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[EN-1570] Custom handler example docs edited
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‎docs/custom_handler.rst‎

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Original file line numberDiff line numberDiff line change
@@ -2,7 +2,6 @@
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Custom Event Handler
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====================
5-
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Here we will look into custom event handler implementation. Unlike the
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Basic Usage example, we will not pay much attention to anything behind
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the handler.
@@ -12,7 +11,8 @@ is attached to the Subscription. When an event comes, internal
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structures call the update method of your handler with event as a
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parameter. event is a list with data specific to each event type. For
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example, for the Trade event type: ‘Symbol’, ‘Price’, ‘ExchangeCode’,
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‘Size’, ‘Tick’, ‘Change’, ‘DayVolume’, ‘Time’, ‘IsETH’.
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‘Size’, ‘Tick’, ‘Change’, ‘DayVolume’, ‘Time’, ‘IsETH’. More info here:
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https://kb.dxfeed.com/display/DS/dxFeed+API+Market+Events
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After adding symbols or attaching a default listener (what is actually
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done implicitly in the first case) list of one-word descriptions of
@@ -29,8 +29,10 @@ Import package
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.. code:: python3
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import dxfeed as dx
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from dxfeed.core.utils.data_class import DequeWithLock # custom deque with thread lock
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from datetime import datetime # for timed subscription
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from dateutil.relativedelta import relativedelta
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import numpy as np
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Configure and create connection with Endpoint class
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~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
@@ -49,75 +51,91 @@ you should also provide time to start subscription from.
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.. code:: python3
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candle_sub = endpoint.create_subscription('Candle', date_time=datetime.now() - relativedelta(minutes=30))
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candle_sub = endpoint.create_subscription('Candle', date_time=datetime.now() - relativedelta(days=3))
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.. code:: python3
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class DiffHandler(dx.EventHandler):
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def __init__(self):
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self.__prev_open = 0
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self.__prev_high = 0
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self.__prev_low = 0
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self.__prev_close = 0
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self.__prev_volume = 0
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self.volume_changes = list()
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self.__prev_open = None
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self.__prev_high = None
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self.__prev_low = None
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self.__prev_close = None
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self.__prev_volume = None
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self.volume_changes = DequeWithLock()
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self.counter = 0
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def update(self, event):
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if event[12] == event[12]: # AskVolume not nan
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if not np.isnan(event[12]): # AskVolume not nan
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self.counter += 1
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print(f'Symbol: {event[0]}')
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print(f'Open changed by: {event[5] - self.__prev_open}')
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self.__prev_open = event[5]
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print(f'High changed by: {event[6] - self.__prev_high}')
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self.__prev_high = event[6]
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print(f'Open changed by: {event[7] - self.__prev_low}')
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self.__prev_low = event[7]
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print(f'Close changed by: {event[8] - self.__prev_close}')
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self.__prev_close = event[8]
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# Volume logic
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vol_change = event[12] - self.__prev_volume
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self.volume_changes.append(vol_change)
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self.counter +=1
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print(f'Volume changed by: {vol_change}, from {self.__prev_volume}, to {event[12]}')
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self.__prev_volume = event[12]
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print(f'Ask events processed: {self.counter}')
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print('-------------------')
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if self.counter % 10 == 0:
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print(f'Average volume change for 10 past ask events is: {sum(self.volume_changes) / len(self.volume_changes)}')
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self.volume_changes.clear()
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if self.counter == 1:
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self.__prev_open = event[5]
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self.__prev_high = event[6]
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self.__prev_low = event[7]
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self.__prev_close = event[8]
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self.__prev_volume = event[12]
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print('First event processed')
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print('-------------------')
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else:
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print(f'Open changed by: {event[5] - self.__prev_open}')
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self.__prev_open = event[5]
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print(f'High changed by: {event[6] - self.__prev_high}')
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self.__prev_high = event[6]
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print(f'Open changed by: {event[7] - self.__prev_low}')
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self.__prev_low = event[7]
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print(f'Close changed by: {event[8] - self.__prev_close}')
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self.__prev_close = event[8]
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# Volume logic
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vol_change = event[12] - self.__prev_volume
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self.volume_changes.safe_append(vol_change)
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print(f'Volume changed by: {vol_change}, from {self.__prev_volume}, to {event[12]}')
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self.__prev_volume = event[12]
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print(f'Ask events prcessed: {self.counter}')
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print('-------------------')
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if self.counter % 10 == 0:
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print(f'Average volume change for 10 past ask events is: {sum(self.volume_changes) / len(self.volume_changes)}')
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self.volume_changes.clear()
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print('-------------------')
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For Candle event type along with base symbol, you should specify an
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aggregation period. You can also set price type. More details:
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https://kb.dxfeed.com/display/DS/REST+API#RESTAPI-Candlesymbols
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.. code:: python3
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handler = DiffHandler()
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candle_sub.set_event_handler(handler).add_symbols(['AAPL'])
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candle_sub.set_event_handler(handler).add_symbols(['AAPL{=d}']);
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.. code-block:: text
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.. code:: text
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Symbol: AAPL
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Open changed by: 336.3
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High changed by: 336.3
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Open changed by: 336.3
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Close changed by: 336.3
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Volume changed by: 200.0, from 0, to 200.0
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Ask events processed: 1
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Symbol: AAPL{=d}
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First event processed
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-------------------
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Symbol: AAPL{=d}
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Open changed by: -2.6399999999999864
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High changed by: -1.0500000000000114
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Open changed by: -4.1299999999999955
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Close changed by: -1.8199999999999932
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Volume changed by: 10387567.0, from 7339.0, to 10394906.0
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Ask events prcessed: 2
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-------------------
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Symbol: AAPL
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Open changed by: 0.05989999999997053
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High changed by: 0.05989999999997053
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Open changed by: 0.05989999999997053
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Close changed by: 0.05989999999997053
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Volume changed by: -75.0, from 200.0, to 125.0
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Ask events processed: 2
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Symbol: AAPL{=d}
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Open changed by: 3.7399999999999523
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High changed by: 1.9499999999999886
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Open changed by: 1.8699999999999477
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Close changed by: -0.1400000000000432
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Volume changed by: 1746584.0, from 10394906.0, to 12141490.0
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Ask events prcessed: 3
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-------------------
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Symbol: AAPL
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Open changed by: -0.009899999999959164
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High changed by: -0.009899999999959164
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Open changed by: -0.009899999999959164
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Close changed by: -0.009899999999959164
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Volume changed by: -25.0, from 125.0, to 100.0
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Ask events processed: 3
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Symbol: AAPL{=d}
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Open changed by: 0.0
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High changed by: 0.0
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Open changed by: 0.0
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Close changed by: 0.0
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Volume changed by: 0.0, from 12141490.0, to 12141490.0
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Ask events prcessed: 4
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-------------------
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print(f'Connection status: {endpoint.connection_status}')
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.. code-block:: text
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.. code:: text
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Connection status: Not connected
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‎examples/CustomHandlerExample.ipynb‎

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"metadata": {},
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"outputs": [],
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"source": [
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"candle_sub = endpoint.create_subscription('Candle', date_time=datetime.now() - relativedelta(days=30))"
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"candle_sub = endpoint.create_subscription('Candle', date_time=datetime.now() - relativedelta(days=3))"
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]
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},
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{
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" self.__prev_close = event[8]\n",
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" self.__prev_volume = event[12]\n",
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" print('First event processed')\n",
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" print('-------------------')\n",
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" else:\n",
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" print(f'Open changed by: {event[5] - self.__prev_open}')\n",
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" self.__prev_open = event[5]\n",

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