intrinio-realtime 4.2.0 → 5.1.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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data/lib/intrinio-realtime.rb

@@ -7,15 +7,25 @@ require 'websocket-client-simple'
 
 module Intrinio
   module Realtime
-    HEARTBEAT_TIME = 3
     SELF_HEAL_BACKOFFS = [0, 100, 500, 1000, 2000, 5000].freeze
     REALTIME = "REALTIME".freeze
     MANUAL = "MANUAL".freeze
     DELAYED_SIP = "DELAYED_SIP".freeze
     NASDAQ_BASIC = "NASDAQ_BASIC".freeze
+    NO_SUBPROVIDER = "NONE".freeze
+    CTA_A = "CTA_A".freeze
+    CTA_B = "CTA_B".freeze
+    UTP = "UTP".freeze
+    OTC = "OTC".freeze
+    IEX = "IEX".freeze
     PROVIDERS = [REALTIME, MANUAL, DELAYED_SIP, NASDAQ_BASIC].freeze
+    SUBPROVIDERS = [NO_SUBPROVIDER, CTA_A, CTA_B, UTP, OTC, NASDAQ_BASIC, IEX].freeze
     ASK = "Ask".freeze
     BID = "Bid".freeze
+    CLIENT_INFO_HEADER_KEY = "Client-Information".freeze
+    CLIENT_INFO_HEADER_VALUE = "IntrinioRealtimeRubySDKv5.0".freeze
+    MESSAGE_VERSION_HEADER_KEY = "UseNewEquitiesFormat".freeze
+    MESSAGE_VERSION_HEADER_VALUE = "v2".freeze
 
     def self.connect(options, on_trade, on_quote)
       EM.run do
@@ -25,12 +35,15 @@ module Intrinio
     end
 
     class Trade
-      def initialize(symbol, price, size, timestamp, total_volume)
+      def initialize(symbol, price, size, timestamp, total_volume, subprovider, market_center, condition)
         @symbol = symbol
         @price = price
         @size = size
         @timestamp = timestamp
         @total_volume = total_volume
+        @subprovider = subprovider
+        @market_center = market_center
+        @condition = condition
       end
 
       def symbol
@@ -53,18 +66,37 @@ module Intrinio
         @total_volume
       end
 
+      def subprovider
+        @subprovider
+      end
+
+      def market_center
+        @market_center
+      end
+
+      def condition
+        @condition
+      end
+
+      def is_darkpool
+        @market_center == nil || @market_center == 'D' || @market_center == 'E' || @market_center == "\0" || @market_center.empty?
+      end
+
       def to_s
-        [@symbol, @price, @size, @timestamp, @total_volume].join(",")
+        [@symbol, @price, @size, @timestamp, @total_volume, @subprovider, @market_center, @condition].join(",")
       end
     end
 
     class Quote
-      def initialize(type, symbol, price, size, timestamp)
+      def initialize(type, symbol, price, size, timestamp, subprovider, market_center, condition)
         @type = type
         @symbol = symbol
         @price = price
         @size = size
         @timestamp = timestamp
+        @subprovider = subprovider
+        @market_center = market_center
+        @condition = condition
       end
 
       def type
@@ -87,8 +119,20 @@ module Intrinio
         @timestamp
       end
 
+      def subprovider
+        @subprovider
+      end
+
+      def market_center
+        @market_center
+      end
+
+      def condition
+        @condition
+      end
+
       def to_s
-        [@symbol, @type, @price, @size, @timestamp].join(",")
+        [@symbol, @type, @price, @size, @timestamp, @subprovider, @market_center, @condition].join(",")
       end
     end
 
@@ -115,7 +159,7 @@ module Intrinio
         unless @provider
           @provider = REALTIME
         end
-        raise "Provider must be 'REALTIME' or 'MANUAL'" unless PROVIDERS.include?(@provider)
+        raise "Provider must be 'REALTIME', 'DELAYED_SIP', 'NASDAQ_BASIC', or 'MANUAL'" unless PROVIDERS.include?(@provider)
 
         @ip_address = options[:ip_address]
         raise "Missing option ip_address while in MANUAL mode." if @provider == MANUAL and (@ip_address.nil? || @ip_address.empty?)
@@ -148,7 +192,6 @@ module Intrinio
 
         @ready = false
         @joined_channels = []
-        @heartbeat_timer = nil
         @selfheal_timer = nil
         @selfheal_backoffs = Array.new(SELF_HEAL_BACKOFFS)
         @ws = nil
@@ -206,7 +249,6 @@ module Intrinio
       end
       
       def disconnect
-        EM.cancel_timer(@heartbeat_timer) if @heartbeat_timer
         EM.cancel_timer(@selfheal_timer) if @selfheal_timer
         @ready = false
         @closing = true
@@ -257,38 +299,71 @@ module Intrinio
         data.map { |i| [sprintf('%02x',i)].pack('H2') }.join.unpack('e').first
       end
 
-      def parse_trade(data, start_index, symbol_length)
-        symbol = data[start_index + 2, symbol_length].map!{|c| c.chr}.join
-        price = parse_float32(data[start_index + 2 + symbol_length, 4])
-        size = parse_uint32(data[start_index + 6 + symbol_length, 4])
-        timestamp = parse_uint64(data[start_index + 10 + symbol_length, 8])
-        total_volume = parse_uint32(data[start_index + 18 + symbol_length, 4])
-        return Trade.new(symbol, price, size, timestamp, total_volume)
+      def parse_subprovider(byte)
+        case byte
+        when 0
+          NO_SUBPROVIDER
+        when 1
+          CTA_A
+        when 2
+          CTA_B
+        when 3
+          UTP
+        when 4
+          OTC
+        when 5
+          NASDAQ_BASIC
+        when 6
+          IEX
+        else
+          IEX
+        end
       end
 
-      def parse_quote(data, start_index, symbol_length, msg_type)
+      def parse_trade(data, start_index)
+        symbol_length = data[start_index + 2]
+        condition_length = data[start_index + 26 + symbol_length]
+        symbol = data[start_index + 3, symbol_length].map!{|c| c.chr}.join
+        price = parse_float32(data[start_index + 6 + symbol_length, 4])
+        size = parse_uint32(data[start_index + 10 + symbol_length, 4])
+        timestamp = parse_uint64(data[start_index + 14 + symbol_length, 8])
+        total_volume = parse_uint32(data[start_index + 22 + symbol_length, 4])
+        subprovider = parse_subprovider(data[start_index + 3 + symbol_length])
+        market_center = data[start_index + 4 + symbol_length, 2].pack("C*").encode!('UTF-8', 'UTF-16LE')
+        condition = if condition_length > 0 then data[start_index + 27 + symbol_length, condition_length].map!{|c| c.chr}.join else "" end
+
+        return Trade.new(symbol, price, size, timestamp, total_volume, subprovider, market_center, condition)
+      end
+
+      def parse_quote(data, start_index, msg_type)
+        symbol_length = data[start_index + 2]
+        condition_length = data[start_index + 22 + symbol_length]
         type = case when msg_type == 1 then ASK when msg_type == 2 then BID end
-        symbol = data[start_index + 2, symbol_length].map!{|c| c.chr}.join
-        price = parse_float32(data[start_index + 2 + symbol_length, 4])
-        size = parse_uint32(data[start_index + 6 + symbol_length, 4])
-        timestamp = parse_uint64(data[start_index + 10 + symbol_length, 8])
-        return Quote.new(type, symbol, price, size, timestamp)
+        symbol = data[start_index + 3, symbol_length].map!{|c| c.chr}.join
+        price = parse_float32(data[start_index + 6 + symbol_length, 4])
+        size = parse_uint32(data[start_index + 10 + symbol_length, 4])
+        timestamp = parse_uint64(data[start_index + 14 + symbol_length, 8])
+        subprovider = parse_subprovider(data[start_index + 3 + symbol_length])
+        market_center = data[start_index + 4 + symbol_length, 2].pack("C*").encode!('UTF-8', 'UTF-16LE')
+        condition = if condition_length > 0 then data[start_index + 23 + symbol_length, condition_length].map!{|c| c.chr}.join else "" end
+
+        return Quote.new(type, symbol, price, size, timestamp, subprovider, market_center, condition)
       end
 
       def handle_message(data, start_index)
         msg_type = data[start_index]
-        symbol_length = data[start_index + 1]
+        msg_length = data[start_index + 1]
         case msg_type
         when 0 then
-          trade = parse_trade(data, start_index, symbol_length)
+          trade = parse_trade(data, start_index)
           @on_trade.call(trade)
-          return start_index + 22 + symbol_length
+          return start_index + msg_length
         when 1 || 2 then
-          quote = parse_quote(data, start_index, symbol_length, msg_type)
+          quote = parse_quote(data, start_index, msg_type)
           @on_quote.call(quote)
-          return start_index + 18 + symbol_length
+          return start_index + msg_length
         end
-        return start_index
+        return start_index + msg_length
       end
 
       def handle_data
@@ -332,7 +407,7 @@ module Intrinio
         http.use_ssl = true if (auth_url.include?("https"))
         http.start
         request = Net::HTTP::Get.new(uri.request_uri)
-        request.add_field("Client-Information", "IntrinioRealtimeRubySDKv4.2")
+        request.add_field(CLIENT_INFO_HEADER_KEY, CLIENT_INFO_HEADER_VALUE)
 
         unless @api_key
           request.basic_auth(@username, @password)
@@ -374,10 +449,10 @@ module Intrinio
 
       def socket_url 
         case @provider
-        when REALTIME then "wss://realtime-mx.intrinio.com/socket/websocket?vsn=1.0.0&token=#{@token}"
-        when DELAYED_SIP then "wss://realtime-delayed-sip.intrinio.com/socket/websocket?vsn=1.0.0&token=#{@token}"
-        when NASDAQ_BASIC then "wss://realtime-nasdaq-basic.intrinio.com/socket/websocket?vsn=1.0.0&token=#{@token}"
-		    when MANUAL then "ws://" + @ip_address + "/socket/websocket?vsn=1.0.0&token=#{@token}"
+        when REALTIME then "wss://realtime-mx.intrinio.com/socket/websocket?vsn=1.0.0&token=#{@token}&#{CLIENT_INFO_HEADER_KEY}=#{CLIENT_INFO_HEADER_VALUE}&#{MESSAGE_VERSION_HEADER_KEY}=#{MESSAGE_VERSION_HEADER_VALUE}"
+        when DELAYED_SIP then "wss://realtime-delayed-sip.intrinio.com/socket/websocket?vsn=1.0.0&token=#{@token}&#{CLIENT_INFO_HEADER_KEY}=#{CLIENT_INFO_HEADER_VALUE}&#{MESSAGE_VERSION_HEADER_KEY}=#{MESSAGE_VERSION_HEADER_VALUE}"
+        when NASDAQ_BASIC then "wss://realtime-nasdaq-basic.intrinio.com/socket/websocket?vsn=1.0.0&token=#{@token}&#{CLIENT_INFO_HEADER_KEY}=#{CLIENT_INFO_HEADER_VALUE}&#{MESSAGE_VERSION_HEADER_KEY}=#{MESSAGE_VERSION_HEADER_VALUE}"
+        when MANUAL then "ws://" + @ip_address + "/socket/websocket?vsn=1.0.0&token=#{@token}&#{CLIENT_INFO_HEADER_KEY}=#{CLIENT_INFO_HEADER_VALUE}&#{MESSAGE_VERSION_HEADER_KEY}=#{MESSAGE_VERSION_HEADER_VALUE}"
         end
       end
 
@@ -400,17 +475,21 @@ module Intrinio
         @threads = []
         @stop = false
         @thread_quantity.times {@threads << Thread.new{handle_data}}
-        
-        @ws = ws = WebSocket::Client::Simple.connect(socket_url)
+
+        headers = {}
+        headers[:headers] = {}
+        headers[CLIENT_INFO_HEADER_KEY] = CLIENT_INFO_HEADER_VALUE
+        headers[MESSAGE_VERSION_HEADER_KEY] = MESSAGE_VERSION_HEADER_VALUE
+        @ws = ws = WebSocket::Client::Simple.connect(socket_url, headers)
+
         me.send :info, "Connection opening"
 
         ws.on :open do
           me.send :info, "Connection established"
           me.send :ready, true
-          if [REALTIME, MANUAL].include?(me.send(:provider))
+          if PROVIDERS.include?(me.send(:provider))
             me.send :refresh_channels
           end
-          me.send :start_heartbeat
           me.send :stop_self_heal
         end
 
@@ -468,24 +547,6 @@ module Intrinio
         debug "Current channels: #{@channels}"
       end
       
-      def start_heartbeat
-        EM.cancel_timer(@heartbeat_timer) if @heartbeat_timer
-        @heartbeat_timer = EM.add_periodic_timer(HEARTBEAT_TIME) do
-          if msg = heartbeat_msg()
-            @ws.send(msg)
-            debug "Heartbeat #{msg}"
-          end
-        end
-      end
-      
-      def heartbeat_msg
-        ""
-      end
-      
-      def stop_heartbeat
-        EM.cancel_timer(@heartbeat_timer) if @heartbeat_timer
-      end
-      
       def try_self_heal
         return if @closing
         debug "Attempting to self-heal"
@@ -493,7 +554,6 @@ module Intrinio
         time = @selfheal_backoffs.first
         @selfheal_backoffs.delete_at(0) if @selfheal_backoffs.count > 1
         
-        EM.cancel_timer(@heartbeat_timer) if @heartbeat_timer
         EM.cancel_timer(@selfheal_timer) if @selfheal_timer
         
         @selfheal_timer = EM.add_timer(time/1000) do

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: intrinio-realtime
 version: !ruby/object:Gem::Version
-  version: 4.2.0
+  version: 5.1.0
 platform: ruby
 authors:
 - Intrinio
-autorequire:
+autorequire: 
 bindir: bin
 cert_chain: []
-date: 2023-04-19 00:00:00.000000000 Z
+date: 2024-03-14 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: eventmachine
@@ -78,7 +78,7 @@ homepage: https://github.com/intrinio/intrinio-realtime-ruby-sdk
 licenses:
 - GPL-3.0
 metadata: {}
-post_install_message:
+post_install_message: 
 rdoc_options: []
 require_paths:
 - lib
@@ -94,7 +94,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
       version: '0'
 requirements: []
 rubygems_version: 3.1.6
-signing_key:
+signing_key: 
 specification_version: 4
 summary: Intrinio provides real-time stock prices from its Multi-Exchange feed, via
   a two-way WebSocket connection.