add spread_typefilter for UDS. added global message hanlder on_message`

Author: mvberg

README.md

@@ -25,6 +25,9 @@ of_client.on_error = lambda x: print("Error:", x)
 of_client.on_connected = lambda x: print("Connected")
 of_client.on_disconnected = lambda x: print("Disconnected")
 
+# attach a global message handler
+of_client.on_message = lambda x: print("Global Message:", x)
+
 # sub to markets by symbol
 def on_message(msg):
     print("Market Data: ", msg)

example.py

@@ -9,7 +9,8 @@
     args = parser.parse_args()
 
     # new client with credentials
-    of_client = openfeed.OpenfeedClient(args.u, args.p)
+    of_client = openfeed.OpenfeedClient(
+        args.u, args.p, debug=False, server="demo.openfeed.barchart.com")
 
     # app state handlers
     of_client.on_error = lambda x: print("OnError:", x)
@@ -18,13 +19,18 @@
     of_client.on_login = lambda x: print("OnLogin:", x)
     of_client.on_logout = lambda x: print("OnLogout:", x)
 
-    # sub to markets by symbol
+    # add a global message handler for all incoming OF messages
+    # of_client.on_message = lambda msg: print("Global Message:", msg)
+
+    # sub message handler
     def on_message(msg):
         print("Market Data Message: ", msg)
 
-    #of_client.add_symbol_subscription("ADF.WS", callback=on_message, subscription_type=["OHLC"])
+    # subscribe to UDS an filter by type (optional)
+    of_client.add_symbol_subscription(
+        "T8^UDS", callback=on_message, subscription_type=["QUOTE"], spread_type_filter=["RR", "JR"])
 
-    of_client.request_instruments_for_exchange("AMEX", callback=on_message)
+    # of_client.request_instruments_for_exchange("AMEX", callback=on_message)
 
     # list exchanges
 

openfeed/openfeed_client.py

@@ -44,6 +44,7 @@ def __init__(self, username, password, server="openfeed.aws.barchart.com", debug
         self.on_error = None
         self.on_login = None
         self.on_logout = None
+        self.on_message = None
 
         websocket.enableTrace(self.debug)
 
@@ -75,7 +76,7 @@ def add_heartbeat_subscription(self, callback):
 
         return self
 
-    def add_symbol_subscription(self, symbol: Union[str, list], callback, service="REAL_TIME", subscription_type=["QUOTE"], snapshot_interval_seconds=60):
+    def add_symbol_subscription(self, symbol: Union[str, list], callback, service="REAL_TIME", subscription_type=["QUOTE"], snapshot_interval_seconds=60, spread_type_filter=[]):
         """Subscribe to [Market Data] by Barchart Symbols
 
         Complete list of [SubscriptionTypes]. List of [Service] types. List of [InstrumentTypes].
@@ -90,7 +91,8 @@ def add_symbol_subscription(self, symbol: Union[str, list], callback, service="R
             Default is ['QUOTE']. Can contain any of: 'ALL', 'QUOTE', 'QUOTE_PARTICIPANT', 'DEPTH_PRICE', 'DEPTH_ORDER', 'TRADES', 'OHLC'
 
         [Market Data]: https://docs.barchart.com/openfeed/#/proto?id=marketupdate
-        [SubscriptionTypes]: https://docs.barchart.com/openfeed/#/proto?id=subscriptiontype
+        #/proto?id=subscriptiontype
+        [SubscriptionTypes]: https://docs.barchart.com/openfeed/
         [Service]: https://docs.barchart.com/openfeed/#/proto?id=service
         """
         symbols = []
@@ -105,11 +107,11 @@ def add_symbol_subscription(self, symbol: Union[str, list], callback, service="R
                 self.symbol_handlers[sym] = []
 
             self.symbol_handlers[sym].append(
-                Listener(symbol=sym, callback=callback, service=service, subscription_type=subscription_type, snapshot_interval_seconds=snapshot_interval_seconds))
+                Listener(symbol=sym, callback=callback, service=service, subscription_type=subscription_type, snapshot_interval_seconds=snapshot_interval_seconds, spread_types=spread_type_filter))
 
         if self.token is not None:
             self._send_message(
-                self.__create_subscription_request(symbols=symbols, service=service, subscription_type=subscription_type, snapshot_interval_seconds=snapshot_interval_seconds))
+                self.__create_subscription_request(symbols=symbols, service=service, subscription_type=subscription_type, snapshot_interval_seconds=snapshot_interval_seconds, spread_types=spread_type_filter))
 
         return self
 
@@ -136,10 +138,13 @@ def add_exchange_subscription(self, exchange: Union[str, list], callback, servic
             List of [BulkSubscriptionFilter]
 
         [Market Data]: https://docs.barchart.com/openfeed/#/proto?id=marketupdate
-        [SubscriptionTypes]: https://docs.barchart.com/openfeed/#/proto?id=subscriptiontype
+        #/proto?id=subscriptiontype
+        [SubscriptionTypes]: https://docs.barchart.com/openfeed/
         [ServiceType]: https://docs.barchart.com/openfeed/#/proto?id=service
-        [InstrumentTypes]: https://docs.barchart.com/openfeed/#/proto?id=instrumentdefinitioninstrumenttype
-        [BulkSubscriptionFilter]: https://docs.barchart.com/openfeed/#/proto?id=bulksubscriptionfilter
+        #/proto?id=instrumentdefinitioninstrumenttype
+        [InstrumentTypes]: https://docs.barchart.com/openfeed/
+        #/proto?id=bulksubscriptionfilter
+        [BulkSubscriptionFilter]: https://docs.barchart.com/openfeed/
         """
         exchanges = []
 
@@ -156,15 +161,16 @@ def add_exchange_subscription(self, exchange: Union[str, list], callback, servic
                 exchange=exch, callback=callback, service=service, subscription_type=subscription_type, instrument_type=instrument_type, snapshot_interval_seconds=snapshot_interval_seconds, bulk_subscription_filters=bulk_subscription_filters))
 
         if self.token is not None:
-             self._send_message(
+            self._send_message(
                 self.__create_subscription_request(exchanges=exchanges, service=service, subscription_type=subscription_type, instrument_type=instrument_type, snapshot_interval_seconds=snapshot_interval_seconds, bulk_subscription_filters=bulk_subscription_filters))
 
         return self
 
     def request_available_exchanges(self, callback):
         """Request a list of available [Exchanges] for subscription.
 
-        [Exchanges]: https://docs.barchart.com/openfeed/#/openfeed_streaming?id=requesting-exchanges
+        #/openfeed_streaming?id=requesting-exchanges
+        [Exchanges]: https://docs.barchart.com/openfeed/
         """
         rid = random.getrandbits(32)
         req = self.__create_exchange_request(rid)
@@ -179,7 +185,8 @@ def request_available_exchanges(self, callback):
     def request_instruments_for_exchange(self, exchange, callback):
         """Request a list of [Instrument Definitions] actively trading trading on an exchange.
 
-        [Instrument Definitions]: https://docs.barchart.com/openfeed/#/proto?id=openfeed_instrumentproto
+        #/proto?id=openfeed_instrumentproto
+        [Instrument Definitions]: https://docs.barchart.com/openfeed/
         """
 
         rid = random.getrandbits(32)
@@ -193,12 +200,14 @@ def request_instruments_for_exchange(self, exchange, callback):
         return self
 
     def request_instruments(self, callback, symbol=None, market_id=None, exchange=None):
-        """Request [Instrument Definitions] by `symbol`, `market_id`, or `exchange` 
+        """Request [Instrument Definitions] by `symbol`, `market_id`, or `exchange`
 
         See [Instrument Request]
 
-        [Instrument Definitions]: https://docs.barchart.com/openfeed/#/proto?id=openfeed_instrumentproto
-        [Instrument Request]: https://docs.barchart.com/openfeed/#/proto?id=instrumentrequest
+        #/proto?id=openfeed_instrumentproto
+        [Instrument Definitions]: https://docs.barchart.com/openfeed/
+        #/proto?id=instrumentrequest
+        [Instrument Request]: https://docs.barchart.com/openfeed/
         """
 
         rid = random.getrandbits(32)
@@ -215,22 +224,26 @@ def request_instruments(self, callback, symbol=None, market_id=None, exchange=No
     def get_instrument_definitions(self):
         """Returns a dict of Openfeed [Instrument Definitions] keyed by MarketID
 
-        [Instrument Definitions]: https://docs.barchart.com/openfeed/#/proto?id=openfeed_instrumentproto
+        #/proto?id=openfeed_instrumentproto
+        [Instrument Definitions]: https://docs.barchart.com/openfeed/
         """
         return self.instrument_definitions
 
-    def get_instrument_definition(self, id):
+    def get_instrument_definition(self, _id):
         """Returns an [Instrument Definition] for a Market ID
 
-        [Instrument Definition]: https://docs.barchart.com/openfeed/#/proto?id=openfeed_instrumentproto
+        #/proto?id=openfeed_instrumentproto
+        [Instrument Definition]: https://docs.barchart.com/openfeed/
         """
-        return self.instrument_definitions[id].instrumentDefinition
+        return self.instrument_definitions[_id].instrumentDefinition
 
     def get_instrument_definition_by_symbol(self, symbol):
         """Returns an [Instrument Definition] for a [Symbol] string
 
-        [Instrument Definition]: https://docs.barchart.com/openfeed/#/proto?id=openfeed_instrumentproto
-        [Symbol]: https://docs.barchart.com/openfeed/#/proto?id=instrumentdefinitionsymbol
+        #/proto?id=openfeed_instrumentproto
+        [Instrument Definition]: https://docs.barchart.com/openfeed/
+        #/proto?id=instrumentdefinitionsymbol
+        [Symbol]: https://docs.barchart.com/openfeed/
         """
         return self.instruments_by_symbol[symbol].instrumentDefinition
 
@@ -390,15 +403,19 @@ def on_message(ws: websocket.WebSocketApp, message):
                 msg = openfeed_api_pb2.OpenfeedGatewayMessage()
                 msg.ParseFromString(byte_buffer.read(msg_len))
 
+                msg_type = msg.WhichOneof("data")
+
                 if self.debug:
                     msg_count = msg_count+1
-                    print("msg len:", msg_len, "number of messages:", msg_count)
-
-                msg_type = msg.WhichOneof("data")
+                    print("msg len:", msg_len, "type:",
+                          msg_type, "total messages:", msg_count)
 
                 handler = handlers.get(
                     msg_type, lambda x: print("Unhandled Message:", x))
 
+                # global on_message callback
+                self.__callback(self.on_message, msg)
+
                 try:
                     handler(msg)
                 except Exception as e:
@@ -443,6 +460,9 @@ def __notify_symbol_listeners(self, instrument, msg):
         if instrument.marketId in self.subscription_symbol_by_marketid:
             symbol_key = self.subscription_symbol_by_marketid[instrument.marketId]
 
+        if symbol_key == "":
+            symbol_key = instrument.subscriptionSymbol
+
         for s in instrument.symbols:
             if s.symbol not in self.symbol_handlers or s.vendor != "Barchart":
                 continue
@@ -456,6 +476,9 @@ def __notify_symbol_listeners(self, instrument, msg):
                     if self.debug:
                         print("Failed to notify `symbol` callback:", symbol_key, e)
                     self.__callback(self.on_error, e)
+        else:
+            if self.debug:
+                print("Failed to find symbol key:", instrument)
 
     def __notify_exchange_listeners(self, exchange, msg):
         if exchange not in self.exchange_handlers:
@@ -492,7 +515,7 @@ def __send_existing_interest(self):
                 listeners_by_service = interest[l.service]
                 if l.key() not in listeners_by_service:
                     listeners_by_service[l.key()] = Listener(
-                        symbol=l.symbol, exchange=l.exchange, service=l.service, subscription_type=l.subscription_type, instrument_type=l.instrument_type, snapshot_interval_seconds=l.snapshot_interval_seconds, bulk_subscription_filters=l.bulk_subscription_filters)
+                        symbol=l.symbol, exchange=l.exchange, service=l.service, subscription_type=l.subscription_type, instrument_type=l.instrument_type, snapshot_interval_seconds=l.snapshot_interval_seconds, bulk_subscription_filters=l.bulk_subscription_filters, spread_types=l.spread_types)
                 else:
                     existing = listeners_by_service[l.key()]
                     existing.subscription_type = list(set(
@@ -508,13 +531,14 @@ def __send_existing_interest(self):
                                                        subscription_type=i.subscription_type,
                                                        instrument_type=i.get_instrument_types(),
                                                        snapshot_interval_seconds=i.snapshot_interval_seconds,
-                                                       bulk_subscription_filters=i.bulk_subscription_filters))
+                                                       bulk_subscription_filters=i.bulk_subscription_filters,
+                                                       spread_types=i.spread_types))
 
         # send other rpc requests
         for req in self.request_id_handlers.values():
             req.send(self)
 
-    def __create_subscription_request(self, exchanges=[], symbols=[], service="REAL_TIME", subscription_type=["QUOTE"], instrument_type=[], snapshot_interval_seconds=60, bulk_subscription_filters=[]):
+    def __create_subscription_request(self, exchanges=[], symbols=[], service="REAL_TIME", subscription_type=["QUOTE"], instrument_type=[], snapshot_interval_seconds=60, bulk_subscription_filters=[], spread_types=[]):
         requests = []
 
         if len(exchanges) > 0:
@@ -536,7 +560,8 @@ def __create_subscription_request(self, exchanges=[], symbols=[], service="REAL_
                     symbol=sym,
                     subscriptionType=[openfeed_api_pb2.SubscriptionType.Value(
                         t) for t in subscription_type],
-                    snapshotIntervalSeconds=snapshot_interval_seconds
+                    snapshotIntervalSeconds=snapshot_interval_seconds,
+                    spreadTypeFilter=spread_types
                 ))
 
         of_req = openfeed_api_pb2.OpenfeedGatewayRequest(
@@ -611,7 +636,7 @@ def __callback(self, callback, *args):
 
 
 class Listener(object):
-    def __init__(self, symbol="", exchange="", callback=None, service="REAL_TIME", subscription_type=["QUOTE"], instrument_type=[], snapshot_interval_seconds=60, bulk_subscription_filters=[]):
+    def __init__(self, symbol="", exchange="", callback=None, service="REAL_TIME", subscription_type=["QUOTE"], instrument_type=[], snapshot_interval_seconds=60, bulk_subscription_filters=[], spread_types=[]):
         self.symbol = symbol
         self.exchange = exchange
         self.callback = callback
@@ -620,6 +645,7 @@ def __init__(self, symbol="", exchange="", callback=None, service="REAL_TIME", s
         self.instrument_type = instrument_type
         self.snapshot_interval_seconds = snapshot_interval_seconds
         self.bulk_subscription_filters = bulk_subscription_filters
+        self.spread_types = spread_types
 
     def key(self):
         if len(self.exchange) > 0:

openfeed/version.py

@@ -1 +1 @@
-VERSION = '1.3.0'
+VERSION = '1.4.0'

setup.py

@@ -19,7 +19,7 @@
     name='openfeed',
     version='1.4.0',
     author='Barchart',
-    author_email='mike@barchart.com',
+    author_email='openfeed@barchart.com',
     license='MIT',
     url='https://github.com/openfeed-org/sdk-python',
     include_package_data=True,