SDK for working with Intrinio's realtime Multi-Exchange prices feed. Intrinio’s Multi-Exchange feed bridges the gap by merging real-time equity pricing from the IEX and MEMX exchanges. Get a comprehensive view with increased market volume and enjoy no exchange fees, no per-user requirements, no permissions or authorizations, and little to no paperwork.
Intrinio provides real-time stock prices via a two-way WebSocket connection. To get started, subscribe to a real-time data feed and follow the instructions below.
Documentation for our legacy realtime client
- Python 3.10
- You need https://pypi.org/project/websocket-client/, not https://pypi.org/project/websocket/.
Add your API key to the example_app.py file, then
docker compose build
docker compose run client
- Receive streaming, real-time price quotes (last trade, bid, ask)
- Subscribe to updates from individual securities
- Subscribe to updates for all securities
- Multiple sources of data - REALTIME or DELAYED_SIP or NASDAQ_BASIC
pip install intriniorealtime
import threading
import time
from threading import Timer,Thread,Event
from intriniorealtime.client import IntrinioRealtimeClient
trade_count = 0
ask_count = 0
bid_count = 0
backlog_count = 0
def on_quote(quote, backlog):
global ask_count
global bid_count
global backlog_count
backlog_count = backlog
if 'type' in quote.__dict__:
if quote.type == "ask": ask_count += 1
else: bid_count += 1
def on_trade(trade, backlog):
global trade_count
global backlog_count
backlog_count = backlog
trade_count += 1
class Summarize(threading.Thread):
def __init__(self, event):
threading.Thread.__init__(self, args=(), kwargs=None)
self.daemon = True
self.stopped = event
def run(self):
global trade_count
global bid_count
global ask_count
global backlog_count
while not self.stopped.wait(5):
print("trades: " + str(trade_count) + "; asks: " + str(ask_count) + "; bids: " + str(bid_count) + "; backlog: " + str(backlog_count))
options = {
'api_key': 'API_KEY_HERE',
'provider': 'REALTIME' # REALTIME or DELAYED_SIP or NASDAQ_BASIC
}
client = IntrinioRealtimeClient(options, on_trade, on_quote)
client.join(['AAPL','GE','MSFT'])
#client.join(['lobby'])
client.connect()
stopFlag = Event()
summarize_thread = Summarize(stopFlag)
summarize_thread.start()
time.sleep(10)
client.disconnect()
# this will stop the summarize thread
stopFlag.set()There are thousands of securities, each with their own feed of activity. We highly encourage you to make your trade and quote handlers has short as possible and follow a queue pattern so your app can handle the volume of activity.
{ 'symbol': 'AAPL',
'type': 'ask',
'price': '102.3',
'size': 100,
'timestamp': 1636395583000000000,
'subprovider': 'UTP',
'market_center': '',
'condition': '' }- symbol - the ticker of the security
- type - the quote type
ask- represents the top-of-book ask pricebid- represents the top-of-book bid price- price - the price in USD
- size - the size of the
lasttrade, or total volume of orders at the top-of-bookbidoraskprice - timestamp - a Unix timestamp (nanoseconds since unix epoch)
- subprovider - Denotes the detailed source within grouped sources.
NO_SUBPROVIDER- No subtype specified.CTA_A- CTA_A in the DELAYED_SIP provider.CTA_B- CTA_B in the DELAYED_SIP provider.UTP- UTP in the DELAYED_SIP provider.OTC- OTC in the DELAYED_SIP provider.NASDAQ_BASIC- NASDAQ Basic in the NASDAQ_BASIC provider.IEX- From the IEX exchange in the REALTIME provider.- market_center - Provides the market center
- condition - Provides the condition
{ 'symbol': 'AAPL',
'total_volume': '106812',
'price': '102.3',
'size': 100,
'timestamp': 1636395583000000000,
'subprovider': 'IEX',
'market_center': '',
'condition': '' }- symbol - the ticker of the security
- total_volume - the total volume of trades for the security so far today.
- price - the price in USD
- size - the size of the
lasttrade, or total volume of orders at the top-of-bookbidoraskprice - timestamp - a Unix timestamp (nanoseconds since unix epoch)
- subprovider - Denotes the detailed source within grouped sources.
NO_SUBPROVIDER- No subtype specified.CTA_A- CTA_A in the DELAYED_SIP provider.CTA_B- CTA_B in the DELAYED_SIP provider.UTP- UTP in the DELAYED_SIP provider.OTC- OTC in the DELAYED_SIP provider.NASDAQ_BASIC- NASDAQ Basic in the NASDAQ_BASIC provider.IEX- From the IEX exchange in the REALTIME provider.- market_center - Provides the market center
- condition - Provides the condition
You will receive your Intrinio API Key after creating an account. You will need a subscription to a realtime data feed as well.
client = IntrinioRealtimeClient(options) - Creates an Intrinio Realtime client
- Parameter
options.api_key: Your Intrinio API Key - Parameter
options.provider: The real-time data provider to use ("REALTIME" or "DELAYED_SIP" or "NASDAQ_BASIC") - Parameter
options.on_quote(quote, backlog): A function that handles received quotes.backlogis an integer representing the approximate size of the queue of unhandled quote/trade events. - Parameter
options.on_trade(quote, backlog): A function that handles received trades.backlogis an integer representing the approximate size of the queue of unhandled quote/trade events. - Parameter
options.logger: (optional) A Python Logger instance to use for logging
def on_quote(quote, backlog):
print("QUOTE: " , quote, "BACKLOG LENGTH: ", backlog)
def on_trade(trade, backlog):
print("TRADE: " , trade, "BACKLOG LENGTH: ", backlog)
options = {
'api_key': '',
'provider': 'REALTIME', # REALTIME or DELAYED_SIP or NASDAQ_BASIC
'on_quote': on_quote,
'on_trade': on_trade
}
client = IntrinioRealtimeClient(options)client.join(channels) - Joins the given channels. This can be called at any time. The client will automatically register joined channels and establish the proper subscriptions with the WebSocket connection.
- Parameter
channels- A single channel or list of channels. You can also use the special symbol, "lobby" to join the firehose channel and recieved updates for all ticker symbols (you must have a valid "firehose" subscription).
client.join(["AAPL", "MSFT", "GE"])
client.join("GOOG")
client.join("lobby")client.connect() - Retrieves an auth token, opens the WebSocket connection, starts the self-healing and heartbeat intervals, joins requested channels.
client.keep_alive() - Runs an infinite loop to keep the thread alive, so that the client continues to receive prices. You may call this function after connect() or use your own timing logic (for example: connect, listen for quotes for x minutes, disconnect).
client.disconnect() - Closes the WebSocket, stops the self-healing and heartbeat intervals. You must call this to dispose of the client.
client.on_quote(quote, backlog) - Changes the quote handler function
def on_quote(quote, backlog):
print("QUOTE: " , quote, "BACKLOG LENGTH: ", backlog)
client.on_quote = on_quoteclient.leave(channels) - Leaves the given channels.
- Parameter
channels- A single channel or list of channels
client.leave(["AAPL", "MSFT", "GE"])
client.leave("GOOG")client.leave_all() - Leaves all channels.
def on_quote(quote, backlog):
print("QUOTE: " , quote, "BACKLOG LENGTH: ", backlog)
def on_trade(trade, backlog):
print("TRADE: " , trade, "BACKLOG LENGTH: ", backlog)
options = {
'api_key': '',
'provider': 'REALTIME', # REALTIME or DELAYED_SIP or NASDAQ_BASIC
'replay_date': datetime.date.today(),
'with_simulated_delay': False, # This plays back the events at the same rate they happened in market.
'delete_file_when_done': True,
'write_to_csv': False, # needed for ReplayClient
'csv_file_path': 'data.csv' # needed for ReplayClient
}
client = IntrinioReplayClient(options, on_trade, on_quote)