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lmax-python-sdk

Unofficial LMAX Python SDK

This is a Python SDK for interacting with the LMAX trading platform. It provides a set of modules to interact with different aspects of the platform. Since the OpenAPI generator is messy and I needed to interact with LMAX rather implemented a very lightweight and simple SDK.

Modules

Client

The client module, located in lmax_python_sdk/client.py, provides the LMAXClient class for interacting with the LMAX API. It uses the client_key_id for authentication.

Websocket client

Using the base client, the websocket client is located at lmax_python_sdk/ws_client.py. It provides easy access to the websocket streams by using the same argument format and authentication as the base client.

Validation

The validation module, located in lmax_python_sdk/validation.py, provides various validation functions and constants. Contains different enum types for categorical input arguments.

Account

The account module, located in lmax_python_sdk/account, provides functionality related to account data and trading.

Broker Market Data

The broker allows to access the real-time and historical LMAX data for close prices and orderbook level data.

Public Data

Not implemented.

Example Usage

Here are some examples of how to use these modules. For more depth take a look at the docs page.

REST API

import os
import lmax_python_sdk

lmax_client = lmax_python_sdk.account.account_data.LMAXAccount(
    client_key_id=os.getenv("LMAX_DEMO_API_KEY"),
    secret=os.getenv("LMAX_DEMO_API_SECRET"),
    base_url=lmax_python_sdk.ClientBaseURLType.ACCOUNT_LONDON_DEMO,
)

lmax_client.get_instrument_data_symbol("EUR/USD")

[{'instrument_id': 'eur-usd',
  'security_id': '4001',
  'symbol': 'EUR/USD',
  'currency': 'USD',
  'unit_of_measure': 'EUR',
  'quantity_increment': '1000.0000',
  'margin': '1.00',
  'minimum_position_size': '1000.0000',
  'maximum_position_size': '500000000.0000',
  'trading_days': ['MONDAY', 'TUESDAY', 'WEDNESDAY', 'THURSDAY', 'FRIDAY'],
  'open_time': '17:05',
  'close_time': '17:00',
  'time_zone': 'America/New_York',
  'minimum_commission': '0.00000',
  'aggressive_commission_rate': '0.25000',
  'passive_commission_rate': '0.25000',
  'price_increment': '0.000010',
  'minimum_price': '0.000000',
  'maximum_price': '99999.000000',
  'short_swap_points': '-0.510',
  'long_swap_points': '0.950',
  'short_swap_cost': '-0.51000',
  'long_swap_cost': '-0.95000',
  'swap_cost_units': '10000.0000',
  'trade_date': '2024-02-08',
  'value_date_from': '2024-02-12',
  'value_date_to': '2024-02-13',
  'asset_class': 'CURRENCY'}]

Websocket

During testing it did not work with a demo access (INSUFFICIENT_PERMISSIONS), it needs to be enabled by LMAX support. The production access and worked perfectly. Websocket has been implemented in both sync and async. The sync version uses threading and websocket while the async mode uses the newer websockets and asyncio libraries to implement concurrency. During testing it seems that the sync version misses messages, which is not yet clear why happening, therefore the async version is to be tested if it works better and more reliably.

ws = lax_python_sdk.ws_client_sync.LMAXWebSocketClient(
    client_key_id=os.getenv("LMAX_API_KEY"),
    secret=os.getenv("LMAX_API_SECRET"),
    base_url=lmax_python_sdk.ClientBaseURLType.MARKET_DATA_LONDON_PROFESSIONAL,
    verbose=True
)
ws.subscribe({"name": "TRADE", "instruments": ["eur-usd"]})
ws.connect()
ws = lax_python_sdk.ws_client_async.LMAXWebSocketClient(
    client_key_id=os.getenv("LMAX_API_KEY"),
    secret=os.getenv("LMAX_API_SECRET"),
    base_url=lmax_python_sdk.ClientBaseURLType.MARKET_DATA_LONDON_PROFESSIONAL,
    verbose=True
)
await ws.subscribe({"name": "TRADE", "instruments": ["eur-usd"]})
await ws.connect()