vx-py

File	Version
vx_bind.pyd	D0
vx_bind.so	C4
Python	3.9

Windows and linux release compiled for Python version 3.9

Included Files

File	Description
vx_bind.pyd	Windows c++ Python binding module
vx_bind.so	Linux c++ Python binding module
vx_feed.py	vx_bind definitions include file
demo_events.py	Sample application
demo_icebergOrders.py	Demonstrates the iceberg trigger
demo_stopOrders.py	Demonstrates the stopOrder trigger
demo_trades.py	Demonstrates the trade trigger
demo_tradeSweeps.py	Demonstrates the tradeSweeps trigger
demo_book.py	Demonstrates the book building functions
demo_fix.py	Demonstrates the fix REST api
demo_summary.py	Demonstrates the summary trigger
demo_buckets.py	Demonstrates the summary buckets

Place the module in your Python installation or in your script's search path or at the location of your script.

Version D0 Changes

Fixed a bug with waiting on request with no records.

Version C9 Changes

Fixed a bug with 'Trigger.IcebergOrders'

Version C8 Changes

Added the 'time' field to the trigger 'Trigger.IcebergOrders'

Version C7 Changes

Added a new trigger type Trigger.Summary. Unlike the trigger Trigger.Trades which combine trade summery sweeps, each trade summary will be triggered individually.

The Trigger.Summary record has the following fields:

{ 'aggBuyers': 161, 'aggSellers': 133, 'bucket': 1, 'high': 1437.0, 'low': 1434.75, 'midPoint': 1435.875, 'midPoint_above': 179, 'midPoint_below': 121, 'time': 1683014400000, 'total': 300, 'volume': 641, 'vwap': 1435.9079563182527, 'vwap_above': 179, 'vwap_below': 121 }

Add a new bucket trigger Bucket.Summary.

Buckets are return via the callback 'onBucket.'

the parameter _interval is the bucket isze in milliseconds.

The Bucket.Summary record has the following fields:

{ 'aggressor': 2, 'orders': 1, 'price': 1163, 'px2vwap_max': 1163.8111413043478, 'px2vwap_min': 1163.0, 'px2vwap_time': 1.7080452015879542e+18, 'quantity': 1, 'time': 1708045201695212677, 'trigger': 16, 'volume': 554, 'vwap': 1163.8109205776173 }

vx_feed.py

vx_bind definitions includes

• Event record enumerated values
• Event record definitions
• Default fid definitions

demo_events.py

Application overview:

1. Derive a class from vx.feed

myFeed = MyFeed()

2. Call 'request' with a dictionary of request parameters.

myFeed.request ({
	'symbol'		:	'ES',		
	'startDate'		:	20230321,
	'endDate'		:	20230322,
	'weekends'		:	False,
	'fids'			:	'kFidsTrds',
	'cachePath'		:	"E:\\_vx"	
	})

Notes:

The api will select the appropriate server based on the request (Historical, RT or RT options).
For RT options, the 'symbol' must be qualified with (OPT:, OCH: or OCU:)
fids can use the three default FID definitions (kFidsTrds, kFidsNorm, kFidsFull) or define your own.

Set 'startDate' or 'endDate' to zero for RT.

'cachePath' is optional and if defined the api will save compressed archives of historical files.
'cacheRead' is optional and defaults to True, Set to False to recreate the archive
'cacheName' is optional and defaults to name of the fids, Custom cache file name

3. Override the following functions:

def onInit(self,pData):

Called when the script starts
pData unused

def onExit(self,pData):

Called at the script is finished
pData unused

def onOpen(self,pData):

Called at the start of each session of data
pData will contain a diction of meta data

def onShut(self,pData):

Called at the start of each session of data
pData unused

def onEvent(self,pData,pEvent):

Called with retrieved event records
pData will contain meta data
pEvent will contain a diction of Event fids (see vx_feed.py)

def onProgress(self,pData):

Called during the reading of the request
pData progress info

def onError(self,pData):

Called if an error has occurred
pData error info

def onIdle(self,pData):

Called during idle for RT queries
pData unused