Openfeed Java Client

Connection

This client will open up a websocket connection to: ws://openfeed.aws.barchart.com:80/ws

To Build

mvn clean install

An executable jar will be build in target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar, with the main class being OpenfeedClientExampleMain

Maven Repository

The latest released jar is in the Maven Repositories under:

           <dependency>
                <groupId>org.openfeed</groupId>
                <artifactId>openfeed-client</artifactId>
                <version><!-- Insert version --></version>
            </dependency>

Command line examples

Display Command Line Help

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -h

To connect and subscribe for IBM quotes and display updates

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -u <user> -p <password> -s IBM -lu

Subscribe for all of NYSE and NASDAQ

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -u <user> -p <password> -e NYSE,NASDAQ

Subscribe only for trades for AAPL and IBM and display the updates

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -u <user> -p <password> -t -s AAPL,IBM -lu

Subscribe for OHLC and Price Level Depth for ESZ0

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -u <user> -p <password> -s ESZ0 -st depth_price,ohlc -ls -ld

Get all instruments for NYSE and display them.

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -u <user> -p <password> -ir -e NYSE -li

To log heartbeats (keep alives)

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -u <user> -p <password> -e NYSE -lh

The default heartbeat will be of the form:

client-0:  < {"transactionTime":"1570465358319000000"}

Heartbeats generated by an exchange keepalive will be of the form:

client-0: Exchange < {"transactionTime":"1570465382000080120","exchange":true,"channel":29}

To get a list of all subscription exchange codes:

java -jar target/openfeed-client-1.0.0-SNAPSHOT-shaded.jar -u <user> -p <password> -er

API Usage

The client API has three main interfaces:

1. OpenfeedClient.java - connect, subscribe methods
2. OpenfeedClientHandler.java - Openfeed message handler
3. OpenfeedClientEventHandler - Event callback

A raw message handler can also be used instead of the OpenfeedClientHandler. The [OpenfeedClientMessageHandler.java] will return the raw bytes for each message. Please see the example program for usage.

Client Usage

To use the client you must do the following:

1. Create a Client Message Handler, an example handler is provided: OpenfeedClientHandlerImpl.java
2. Create an Event Handler, an example handler is provided: OpenfeedClientEventHandlerImpl.
3. Create the web socket client and connect, see OpenfeedClientExampleMain.start()
4. Subscribe to symbols/exchanges using the OpenfeedClient interface, see see OpenfeedClientExampleMain.executeCommands().

To connect and subscribe to all of AMEX:

config.setClientId("client");
ConnectionStats connectionStats = new ConnectionStats();
OpenfeedClientEventHandler eventHandler = new OpenfeedClientEventHandlerImpl(config,instrumentCache,connectionStats);
OpenfeedClientHandler clientHandler = new OpenfeedClientHandlerImpl(config, instrumentCache,connectionStats);
OpenfeedClientWebSocket client = new OpenfeedClientWebSocket(config, eventHandler, clientHandler);
// Connect
client.connectAndLogin();
// Subscribe to AMEX
String exchanges = new String[] { "AMEX" };
client.subscribeExchange(Service.REAL_TIME, config.getSubcriptionType(), exchanges);

The client will receive the following for each symbol:

1. InstrumentDefinition
2. MarketSnapshot
3. Stream of MarketUpdate(s)

Notes:

• The Protocol Buffer message definitions are at: https://github.com/openfeed-org/proto. The build will download them and put them in the proto directory.
• Client to server message definitions are in: openfeed_api.proto
• All times are in Epoch Nanoseconds
• Exchange and Channel ids are listed in ExchangeId.java

Trade Cancel and Trade Correction TradeId Matching

Trade Cancel and Trade Corrections are matched by the "tradeId" field. The tradeId field is of a bytes field type, to convert the bytes to a string:

 String tradeId = trade.getTradeId().toStringUtf8();

Below is an example for USHY (marketId = 4997695455292339999) on channel 31 (AMEX) for a Trade Cancel. Notice the tradeId fields match.

08:38:27.019 USHY/4997695455292339999/31: Trade tradeId: 71675256329293  < 
{
    "marketId": "4997695455292339999",
    "symbol": "USHY",
    "transactionTime": "1570628306989699000",
    "marketSequence": "1799",
    "session": {
        "last": {
            "transactionTime": "1570628306862294126",
            "tradeDate": 20191009,
            "price": "404943",
            "quantity": "207"
        },
        "volume": {
            "volume": "4863"
        },
        "numberOfTrades": {
            "numberTrades": "7"
        },
        "monetaryValue": {
            "value": "1927002001"
        }
    },
    "trades": {
        "trades": [{
            "trade": {
                "originatorId": "RA==",
                "transactionTime": "1570628306862294126",
                "price": "404943",
                "quantity": "207",
                "tradeId": "NzE2NzUyNTYzMjkyOTM=",
                "tradeDate": 20191009,
                "saleCondition": "ICAgIA==",
                "session": "@",
                "distributionTime": "1570628306862827981",
                "transactionTime2": "1570628306862294126"
            }
        }]
    }
}

08:49:12.847 USHY/4997695455292339999/31: Cancel tradeId: 71675256329293 < 
{
    "marketId": "4997695455292339999",
    "symbol": "USHY",
    "transactionTime": "1570628952816851000",
    "marketSequence": "3346",
    "trades": {
        "trades": [{
            "tradeCancel": {
                "originatorId": "RA==",
                "transactionTime": "1570628952667443092",
                "correctedTradePrice": "404943",
                "correctedTradeQuantity": "9425",
                "tradeId": "NzE2NzUyNTYzMjkyOTM=",
                "saleCondition": "ICAgIA==",
                "distributionTime": "1570628952668103917",
                "transactionTime2": "1570628952667443092"
            }
        }]
    }
}

Below is an example for a Trade Correction for BYND (marketId = 97499913580948752) on channel 16 (NASDAQ).

14:43:37.704  BYND/97499913580948752/16: Trade tradeId: 14  <
 {
     "marketId": "97499913580948752",
     "symbol": "BYND",
     "transactionTime": "1570563817670241000",
     "marketSequence": "46767",
     "session": {
         "volume": {
             "volume": "1046270"
         }
     },
     "trades": {
         "trades": [{
             "trade": {
                 "transactionTime": "1570563817643565000",
                 "price": "1428800",
                 "quantity": "1000",
                 "tradeId": "MTQ=",
                 "tradeDate": 20191008,
                 "saleCondition": "QDcgVw==",
                 "doesNotUpdateLast": true,
                 "session": "7",
                 "distributionTime": "1570563817644189263"
             }
         }]
     }
 }

 15:22:45.244 BYND/97499913580948752/16: Correction tradeId: 14 < 
{
    "marketId": "97499913580948752",
    "symbol": "BYND",
    "transactionTime": "1570566165217444000",
    "marketSequence": "62776",
    "trades": {
        "trades": [{
            "tradeCorrection": {
                "transactionTime": "1570566164507000000",
                "price": "1427800",
                "quantity": "1000",
                "tradeId": "MTQ=",
                "tradeDate": 20191008,
                "distributionTime": "1570566165099713276"
            }
        }]
    }
}

Linux Operating System Settings

Ensure these kernel parameters are set to 5M or greater.

net.core.rmem_max = 50331648
net.core.wmem_max = 50331648