Dtn

Unofficial DTN (IQFeed) client.

Dependencies

IQFeed client ~> 6.1

IQFeed API support status

Streaming clients

[x] Quote (Level 1) client
[x] Level 2 client
[x] Bar (Derivative) client
[x] Admin client

Lookup client

[x] Historical data
[x] News data
[x] Symbol Lookup data
[ ] Chains Lookup data
[ ] Market Summary Data (new in protocol 6.1)

Installation

Add this line to your application's Gemfile:

gem 'dtn'

And then execute:

$ bundle install

Or install it yourself as:

$ gem install dtn

Usage

Quick start

Dtn::Lookups::Historical::DailyTimeframe.call(
    symbol: :aapl,
    begin_date: Date.new(2021, 5, 1),
    end_date: Date.new(2021, 6, 1)
    )

=>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Mon, 03 May 2021 18:06:37 +0000, high=134.07, low=131.83, open=132.04, close=132.54, period_volume=75135100, open_interest=0>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Tue, 04 May 2021 18:06:37 +0000, high=131.4899, low=126.7, open=131.19, close=127.85, period_volume=137564718, open_interest=0>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Wed, 05 May 2021 18:06:37 +0000, high=130.45, low=127.97, open=129.2, close=128.1, period_volume=84000900, open_interest=0>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Thu, 06 May 2021 18:06:37 +0000, high=129.75, low=127.13, open=127.89, close=129.74, period_volume=78128334, open_interest=0>
...

# if block provided, then each message will be yielded as it is processed

Dtn::Lookups::News::Headline.call(limit: 10) do |message|
  # ...
end

Supported requests

Keep in mind, that at the time of writing DTN, API has limit of 50 historical requests per minute.

TODO: Attach limiter gem after merge https://github.com/Shopify/limiter/pull/17 https://github.com/Shopify/limiter/pull/19 or use own branch of this gem.

News

config ruby Dtn::Lookups::News::Config.call
headline ruby Dtn::Lookups::News::Headline.call limit: 10, symbols: 'aapl;fb'
story_count ruby Dtn::Lookups::News::StoryCount.call symbols: :aapl, date_range: Date.new(2020,1,1)..Date.new(2020,2,1)
story ruby Dtn::Lookups::News::Story.call story_id: '22424363689'

NOTES:

if XML output option selected, the response will return unparsed XML

Historical

interval_day ruby Dtn::Lookups::Historical::IntervalDay.call(symbol: :aapl, interval: 3600, max_datapoints: 50, days: 2)
tick_timeframe ruby Dtn::Lookups::Historical::TickTimeframe.call( symbol: :aapl, begin_datetime: begin_datetime, end_datetime: end_datetime, max_datapoints: 50 )
daily_datapoint ruby Dtn::Lookups::Historical::DailyDatapoint.call(symbol: :aapl, max_datapoints: 50)
interval_timeframe ruby Dtn::Lookups::Historical::IntervalTimeframe.call( symbol: :aapl, interval: 15, max_datapoints: 50, begin_datetime: DateTime.new(2020, 5, 1), end_datetime: DateTime.new(2020, 6, 1) )
tick_datapoint ruby Dtn::Lookups::Historical::TickDatapoint.call(symbol: :aapl, max_datapoints: 100)
weekly_datapoint ruby Dtn::Lookups::Historical::WeeklyDatapoint.call(symbol: :aapl, max_datapoints: 10)
daily_timeframe ruby Dtn::Lookups::Historical::DailyTimeframe.call( symbol: :aapl, begin_date: Date.new(2020, 5, 1), end_date: Date.new(2020, 6, 1) )
interval_datapoint ruby Dtn::Lookups::Historical::IntervalDatapoint.call(symbol: :aapl, interval: 3600, max_datapoints: 100)
monthly_datapoint ruby Dtn::Lookups::Historical::MonthlyDatapoint.call(symbol: :aapl, max_datapoints: 10)
tick_day ruby Dtn::Lookups::Historical::TickDay.call(symbol: :aapl, days: 2, max_datapoints: 50)

NOTES:

Lookups have extra options from their parents classes. They have appropriate defaults and are easy to customize.

Catalogs

For symbol lookup and description API use a few catalogs, which describe each row. They very rarely change and we can treat them as constants. To reduce requests to API they are requested only once. For easy access to them you can use:

Dtn.listed_markets_catalog
Dtn.naic_codes_catalog
Dtn.security_types_catalog
Dtn.sic_codes_catalog
Dtn.trade_conditions_catalog

Symbol lookup

by_sic ruby Dtn::Lookups::Symbol::BySic.call(search_line: '42')
by_naic ruby Dtn::Lookups::Symbol::ByNaic.call(search_line: '42')
by_filter ruby Dtn::Lookups::Symbol::ByFilter.call(field_to_search: "s", search_line: "aap", filter_type: "t", filter_value: "1")

Streaming data

All streaming data is using Observer pattern, so you can connect a few listeners to any client with minimal cost. Below, you will get the examples with simple observers, but there is an Observer for easier development & testing.

Quotes (Level1)

Streaming data is using Observers to deliver the results. Keep in mind, that observers will receive data until you unsubscribe from it or stop the client.

Summary message always come with all the possible fields, while for Update message it is possible to add a filter with client.request.quote.update_fields list: %w[Bid Ask]

These methods do not allow any historical data access, only real time.

class Observer
  # data callbacks are optional and match message class
  def level1_summary(message:)
    puts message
  end

  def level1_update(message:)
    puts message
  end

  # one of system methods callback
  def disconnected(message:)
    puts message
  end
end

client = Dtn::Streaming::Clients::Quote.new
client.observers << Observer.new
client.request.quote.watch symbol: :aapl
sleep 10
client.stop

Here you will find all level1 streaming requests with appropriate documentation.

Bars data

Get live data as interval bar data. It allows to look back and fetch historical data and get current (live) data as well, details

class Observer
  # this callback will return all historical bars for the symbol
  def historical_bar(message:)
    puts message
  end

  # Here you get live updates until the current bar is formed
  def update_bar(message:)
    puts message
  end

  # when the current bar was formed, it will be processed by this callback
  def current_bar(message:)
    puts message
  end
end

client = Dtn::Streaming::Clients::Bar.new
client.observers << Observer.new
client.request.bar.watch symbol: :aapl
sleep 10
client.stop

Admin

Admin data management. See other commands in here

client.observers << Observer.new
client.request.admin.set_client_stats turned_on: false

Level2

Connection to level2 data. See other commands in here

client.observers << Observer.new
client.request.level2.watch symbol: :aapl

Config

In case you are using DTN client running remotely (no questions asked how you can do it), you can specify the host with Dtn.host = 'my_host' setting

Development

After checking out the repo, run bin/setup to install dependencies. Then, run bundle exec rake to run the tests. You can also run bin/console for an interactive prompt that will allow you to experiment.

Test specs are using recorded output from DTN client. The recorded file is set by the RSpec option socket_recorder, so you can share 1 recording with a few specs. If the file is missing, then specs will do real request to the api. socket_recorder will use the pre-defined Date for the specs from the file current_day to minimise recordings rewrites. To bump the date to the yesterday business day you can use

$ bundle exec rake spec:set_spec_date

To run windows DTN client you can use the docker-compose up (before execution pls fill in .env file with your credentials following the pattern from .env.example)

Contributing

Bug reports and pull requests are welcome on GitHub at https://github.com/kvokka/dtn. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the code of conduct.

License

The gem is available as open source under the terms of the MIT License.

Code of Conduct

Everyone interacting in the Dtn project's codebases, issue trackers, chat rooms and mailing lists is expected to follow the code of conduct.

Dtn