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Add TimeAndSale event #47

Merged
merged 4 commits into from
May 29, 2023
Merged

Add TimeAndSale event #47

merged 4 commits into from
May 29, 2023

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michaelcooke
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This PR adds support for the TimeAndSale market event. DxFeed documentation on this event may be found in their Javadocs and knowledge base

Graeme22
Graeme22 requested changes May 28, 2023
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tastytrade/dxfeed/timeandsale.py Outdated Show resolved Hide resolved
Graeme22
Graeme22 approved these changes May 28, 2023
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Looks good! I'll give it a test run when I get the chance and merge then. Thanks for the contribution!

@Graeme22
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Were you able to use this to sucessfully stream TimeAndSale events? I'm trying but it's just hanging:

res = await streamer.oneshot(EventType.TIME_AND_SALE, ['SPY'])  # hangs
print(res)

@michaelcooke
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michaelcooke commented May 29, 2023 •
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I used it last week for equities and futures. The reason you're not getting any events for SPY is that it's not trading currently; no trades to report means no events. Try /ESM23:XCME between now and 1:00 PM ET tomorrow or during regular trading hours on Tuesday.

@michaelcooke
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Here's a pared down version of the script I'm using to pull ES time and sales events currently:

import asyncio
from tastytrade.session import Session
from tastytrade.streamer import DataStreamer, EventType
from threading import Thread

async def stream_quotes(symbols, username, password):
  session = Session(username, password)
  streamer = await DataStreamer.create(session)
  time_and_sales = await streamer.subscribe(EventType.TIME_AND_SALE, symbols)
  async for item in streamer.listen():
    print(item)

if __name__ == '__main__':
  symbols = [
    '/ESM23:XCME'
  ]

  tastytrade_username = os.getenv('TASTYTRADE_USERNAME')
  tastytrade_password = os.getenv('TASTYTRADE_PASSWORD')
  
  stream_thread = threading.Thread(target=asyncio.run, args=(stream_quotes(symbols, tastytrade_username, tastytrade_password),))
  stream_thread.daemon = True
  stream_thread.start()

TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429860215967628, time=1685328283407, timeNanoPart=0, sequence=53132, exchangeCode='G', price=4223.5, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429860329213838, time=1685328283434, timeNanoPart=0, sequence=53134, exchangeCode='G', price=4223.5, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429863248449424, time=1685328284106, timeNanoPart=0, sequence=53136, exchangeCode='G', price=4223.5, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429863248449425, time=1685328284106, timeNanoPart=0, sequence=53137, exchangeCode='G', price=4223.5, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429863248449426, time=1685328284106, timeNanoPart=0, sequence=53138, exchangeCode='G', price=4223.5, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429863248449427, time=1685328284106, timeNanoPart=0, sequence=53139, exchangeCode='G', price=4223.5, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429863248449428, time=1685328284106, timeNanoPart=0, sequence=53140, exchangeCode='G', price=4223.5, size=5.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429863248449429, time=1685328284106, timeNanoPart=0, sequence=53141, exchangeCode='G', price=4223.5, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429889802588055, time=1685328290293, timeNanoPart=0, sequence=53143, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429889802588056, time=1685328290293, timeNanoPart=0, sequence=53144, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429889802588057, time=1685328290293, timeNanoPart=0, sequence=53145, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864155, time=1685328300152, timeNanoPart=0, sequence=53147, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864156, time=1685328300152, timeNanoPart=0, sequence=53148, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864157, time=1685328300152, timeNanoPart=0, sequence=53149, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864158, time=1685328300152, timeNanoPart=0, sequence=53150, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864159, time=1685328300152, timeNanoPart=0, sequence=53151, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864160, time=1685328300152, timeNanoPart=0, sequence=53152, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864161, time=1685328300152, timeNanoPart=0, sequence=53153, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864162, time=1685328300152, timeNanoPart=0, sequence=53154, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429932160864163, time=1685328300152, timeNanoPart=0, sequence=53155, exchangeCode='G', price=4223.75, size=4.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429982840639397, time=1685328311971, timeNanoPart=0, sequence=53157, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.75, askPrice=4224.0, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429982840639398, time=1685328311971, timeNanoPart=0, sequence=53158, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.75, askPrice=4224.0, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429982840639399, time=1685328311971, timeNanoPart=0, sequence=53159, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.75, askPrice=4224.0, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429982844833705, time=1685328311972, timeNanoPart=0, sequence=53161, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.75, askPrice=4224.0, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429982844833706, time=1685328311972, timeNanoPart=0, sequence=53162, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.75, askPrice=4224.0, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429982844833708, time=1685328311972, timeNanoPart=0, sequence=53164, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.75, askPrice=4224.0, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='SELL', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)
TimeAndSale(eventSymbol='/ESM23:XCME', eventTime=0, eventFlags=0, index=7238429996434378670, time=1685328315116, timeNanoPart=0, sequence=53166, exchangeCode='G', price=4223.75, size=1.0, bidPrice=4223.5, askPrice=4223.75, exchangeSaleConditions=None, tradeThroughExempt='\x00', aggressorSide='BUY', spreadLeg=False, extendedTradingHours=False, validTick=True, type='NEW', buyer=None, seller=None)

@Graeme22
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I used it last week for equities and futures. The reason you're not getting any events for SPY is that it's not trading currently; no trades to report means no events. Try /ESM23:XCME between now and 1:00 PM ET tomorrow or during regular trading hours on Tuesday.

Interesting, most of the events work fine when the market is closed but it appears that this one doesn't. I got it to work just now.

@Graeme22 Graeme22 merged commit 74fd024 into tastyware:master May 29, 2023
@Graeme22
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Thanks again!

@michaelcooke michaelcooke deleted the time-and-sale branch May 29, 2023 03:34
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