Class: Dtn::Streaming::Clients::Quote

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

Overview

Quote provides real-time Level 1 data and real-time news.

Quote provides access to top-of-book quotes, regional quotes (quotes from a single exchange), fundamentals (which includes reference) data, streaming real-time news.

Quotes, Regional, Trades and Fundamental data is provided as a messages since you are likely going to do something fancy with it.

READ THIS CAREFULLY: For quote updates (provided when the top of book quote changes or a trade happens) IQFeed.exe can send dynamic fieldsets. This means that you can ask for any fields (subset of the set available) you want. This map to ‘Messages::Quote::Level1::ALL_FIELDS` which lists all available fields which will be used as a field name by DTN. The values corresponding to each key a tuple of (FieldName used by DTN, FieldName used in Structured Array, numpy scalar type used for that field).

We start with a default set of fields (same as default in the IQFeed docs. It will be fetch once client starts. If you want a different set of fields, call ‘client.request.quote.update_fields list: %i[Bid Ask]` with the fieldnames you want. If you want a different set of fieldnames for options and stocks, create two clients. Use one for all stock subscriptions and one for all options subscriptions. They can both use the same observer if that is what you want.

If you don’t understand the above two paragraphs, look at the code, look at the examples, run the examples and then read the above again.

Constant Summary collapse

PORT = 
5009
SUPPORTED_MESSAGES = 
COMMON_SUPPORTED_MESSAGES.merge(
  "F" => Messages::Quote::Level1Fundamental,
  "P" => Messages::Quote::Level1Summary,
  "Q" => Messages::Quote::Level1Update,
  "R" => Messages::Quote::Level1Regional,
  "N" => Messages::Quote::Level1News
).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

Method Summary

Methods inherited from Dtn::Streaming::Client

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

Constructor Details

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