# *****************************************************************************
#
# Copyright (c) 2020, the pyEX authors.
#
# This file is part of the pyEX library, distributed under the terms of
# the Apache License 2.0. The full license can be found in the LICENSE file.
#
from enum import Enum
import pyEX.common.urls as pcu
from ..common import PyEXception, _strCommaSeparatedString, _streamSSE, _streamSSEAsync
[docs]class DeepChannelsSSE(Enum):
TRADINGSTATUS = "tradingstatus"
AUCTION = "auction"
OPHALTSTATUS = "op-halt-status"
SSR = "ssr-status"
SECURITYEVENT = "security-event"
TRADEBREAK = "trade-breaks"
TRADES = "trades"
BOOK = "book"
SYSTEMEVENT = "system-event"
ALL = "deep"
@staticmethod
def options():
return list(map(lambda c: c.value, DeepChannelsSSE))
def _runSSE(
method="",
symbols=None,
on_data=None,
exit=None,
nosnapshot=False,
token="",
version="stable",
):
if method == "":
raise PyEXception("method cannot be blank!")
if symbols:
symbols = _strCommaSeparatedString(symbols)
if version == "sandbox":
return _streamSSE(
pcu._SSE_URL_PREFIX_SANDBOX.format(
channel=method, symbols=symbols, token=token, version=version
),
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
)
return _streamSSE(
pcu._SSE_URL_PREFIX.format(
channel=method, symbols=symbols, token=token, version=version
),
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
)
if version == "sandbox":
return _streamSSE(
pcu._SSE_URL_PREFIX_ALL_SANDBOX.format(
channel=method, symbols=symbols, token=token, version=version
),
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
)
return _streamSSE(
pcu._SSE_URL_PREFIX_ALL.format(
channel=method, symbols=symbols, token=token, version=version
),
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
)
async def _runSSEAsync(
method="", symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
if method == "":
raise PyEXception("method cannot be blank!")
if symbols:
symbols = _strCommaSeparatedString(symbols)
if version == "sandbox":
async for item in _streamSSEAsync(
pcu._SSE_URL_PREFIX_SANDBOX.format(
channel=method, symbols=symbols, token=token, version=version
),
exit=exit,
nosnapshot=nosnapshot,
):
yield item
return
async for item in _streamSSEAsync(
pcu._SSE_URL_PREFIX.format(
channel=method, symbols=symbols, token=token, version=version
),
exit=exit,
nosnapshot=nosnapshot,
):
yield item
return
if version == "sandbox":
async for item in _streamSSEAsync(
pcu._SSE_URL_PREFIX_ALL_SANDBOX.format(
channel=method, symbols=symbols, token=token, version=version
),
exit=exit,
nosnapshot=nosnapshot,
):
yield item
return
async for item in _streamSSEAsync(
pcu._SSE_URL_PREFIX_ALL.format(
channel=method, symbols=symbols, token=token, version=version
),
exit=exit,
nosnapshot=nosnapshot,
):
yield item
[docs]def iexTopsSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""TOPS provides IEX’s aggregated best quoted bid and offer position in near real time for all securities on IEX’s displayed limit order book.
TOPS is ideal for developers needing both quote and trade data.
https://iexcloud.io/docs/api/#tops
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"tops",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexTopsSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""TOPS provides IEX’s aggregated best quoted bid and offer position in near real time for all securities on IEX’s displayed limit order book.
TOPS is ideal for developers needing both quote and trade data.
https://iexcloud.io/docs/api/#tops
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync("tops", symbols, token, version):
yield item
[docs]def iexLastSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""Last provides trade data for executions on IEX. It is a near real time, intraday API that provides IEX last sale price, size and time.
Last is ideal for developers that need a lightweight stock quote.
https://iexcloud.io/docs/api/#last
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"last",
symbols=symbols,
on_data=on_data,
exit=exit,
token=token,
version=version,
)
[docs]async def iexLastSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""Last provides trade data for executions on IEX. It is a near real time, intraday API that provides IEX last sale price, size and time.
Last is ideal for developers that need a lightweight stock quote.
https://iexcloud.io/docs/api/#last
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync("last", symbols, token, version):
yield item
[docs]def iexDeepSSE(
symbols=None,
channels=None,
on_data=None,
exit=None,
nosnapshot=False,
token="",
version="stable",
):
"""DEEP is used to receive real-time depth of book quotations direct from IEX.
The depth of book quotations received via DEEP provide an aggregated size of resting displayed orders at a price and side,
and do not indicate the size or number of individual orders at any price level.
Non-displayed orders and non-displayed portions of reserve orders are not represented in DEEP.
DEEP also provides last trade price and size information. Trades resulting from either displayed or non-displayed orders matching on IEX will be reported. Routed executions will not be reported.
https://iexcloud.io/docs/api/#deep
Args:
symbols (str): Tickers to request
channels (List[str]): Deep channels to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
symbols = _strCommaSeparatedString(symbols)
if not channels:
raise PyEXception("Must specify channels for deepSSE endpoint")
channels = channels or []
if isinstance(channels, str):
if channels not in DeepChannelsSSE.options():
raise PyEXception("Channel not recognized: %s", type(channels))
channels = [channels]
elif isinstance(channels, DeepChannelsSSE):
channels = [channels.value]
elif isinstance(channels, list):
for i, c in enumerate(channels):
if isinstance(c, DeepChannelsSSE):
channels[i] = c.value
elif (
not isinstance(c, str)
or isinstance(c, str)
and c not in DeepChannelsSSE.options()
):
raise PyEXception("Channel not recognized: %s", c)
channels = _strCommaSeparatedString(channels)
if version == "sandbox":
return _streamSSE(
pcu._SSE_DEEP_URL_PREFIX_SANDBOX.format(
symbols=symbols, channels=channels, token=token, version=version
),
on_data,
exit=exit,
nosnapshot=nosnapshot,
)
return _streamSSE(
pcu._SSE_DEEP_URL_PREFIX.format(
symbols=symbols, channels=channels, token=token, version=version
),
on_data,
exit=exit,
nosnapshot=nosnapshot,
)
[docs]async def iexDeepSSEAsync(
symbols=None, channels=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""DEEP is used to receive real-time depth of book quotations direct from IEX.
The depth of book quotations received via DEEP provide an aggregated size of resting displayed orders at a price and side,
and do not indicate the size or number of individual orders at any price level.
Non-displayed orders and non-displayed portions of reserve orders are not represented in DEEP.
DEEP also provides last trade price and size information. Trades resulting from either displayed or non-displayed orders matching on IEX will be reported. Routed executions will not be reported.
https://iexcloud.io/docs/api/#deep
Args:
symbols (str): Tickers to request
channels (List[str]): Deep channels to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
symbols = _strCommaSeparatedString(symbols)
if not channels:
raise PyEXception("Must specify channels for deepSSE endpoint")
channels = channels or []
if isinstance(channels, str):
if channels not in DeepChannelsSSE.options():
raise PyEXception("Channel not recognized: %s", type(channels))
channels = [channels]
elif isinstance(channels, DeepChannelsSSE):
channels = [channels.value]
elif isinstance(channels, list):
for i, c in enumerate(channels):
if isinstance(c, DeepChannelsSSE):
channels[i] = c.value
elif (
not isinstance(c, str)
or isinstance(c, str)
and c not in DeepChannelsSSE.options()
):
raise PyEXception("Channel not recognized: %s", c)
channels = _strCommaSeparatedString(channels)
if version == "sandbox":
async for item in _streamSSEAsync(
pcu._SSE_DEEP_URL_PREFIX_SANDBOX.format(
symbols=symbols,
channels=channels,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
):
yield item
else:
async for item in _streamSSEAsync(
pcu._SSE_DEEP_URL_PREFIX.format(
symbols=symbols,
channels=channels,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
):
yield item
[docs]def iexAuctionSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""DEEP broadcasts an Auction Information Message every one second between the Lock-in Time and the auction match for Opening and Closing Auctions,
and during the Display Only Period for IPO, Halt, and Volatility Auctions. Only IEX listed securities are eligible for IEX Auctions.
https://iexcloud.io/docs/api/#deep-auction
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"auction",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexAuctionSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""DEEP broadcasts an Auction Information Message every one second between the Lock-in Time and the auction match for Opening and Closing Auctions,
and during the Display Only Period for IPO, Halt, and Volatility Auctions. Only IEX listed securities are eligible for IEX Auctions.
https://iexcloud.io/docs/api/#deep-auction
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync(
"auction",
symbols=symbols,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
):
yield item
[docs]def iexBookSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""Book shows IEX’s bids and asks for given symbols.
https://iexcloud.io/docs/api/#deep-book
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"book",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexBookSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""Book shows IEX’s bids and asks for given symbols.
https://iexcloud.io/docs/api/#deep-book
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync(
"book",
symbols=symbols,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
):
yield item
[docs]def iexOpHaltStatusSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The Exchange may suspend trading of one or more securities on IEX for operational reasons and indicates such operational halt using the Operational halt status message.
IEX disseminates a full pre-market spin of Operational halt status messages indicating the operational halt status of all securities.
In the spin, IEX will send out an Operational Halt Message with “N” (Not operationally halted on IEX) for all securities that are eligible for trading at the start of the Pre-Market Session.
If a security is absent from the dissemination, firms should assume that the security is being treated as operationally halted in the IEX Trading System at the start of the Pre-Market Session.
After the pre-market spin, IEX will use the Operational halt status message to relay changes in operational halt status for an individual security.
https://iexcloud.io/docs/api/#deep-operational-halt-status
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"op-halt-status",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexOpHaltStatusSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The Exchange may suspend trading of one or more securities on IEX for operational reasons and indicates such operational halt using the Operational halt status message.
IEX disseminates a full pre-market spin of Operational halt status messages indicating the operational halt status of all securities.
In the spin, IEX will send out an Operational Halt Message with “N” (Not operationally halted on IEX) for all securities that are eligible for trading at the start of the Pre-Market Session.
If a security is absent from the dissemination, firms should assume that the security is being treated as operationally halted in the IEX Trading System at the start of the Pre-Market Session.
After the pre-market spin, IEX will use the Operational halt status message to relay changes in operational halt status for an individual security.
https://iexcloud.io/docs/api/#deep-operational-halt-status
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync(
"op-halt-status",
symbols=symbols,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
):
yield item
[docs]def iexOfficialPriceSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The Official Price message is used to disseminate the IEX Official Opening and Closing Prices.
These messages will be provided only for IEX Listed Securities.
https://iexcloud.io/docs/api/#deep-official-price
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"official-price",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexOfficialPriceSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The Official Price message is used to disseminate the IEX Official Opening and Closing Prices.
These messages will be provided only for IEX Listed Securities.
https://iexcloud.io/docs/api/#deep-official-price
Args:
symbols (str): Tickers to request
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync(
"official-price",
symbols=symbols,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
):
yield item
[docs]def iexSecurityEventSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The Security event message is used to indicate events that apply to a security. A Security event message will be sent whenever such event occurs
https://iexcloud.io/docs/api/#deep-security-event
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"security-event",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexSecurityEventSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The Security event message is used to indicate events that apply to a security. A Security event message will be sent whenever such event occurs
https://iexcloud.io/docs/api/#deep-security-event
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync(
"security-event",
symbols=symbols,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
):
yield item
[docs]def iexSsrStatusSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""In association with Rule 201 of Regulation SHO, the Short Sale Price Test Message is used to indicate when a short sale price test restriction is in effect for a security.
IEX disseminates a full pre-market spin of Short sale price test status messages indicating the Rule 201 status of all securities. After the pre-market spin, IEX will use the Short sale price test status message in the event of an intraday status change.
The IEX Trading System will process orders based on the latest short sale price test restriction status.
https://iexcloud.io/docs/api/#deep-short-sale-price-test-status
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"ssr-status",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexSsrStatusSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""In association with Rule 201 of Regulation SHO, the Short Sale Price Test Message is used to indicate when a short sale price test restriction is in effect for a security.
IEX disseminates a full pre-market spin of Short sale price test status messages indicating the Rule 201 status of all securities. After the pre-market spin, IEX will use the Short sale price test status message in the event of an intraday status change.
The IEX Trading System will process orders based on the latest short sale price test restriction status.
https://iexcloud.io/docs/api/#deep-short-sale-price-test-status
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync(
"ssr-status",
symbols=symbols,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
):
yield item
[docs]def iexSystemEventSSE(
symbols=None, on_data=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The System event message is used to indicate events that apply to the market or the data feed.
There will be a single message disseminated per channel for each System Event type within a given trading session.
https://iexcloud.io/docs/api/#deep-system-event
Args:
symbols (str): Tickers to request
on_data (function): Callback on data
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
return _runSSE(
"system-event",
symbols=symbols,
on_data=on_data,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
)
[docs]async def iexSystemEventSSEAsync(
symbols=None, exit=None, nosnapshot=False, token="", version="stable"
):
"""The System event message is used to indicate events that apply to the market or the data feed.
There will be a single message disseminated per channel for each System Event type within a given trading session.
https://iexcloud.io/docs/api/#deep-system-event
Args:
symbols (str): Tickers to request
exit (Event): Trigger to exit
token (str): Access token
version (str): API version
"""
async for item in _runSSEAsync(
"system-event",
symbols=symbols,
exit=exit,
nosnapshot=nosnapshot,
token=token,
version=version,
):
yield item