Intrinio Python SDK for Real-Time Stock Prices

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.

Requirements

• Python 2 or 3

Features

• Receive streaming, real-time price quotes (last trade, bid, ask)
• Subscribe to updates from individual securities
• Subscribe to updates for all securities (contact us for special access)

Installation

pip install intriniorealtime

Example Usage

from intriniorealtime.client import IntrinioRealtimeClient

def on_quote(quote, backlog):
    print("QUOTE: " , quote, "BACKLOG LENGTH: ", backlog)
    
options = {
    'username': 'YOUR_INTRINIO_API_USERNAME',
    'password': 'YOUR_INTRINIO_API_PASSWORD',
    'provider': 'iex',
    'on_quote': on_quote
}

client = IntrinioRealtimeClient(options)
client.join(['AAPL','GE','MSFT'])
client.connect()
client.keep_alive()

Handling Quotes and the Queue

When the Intrinio Realtime library receives quotes from the websocket connection, it places them in a queue. This queue has a default maximum size of 10,000 quotes. You can modify this value by specifying a max_queue_size option, as your environment memory contraints allow. Once a quote has been placed in the queue, it is passed to the on_quote handler in the order it was received. Your on_quote handler should process quotes quickly, so that the queue does not reach its maximum size (at which point, the system will log an error and ignore any incoming quotes until the queue has space). We recommend using the a thread class or pool for operations such as writing quotes to a database (or anything else involving time-consuming I/O). The on_quote handler also receives a backlog argument, which is an integer specifying the approximate length of the quote queue. Monitor this to make sure you are processing quotes quickly enough.

Providers

Currently, Intrinio offers realtime data for this SDK from the following providers:

• IEX - Homepage

Each has distinct price channels and quote formats, but a very similar API.

Quote Data Format

Each data provider has a different format for their quote data.

IEX

{ 'type': 'ask',
  'timestamp': 1493409509.3932788,
  'ticker': 'GE',
  'size': 13750,
  'price': 28.97 }

• type - the quote type
• last - represents the last traded price
• bid - represents the top-of-book bid price
• ask - represents the top-of-book ask price
• timestamp - a Unix timestamp (with microsecond precision)
• ticker - the ticker of the security
• size - the size of the last trade, or total volume of orders at the top-of-book bid or ask price
• price - the price in USD

Channels

IEX

To receive price quotes from IEX, you need to instruct the client to "join" a channel. A channel can be

• A security ticker (AAPL, MSFT, GE, etc)
• The security lobby ($lobby) where all price quotes for all securities are posted
• The security last price lobby ($lobby_last_price) where only last price quotes for all securities are posted

Special access is required for both lobby channeles. Contact us for more information.

API Keys

You will receive your Intrinio API Username and Password after creating an account. You will need a subscription to a realtime data feed as well.

Documentation

Methods

client = IntrinioRealtimeClient(options) - Creates an Intrinio Realtime client

• Parameter options.username: Your Intrinio API Username
• Parameter options.password: Your Intrinio API Password
• Parameter options.provider: The real-time data provider to use (for now "iex" only)
• Parameter options.on_quote(quote, backlog): (optional) A function that handles received quotes. backlog is an integer representing the approximate size of the queue of unhandled quotes
• Parameter options.channels: (optional) An array of channels to join after connecting
• Parameter options.logger: (optional) A Python Logger instance to use for logging

def on_quote(quote, backlog):
    print("QUOTE: " , quote, "BACKLOG LENGTH: ", backlog)
    
options = {
    'username': 'YOUR_INTRINIO_API_USERNAME',
    'password': 'YOUR_INTRINIO_API_PASSWORD',
    'provider': 'iex',
    'on_quote': on_quote
}

client = IntrinioRealtimeClient(options)

---

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_quote

---

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

client.join(["AAPL", "MSFT", "GE"])
client.join("GOOG")

---

client.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.