Class: Dtn::Streaming::Clients::Bar

Inherits:
Dtn::Streaming::Client show all
Defined in:
lib/dtn/streaming/clients/bar.rb

Overview

Let’s you get live data as interval bar data.

If you are using interval bars for trading, use this class if you want
IQFeed to calculate the interval bars for you and send you interval bars
instead of (or in addition to) receiving every tick. For example, you may
want to get open, high, low, close data for each minute or every 50 trades.

The length of the interval can be in time units, number of trades units
or volume traded units as for bars from HistoryConn.
If you want historical bars, use HistoryConn instead. This class
allows you to get some history, for example if you want the past 5
days's bars to fill in a data structure before you start getting live
data updates. But if you want historical data for back-testing or some
such, you are better off using HistoryConn instead.

Since most historical data that IQFeed gives you is bar data, if you are
just getting started, it may be a good idea to save some live tick-data and
bar-data and compare them so you understand exactly how IQFeed is
filtering ticks and generating it's bars. Different data providers tend to
do this differently, dome better than others and the documentation usually
doesn't get updated when things are changed.

For more info, see:
www.iqfeed.net/dev/api/docs/Derivatives_Overview.cfm
and
www.iqfeed.net/dev/api/docs/Derivatives_StreamingIntervalBars_TCPIP.cfm

Constant Summary collapse

PORT = 
9400
SUPPORTED_MESSAGES = 
COMMON_SUPPORTED_MESSAGES.merge(
  "BH" => Messages::Bar::HistoricalBar,
  "BC" => Messages::Bar::CurrentBar,
  "BU" => Messages::Bar::UpdateBar
).freeze

Constants inherited from Dtn::Streaming::Client

Dtn::Streaming::Client::CLIENT_TERMINATION_SIGNALS, Dtn::Streaming::Client::COMMON_SUPPORTED_MESSAGES, Dtn::Streaming::Client::PROTOCOL_VERSION

Constants included from Dtn::Streaming::Client::Status

Dtn::Streaming::Client::Status::STATUSES

Instance Attribute Summary

Attributes inherited from Dtn::Streaming::Client

#name, #quote_update_fields

Attributes included from Dtn::Streaming::Client::Status

#status

Instance Method Summary collapse

Methods inherited from Dtn::Streaming::Client

#engine, #initialize, #observers, #request, #socket, #to_s

Constructor Details

This class inherits a constructor from Dtn::Streaming::Client

Instance Method Details

#message_class(line:) ⇒ Object 



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# File 'lib/dtn/streaming/clients/bar.rb', line 41

def message_class(line:)
  self.class::SUPPORTED_MESSAGES[line[0]] ||
    ((line =~ /\d+,(\w+),.+/) && self.class::SUPPORTED_MESSAGES[Regexp.last_match(1)]) ||
    Messages::Unknown
end