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Thiago W. Alves edited this page May 10, 2020 · 51 revisions

Constructors:

Member Functions:

Trader(userName)

Parameters

  • username : str

    The username used to log in to the server.

Return Value

None

Example

Usage of the constructor Trader(username) with username "foo_bar":

import shift
trader = shift.Trader("foo_bar")

connect(cfg_file, password)

This method connects to the server.

Parameters

  • cfg_file : str

    The path to the configuration file, usually named initiator.cfg.

  • password : str

    The password required for login.

Return Value

bool : True if successfully connected, False otherwise.

Example

The following example shows the usage of the connect(cfg_file, password) method:

trader.connect("initiator.cfg", "password")

disconnect()

This method disconnects from the server.

Parameters

NA

Return Value

bool : True if successfully disconnected, False otherwise.

Example

The following example shows the usage of the disconnect() method:

trader.disconnect()

is_connected()

This method returns the status of the connection to the server.

Parameters

NA

Return Value

bool : True if there is a stablished connection with the server, False otherwise.

Example

The following example shows the usage of the is_connected() method:

trader.is_connected()

submit_order(order)

This method submits an order to the server.

Parameters

shift.Order: shift.Order

Return Value

NA

Example

The following example shows the usage of the submit_order(order) method:

limit_buy = shift.Order(shift.Order.Type.LIMIT_BUY, "AAPL", 1, 10.00)
trader.submit_order(limit_buy)

submit_cancellation(order)

This method converts a limit order into a cancel order, and submits it to the server. Order ID and price are kept the same, and the size of the order is subtracted by its executed size.

Parameters

shift.Order: shift.Order

Return Value

NA

Example

The following example shows the usage of the submit_cancellation(order) method:

for order in trader.get_waiting_list():
    trader.submit_cancellation(order)

get_portfolio_summary()

This method returns the current summary of the portfolio, which consists of the total buying power, total amount of traded shares, and total realized P&L.

Parameters

NA

Return Value

shift.PortfolioSummary : The current portfolio summary, see also shift.PortfolioSummary.

Example

The following example shows the usage of the get_portfolio_summary() method:

print("Buying Power\tTotal Shares\tTotal P&L\tTimestamp")
print(
    "%12.2f\t%12d\t%9.2f\t%26s"
    % (
        trader.get_portfolio_summary().get_total_bp(),
        trader.get_portfolio_summary().get_total_shares(),
        trader.get_portfolio_summary().get_total_realized_pl(),
        trader.get_portfolio_summary().get_timestamp(),
    )
)

Buying Power	Total Shares	Total P&L	Timestamp
    975703.00	         600	    -3.00	2019-04-18 20:59:59.837795

get_portfolio_items()

This method returns the items in the portfolio, the items are in the form of a dictionary with keys as symbol and corresponding traded price, amount of traded shares, and realized P&L.

Parameters

NA

Return Value

Dict[str, shift.PortfolioItem] : The current portfolio items, with tickers as keys to the dictionary, see also shift.PortfolioItem.

Example

The following example shows the usage of the get_portfolio_items() method:

print("Symbol\t\tShares\t\tPrice\t\tP&L\t\tTimestamp")
for item in trader.get_portfolio_items().values():
    print(
        "%6s\t\t%6d\t%9.2f\t%7.2f\t\t%26s"
        % (
            item.get_symbol(),
            item.get_shares(),
            item.get_price(),
            item.get_realized_pl(),
            item.get_timestamp(),
        )
    )

Symbol		Shares	    Price	      P&L	Timestamp
  AAPL		  -100	   167.69	    -2.00	2019-04-18 20:59:59.760297
   XOM		  -100	    75.25	    -1.00	2019-04-18 20:59:59.837834

get_portfolio_item(symbol)

This method returns an item in the portfolio, given a user provided symbol. The item contains information such as traded price, amount of traded shares, and realized P&L.

Parameters

  • symbol: str

    The symbol of the requested portfolio item.

Return Value

shift.PortfolioItem : The portfolio item for the requested symbol, see also shift.PortfolioItem.

Example

The following example shows the usage of the get_portfolio_item(symbol) method:

item = trader.get_portfolio_item("AAPL")
print("Symbol\t\tShares\t\tPrice\t\tP&L\t\tTimestamp")
print(
    "%6s\t\t%6d\t%9.2f\t%7.2f\t\t%26s"
    % (
        item.get_symbol(),
        item.get_shares(),
        item.get_price(),
        item.get_realized_pl(),
        item.get_timestamp(),
    )
)

Symbol		Shares	    Price	      P&L	Timestamp
  AAPL		  -100	   167.69	    -2.00	2019-04-18 20:59:59.760297

get_unrealized_pl(symbol="")

This method returns the estimated unrealized P&L of the current position for a given symbol. If the symbol parameter is missing, it returns the estimated unrealized P&L of the whole current porfolio.

Parameters

  • symbol: str

    The symbol of the requested estimated unrealized P&L (default = "").

Return Value

float: The estimated unrealized P&L for the requested symbol.

Example

The following example shows the usage of the get_unrealized_pl(symbol) method:

trader.get_unrealized_pl("AAPL")

3.00

get_submitted_orders_size()

This method returns the number of orders in the submitted orders list.

Parameters

NA

Return Value

int : Number of orders in the submitted orders list.

Example

The following example shows the usage of the get_submitted_orders_size() method:

print("Submitted orders size: %d" % trader.get_submitted_orders_size())

Submitted orders size: 9

get_submitted_orders()

This method returns the submitted orders and their information such as symbol, price, size, type, and id. This list contains all previous submitted orders, both executed or not, but does not include cancellation requests.

Parameters

NA

Return Value

List[shift.Order] : List of submitted orders, see also shift.Order.

Example

The following example shows the usage of the get_submitted_orders() method:

print(
    "Symbol\t\t\t\tType\t  Price\t\tSize\tExecuted\tID\t\t\t\t\t\t\t\t\t\t\t\t\t\t Status\t\tTimestamp"
)
for order in trader.get_submitted_orders():
    if order.status == shift.Order.Status.FILLED:
        price = order.executed_price
    else:
        price = order.price
    print(
        "%6s\t%16s\t%7.2f\t\t%4d\t\t%4d\t%36s\t%23s\t\t%26s"
        % (
            order.symbol,
            order.type,
            price,
            order.size,
            order.executed_size,
            order.id,
            order.status,
            order.timestamp,
        )
    )

Symbol		    Type	  Price		Size	    Executed	ID						         Status		Timestamp
  AAPL	  Type.LIMIT_BUY	  10.00		   1		   1	c544caf9-78d2-4c33-8675-f2d377c96f44	        Status.CANCELED		2019-04-18 20:48:58.768379
  AAPL	  Type.LIMIT_BUY	  10.00		  10		  10	a0228bef-7905-41a4-a06a-56f028a60a22	        Status.CANCELED		2019-04-18 20:49:00.772277
   XOM	  Type.LIMIT_BUY	  10.00		  10		  10	3d17ccea-c922-4cac-bde7-b388b91ec681	        Status.CANCELED		2019-04-18 20:49:00.772642
  AAPL	 Type.MARKET_BUY	 167.71		   1		   1	b3a60493-ad7b-4096-8271-e058fd05be7d	          Status.FILLED		2019-04-18 20:59:55.758615
   XOM	 Type.MARKET_BUY	  75.26		   1		   1	3ba983f3-e705-4016-b144-76970712aa11	          Status.FILLED		2019-04-18 20:59:55.758906
  AAPL	Type.MARKET_SELL	 167.69		   1		   1	51192791-26b0-453f-8c0e-0e106aa7b076	          Status.FILLED		2019-04-18 20:59:58.425309
   XOM	Type.MARKET_SELL	  75.25		   1		   1	e41c61c7-0d2f-4ef6-baa9-95cea3125d11	          Status.FILLED		2019-04-18 20:59:58.425692
  AAPL	Type.MARKET_SELL	 167.69		   1		   1	1477caf2-7376-4645-93f0-b0978ba71d03	          Status.FILLED		2019-04-18 20:59:59.598876
   XOM	Type.MARKET_SELL	  75.25		   1		   1	118c1315-fdcd-46b8-9aac-cb7292d12a44	          Status.FILLED		2019-04-18 20:59:59.599157

get_order(order_id)

This method returns a previously submitted order, given a user provided order ID.

Parameters

  • order_id: str

    The id of a previously submitted order.

Return Value

shift.Order : The order corresponding to the provided order ID, see also shift.Order.

Example

The following example shows the usage of the get_order(order_id) method:

order = trader.get_order("b3a60493-ad7b-4096-8271-e058fd05be7d")
print(
    "%6s\t%16s\t%7.2f\t\t%4d\t\t%4d\t%36s\t%23s\t\t%26s"
    % (
        order.symbol,
        order.type,
        order.executed_price,
        order.size,
        order.executed_size,
        order.id,
        order.status,
        order.timestamp,
    )
)

Symbol		    Type	  Price		Size	    Executed	ID						         Status		Timestamp
  AAPL	 Type.MARKET_BUY	 167.71		   1		   1	b3a60493-ad7b-4096-8271-e058fd05be7d	          Status.FILLED		2019-04-18 20:59:55.758615

get_executed_orders(order_id)

This method returns a list of executed orders, given a user provided order ID. One order in the submitted orders list may correspond to several executed orders, but all will share the same order ID. Executed price and size information in these orders correspond to their individual executions. Status information corresponds to the status of the order at the moment of the particular execution.

Parameters

  • order_id: str

    The id of a previously submitted order.

Return Value

List[shift.Order] : List of executed orders corresponding to the provided order ID, see also shift.Order.

Example

The following example shows the usage of the get_executed_orders(order_id) method:

limit_buy = shift.Order(shift.Order.Type.LIMIT_BUY, "AAPL", 10, 168.50)
print(
    "Symbol\t\t\t\tType\t  Price\t\tSize\tExecuted\tID\t\t\t\t\t\t\t\t\t\t\t\t\t\t Status\t\tTimestamp"
)
for order in trader.get_executed_orders(limit_buy.id):
    print(
        "%6s\t%16s\t%7.2f\t\t%4d\t\t%4d\t%36s\t%23s\t\t%26s"
        % (
            order.symbol,
            order.type,
            order.executed_price,
            order.size,
            order.executed_size,
            order.id,
            order.status,
            order.timestamp,
        )
    )

Symbol		    Type	  Price		Size	    Executed	ID						         Status		Timestamp
  AAPL	 Type.MARKET_BUY	 168.15		  10		   6	d5c5f720-b774-49f8-a0b8-eec699857d69	Status.PARTIALLY_FILLED		2019-07-25 16:54:36.337757
  AAPL	 Type.MARKET_BUY	 168.15		  10		   4	d5c5f720-b774-49f8-a0b8-eec699857d69	          Status.FILLED		2019-07-25 16:54:36.337757

get_waiting_list_size()

This method returns the number of orders in the waiting list, in other words the orders which are not being executed yet.

Parameters

NA

Return Value

int : Number of orders in the waiting list.

Example

The following example shows the usage of the get_waiting_list_size() method:

print("Waiting list size: %d" % trader.get_waiting_list_size())

Waiting list size: 3

get_waiting_list()

This method returns orders in the waiting list and their information such as symbol, price, size, type, and id. The list contains all previous submitted orders that are yet to be executed.

Parameters

NA

Return Value

List[shift.Order] : List of orders in the waiting list, see also shift.Order.

Example

The following example shows the usage of the get_waiting_list() method:

print(
    "Symbol\t\t\t\tType\t  Price\t\tSize\tExecuted\tID\t\t\t\t\t\t\t\t\t\t\t\t\t\t Status\t\tTimestamp"
)
for order in trader.get_waiting_list():
    print(
        "%6s\t%16s\t%7.2f\t\t%4d\t\t%4d\t%36s\t%23s\t\t%26s"
        % (
            order.symbol,
            order.type,
            order.price,
            order.size,
            order.executed_size,
            order.id,
            order.status,
            order.timestamp,
        )
    )

Symbol		    Type	  Price		Size	    Executed	ID						         Status		Timestamp
   XOM	  Type.LIMIT_BUY	  10.00		  10		   0	3d17ccea-c922-4cac-bde7-b388b91ec681	             Status.NEW		2019-04-18 20:49:00.790479
  AAPL	  Type.LIMIT_BUY	  10.00		  10		   0	a0228bef-7905-41a4-a06a-56f028a60a22	             Status.NEW		2019-04-18 20:49:00.790481
  AAPL	  Type.LIMIT_BUY	  10.00		   1		   0	c544caf9-78d2-4c33-8675-f2d377c96f44	             Status.NEW		2019-04-18 20:49:00.790482

cancel_all_pending_orders(timeout=10)

This method cancels all pending orders (i.e. the current orders in the waiting list).

Parameters

  • timeout: int

    Maximum amount of time (in seconds) to wait until cancellations go through (default = 10).

Return Value

NA

Example

The following example shows the usage of the cancel_all_pending_orders() method:

trader.cancel_all_pending_orders()

get_close_price(symbol, buy, size)

This method returns what would be the closing price of a position if you were to buy/sell (a boolean parameter) a given amount of stocks (size) at the moment of the function call for a given symbol.

Parameters

  • symbol: str

    The symbol of the requested close price.

  • buy: bool

    True if user wants to buy, False if user wants to sell.

  • size: int

    The size of the position to close (1 size = 100 shares).

Return Value

float: The close price for the requested symbol, position side, and size.

Example

The following example shows the usage of the get_close_price(symbol, buy, size) method:

trader.get_close_price("AAPL", True, 5)

166.89

get_close_price(symbol)

This method returns what would be the closing price of the current position for a given symbol.

Parameters

  • symbol: str

    The symbol of the requested close price.

Return Value

float: The close price for the requested symbol.

Example

The following example shows the usage of the get_close_price(symbol) method:

trader.get_close_price("AAPL")

166.89

get_last_price(symbol)

This method returns the last traded price for a given symbol. Synchronization with get_last_size(symbol) is not guaranteed.

Parameters

  • symbol: str

    The symbol of the requested last price.

Return Value

float : The last traded price for the requested symbol.

Example

The following example shows the usage of the get_last_price(symbol) method:

trader.get_last_price("AAPL")

166.75

get_last_size(symbol)

This method returns the last traded size for a given symbol. Synchronization with get_last_price(symbol) is not guaranteed.

Parameters

  • symbol: str

    The symbol of the requested last price.

Return Value

int : The last traded size for the requested symbol (1 size = 100 shares).

Example

The following example shows the usage of the get_last_size(symbol) method:

trader.get_last_size("AAPL")

2

get_last_trade_time()

This method returns the time of the last trade in the simulation.

Parameters

NA

Return Value

datetime.datetime : The time of the last trade in the simulation.

Example

The following example shows the usage of the get_last_trade_time() method:

trader.get_last_trade_time()

datetime.datetime(2018, 12, 17, 9, 56, 30)

get_best_price(symbol)

This method returns a shift.BestPrice object for a given symbol. In other words, it returns the best bid and ask prices and their corresponding volume information.

Parameters

  • symbol: str

    The symbol of the requested best price object.

Return Value

shift.BestPrice : The best price object for the requested symbol, see also shift.BestPrice.

Example

The following example shows the usage of the get_best_price(symbol) method:

bp = trader.get_best_price("AAPL")
bp.get_bid_price()

166.64

bp.get_bid_size()

28

bp.get_ask_price()

178.68

bp.get_ask_size()

12

get_order_book(symbol, type, max_level=99)

This method is used to get the order book for a corresponding symbol and type.

Parameters

  • symbol: str

    The symbol of the requested order book.

  • type: shift::OrderBook::Type

    The type of the requested order book. The possible values are:

    • shift.OrderBookType.GLOBAL_BID
    • shift.OrderBookType.GLOBAL_ASK
    • shift.OrderBookType.LOCAL_BID
    • shift.OrderBookType.LOCAL_ASK

  • max_level: int

    The display length, i.e. the number of top prices that will be returned (default = 99).

Return Value

List[shift.OrderBookEntry] : List of order book entries, see also shift.OrderBookEntry.

Example

The following example shows the usage of the get_order_book(symbol, type, max_level) method:

print("  Price\t\tSize\t  Dest\t\tTime")
for order in trader.get_order_book("AAPL", shift.OrderBookType.GLOBAL_BID, 5):
    print(
        "%7.2f\t\t%4d\t%6s\t\t%19s"
        % (order.price, order.size, order.destination, order.time)
    )

 Price		Size	  Dest		Time
168.06		  22	Market		2018-12-17 11:23:06
168.05		  22	Market		2018-12-17 11:21:32
168.04		  18	Market		2018-12-17 11:21:31
168.03		  23	Market		2018-12-17 11:21:31
168.02		  16	Market		2018-12-17 11:21:28

get_order_book_with_destination(symbol, type)

This method is used to get the order book for a corresponding symbol and type, with routing (destination) information.

Parameters

  • symbol: str

    The symbol of the requested order book.

  • type: shift::OrderBook::Type

    The type of the requested order book. The possible values are:

    • shift.OrderBookType.GLOBAL_BID
    • shift.OrderBookType.GLOBAL_ASK
    • shift.OrderBookType.LOCAL_BID
    • shift.OrderBookType.LOCAL_ASK

Return Value

List[shift.OrderBookEntry] : List of order book entries, see also shift.OrderBookEntry.

Example

The following example shows the usage of the get_order_book_with_destination(symbol, type) method:

print("  Price\t\tSize\t  Dest\t\tTime")
for order in trader.get_order_book_with_destination(
    "AAPL", shift.OrderBookType.GLOBAL_BID
):
    print(
        "%7.2f\t\t%4d\t%6s\t\t%19s"
        % (order.price, order.size, order.destination, order.time)
    )

  Price		Size	  Dest		Time
 168.04		   1	   NAS		2018-12-17 11:24:30
 168.03		   1	   BAT		2018-12-17 11:24:30
 168.03		   1	   PSE		2018-12-17 11:24:30
 168.03		   3	   NAS		2018-12-17 11:24:30
 168.03		   2	   PSE		2018-12-17 11:24:30
 168.03		   1	   BAT		2018-12-17 11:24:30
 168.02		   9	   NYS		2018-12-17 11:24:30
 168.02		   3	   NAS		2018-12-17 11:24:30
 168.02		   2	   BAT		2018-12-17 11:24:30
 168.02		   1	   DEA		2018-12-17 11:24:30
    ...		 ...	   ...		...

get_stock_list()

This method returns a list of all current tradable symbols.

Parameters

NA

Return Value

List[str]: List of symbols.

Example

The following example shows the usage of the get_stock_list() method:

trader.get_stock_list()

['AAPL','AXP','BA','CAT','CSCO','CVX','DIS','DWDP','GS','HD','IBM','INTC','JNJ','JPM','KO','MCD',
'MMM','MRK','MSFT','NKE','PFE','PG','TRV','UNH','UTX','V','VZ','WBA','WMT','XOM']

request_company_names()

This method requests the download of company names for the current tradable symbols.

Parameters

NA

Return Value

NA

Example

The following example shows the usage of the request_company_names() method

trader.request_company_names()

get_company_names()

This method returns the company names for all the current tradable symbols. A call to request_company_names() is required before using this function.

Parameters

NA

Return Value

Dict[str, str] : Dictionary of symbols as keys and company names as values.

Example

The following example shows the usage of get_company_names() method:

trader.get_company_names()

{'AAPL': 'Apple Inc.',  
'AXP': 'American Express Company',  
'BA': 'The Boeing Company',  
'CAT': 'Caterpillar Inc.',  
'CSCO': 'Cisco Systems, Inc.',  
'CVX': 'Chevron Corporation',  
'DIS': 'The Walt Disney Company',  
'DWDP': 'DowDuPont Inc.',  
'GS': 'The Goldman Sachs Group, Inc.',  
'HD': 'The Home Depot, Inc.',  
'IBM': 'International Business Machines Corporation',  
'INTC': 'Intel Corporation',  
'JNJ': 'Johnson & Johnson',  
'JPM': 'JPMorgan Chase & Co.',  
'KO': 'The Coca-Cola Company',  
'MCD': "McDonald's Corporation",  
'MMM': '3M Company',  
'MRK': 'Merck & Co., Inc.',  
'MSFT': 'Microsoft Corporation',  
'NKE': 'NIKE, Inc.',  
'PFE': 'Pfizer Inc.',  
'PG': 'The Procter & Gamble Company',  
'TRV': 'The Travelers Companies, Inc.',  
'UNH': 'UnitedHealth Group Incorporated',  
'UTX': 'United Technologies Corporation',  
'V': 'Visa Inc.',  
'VZ': 'Verizon Communications Inc.',  
'WBA': 'Walgreens Boots Alliance, Inc.',  
'WMT': 'Walmart Inc.',  
'XOM': 'Exxon Mobil Corporation'}

get_company_name(symbol)

This method returns the company name for the requested symbol. A call to request_company_names() is required before using this function.

Parameters

  • symbol: str

    The symbol of the requested company name.

Return Value

str: The company name of the requested symbol.

Example

The following example shows the usage of the get_company_name(symbol) method

trader.get_company_name("AAPL")   

'Apple Inc.'

request_sample_prices(symbols, sampling_frequency=1.0, sampling_window=31)

This method creates a separate thread that sample prices for a given list of symbols. These sample prices can then be used to compute statistics.

Parameters

  • symbols: List[str]

    List of requested symbols.

  • sampling_frequency: float

    The sampling frequency, in seconds (default = 1.0, minimum = 0.000001).

  • sampling_window: int

    The number of sample prices that will be kept in memory (default = 31, minimum = 2).

Return Value

bool : True if request was accepted, False otherwise (it will be refused if all the requested symbols are already being processed by another thread or with invalid parameter values are used).

Example

The following example shows the usage of the request_sample_prices(symbols, sampling_frequency, sampling_window) method:

trader.request_sample_prices(["AAPL", "CSCO", "INTC", "MSFT"])

cancel_sample_prices_request(symbols)

This method cancels all current price sampling processes for the specified symbols.

Parameters

  • symbols: List[str]

    List of symbols for which the user wishes to cancel their price sampling processes.

Return Value

bool : True if successfully cancelled, False otherwise (e.g. there were no processes to cancel).

Example

The following example shows the usage of the cancel_sample_prices_request(symbols) method:

trader.cancel_sample_prices_request(["AAPL", "CSCO", "INTC", "MSFT"])

cancel_all_sample_prices_requests()

This method cancels all current price sampling processes.

Parameters

NA

Return Value

bool : True if successfully cancelled, False otherwise (e.g. there were no processes to cancel).

Example

The following example shows the usage of the cancel_all_sample_prices_requests() method:

trader.cancel_all_sample_prices_requests()

get_sample_prices_size(symbol)

This method returns the number of prices currently sampled for the requested symbol. A call to request_sample_prices(symbols, samplingFrequency, samplingWindow) is required before using this function. The result will not exceed the samplingWindow size of the sample prices request.

Parameters

  • symbol: str

    The symbol of the requested sample prices size.

Return Value

int : Number of prices currently sampled for the requested symbol. It will not exceed the samplingWindow size of the sample prices request.

Example

The following example shows the usage of the get_sample_prices_size(symbol) method:

trader.get_sample_prices_size("AAPL")  

31

get_sample_prices(symbol, mid_prices=False)

This method returns all current sampled prices for the requested symbol. A call to request_sample_prices(symbols, samplingFrequency, samplingWindow) is required before using this function.

Parameters

  • symbol: str

    The symbol of the requested sample prices.

  • mid_prices: bool

    True for mid prices, False for last prices (default = False).

Return Value

List[float] : List of sample prices.

Example

The following example shows the usage of the get_sample_prices(symbol, mid_prices) method:

trader.get_sample_prices("AAPL")

[166.19, 166.19, 166.19, 166.2, 166.19, 166.18, 166.15, 166.15, 166.12, 166.13, 166.08, 166.08, 166.06, 166.06..

get_log_returns_size(symbol)

This method returns the number of log returns currently sampled for the requested symbol. A call to request_sample_prices(symbols, samplingFrequency, samplingWindow) is required before using this function. The result will not exceed the samplingWindow size of the sample prices request, minus 1.

Parameters

  • symbol: str

    The symbol of the requested sample log returns size.

Return Value

int : Number of log returns currently sampled for the requested symbol. It will not exceed the samplingWindow size of the sample prices request, minus 1.

Example

The following example shows the usage of the get_log_returns_size(symbol) method

trader.get_log_returns_size("AAPL")

30

get_log_returns(symbol, mid_prices=False)

This method returns all current sampled log returns for the requested symbol. A call to request_sample_prices(symbols, samplingFrequency, samplingWindow) is required before using this function.

Parameters

  • symbol: str

    The symbol of the requested sample log returns.

  • mid_prices: bool

    True for using mid prices to compute log returns, False for using last prices (default = False).

Return Value

List[float] : List of sample log returns.

Example

The following example shows the usage of the get_log_returns(symbol, mid_prices) method:

trader.get_log_returns("AAPL")

[0.0001205182285284323, 0.0, -0.00030132280940353695, 0.00012054001943262449, 0.0, -0.000241094570513134..

sub_order_book(symbol)

This method subscribes to the order book data stream of the requested symbol.

Parameters

  • symbol: str

    The symbol of the order book subscribe request.

Return Value

bool : True if subscription request was accepted, False otherwise (it will be refused if the symbol is already subscribed).

Example

The following example shows the usage of the sub_order_book(symbol) method:

trader.sub_order_book("AAPL")

unsub_order_book(symbol)

This method unsubscribes to the order book data stream of the requested symbol.

Parameters

  • symbol: str

    The symbol of the order book unsubscribe request.

Return Value

bool : True if unsubscription request was accepted, False otherwise (it will be refused if the symbol is already unsubscribed).

Example

The following example shows the usage of the unsub_order_book(symbol) method:

trader.unsub_order_book("AAPL")

sub_all_order_book()

This method subscribes to all order book data streams.

Parameters

NA

Return Value

bool : True if subscription request was accepted, False otherwise (it will be refused if tall requested symbols are already subscribed).

Example

The following example shows the usage of the sub_all_order_book() method:

trader.sub_all_order_book()

unsub_all_order_book()

This method unsubscribes from all order book data streams.

Parameters

NA

Return Value

bool : True if unsubscription request was accepted, False otherwise (it will be refused if all requested symbols are already unsubscribed).

Example

The following example shows the usage of the unsub_all_order_book() method:

trader.unsub_all_order_book()

get_subscribed_order_book_list()

This method returns the list of all symbols for which an order book data stream subscription is active.

Parameters

NA

Return Value

List[str] : List of all symbols for which an order book data stream subscription is active.

Example

The following example shows the usage of the get_subscribed_order_book_list() method:

trader.get_subscribed_order_book_list()

Overview

Classes

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