truedata-ws 0.4.5

Truedata's Official Python Package

This is the official python (websocket) repo for TrueData.

What have we covered so far ?

• Websocket APIs
  • Live data
  • Historical data

How do you use it ?

For beginners

• Installing from PyPi

python3.7 -m pip install truedata_ws

• Running tests to ensure everything is in order

python3.7 -m truedata_ws run_all_tests <enter_your_login_id> <enter_your_password>

• Connecting

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

• Connecting using the optional broker_token parameter
  Truedata also partners up with brokers to provide our clients with the optimum trading experience.
  If you are a client that uses this service, please be sure to provide your broker token as well after logging into their service

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

• Starting live data

For Single Symbols

req_ids = td_obj.start_live_data(['<enter_symbol>'])
# Example:
# req_id = start_live_data(['CRUDEOIL-I'])
# This returns an single element list that can be used later to reference the 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

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

• Sample code for testing market data

from copy import deepcopy
live_data_objs = {}
for req_id in req_ids:    
    live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])

while True:
    for req_id in req_ids:
        if live_data_objs[req_id] != td_obj.live_data[req_id]:
            print(td_obj.live_data[req_id])
            live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])

• Stopping live data

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

You can also provide your own list of req_ids (However, they need to have the same length as the number of symbols)...
Or, you can provide a single req_id as an integer and we will return a list by incrementing it for every symbol provided...

• Getting Historical data

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 a specific ending time

from datetime import datetime
hist_data_2 = td_obj.get_historic_data('BANKNIFTY-I', end_time=datetime(2020, 5, 5, 12, 30))
# Any time can be given here

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

hist_data_3 = 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_4 = td_obj.get_historic_data('BANKNIFTY-I', bar_size='30 mins')

Using start time INSTEAD of duration

from dateutil.relativedelta import relativedelta
hist_data_5 = td_obj.get_historic_data('BANKNIFTY-I', start_time=datetime.now()-relativedelta(days=3))

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_6 = 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)

• Disconnect from the service

td_obj.disconnect()

• 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. ONLY the following BAR_SIZES are available
   • tick
   • 1 min
   • 5 mins
   • 15 mins
   • 30 mins
   • EOD
4. Following annotation can be used for DURATION
   • D = Days
   • W = Weeks
   • M = Months
   • Y = Years

Sample Code

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

import pandas as pd
from datetime import datetime
from dateutil.relativedelta import relativedelta

from colorama import Style, Fore

username = '<enter_your_username>'
password = '<enter_your_password>'
broker_token = '<enter_your_broker>'
symbols = ['<symbol_1>', '<symbol_2>', '<symbol_3>', ...]

# ------- In this sample, we use the first of the above given symbols for historical data
symbol = symbols[0]
test_time = datetime.today()

td_obj = TD(username, password, broker_token=broker_token)

# ------- Beginning historical data test...
hist_data_1 = td_obj.get_historic_data(f'{symbol}')
hist_data_2 = td_obj.get_historic_data(f'{symbol}', duration='3 D')
hist_data_3 = td_obj.get_historic_data(f'{symbol}', duration='3 D', bar_size='15 mins')
hist_data_4 = td_obj.get_historic_data(f'{symbol}', bar_size='30 mins')
hist_data_5 = td_obj.get_historic_data(f'{symbol}', bar_size='30 mins', start_time=test_time - relativedelta(days=3))
hist_data_6 = td_obj.get_historic_data(f'{symbol}', bar_size='EOD', duration='1 M')
# Testing tick historical data
tick_hist_data_1 = td_obj.get_historic_data(f'{symbol}', bar_size='tick')
tick_hist_data_2 = td_obj.get_historic_data(f'{symbol}', bar_size='tick', duration='3 D')
tick_hist_data_3 = td_obj.get_historic_data(f'{symbol}', bar_size='tick', start_time=test_time - relativedelta(days=3))

# Printing out the results
print(f'{Style.BRIGHT}{Fore.BLUE}------------- HIST BAR DATA TEST RESULTS -------------{Style.RESET_ALL}')
print()
print(f"{Style.BRIGHT}{Fore.BLUE}HISTDATA 1...\n"
      f"\tCommand used -> hist_data_1 = td_app.get_historic_data('{symbol}')\n"
      f"\tLENGTH OF RESULT = {len(hist_data_1)}{Style.RESET_ALL}")
for hist_point in hist_data_1[-20:]:
    print(hist_point)
print()
print(f"{Style.BRIGHT}{Fore.BLUE}HISTDATA 2...\n"
      f"\tCommand used -> hist_data_2 = td_app.get_historic_data('{symbol}', duration='3 D')\n"
      f"\tLENGTH OF RESULT = {len(hist_data_2)}{Style.RESET_ALL}")
for hist_point in hist_data_2[-20:]:
    print(hist_point)
print()
print(f"{Style.BRIGHT}{Fore.BLUE}HISTDATA 3...\n"
      f"\tCommand used -> hist_data_3 = td_app.get_historic_data('{symbol}', duration='3 D', bar_size='15 mins')\n"
      f"\tLENGTH OF RESULT = {len(hist_data_3)}{Style.RESET_ALL}")
for hist_point in hist_data_3[-20:]:
    print(hist_point)
print()
print(f"{Style.BRIGHT}{Fore.BLUE}HISTDATA 4...\n"
      f"\tCommand used -> hist_data_4 = td_app.get_historic_data('{symbol}', bar_size='30 mins')\n"
      f"\tLENGTH OF RESULT = {len(hist_data_4)}{Style.RESET_ALL}")
for hist_point in hist_data_4[-20:]:
    print(hist_point)
print()
print(f"{Style.BRIGHT}{Fore.BLUE}HISTDATA 5...\n"
      f"\tCommand used -> hist_data_5 = td_app.get_historic_data('{symbol}', bar_size='30 mins', start_time=datetime({(test_time - relativedelta(days=3)).strftime('%Y, %m, %d, %H, %M, %S').replace(' 0', ' ')}))\n"
      f"\tLENGTH OF RESULT = {len(hist_data_5)}{Style.RESET_ALL}")
for hist_point in hist_data_5[-20:]:
    print(hist_point)
print()
print(f"{Style.BRIGHT}{Fore.BLUE}HISTDATA 6...\n"
      f"\tCommand used -> hist_data_6 = td_obj.get_historic_data(f'{symbol}', bar_size='EOD', duration='1 M'))\n"
      f"\tLENGTH OF RESULT = {len(hist_data_6)}{Style.RESET_ALL}")
for hist_point in hist_data_6[-20:]:
    print(hist_point)
print()
print()
print(f'{Style.BRIGHT}{Fore.BLUE}------------- HIST TICK DATA TEST RESULTS -------------{Style.RESET_ALL}')
print()
print(f"{Style.BRIGHT}{Fore.BLUE}TICKDATA 1...\n"
      f"\tCommand used -> tick_data_1 = td_app.get_historic_data('{symbol}', bar_size='tick')\n"
      f"\tLENGTH OF RESULT = {len(tick_hist_data_1)}{Style.RESET_ALL}")
for hist_point in tick_hist_data_1[-20:]:
    print(hist_point)
print()
print(f"{Style.BRIGHT}{Fore.BLUE}TICKDATA 2...\n"
      f"\tCommand used -> tick_data_2 = td_app.get_historic_data('{symbol}', bar_size='tick', duration='3 D')\n"
      f"\tLENGTH OF RESULT = {len(tick_hist_data_2)}{Style.RESET_ALL}")
for hist_point in tick_hist_data_2[-20:]:
    print(hist_point)
print()
print(f"{Style.BRIGHT}{Fore.BLUE}TICKDATA 3...\n"
      f"\tCommand used -> tick_data_3 = td_app.get_historic_data('{symbol}', bar_size='tick', start_time=datetime({(test_time - relativedelta(days=3)).strftime('%Y, %m, %d, %H, %M, %S').replace(' 0', ' ')}))\n"
      f"\tLENGTH OF RESULT = {len(tick_hist_data_3)}{Style.RESET_ALL}")
for hist_point in tick_hist_data_3[-20:]:
    print(hist_point)

# Testing conversion to pandas dataframe
print(f'{Style.BRIGHT}{Fore.BLUE}Converting HISTDATA 1 to a Pandas DataFrame{Style.RESET_ALL}')
print(f'Command used -> df = pd.DataFrame(hist_data_1)')
df = pd.DataFrame(hist_data_1)
print(df)
print(f'{Style.BRIGHT}{Fore.BLUE}Converting TICKDATA 1 to a Pandas DataFrame{Style.RESET_ALL}')
print(f'Command used -> df = pd.DataFrame(tick_hist_data_1)')
df = pd.DataFrame(tick_hist_data_1)
print(df)

# ------- Beginning live data test...
req_ids = td_obj.start_live_data(symbols)
sleep(3)  # This is here just to give the touchline data some time to populate... (Generally takes less than 1 sec)
print(f"{Style.BRIGHT}{Fore.BLUE}Here's the touchline data...{Style.RESET_ALL}")
for req_id in req_ids:
    print(td_obj.touchline_data[req_id])
print()
print(f"{Style.BRIGHT}{Fore.BLUE}Here's the LIVE stream... Use Ctrl+C to stop and exit...{Style.RESET_ALL}")
sleep(2)  # This is here just to give the user time to read the instructions...
live_data_objs = {}
for req_id in req_ids:    
    live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])
while True:
    try:
        for req_id in req_ids:
            if live_data_objs[req_id] != td_obj.live_data[req_id]:
                print(td_obj.live_data[req_id])
                live_data_objs[req_id] = deepcopy(td_obj.live_data[req_id])
    except KeyboardInterrupt:
        td_obj.stop_live_data(symbols)
        td_obj.disconnect()
        exit()

Release Notes

####v0.3.11

• 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.
• Added td_obj.get_touchline() as an experimental feature function.
• Filled missing values in td_obj.live_data objects upon initialization.
• Added better debugging information for error reporting.
• Cleaned up the code base.

Yes, we realize the README.md is getting long and, we are actively working on cleaning up the source code and releasing it on github along with a wiki page.

:D