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Merged
merged 30 commits into from
Jul 30, 2020
Merged

En 1454 extend listeners #18

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e8d27ee
[EN-1454] trade listener extended
iamishalkin Jun 17, 2020
3147bc0
[EN-1454] quote listener extended
iamishalkin Jun 17, 2020
8b9bf44
[EN-1454] summary listener extended
iamishalkin Jun 17, 2020
f52a5a9
[EN-1454] profile listener extended
iamishalkin Jun 17, 2020
aa9d71e
[EN-1454] TimeAndSale listener extended
iamishalkin Jun 17, 2020
860bd56
[EN-1454] Candle listener extended
iamishalkin Jun 17, 2020
29d3396
[EN-1454] Example partly finished
iamishalkin Jun 17, 2020
a0a2249
[EN-1454] all Examples except configuration
iamishalkin Jun 18, 2020
70164d7
[EN-1454] ipf text added
iamishalkin Jun 18, 2020
a4d813d
[EN-1454] agg symbols added to example
iamishalkin Jun 19, 2020
1c96c95
[EN-1454] version bump
iamishalkin Jun 22, 2020
7002479
[EN-1454] docs corrected
iamishalkin Jun 25, 2020
7371c76
[EN-1454] merge master
iamishalkin Jul 28, 2020
b96e269
[EN-1454] version bump
iamishalkin Jul 29, 2020
f0f4d41
[EN-1454] long line shortened
iamishalkin Jul 29, 2020
5ccfd5e
Merge branch 'master' of github.com:dxFeed/dxfeed-python-api into EN-…
iamishalkin Jul 29, 2020
f9303d6
[EN-1454] redundant import in EventData.pxd
iamishalkin Jul 29, 2020
498f6f7
[EN-1454] DXTypes alias added to EventData.pxd
iamishalkin Jul 29, 2020
57753db
[EN-1454] regorddata alias added
iamishalkin Jul 29, 2020
41c071a
[EN-1454] import aliases in EventData
iamishalkin Jul 29, 2020
788ff2a
[EN-1454] wrapper import * refactoring
iamishalkin Jul 29, 2020
f58ded5
[EN-1454] source field added to order
iamishalkin Jul 29, 2020
40da9ff
[EN-1454] TimeNanos column renamed
iamishalkin Jul 30, 2020
224cfd8
[EN-1454] drop TimeNanos
iamishalkin Jul 30, 2020
f3cc257
Merge branch 'master' of github.com:dxFeed/dxfeed-python-api into EN-…
iamishalkin Jul 30, 2020
d02c45c
[EN-1454] M8[ms] to datetime64[ms]
iamishalkin Jul 30, 2020
47b8be7
[EN-1454] EventData.pxd small cleanup
iamishalkin Jul 30, 2020
5c05701
[EN-1454] TimeNanos refactoring
iamishalkin Jul 30, 2020
42a59c3
[EN-1454] Formatting and values usage
iamishalkin Jul 30, 2020
bbf5f56
[EN-1454] Namespace fix
iamishalkin Jul 30, 2020
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2 changes: 1 addition & 1 deletion docs/_static/custom.css
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Original file line number Diff line number Diff line change
Expand Up @@ -16,7 +16,7 @@

table {
display: block;
overflow-x: scroll;
overflow-x: auto;
}

.highlight-text > .highlight > pre {
Expand Down
63 changes: 45 additions & 18 deletions dxfeed/core/listeners/listener.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -13,7 +13,8 @@ cdef class FuncWrapper:
return out


TRADE_COLUMNS = ['Symbol', 'Price', 'ExchangeCode', 'Size', 'Tick', 'Change', 'DayVolume', 'Time', 'IsETH']
TRADE_COLUMNS = ['Symbol', 'Sequence', 'Price', 'ExchangeCode', 'Size', 'Tick', 'Change', 'DayVolume',
'DayTurnover', 'Direction', 'Time', 'TimeNanos', 'RawFlags', 'IsETH', 'Scope']
cdef void trade_default_listener(int event_type,
dxf_const_string_t symbol_name,
const dxf_event_data_t*data,
Expand All @@ -25,17 +26,23 @@ cdef void trade_default_listener(int event_type,
for i in range(data_count):

py_data.cython_internal_update_method([unicode_from_dxf_const_string_t(symbol_name),
trades[i].sequence,
trades[i].price,
unicode_from_dxf_const_string_t(&trades[i].exchange_code),
trades[i].size,
trades[i].tick,
trades[i].change,
trades[i].day_volume,
trades[i].day_turnover,
trades[i].direction,
trades[i].time,
trades[i].is_eth])
trades[i].time_nanos,
trades[i].raw_flags,
trades[i].is_eth,
trades[i].scope])

QUOTE_COLUMNS = ['Symbol', 'BidTime', 'BidExchangeCode', 'BidPrice', 'BidSize', 'AskTime', 'AskExchangeCode',
'AskPrice', 'AskSize', 'Scope']
QUOTE_COLUMNS = ['Symbol', 'Sequence', 'Time', 'TimeNanos', 'BidTime', 'BidExchangeCode', 'BidPrice', 'BidSize',
'AskTime', 'AskExchangeCode', 'AskPrice', 'AskSize', 'Scope']
cdef void quote_default_listener(int event_type,
dxf_const_string_t symbol_name,
const dxf_event_data_t*data,
Expand All @@ -47,6 +54,9 @@ cdef void quote_default_listener(int event_type,

for i in range(data_count):
py_data.cython_internal_update_method([unicode_from_dxf_const_string_t(symbol_name),
quotes[i].sequence,
quotes[i].time,
quotes[i].time_nanos,
quotes[i].bid_time,
unicode_from_dxf_const_string_t(&quotes[i].bid_exchange_code),
quotes[i].bid_price,
Expand All @@ -57,8 +67,9 @@ cdef void quote_default_listener(int event_type,
quotes[i].ask_size,
<int> quotes[i].scope])

SUMMARY_COLUMNS = ['Symbol', 'DayId', 'DayHighPrice', 'DayLowPrice', 'DayClosePrice', 'PrevDayId', 'PrevDayClosePrice',
'PrevDayVolume', 'OpenInterest', 'ExchangeCode']
SUMMARY_COLUMNS = ['Symbol', 'DayId', 'DayOpenPrice', 'DayHighPrice', 'DayLowPrice', 'DayClosePrice', 'PrevDayId',
'PrevDayClosePrice', 'PrevDayVolume', 'OpenInterest', 'RawFlags', 'ExchangeCode',
'DayClosePriceType', 'PrevDayClosePriceType', 'Scope']
cdef void summary_default_listener(int event_type, dxf_const_string_t symbol_name,
const dxf_event_data_t*data, int data_count, void*user_data) nogil:
cdef dxf_summary_t*summary = <dxf_summary_t*> data
Expand All @@ -68,17 +79,23 @@ cdef void summary_default_listener(int event_type, dxf_const_string_t symbol_nam
for i in range(data_count):
py_data.cython_internal_update_method([unicode_from_dxf_const_string_t(symbol_name),
summary[i].day_id,
summary[i].day_open_price,
summary[i].day_high_price,
summary[i].day_low_price,
summary[i].day_close_price,
summary[i].prev_day_id,
summary[i].prev_day_close_price,
summary[i].prev_day_volume,
summary[i].open_interest,
unicode_from_dxf_const_string_t(&summary[i].exchange_code)])
summary[i].raw_flags,
unicode_from_dxf_const_string_t(&summary[i].exchange_code),
summary[i].day_close_price_type,
summary[i].prev_day_close_price_type,
summary[i].scope])

PROFILE_COLUMNS = ['Symbol', 'Beta', 'EPS', 'DivFreq', 'ExdDivAmount', 'ExdDivDate', '52HighPrice', '52LowPrice',
'Shares', 'Description', 'RawFlags', 'StatusReason']
'Shares', 'FreeFloat', 'HighLimitPrice', 'LowLimitPrice', 'HaltStartTime', 'HaltEndTime',
'Description', 'RawFlags', 'StatusReason', 'TradingStatus', 'ShortSaleRestriction']
cdef void profile_default_listener(int event_type,
dxf_const_string_t symbol_name,
const dxf_event_data_t*data,
Expand All @@ -97,13 +114,20 @@ cdef void profile_default_listener(int event_type,
p[i]._52_high_price,
p[i]._52_low_price,
p[i].shares,
p[i].free_float,
p[i].high_limit_price,
p[i].low_limit_price,
p[i].halt_start_time,
p[i].halt_end_time,
unicode_from_dxf_const_string_t(p[i].description),
p[i].raw_flags,
unicode_from_dxf_const_string_t(p[i].status_reason)])
unicode_from_dxf_const_string_t(p[i].status_reason),
p[i].trading_status,
p[i].ssr])

TIME_AND_SALE_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'ExchangeCode', 'Price', 'Size', 'BidPrice',
'AskPrice', 'ExchangeSaleConditions', 'RawFlags', 'Buyer', 'Seller', 'Side', 'Type',
'IsValidTick', 'IsEthTrade', 'TradeThroughExempt', 'IsSpreadLeg']
'IsValidTick', 'IsEthTrade', 'TradeThroughExempt', 'IsSpreadLeg', 'Scope']
cdef void time_and_sale_default_listener(int event_type,
dxf_const_string_t symbol_name,
const dxf_event_data_t*data,
Expand Down Expand Up @@ -131,10 +155,11 @@ cdef void time_and_sale_default_listener(int event_type,
tns[i].is_valid_tick,
tns[i].is_eth_trade,
tns[i].trade_through_exempt,
tns[i].is_spread_leg])
tns[i].is_spread_leg,
tns[i].scope])

CANDLE_COLUMNS = ['Symbol', 'Index', 'Time', 'Sequence', 'Count', 'Open', 'High', 'Low', 'Close', 'Volume', 'VWap',
'BidVolume', 'AskVolume', 'OpenInterest', 'ImpVolatility']
CANDLE_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'Sequence', 'Count', 'Open', 'High', 'Low', 'Close',
'Volume', 'VWap', 'BidVolume', 'AskVolume', 'OpenInterest', 'ImpVolatility']
cdef void candle_default_listener(int event_type,
dxf_const_string_t symbol_name,
const dxf_event_data_t*data,
Expand All @@ -145,6 +170,7 @@ cdef void candle_default_listener(int event_type,
py_data = <EventHandler> user_data
for i in range(data_count):
py_data.cython_internal_update_method([unicode_from_dxf_const_string_t(symbol_name),
candle[i].event_flags,
candle[i].index,
candle[i].time,
candle[i].sequence,
Expand All @@ -160,8 +186,8 @@ cdef void candle_default_listener(int event_type,
candle[i].open_interest,
candle[i].imp_volatility])

ORDER_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'Nanos', 'Sequence', 'Price', 'Size', 'Count', 'Scope',
'Side', 'ExchangeCode', 'MarketMaker', 'SpreadSymbol']
ORDER_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'TimeNanos', 'Sequence', 'Price', 'Size', 'Count', 'Scope',
'Side', 'ExchangeCode', 'Source', 'MarketMaker', 'SpreadSymbol']
cdef void order_default_listener(int event_type,
dxf_const_string_t symbol_name,
const dxf_event_data_t*data,
Expand All @@ -183,6 +209,8 @@ cdef void order_default_listener(int event_type,
order[i].scope,
order[i].side,
unicode_from_dxf_const_string_t(&order[i].exchange_code),
unicode_from_dxf_const_string_t(
&order[i].source[DXF_RECORD_SUFFIX_SIZE]),
unicode_from_dxf_const_string_t(order[i].market_maker),
unicode_from_dxf_const_string_t(order[i].spread_symbol)])

Expand Down Expand Up @@ -244,7 +272,7 @@ cdef void underlying_default_listener(int event_type,
underlying[i].back_volatility,
underlying[i].put_call_ratio])

SERIES_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'Sequence', 'Sequence', 'Expiration', 'Volatility',
SERIES_COLUMNS = ['Symbol', 'EventFlags', 'Index', 'Time', 'Sequence', 'Expiration', 'Volatility',
'PutCallRatio', 'ForwardPrice', 'Dividend', 'Interest']
cdef void series_default_listener(int event_type,
dxf_const_string_t symbol_name,
Expand All @@ -260,7 +288,6 @@ cdef void series_default_listener(int event_type,
series[i].index,
series[i].time,
series[i].sequence,
series[i].sequence,
series[i].expiration,
series[i].volatility,
series[i].put_call_ratio,
Expand All @@ -280,4 +307,4 @@ cdef void configuration_default_listener(int event_type,
for i in range(data_count):
py_data.cython_internal_update_method([unicode_from_dxf_const_string_t(symbol_name),
config[i].version,
unicode_from_dxf_const_string_t(config[i].object)])
unicode_from_dxf_const_string_t(config[i].object)])
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