diff --git a/.gitignore b/.gitignore index 2eea525..5d84dee 100644 --- a/.gitignore +++ b/.gitignore @@ -1 +1,3 @@ -.env \ No newline at end of file +.env +*.egg-info/ +__pycache__/ \ No newline at end of file diff --git a/requirements.txt b/requirements.txt index 663bd1f..f165439 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1 +1,3 @@ -requests \ No newline at end of file +dotenv +requests +websockets \ No newline at end of file diff --git a/streaming_data_example.py b/streaming_data_example.py new file mode 100644 index 0000000..a76af19 --- /dev/null +++ b/streaming_data_example.py @@ -0,0 +1,12 @@ +from dotenv import load_dotenv +from os import getenv +from tastytrade import Tastytrade + +load_dotenv() +account = getenv("TASTYTRADE_ACCOUNT") +username = getenv("TASTYTRADE_USERNAME") +password = getenv("TASTYTRADE_PASSWORD") + +client = Tastytrade(username, password) +client.login() +client.start_streaming(['AAPL', 'AMZN']) \ No newline at end of file diff --git a/streaming_option_chain_example.py b/streaming_option_chain_example.py new file mode 100644 index 0000000..e0e23a5 --- /dev/null +++ b/streaming_option_chain_example.py @@ -0,0 +1,27 @@ +""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" + This example does not currently work. + The DXLink connection does not currently support options data. + Refer to the comments on this video: https://www.youtube.com/watch?v=qHL4Jy6yIC8 +""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" + +from datetime import datetime +from dotenv import load_dotenv +from os import getenv +from tastytrade import Tastytrade + +load_dotenv() +account = getenv("TASTYTRADE_ACCOUNT") +username = getenv("TASTYTRADE_USERNAME") +password = getenv("TASTYTRADE_PASSWORD") + +client = Tastytrade(username, password) +client.login() + +current_date = datetime.now().strftime('%y%m%d') +symbol_prefix = f'.SPXW{current_date}' + +option_chain_data = client.get_option_chain_compact('SPX')['data']['items'][0] +streamer_symbols = option_chain_data['streamer-symbols'] +zero_dte_symbols = [symbol for symbol in streamer_symbols if symbol.startswith(symbol_prefix)] + +client.start_streaming(zero_dte_symbols) \ No newline at end of file diff --git a/tastytrade/tastytrade.py b/tastytrade/tastytrade.py index 5dd8d57..eea2581 100644 --- a/tastytrade/tastytrade.py +++ b/tastytrade/tastytrade.py @@ -1,5 +1,7 @@ +import asyncio import json import requests +import websockets class Tastytrade: @@ -47,4 +49,69 @@ class Tastytrade: return self.get(path = f'/accounts/{account_number}/positions').json() def submit_order(self, account_number: str, order: dict) -> dict: - return self.post(path = f'/accounts/{account_number}/orders', data = order).json() \ No newline at end of file + return self.post(path = f'/accounts/{account_number}/orders', data = order).json() + + async def setup_connection(self, ws): + setup_message = { + 'type': 'SETUP', + 'channel': 0, + 'keepaliveTimeout': 60, + 'acceptKeepaliveTimeout': 60, + 'version': '0.1-js/1.0.0' + } + await ws.send(json.dumps(setup_message)) + response = await ws.recv() + return json.loads(response) + + async def authenticate(self, ws, token): + auth_message = { + 'type': 'AUTH', + 'channel': 0, + 'token': token + } + await ws.send(json.dumps(auth_message)) + response = await ws.recv() + return json.loads(response) + + async def stream_market_data(self, symbols: list) -> None: + token_response = self.get('/api-quote-tokens').json() + api_quote_token = token_response['data']['token'] + dxlink_url = token_response['data']['dxlink-url'] + + async with websockets.connect(dxlink_url) as ws: + # Documentation: https://demo.dxfeed.com/dxlink-ws/debug/#/protocol + setup_response = await self.setup_connection(ws) + auth_response = await self.authenticate(ws, api_quote_token) + + # For some reason, the auth response is always unauthorized yet subsequent requests work. + # if auth_response.get('state') != 'AUTHORIZED': + # print('Authorization failed.') + # return + + # Request new channel for Quote (and Greeks) events + channel_request = { + 'type': 'CHANNEL_REQUEST', + 'channel': 1, + 'service': 'FEED', + 'parameters': { + 'contract': 'AUTO' + } + } + await ws.send(json.dumps(channel_request)) + channel_response = await ws.recv() + + subscription_message = { + 'type': 'FEED_SUBSCRIPTION', + 'channel': 1, + 'add': [{'symbol': symbol, 'type': 'Quote'} for symbol in symbols] + } + await ws.send(json.dumps(subscription_message)) + + async for message in ws: + data = json.loads(message) + if data["type"] == "FEED_DATA": + # TODO: Have the caller provide a callback function to handle the data. + print(data) + + def start_streaming(self, symbols: list): + asyncio.get_event_loop().run_until_complete(self.stream_market_data(symbols)) \ No newline at end of file