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dxFeed / dxfeed-graal-net-api

For .NET developers, this library offers easy access to dxFeed market data. Built upon the GraalVM Native Image and our flagship dxFeed Java API, it provides a seamless experience for .NET-based applications
Mozilla Public License 2.0
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Support for fromTime on Candles #36

Open voros1 opened 1 year ago

voros1 commented 1 year ago

Hello, The documentation here (which I assume is for the 'legacy' version) says that the 'fromTime' parameter https://kb.dxfeed.com/en/data-services/aggregated-data-services/how-to-request-candles.html may be included as so: IDxSubscription candleSubscription = con.CreateSubscription(fromTime, new CandleListener()); The graal-net-api version doesn't seem to support a fromTime parameter.

On a related note: While a simple symbol such as /ESM23:XCME is supported correctly by graal-net-api, the full symbol specifications as in the link above, such as: /ESM23:XCME{=15m} don't seem to work via the graal-net-api This appears to be the symbol that https://tools.dxfeed.com/webservice/chart-demo.jsp is using though.

Thank You.

stdcion commented 1 year ago

Hi @voros1!

Unfortunately, the TimeSeriesSubscription is not currently supported. But we plan to add it soon, as a workaround you can now use TimeSeriesSubscriptionSymbol.

You can test it using DxFeed.Graal.Net.Tool, for example: ./DxFeed.Graal.Net.Tools connect demo.dxfeed.com:7300 Candle "/ESM23:XCME{=15m}" --from-time 20230607

Output:

I 230607 111401.871 [main] QD - Using QDS-3.316+file-UNKNOWN+mars-UNKNOWN+monitoring-UNKNOWN+tools-UNKNOWN, (C) Devexperts
I 230607 111401.881 [main] QD - Using scheme com.dxfeed.api.impl.DXFeedScheme Ao7i0mLrB7RbnGZ43PGWcWWLGeKJ79lOVlbtAxAaXTI
I 230607 111401.883 [main] QD - ConnectTool with collectors [Ticker, Stream, History]
I 230607 111401.911 [main] ClientSocket-Distributor - Starting ClientSocketConnector to demo.dxfeed.com:7300
I 230607 111401.912 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Resolving IPs for demo.dxfeed.com
I 230607 111401.915 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connecting to 208.93.103.170:7300
I 230607 111402.080 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connected to 208.93.103.170:7300
D 230607 111402.247 [demo.dxfeed.com:7300-Reader] QD - Distributor received protocol descriptor multiplexor@CDSti [type=qtp, version=QDS-3.306, opt=hs, mars.root=mdd.demo-amazon.multiplexor-demo1] sending [TICKER, STREAM, HISTORY, DATA] from 208.93.103.170
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x4, time=20230607-104500.000+03:00, sequence=0, count=2544, open=4284.25, high=4284.75, low=4282.25, close=4283.5, volume=3318, vwap=4283.59018987342, bidVolume=1834, askVolume=1484, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-103000.000+03:00, sequence=0, count=3539, open=4284.75, high=4286.5, low=4283, close=4284.5, volume=4654, vwap=4284.73178985819, bidVolume=2397, askVolume=2257, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-101500.000+03:00, sequence=0, count=3439, open=4287.5, high=4288.5, low=4283.75, close=4284.75, volume=4268, vwap=4286.05857544517, bidVolume=2405, askVolume=1863, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-100000.000+03:00, sequence=0, count=4791, open=4289.25, high=4289.75, low=4286, close=4287.25, volume=6376, vwap=4287.76258626098, bidVolume=3477, askVolume=2899, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-094500.000+03:00, sequence=0, count=1591, open=4289.5, high=4289.75, low=4287.75, close=4289.25, volume=2188, vwap=4288.84803473492, bidVolume=1095, askVolume=1093, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-093000.000+03:00, sequence=0, count=1171, open=4291.5, high=4291.5, low=4289.25, close=4289.25, volume=1582, vwap=4290.4190897598, bidVolume=901, askVolume=681, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-091500.000+03:00, sequence=0, count=1054, open=4291.25, high=4291.75, low=4290.25, close=4291.75, volume=1377, vwap=4290.95061728395, bidVolume=710, askVolume=667, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-090000.000+03:00, sequence=0, count=1786, open=4291.75, high=4292.25, low=4290, close=4291, volume=2263, vwap=4290.88820150243, bidVolume=1192, askVolume=1071, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-084500.000+03:00, sequence=0, count=1367, open=4291.5, high=4292, low=4290.75, close=4291.5, volume=1833, vwap=4291.38611565739, bidVolume=980, askVolume=853, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-083000.000+03:00, sequence=0, count=1156, open=4292.25, high=4293.25, low=4291.5, close=4291.75, volume=1532, vwap=4292.43439947781, bidVolume=813, askVolume=719, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-081500.000+03:00, sequence=0, count=765, open=4293.5, high=4293.5, low=4291.5, close=4292, volume=916, vwap=4292.39601528384, bidVolume=533, askVolume=383, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-080000.000+03:00, sequence=0, count=1148, open=4293.25, high=4293.5, low=4291.75, close=4293.5, volume=1423, vwap=4292.76300070274, bidVolume=714, askVolume=709, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-074500.000+03:00, sequence=0, count=2058, open=4293.75, high=4293.75, low=4291.5, close=4293.25, volume=2415, vwap=4292.84523809524, bidVolume=1170, askVolume=1245, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-073000.000+03:00, sequence=0, count=714, open=4293.75, high=4294, low=4292.75, close=4293.5, volume=854, vwap=4293.37177985948, bidVolume=426, askVolume=428, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-071500.000+03:00, sequence=0, count=609, open=4294, high=4294.5, low=4293.75, close=4293.75, volume=730, vwap=4294.25787671233, bidVolume=340, askVolume=390, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-070000.000+03:00, sequence=0, count=665, open=4294, high=4294.5, low=4293.25, close=4294, volume=780, vwap=4293.775, bidVolume=394, askVolume=386, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-064500.000+03:00, sequence=0, count=1302, open=4293.5, high=4294.75, low=4293.25, close=4294, volume=1692, vwap=4294.07358156028, bidVolume=817, askVolume=875, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-063000.000+03:00, sequence=0, count=1276, open=4292.25, high=4293.75, low=4292, close=4293.5, volume=1533, vwap=4292.82697325506, bidVolume=575, askVolume=958, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-061500.000+03:00, sequence=0, count=780, open=4291.5, high=4292.25, low=4291.25, close=4292, volume=888, vwap=4291.84966216216, bidVolume=377, askVolume=511, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-060000.000+03:00, sequence=0, count=715, open=4291.5, high=4291.75, low=4290.5, close=4291.5, volume=859, vwap=4291.23195576251, bidVolume=433, askVolume=426, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-054500.000+03:00, sequence=0, count=621, open=4291.5, high=4291.75, low=4290.75, close=4291.25, volume=719, vwap=4291.2938108484, bidVolume=362, askVolume=357, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-053000.000+03:00, sequence=0, count=859, open=4290.75, high=4291.75, low=4290, close=4291.5, volume=1031, vwap=4290.75533462658, bidVolume=415, askVolume=616, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-051500.000+03:00, sequence=0, count=1015, open=4289.5, high=4291, low=4289, close=4291, volume=1247, vwap=4290.084202085, bidVolume=551, askVolume=696, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-050000.000+03:00, sequence=0, count=1387, open=4290.5, high=4290.5, low=4288.5, close=4289.5, volume=1691, vwap=4289.75162625665, bidVolume=954, askVolume=737, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-044500.000+03:00, sequence=0, count=1156, open=4291.5, high=4291.5, low=4289.75, close=4290.75, volume=1498, vwap=4290.41738985314, bidVolume=775, askVolume=723, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-043000.000+03:00, sequence=0, count=1748, open=4291.5, high=4292, low=4290.25, close=4291.5, volume=2008, vwap=4291.1922310757, bidVolume=1023, askVolume=985, impVolatility=NaN, openInterest=2400967}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-041500.000+03:00, sequence=0, count=2386, open=4291.25, high=4291.75, low=4289.5, close=4291.5, volume=2835, vwap=4290.6753968254, bidVolume=1470, askVolume=1365, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-040000.000+03:00, sequence=0, count=4119, open=4293, high=4293.75, low=4288, close=4291.25, volume=5005, vwap=4290.56223776224, bidVolume=2728, askVolume=2277, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-034500.000+03:00, sequence=0, count=1301, open=4295, high=4295.5, low=4292.75, close=4292.75, volume=1744, vwap=4294.2560206422, bidVolume=980, askVolume=764, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-033000.000+03:00, sequence=0, count=1525, open=4292.75, high=4295.25, low=4292.25, close=4295, volume=2012, vwap=4293.97390656064, bidVolume=882, askVolume=1130, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-031500.000+03:00, sequence=0, count=1334, open=4293.5, high=4294, low=4292.25, close=4292.75, volume=1633, vwap=4293.0176056338, bidVolume=813, askVolume=820, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-030000.000+03:00, sequence=0, count=1573, open=4293.5, high=4294.5, low=4292.75, close=4293.5, volume=1884, vwap=4293.53927813164, bidVolume=868, askVolume=1016, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-024500.000+03:00, sequence=0, count=1177, open=4293, high=4294.25, low=4292, close=4293.5, volume=1406, vwap=4293.17443100996, bidVolume=683, askVolume=723, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-023000.000+03:00, sequence=0, count=1489, open=4292.75, high=4294.25, low=4292.5, close=4293, volume=1928, vwap=4293.39470954357, bidVolume=1058, askVolume=870, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-021500.000+03:00, sequence=0, count=484, open=4292.75, high=4293.25, low=4292, close=4293, volume=576, vwap=4292.62847222222, bidVolume=270, askVolume=306, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-020000.000+03:00, sequence=0, count=1114, open=4289.75, high=4293.25, low=4289.5, close=4292.75, volume=1431, vwap=4291.76327742837, bidVolume=574, askVolume=857, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-014500.000+03:00, sequence=0, count=476, open=4290.5, high=4290.75, low=4289.5, close=4289.75, volume=570, vwap=4290.05, bidVolume=257, askVolume=313, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-013000.000+03:00, sequence=0, count=925, open=4288.5, high=4291.25, low=4288.5, close=4290.25, volume=1166, vwap=4289.56367924528, bidVolume=512, askVolume=654, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-011500.000+03:00, sequence=0, count=943, open=4291, high=4291.25, low=4288.25, close=4288.5, volume=1287, vwap=4289.97416472416, bidVolume=795, askVolume=492, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-010000.000+03:00, sequence=0, count=761, open=4292.25, high=4292.25, low=4290.75, close=4291, volume=1042, vwap=4291.42058541267, bidVolume=526, askVolume=444, impVolatility=NaN, openInterest=2412137}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0xa, time=20230607-000000.000+03:00, sequence=0, count=0, open=NaN, high=NaN, low=NaN, close=NaN, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN}
Candle{/ESM23:XCME{=15m}, eventTime=0, eventFlags=0x0, time=20230607-104500.000+03:00, sequence=0, count=2545, open=4284.25, high=4284.75, low=4282.25, close=4283.5, volume=3319, vwap=4283.59016269961, bidVolume=1834, askVolume=1485, impVolatility=NaN, openInterest=2400967}

Here's a complete example:

using System;
using System.Threading;
using System.Threading.Tasks;
using DxFeed.Graal.Net.Api;
using DxFeed.Graal.Net.Api.Osub;
using DxFeed.Graal.Net.Events.Candles;

namespace Sample;

internal abstract class Program
{
    public static async Task Main(string[] args)
    {
        var endpoint = DXEndpoint.Create().Connect("demo.dxfeed.com:7300");
        var sub = endpoint.GetFeed().CreateSubscription(typeof(Candle));

        sub.AddEventListener(events =>
        {
            foreach (var candle in events)
            {
                Console.WriteLine(candle);
            }
        });

        sub.AddSymbols(new TimeSeriesSubscriptionSymbol("/ESM23:XCME{=15m}", 0));

        await Task.Delay(Timeout.Infinite);
    }
}
stdcion commented 1 year ago

@voros1

I also added a new “CandleSample" (as in our old .NET API), which shows how to use CandleSymbol.

Best regards, dxFeed APIs Team