def __create_instrument_request(self,
correlation_id,
symbol=None,
market_id=None,
exchange=None):
ir = openfeed_api_pb2.InstrumentRequest(correlationId=correlation_id,
token=self.token,
marketId=market_id)
if symbol is not None:
ir.symbol = symbol
if market_id is not None:
ir.marketId = market_id
if exchange is not None:
ir.exchange = exchange
return openfeed_api_pb2.OpenfeedGatewayRequest(instrumentRequest=ir)
def __create_subscription_request(self,
exchanges=[],
symbols=[],
service="REAL_TIME",
subscription_type=["QUOTE"],
snapshot_interval_seconds=60):
requests = []
if len(exchanges) > 0:
for exch in exchanges:
requests.append(
openfeed_api_pb2.SubscriptionRequest.Request(
exchange=exch,
subscriptionType=[
openfeed_api_pb2.SubscriptionType.Value(t)
for t in subscription_type
],
snapshotIntervalSeconds=snapshot_interval_seconds))
if len(symbols) > 0:
for sym in symbols:
requests.append(
openfeed_api_pb2.SubscriptionRequest.Request(
symbol=sym,
subscriptionType=[
openfeed_api_pb2.SubscriptionType.Value(t)
for t in subscription_type
],
snapshotIntervalSeconds=snapshot_interval_seconds))
of_req = openfeed_api_pb2.OpenfeedGatewayRequest(
subscriptionRequest=openfeed_api_pb2.SubscriptionRequest(
token=self.token,
service=openfeed_pb2.Service.Value(service),
requests=requests))
return of_req
def __create_login_request(self):
return openfeed_api_pb2.OpenfeedGatewayRequest(
loginRequest=openfeed_api_pb2.LoginRequest(username=self.username,
password=self.password))
def __create_instrument_reference_request(self, correlation_id, exchange):
return openfeed_api_pb2.OpenfeedGatewayRequest(
instrumentReferenceRequest=openfeed_api_pb2.
InstrumentReferenceRequest(correlationId=correlation_id,
token=self.token,
exchange=exchange))
def __create_exchange_request(self, correlation_id):
return openfeed_api_pb2.OpenfeedGatewayRequest(
exchangeRequest=openfeed_api_pb2.ExchangeRequest(
correlationId=correlation_id, token=self.token))