Dtn

Unofficial DTN (IQFeed) client.

Dependencies

• IQFeed client ~> 6.1

IQFeed API support status

Streaming clients

• [x] Quote (Level 1) client
• [x] Level 2 client
• [x] Bar (Derivative) client
• [x] Admin client

Lookup client

• [x] Historical data
• [x] News data
• [x] Symbol Lookup data
• [ ] Chains Lookup data
• [ ] Market Summary Data (new in protocol 6.1)

Installation

Add this line to your application's Gemfile:

gem 'dtn'

And then execute:

$ bundle install

Or install it yourself as:

$ gem install dtn

Usage

Quick start

Dtn::Lookups::Historical::DailyTimeframe.call(
    symbol: :aapl,
    begin_date: Date.new(2021, 5, 1),
    end_date: Date.new(2021, 6, 1)
    )

=>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Mon, 03 May 2021 18:06:37 +0000, high=134.07, low=131.83, open=132.04, close=132.54, period_volume=75135100, open_interest=0>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Tue, 04 May 2021 18:06:37 +0000, high=131.4899, low=126.7, open=131.19, close=127.85, period_volume=137564718, open_interest=0>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Wed, 05 May 2021 18:06:37 +0000, high=130.45, low=127.97, open=129.2, close=128.1, period_volume=84000900, open_interest=0>
#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Thu, 06 May 2021 18:06:37 +0000, high=129.75, low=127.13, open=127.89, close=129.74, period_volume=78128334, open_interest=0>
...

# if block provided, then each message will be yielded as it is processed

Dtn::Lookups::News::Headline.call(limit: 10) do |message|
  # ...
end

Supported requests

Keep in mind, that at the time of writing DTN, API has limit of 50 historical requests per minute.

TODO: Attach limiter gem after merge https://github.com/Shopify/limiter/pull/17 https://github.com/Shopify/limiter/pull/19 or use own branch of this gem.

News

• config

Dtn::Lookups::News::Config.call

• headline

Dtn::Lookups::News::Headline.call limit: 10, symbols: 'aapl;fb'

• story_count

Dtn::Lookups::News::StoryCount.call symbols: :aapl, date_range: Date.new(2020,1,1)..Date.new(2020,2,1)

• story

Dtn::Lookups::News::Story.call story_id: '22424363689'

NOTES:

• if XML output option selected, the response will return unparsed XML

Historical

• interval_day

Dtn::Lookups::Historical::IntervalDay.call(symbol: :aapl, interval: 3600, max_datapoints: 50, days: 2)

• tick_timeframe

Dtn::Lookups::Historical::TickTimeframe.call(
              symbol: :aapl,
              begin_datetime: begin_datetime,
              end_datetime: end_datetime,
              max_datapoints: 50
            )

• daily_datapoint

Dtn::Lookups::Historical::DailyDatapoint.call(symbol: :aapl, max_datapoints: 50)

• interval_timeframe

Dtn::Lookups::Historical::IntervalTimeframe.call(
              symbol: :aapl,
              interval: 15,
              max_datapoints: 50,
              begin_datetime: DateTime.new(2020, 5, 1),
              end_datetime: DateTime.new(2020, 6, 1)
            )

• tick_datapoint

Dtn::Lookups::Historical::TickDatapoint.call(symbol: :aapl, max_datapoints: 100)

• weekly_datapoint

Dtn::Lookups::Historical::WeeklyDatapoint.call(symbol: :aapl, max_datapoints: 10)

• daily_timeframe

Dtn::Lookups::Historical::DailyTimeframe.call(
              symbol: :aapl,
              begin_date: Date.new(2020, 5, 1),
              end_date: Date.new(2020, 6, 1)
            )

• interval_datapoint

Dtn::Lookups::Historical::IntervalDatapoint.call(symbol: :aapl, interval: 3600, max_datapoints: 100)

• monthly_datapoint

Dtn::Lookups::Historical::MonthlyDatapoint.call(symbol: :aapl, max_datapoints: 10)

• tick_day

Dtn::Lookups::Historical::TickDay.call(symbol: :aapl, days: 2, max_datapoints: 50)

NOTES:

• Lookups have extra options from their parents classes. They have appropriate defaults and are easy to customize.

Catalogs

For symbol lookup and description API use a few catalogs, which describe each row. They very rarely change and we can treat them as constants. To reduce requests to API they are requested only once. For easy access to them you can use:

• Dtn.listed_markets_catalog
• Dtn.naic_codes_catalog
• Dtn.security_types_catalog
• Dtn.sic_codes_catalog
• Dtn.trade_conditions_catalog

Symbol lookup

• by_sic

Dtn::Lookups::Symbol::BySic.call(search_line: '42')

• by_naic

Dtn::Lookups::Symbol::ByNaic.call(search_line: '42')

• by_filter

Dtn::Lookups::Symbol::ByFilter.call(field_to_search: "s", search_line: "aap", filter_type: "t", filter_value: "1")

Streaming data

All streaming data is using Observer pattern, so you can connect a few listeners to any client with minimal cost. Below, you will get the examples with simple observers, but there is an Observer for easier development & testing.

Quotes (Level1)

Streaming data is using Observers to deliver the results. Keep in mind, that observers will receive data until you unsubscribe from it or stop the client.

Summary message always come with all the possible fields, while for Update message it is possible to add a filter with client.request.quote.update_fields list: %w[Bid Ask]

These methods do not allow any historical data access, only real time.

class Observer
  # data callbacks are optional and match message class
  def level1_summary(message:)
    puts message
  end

  def level1_update(message:)
    puts message
  end

  # one of system methods callback
  def disconnected(message:)
    puts message
  end
end

client = Dtn::Streaming::Clients::Quote.new
client.observers << Observer.new
client.request.quote.watch symbol: :aapl
sleep 10
client.stop

Here you will find all level1 streaming requests with appropriate documentation.

Bars data

Get live data as interval bar data. It allows to look back and fetch historical data and get current (live) data as well, details

class Observer
  # this callback will return all historical bars for the symbol
  def historical_bar(message:)
    puts message
  end

  # Here you get live updates until the current bar is formed
  def update_bar(message:)
    puts message
  end

  # when the current bar was formed, it will be processed by this callback
  def current_bar(message:)
    puts message
  end
end

client = Dtn::Streaming::Clients::Bar.new
client.observers << Observer.new
client.request.bar.watch symbol: :aapl
sleep 10
client.stop

Admin

Admin data management. See other commands in here

client.observers << Observer.new
client.request.admin.set_client_stats turned_on: false

Level2

Connection to level2 data. See other commands in here

client.observers << Observer.new
client.request.level2.watch symbol: :aapl

Config

In case you are using DTN client running remotely (no questions asked how you can do it), you can specify the host with Dtn.host = 'my_host' setting

Development

After checking out the repo, run bin/setup to install dependencies. Then, run bundle exec rake to run the tests. You can also run bin/console for an interactive prompt that will allow you to experiment.

Test specs are using recorded output from