
                print(f'{live_data_objs[symbol_id].symbol} - SEND OMS SHORT SIGNAL 
                        {sum(data[symbol_id][-50:]) / 50:.2f} < {sum(data[symbol_id]) / 100:.2f}',
                        f'ltp = {live_data_objs[symbol_id].ltp:.2f}')

    time.sleep(0.01)

Strategy 3

from truedata_ws.websocket.TD import TD
from copy import deepcopy
import time

td_obj = TD('<enter_your_login_id>', '<enter_your_password>')
symbols = ['CRUDEOIL-I', 'GOLD-I', 'SILVER-I']
symbol_ids = td_obj.get_req_id_list(2000, len(symbols))
is_market_open = True

data = {}
live_data_objs = {}

for sym_id, symbol in zip(symbol_ids, symbols):
    print(f"Requesting historical data for {symbol}")
    symbol_hist_data = td_obj.get_historic_data(symbol, duration='1 D', bar_size='1 min')
    data[sym_id] = list(map(lambda x: x['c'], symbol_hist_data))[-100:]

td_obj.start_live_data(symbols, req_id=symbol_ids)

time.sleep(1)
for sym_id in symbol_ids:
    live_data_objs[sym_id] = deepcopy(td_obj.live_data[sym_id])


@td_obj.bar_callback
def strategy_callback( min_data):
    symbol_id = min_data.symbol_id
    data[symbol_id] = data[symbol_id][1:] + [min_data.close]
    if sum(data[symbol_id][-50:]) / 50 > sum(data[symbol_id]) / 100:
        print(f'{min_data.symbol} - SEND OMS LONG SIGNAL 
                {sum(data[symbol_id][-50:]) / 50:.2f} > {sum(data[symbol_id]) / 100:.2f}',
                f'ltp = {min_data.ltp:.2f}')
    else:
        print(f'{min_data.symbol} - SEND OMS SHORT SIGNAL 
                {sum(data[symbol_id][-50:]) / 50:.2f} < {sum(data[symbol_id]) / 100:.2f},'
                f'ltp = {min_data.ltp:.2f}')


while is_market_open:  # Remember to keep your main thread alive.
    time.sleep(120)

# Graceful exit
td_obj.clear_bar_callback()
td_obj.stop_live_data(symbols)
td_obj.disconnect()

Strategy 4

from truedata_ws.websocket.TD import TD
from copy import deepcopy
import time

td_obj = TD('<enter_your_login_id>', '<enter_your_password>')
symbols = ['CRUDEOIL-I', 'GOLD-I', 'SILVER-I']
symbol_ids = td_obj.get_req_id_list(2000, len(symbols))
is_market_open = True

data = {}
live_data_objs = {}

for symbol_id, symbol in zip(symbol_ids, symbols):
    print(f"Requesting historical data for {symbol}")
    symbol_hist_data = td_obj.get_historic_data(symbol, duration='1 D', bar_size='1 min')
    data[symbol_id] = list(map(lambda x: x['c'], symbol_hist_data))[-100:]

td_obj.start_live_data(symbols, req_id=symbol_ids)

time.sleep(1)
for symbol_id in symbol_ids:
    # If you are subscribed ONLY to min data, just USE live_data NOT min_live_data
    live_data_objs[symbol_id] = deepcopy(td_obj.one_min_live_data[symbol_id])

while is_market_open:
    time.sleep(0.1)  # Adding this reduces CPU overthrottle
    for symbol_id in symbol_ids:
        # If you are subscribed ONLY to min data, just USE live_data NOT min_live_data
        if live_data_objs[symbol_id] != td_obj.one_min_live_data[symbol_id]:
            live_data_objs[symbol_id] = deepcopy(td_obj.one_min_live_data[symbol_id])
            # Here is where you can do your manipulation on the min data
            data[symbol_id] = data[symbol_id][1:] + [live_data_objs[symbol_id].close]
            if sum(data[symbol_id][-50:]) / 50 > sum(data[symbol_id]) / 100:
                print(f'{live_data_objs[symbol_id].symbol} - SEND OMS LONG SIGNAL 
                        {sum(data[symbol_id][-50:]) / 50:.2f} > {sum(data[symbol_id]) / 100:.2f}, '
                        f'ltp = {live_data_objs[symbol_id].close:.2f}')
            else:
                print(f'{live_data_objs[symbol_id].symbol} - SEND OMS SHORT SIGNAL 
                        {sum(data[symbol_id][-50:]) / 50:.2f} < {sum(data[symbol_id]) / 100:.2f}, '
                        f'ltp = {live_data_objs[symbol_id].close:.2f}')

# Graceful exit
td_obj.stop_live_data(symbols)
td_obj.disconnect()

---

Release Notes

(Version number significance>> 3 numbers denote major_update.minor_update.micro_update. A major_update indicates code-breaking changes for all users, whereas a micro_update, on the contrary, implies the library changes should not be affecting anyone.)

Version 5.0.11

• Bugfix: option chain not updating after connection drop

Version 5.0.10

• Bidask l2 total bid and total ask are added ..
• td analytics added

Version 5.0.8

• Bug Fix - annoying behaviour of historical login ..

Version 5.0.7

• Bug Fix - reconnection of previously subscribed symbols implemented..
• Bug Fix - greeks order fixed..

Version 5.0.6

• Bug Fix - path issue fixed for linux enviornment..

Version 5.0.3

• Bug Fix - feed optimized with symbolid mapping..

Version 5.0.2

• Bug Fix - if Bid ask not enabled then zero is appended in bid ask fields, which come with trade ticks to keep the structure intact..

Version 5.0.1

• BidAsk Level 2 (Top 5 Bid Ask) option added to facilitate L2 in BSEFO segment
• Bidask structure changed
• Bidask call back decorator renamed & now a dataclass
• Tick call back moved to dataclass from plain dict
• Greeks call back introduced (includes IV & Greeks)
• Lib optimized .
• New Sample codes added to each section of this Readme
• Bugs fixed

Version 4.3.5

• Index segment masters IND updated to IN
• Bugs removed

Version 4.3.3

• Websocket Feed Reconnection - Handling Improved
• Delivery data parameter added to EOD Data
• Bugs fixed

Version 4.3.2

• week & month now available in bar sizes
• Real Time Streaming of Larger Datasets Optimized
• Bugs fixed

Version 4.3.1

• min_live_data dict in td_obj changed to one_min_live_data
• five_min_live_data dict added to td_obj for 5 min bar min
• Callback for respective bar data changed to @td_obj.one_min_bar_callback and @td_obj.five_min_bar_callback
• Market status message added to logger DEBUG level.
• All option chain feature works for respective subscriptions

Version 4.2.3

• Option Chain Streaming Optimized
• LTQ, Price Change & Price Change % added to Options Change Streaming
• Rate Limiting now handled gracefully by the library
• Bugs Removed

Version 4.2.2

• OI when Null (first few ticks of first time traded options) throws error - Fixed
• Readme Updated with sample codes for Logging, callbacks etc...
• Bugs Removed

Version 4.2.1

• Decompression added for pulling smaller files and for faster downloads
• Decompression added for gethistoric data & getnhistoric data
• Requirements updated (lz4==3.1.3 pivoted due to build issue in new version)
• Bugs fixed

Version 4.0.8

• Gainers Losers function included
• Currency option chains added
• Bugfix: Automatic Reconnection due to Network Issue - Fixed

Version 4.0.7

• Option chains now include Previous OI, OI Change & Volume
• market_close parameter changed to market_open_post_hours. Default is False. Set to true when markets live post normal trading hours (eg. Mahurat Trading)
• Bugfix - Python 32 bit - Float error handled.
• Bugfix - Removed the dict in case stoplivedata is called.

Version 4.0.6

• Option chains into pandas enabled > td_obj.start_option_chain(Symbol, Expiry_date, chain length, bid_ask)
• The option chain is enabled for tick and 1 min bar streaming
• The option chain also works post and pre market hours using the touchline data
• History - Call Specific Number of historical Bars (Tick, 1 min & EOD)
• Code cleaned

Version 4.0.1

• Breaking changes made to td_obj.get_historic_data -> ONLY if the ticker_id parameter is given, data can later be accessed at td_obj.hist_data[ticker_id].
• If you are subscribed to tick+min streaming, you can access the min bar data at td_obj.min_live_data[req_id] in additional to your tick feed at td_obj.live_data[req_id].
• Log Handler added + logging convenience parameters added + logging README section
• Examples added to repo.
• Examples + descriptions + differences updated in README.

Version 3.0.2

• Automatic streaming websocket reconnect enabled.
• Automatic subscription of symbols & restart of live data after reconnect
• Now Avoiding server calls for repeated / duplicate streaming symbols...

Version 3.0.1

• Historical feed via Websocket - Deprecated
• Historical feed via REST - Added
• More time frames have been added
• get_bhavcopy added
• Code cleaned up to improve dependancy handling (eg. for websocket-client)

Version 0.3.11

• Refactored query_time to end_time in td_obj.get_historic_data() function.
• Refactored truedata_id to symbol_id in td_obj.touchline_data objects.
• Filled missing values in td_obj.live_data objects upon initialization.
• Added better debugging information for error reporting.
• Cleaned up the code base.

Stay Updated with the latest on this API

Please make sure you follow us on our Telegram channel where we push a lot of information with regards to API updates, implementation ideas, tips & tricks to use this library & raw feed, etc...

• TrueData Market Data API - Telegram Channel
• TrueData Market Data APIs - Website

Sandbox Environment

We have also built a sandbox environmemt for testing the raw feed. Please feel free to use this environment to check/test/compare your results with the raw data feed (real time & historical).

• TrueData Market Data API - Sandbox Environment

We are trying to improve this library continuously and feedback for the same is welcome.

Note: - It is essential to ensure that the data received through our APIs is not being utilized for any commercial purposes. Additionally, please be mindful that all information or data provided to you is exclusively intended for your internal use and must be utilized and discontinued at your end as required.