Intrinio C# SDK for Real-Time Stock Prices
Switch branches/tags
Nothing to show
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.

README.md

Intrinio C# SDK for Real-Time Stock Prices

Intrinio provides real-time stock prices via a two-way WebSocket connection. To get started, subscribe to a real-time data feed and follow the instructions below.

Requirements

  • .NET 4.0

Features

  • Receive streaming, real-time price quotes (last trade, bid, ask)
  • Subscribe to updates from individual securities
  • Subscribe to updates for all securities (contact us for special access)

Installation

Use NuGet to include the client DLL in your project.

Install-Package IntrinioRealTimeClient -Version 1.0.0-rc

Alternatively, you can download the required DLLs from the Releases page.

Example Usage

using System;
using Intrinio;

namespace MyNamespace
{
    class MyProgram
    {
        static void Main(string[] args)
        {
            string username = "YOUR_INTRINIO_API_USERNAME";
            string password = "YOUR_INTRINIO_API_PASSWORD";
            QuoteProvider provider = QuoteProvider.IEX;

            using (RealTimeClient client = new RealTimeClient(username, password, provider))
            {
                QuoteHandler handler = new QuoteHandler();
                handler.OnQuote += (IQuote quote) =>
                {
                    Console.WriteLine(quote);
                };

                client.RegisterQuoteHandler(handler);
                client.Join(new string[] { "MSFT", "AAPL", "AMZN" });
                client.Connect();

                Console.ReadLine();
            }
        }
    }
}

Handling Quotes and the Queue

When the Intrinio Realtime library receives quotes from the WebSocket connection, it places them in an internal queue.Once a quote has been placed in the queue, a registered QuoteHandler will receive it emit an OnQuote event. Make sure to handle the OnQuote event quickly, so that the queue does not grow over time and your handler falls behind. We recommend registering multiple QuoteHandler instances for operations such as writing quotes to a database (or anything else involving time-consuming I/O). The client also has a QueueSize() method, which returns an integer specifying the approximate length of the quote queue. Monitor this to make sure you are processing quotes quickly enough.

Providers

Currently, Intrinio offers real-time data for this SDK from the following providers:

Each has distinct price channels and quote formats, but a very similar API.

Quote Data Format

Each data provider has a different format for their quote data.

QUODD

NOTE: Messages from QUOOD reflect changes in market data. Not all fields will be present in every message. Upon subscribing to a channel, you will receive one quote and one trade message containing all fields of the latest data available.

Trade Message

{ ticker: "AAPL.NB",
  root_ticker: "AAPL",
  protocol_id: 301,
  last_price_4d: 1594850,
  trade_volume: 100,
  trade_exchange: "t",
  change_price_4d: 24950,
  percent_change_4d: 15892,
  trade_time: 1508165070052,
  up_down: "v",
  vwap_4d: 1588482,
  total_volume: 10209883,
  day_high_4d: 1596600,
  day_high_time: 1508164532269,
  day_low_4d: 1576500,
  day_low_time: 1508160605345,
  prev_close_4d: 1569900,
  volume_plus: 6333150,
  ext_last_price_4d: 1579000,
  ext_trade_volume: 100,
  ext_trade_exchange: "t",
  ext_change_price_4d: 9100,
  ext_percent_change_4d: 5796,
  ext_trade_time: 1508160600567,
  ext_up_down: "-",
  open_price_4d: 1582200,
  open_volume: 100,
  open_time: 1508141103583,
  rtl: 30660,
  is_halted: false,
  is_short_restricted: false }
  • ticker - Stock Symbol for the security
  • root_ticker - Underlying symbol for a particular contract
  • last_price_4d - The price at which the security most recently traded
  • trade_volume - The number of shares that that were traded on the last trade
  • trade_exchange - The market center where the last trade occurred
  • trade_time - The time at which the security last traded in milliseconds
  • up_down - Tick indicator - up or down - indicating if the last trade was up or down from the previous trade
  • change_price_4d - The difference between the closing price of a security on the current trading day and the previous day's closing price.
  • percent_change_4d - The percentage at which the security is up or down since the previous day's trading
  • total_volume - The accumulated total amount of shares traded
  • volume_plus - NASDAQ volume plus the volumes from other market centers to more accurately match composite volume. Used for NASDAQ Basic
  • vwap_4d - Volume weighted Average Price. VWAP is calculated by adding up the dollars traded for every transaction (price multiplied by number of shares traded) and then dividing by the total shares traded for the day.
  • day_high_4d - A security's intra-day high trading price.
  • day_high_time - Time that the security reached a new high
  • day_low_4d - A security's intra-day low trading price.
  • day_low_time - Time that the security reached a new low
  • ext_last_price_4d - Extended hours last price (pre or post market)
  • ext_trade_volume - The amount of shares traded for a single extended hours trade
  • ext_trade_exchange - Extended hours exchange where last trade took place (Pre or post market)
  • ext_trade_time - Time of the extended hours trade in milliseconds
  • ext_up_down - Extended hours tick indicator - up or down
  • ext_change_price_4d - Extended hours change price (pre or post market)
  • ext_percent_change_4d - Extended hours percent change (pre or post market)
  • is_halted - A flag indicating that the stock is halted and not currently trading
  • is_short_restricted - A flag indicating the stock is current short sale restricted - meaning you can not short sale the stock when true
  • open_price_4d - The price at which a security first trades upon the opening of an exchange on a given trading day
  • open_time - The time at which the security opened in milliseconds
  • open_volume - The number of shares that that were traded on the opening trade
  • prev_close_4d - The security's closing price on the preceding day of trading
  • protocol_id - Internal Quodd ID defining Source of Data
  • rtl - Record Transaction Level - number of records published that day

Quote Message

{ ticker: "AAPL.NB",
  root_ticker: "AAPL",
  bid_size: 500,
  ask_size: 600,
  bid_price_4d: 1594800,
  ask_price_4d: 1594900,
  ask_exchange: "t",
  bid_exchange: "t",
  quote_time: 1508165070850,
  protocol_id: 302,
  rtl: 129739 }
  • ticker - Stock Symbol for the security
  • root_ticker - Underlying symbol for a particular contract
  • ask_price_4d - The price a seller is willing to accept for a security
  • ask_size - The amount of a security that a market maker is offering to sell at the ask price
  • ask_exchange - The market center from which the ask is being quoted
  • bid_price_4d - A bid price is the price a buyer is willing to pay for a security.
  • bid_size - The bid size number of shares being offered for purchase at a specified bid price
  • bid_exchange - The market center from which the bid is being quoted
  • quote_time - Time of the quote in milliseconds
  • rtl - Record Transaction Level - number of records published that day
  • protocol_id - Internal Quodd ID defining Source of Data

Channels

QUODD

To receive price quotes from QUODD, you need to instruct the client to "join" a channel. A channel can be

  • A security ticker with data feed designation (AAPL.NB, MSFT.NB, GE.NB, etc)

IEX

To receive price quotes from IEX, you need to instruct the client to "join" a channel. A channel can be

  • A security ticker (AAPL, MSFT, GE, etc)
  • The security lobby ($lobby) where all price quotes for all securities are posted
  • The security last price lobby ($lobby_last_price) where only last price quotes for all securities are posted

Special access is required for both lobby channels. Contact us for more information.

API Keys

You will receive your Intrinio API Username and Password after creating an account. You will need a subscription to a realtime data feed as well.

Logging

If you are experiencing issues, we recommend attaching a logger to the client, which will show you detailed debugging information. Add the following sections to your app.config:

<?xml version="1.0" encoding="utf-8"?>
<configuration>
  <configSections>
    <section name="log4net" type="log4net.Config.Log4NetConfigurationSectionHandler, log4net"/>
  </configSections>
  <log4net>
    <appender name="ConsoleAppender" type="log4net.Appender.ColoredConsoleAppender">
      <layout type="log4net.Layout.PatternLayout">
        <conversionPattern value="%date %level [%thread] %logger{1} %username - %message%newline"/>
      </layout>
      <mapping>
        <level value="WARN"/>
        <foreColor value="Yellow, HighIntensity"/>
      </mapping>
      <mapping>
        <level value="ERROR"/>
        <foreColor value="Red, HighIntensity"/>
      </mapping>
    </appender>
    <root>
      <level value="DEBUG"/>
      <appender-ref ref="ConsoleAppender"/>
    </root>
  </log4net>
</configuration>

Documentation

Documentation is compiled into the dll. Use an IDE (such as Visual Studio) to explore the compiled code.

If you need help, use our free chat support at https://intrinio.com.