Add script for streaming market depth data from IQFeed

market_depth.py

@@ -0,0 +1,88 @@
+import socket
+import time
+import atexit
+
+class IQFeedMarketDepthProcessor:
+    def __init__(self, host = '127.0.0.1', port = 9200, symbol = ''):
+        self.host = host
+        self.port = port
+        self.symbol = symbol
+        self.price_levels = {}  # Dictionary to store price level to total depth mapping
+        self.socket = None
+
+    def connect(self):
+        self.socket = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
+        self.socket.connect((self.host, self.port))
+
+        # Register a cleanup function to be called when the script is exiting
+        atexit.register(self.cleanup)
+    
+    def send_command(self, command):
+        if self.socket is not None:
+            # Commands to the IQFeed server are issued in uppercase and 
+            # must be terminated with a carriage return and line feed.
+            print('Sending command', command)
+            self.socket.sendall((command + '\r\n').encode())
+
+    def process_market_depth_message(self, message):
+        fields = message.split(',')
+
+        # Check if the message is a Price Level Summary or Price Level Update message
+        if fields[0] in ['7', '8']:
+            print('Processing message', message)
+            symbol = fields[1]
+            side = fields[2]
+            price = float(fields[3])
+            level_size = int(fields[4])
+            # order_count = int(fields[5])
+
+            # The key for price_levels dictionary is a tuple of symbol, side, and price
+            key = (symbol, side, price)
+
+            self.price_levels[key] = level_size
+
+    def process_messages(self):
+        if self.socket is not None:
+            data = ''
+
+            while True:
+                try:
+                    # Receive data from the socket
+                    data += self.socket.recv(4096).decode('utf-8')
+                    messages = data.split('\n')
+
+                    # If data ends in a newline, the last message is complete; otherwise, hold it for next time
+                    if data[-1] == '\n':
+                        data = ''
+                    else:
+                        data = messages.pop()
+
+                    # Process each complete message
+                    for message in messages:
+                        print(message)
+                        if not message:
+                            continue
+                        if 'S,SERVER CONNECTED' in message:
+                            processor.send_command(f'S,SET PROTOCOL,6.2')
+                            processor.send_command(f'WPL,{self.symbol},10')
+                            continue
+                        self.process_market_depth_message(message.strip())
+                except socket.error as e:
+                    print(f'Socket error: {e}')
+                    time.sleep(5)  # Wait and try again
+                except Exception as e:
+                    print(f'Unexpected error: {e}')
+                    time.sleep(5)  # Wait and try again
+
+    def cleanup(self):
+        # Send the 'RPL' command to stop receiving updates
+        self.send_command(f'RPL,{self.symbol}')
+
+        # Close the socket
+        if self.socket is not None:
+            self.socket.close()
+
+if __name__ == '__main__':
+    processor = IQFeedMarketDepthProcessor(symbol = '@NQM24')
+    processor.connect()
+    processor.process_messages()