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demo_events.py
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from vx_enum import *
import vx_bind as vx
from time import perf_counter
class MyFeed(vx.feed):
def __init__(self):
super(MyFeed, self).__init__()
self.fEvntRows = 0
self.fTrigRows = 0
def onInit(self,pData):
print ('onInit')
print (pData)
self.last = {
"header.instrumentID": 0
}
def onConnect(self,pData):
print ('onConnect')
def onExit(self,pData):
print ('onExit')
def onOpen(self,pData):
print ('onOpen')
print (pData)
self.fEvntRows = 0
def onShut(self,pData):
print (self.fTrigRows)
print ('onShut')
def onEvent(self,pData,pEvent):
# if hasattr(pEvent, "test"):
# print ('test')
# pEvent["test"] = 1
self.last["header.instrumentID"]
self.last["header.instrumentID"] = pEvent["header.instrumentID"]
self.last["header.sequence"] = pEvent["header.sequence"]
self.last["header.time"] = pEvent["header.time"]
self.last["header.channelSequence"] = pEvent["header.channelSequence"]
self.last["header.instrumentSequence"] = pEvent["header.instrumentSequence"]
self.last["header.unionID"] = pEvent["header.unionID"]
self.last["header.eventIndicator"] = pEvent["header.eventIndicator"]
self.last["header.flag"] = pEvent["header.flag"]
self.last["header.baseExponent"] = pEvent["header.baseExponent"]
#if self.fEvntRows < 20 :
# print ('onEvent')
# print(pData)
if pEvent["header.unionID"] == UnionID.TradeSummary :
self.last["tradeSummary.price"] = pEvent["tradeSummary.price"]
self.last["tradeSummary.quantity"] = pEvent["tradeSummary.quantity"]
self.last["tradeSummary.matches"] = pEvent["tradeSummary.matches"]
self.last["tradeSummary.aggressor"] = pEvent["tradeSummary.aggressor"]
self.last["tradeSummary.isImplied"] = pEvent["tradeSummary.isImplied"]
self.last["tradeSummary.isSnapshot"] = pEvent["tradeSummary.isSnapshot"]
self.last["tradeSummary.volume"] = pEvent["tradeSummary.volume"]
if self.fEvntRows < 20 :
print('{} ID: {:d} PRICE: {:.3f} SIZE: {:d}'.format('TradeSummary', pEvent["header.instrumentID"],pEvent["tradeSummary.price"], pEvent["tradeSummary.quantity"]))
# if ((self.fEvntRows % 1000)==0) :
# print('{} ID: {:d} PRICE: {:.3f} SIZE: {:d}'.format('TradeSummary', pEvent["header.instrumentID"],pEvent["tradeSummary.price"], pEvent["tradeSummary.quantity"]))
#elif pEvent["header.unionID"] == UnionID.TradeMatch :
# print ('TradeMatch')
#elif pEvent["header.unionID"] == UnionID.VolumeUpdate :
# print ('VolumeUpdate')
#elif pEvent["header.unionID"] == UnionID.BookLevel :
#print ('BookLevel')
elif pEvent["header.unionID"] == UnionID.OrderBook :
#print ('OrderBook')
self.last["orderBook.orderID"] = pEvent["orderBook.orderID"]
self.last["orderBook.auxilaryID"] = pEvent["orderBook.auxilaryID"]
self.last["orderBook.priorityID"] = pEvent["orderBook.priorityID"]
self.last["orderBook.price"] = pEvent["orderBook.price"]
self.last["orderBook.previousID"] = pEvent["orderBook.previousID"]
self.last["orderBook.quantity"] = pEvent["orderBook.quantity"]
self.last["orderBook.action"] = pEvent["orderBook.action"]
self.last["orderBook.type"] = pEvent["orderBook.type"]
self.last["orderBook.isSnapshot"] = pEvent["orderBook.isSnapshot"]
#elif pEvent["header.unionID"] == UnionID.SecurityStatus :
# print ('SecurityStatus')
#elif pEvent["header.unionID"] == UnionID.DailyStatistics :
# print ('DailyStatistics')
#elif pEvent["header.unionID"] == UnionID.SessionStatistics :
# print ('SessionStatistics')
#elif pEvent["header.unionID"] == UnionID.LimitsBanding :
# print ('LimitsBanding')
#elif pEvent["header.unionID"] == UnionID.ChannelReset :
# print ('ChannelReset')
#elif pEvent["header.unionID"] == UnionID.TransactionMarker :
# print ('TransactionMarker')
#elif pEvent["header.unionID"] == UnionID.ClearingPrice :
# print ('ClearingPrice')
self.fEvntRows = self.fEvntRows+1
def onProgress(self,pData):
#print ('onProgress')
print (pData)
def onError(self,pData):
#print ('onError')
print (pData)
def onWarning(self,pData):
self.fEvntRows = 0
#print ('onWarning')
print (pData)
def onMessage(self,pData):
#print ('onMessage')
print (pData)
def onTrigger(self,pData):
#print ('onTrigger')
#print (pData)
if self.fTrigRows < 50 :
tTrigger = pData["trigger"]
if (tTrigger&Trigger.IcebergOrders) :
print("IcebergOrders: orderID:%(orderID)d,priorityID:%(priorityID)d,price:%(price)5.2f,quantity:%(quantity)d,fills:%(fills)d"%pData)
if (tTrigger&Trigger.TradeSweeps) :
print("TradeSweeps: aggressor:%(aggressor)d,entry:%(entry)5.2f,exit:%(exit)5.2f,levels:%(levels)d,orders:%(orders)d,quantity:%(quantity)d"%pData)
if (tTrigger&Trigger.StopOrders) :
print("StopOrders: aggressor:%(aggressor)d,entry:%(entry)5.2f,exit:%(exit)5.2f,levels:%(levels)d,orders:%(orders)d,quantity:%(quantity)d"%pData)
# Trigger= pData["trigger"];
# match 1:
# case Trigger.IcebergOrders:
# print("IcebergOrders:")
# case Trigger.TradeSweeps:
# print("TradeSweeps: aggressor:%(aggressor)d,entry:%(entry)5.2f,exit:%(exit)5.2f,levels:%(levels)d,orders:%(orders)d,quantity:%(quantity)d"%pData)
# case Trigger.StopOrders:
# print("StopOrders: aggressor:%(aggressor)d,entry:%(entry)5.2f,exit:%(exit)5.2f,levels:%(levels)d,orders:%(orders)d,quantity:%(quantity)d"%pData)
# case _:
# print("Undefined")
self.fTrigRows = self.fTrigRows+1
#def onIdle(self,pData):
# print ('onIdle')
# print (pData)
def test():
start = perf_counter()
myFeed = MyFeed()
myFeed.request ({
'email' : 'xx@zz.com',
'password' : 'password',
'symbol' : 'NQ',
'startDate' : 20230501,
'endDate' : 20230501,
'weekends' : False,
'realtime' : True,
'fids' : 'kFidsTrds',
'cachePath' : "E:\\_vx",
'cacheRead' : True #Default to True, Set to False to recreate the archive
#'cacheName' : 'BLUE' Default to name of the fids, Custom cache file name
})
duration = perf_counter() - start
print('myFeed.request Seconds: {:.3f} Events: {:.0f} Events/Sec: {:.3f} \n\n'.format(duration,myFeed.fEvntRows,myFeed.fEvntRows/duration))
if __name__ == "__main__":
test()