def __init__(self, instrument, size, spread):
# Define variables
self.instrument = instrument
self.comision = 0
self.initial_size = size
self.buy_size = size
self.sell_size = size
self.spread = spread
self.tick = 0.001
self.my_order = dict()
self.last_md = None
self.state = States.WAITING_MARKET_DATA
# Initialize the environment
pyRofex.initialize(user="******",
password="******",
account="XXXXXXX",
environment=pyRofex.Environment.REMARKET)
# Initialize Websocket Connection with the handler
pyRofex.init_websocket_connection(
market_data_handler=self.market_data_handler,
order_report_handler=self.order_report_handler)
# Subscribes for Market Data
pyRofex.market_data_subscription(tickers=[self.instrument],
entries=[
pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.OFFERS
])
# Subscribes to receive order report for the default account
pyRofex.order_report_subscription()
def subscribe_instruments(self, args):
"""
Subscribes to MarketData for specified products.
(Each given Ticker HAS to be a str inside a one element list).
:param args: List of tickers to subscribe to MarketData.
:type args: list of list
"""
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST
]
try:
for instrument in args:
self.subscribed_instruments.append(instrument)
if logging.getLevelName('DEBUG') > 1:
logging.debug(
f'ROFEXClient: Subscribing to {instrument} MarketData')
message = f'Subscribing to {instrument[0]} MarketData'
print(message)
pyRofex.market_data_subscription(tickers=instrument,
entries=entries)
except Exception as e:
if logging.getLevelName('DEBUG') > 1:
logging.debug(f'ROFEXClient ERROR: En exception occurred {e}')
e = str(e).upper()
error_msg = f"\033[0;30;47mERROR: {e} Check log file " \
"for detailed error message.\033[1;37;40m"
print(error_msg)
print(dash_line)
def open_connection():
pyRofex.init_websocket_connection(market_data_handler=market_data_handler,
error_handler=error_handler,
exception_handler=exception_handler)
instruments = [args.ticker]
entries = [pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.LAST]
print("Consultando símbolo")
pyRofex.market_data_subscription(tickers=instruments, entries=entries)
pyRofex.market_data_subscription(tickers=["InvalidInstrument"],
entries=entries)
def order_report_handler(message):
print("Order Report Message Received: {0}".format(message))
def error_handler(message):
print("Error Message Received: {0}".format(message))
def exception_handler(e):
print("Exception Occurred: {0}".format(e.message))
# Initiate Websocket Connection
pyRofex.init_websocket_connection(market_data_handler=market_data_handler,
error_handler=error_handler,
exception_handler=exception_handler)
# Instruments list to subscribe
instruments = ["RFX20Sep20", "I.RFX20"]
# Uses the MarketDataEntry enum to define the entries we want to subscribe to
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST
]
# Subscribes to receive market data messages **
pyRofex.market_data_subscription(tickers=instruments, entries=entries)
# Subscribes to receive order report messages (default account will be used) **
pyRofex.order_report_subscription()
plt.pause(0.2)
# Defines the handlers that will process the messages
def market_data_handler(message):
global prices
print("Market Data Message Received: {0}".format(message))
last = None if not message["marketData"]["LA"] else message["marketData"]["LA"]["price"]
prices.loc[datetime.fromtimestamp(message["timestamp"]/1000)] = [
message["marketData"]["BI"][0]["price"],
message["marketData"]["OF"][0]["price"],
last
]
# Initialize Websocket Connection with the handlers
pyRofex.init_websocket_connection(market_data_handler=market_data_handler)
# Subscribes to receive market data messages
pyRofex.market_data_subscription(
tickers=[instrument],
entries=[
pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST]
)
while True:
update_plot()
time.sleep(0.5)
def error_handler(message):
print("Error Message Received: {0}".format(message))
def exception_handler(e):
print("Exception Occurred: {0}".format(e.message))
# 3-Initialize Websocket Connection with the handlers
pyRofex.init_websocket_connection(market_data_handler=market_data_handler,
error_handler=error_handler,
exception_handler=exception_handler)
# 4-Subscribes to receive market data messages
instruments = ["DONov19", "DODic19"] # Instruments list to subscribe
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST
]
pyRofex.market_data_subscription(tickers=instruments, entries=entries)
# Subscribes to an Invalid Instrument (Error Message Handler should be call)
pyRofex.market_data_subscription(tickers=["InvalidInstrument"],
entries=entries)
# Wait 5 sec then close the connection
time.sleep(5)
pyRofex.close_websocket_connection()