ActiveTick Python Library

This is BETA! While it serves the purpose of pulling tick data, it's by no means production software. The following library works the plumbing from activetick C++ api into python. Only tested on linux.

• The communication between activetick and python is facilitated using callbacks.
• Activetick library has more features, this merely exposes the small set of features.
• More documentation of Activetick's api is here

To Install and Test

First install these packages. They are optional, but helpful if you want to manipulate data downloaded off of active tick.

[Required]

• none

[Optional]

• hdf5 development libraries
• python pkg: numpy
• python pkg: pandas
• python pkg: numexpr
• python pkg: pytables
• python pkg: h5py

$ git clone git@github.com:jbremnant/activetickpy.git
$ cd activetickpy/activetick

# This will only create the installation in the current directory
$ ./compile.sh  

# ensures you can find the .so file
$ . ./env.sh  

$ python at_test.py <api_key> <userid> <passwd>

Shared Lib

Python needs to be able to see libActiveTickServerAPI.so file. As such, the following might be necessary in your shell env:

export LD_LIBRARY_PATH=/path/to/lib/

Initiating Connection

import pandas as pd
import sys
sys.path.append('install/lib/python2.7/site-packages/')
import _activetick as at

print(at.version())

a = 0;

def mylogincb(i, msg):
  global a
  a += 1
  print(msg)

at.set_login_callback(myfunc)
at.connect(<your_api_key>,<server>,<port>,<userid>,<password>)

print(at.did_login())
loopcount = 0
while not at.did_login():
  loopcount += 1

print("global increment: %d, loop count: %d" %(a,loopcount))

Retrieving Tick Data

Continuing from code above, notice that your callback has to be first "set". The underlying C python library will invoke your callback on every 100k rows retrieved.

class mytick(object):
  def __init__(self):
    self.data = {}

  def cb(self, sym, l):
    print "Python mytickcb received %s data with len: %d" % (sym,len(l))
    df = pd.DataFrame(l)
    df['symbol'] = sym
    if sym in self.data.keys():
      self.data[sym] = pd.concat([self.data[sym], df])
    else:
      self.data[sym] = df

  def to_store(self, fname):
    store = pd.HDFStore(fname)
    for i in self.data.keys():
      store.put(i, self.data[i], format='table')
    store.close()


o = mytick()

at.set_tickhist_callback(o.cb)
at.make_tick_request("RHT", "20130522", "20130522")
at.make_tick_request("BAC", "20130522", "20130522")

while at.num_pending_requests() > 0:
  pass

# accumulated pandas dataframe
print o.data
o.to_store('./test.h5')