Real-time Optimised (RTO) Feed Handler

Description

This project provides an asynchronous feed handler for the Real-time Optimised (RTO) feed from the LSEG's RDP API. The feed handler is designed to connect to the RTO feed and receive real-time market data updates via the web socket connection.

Disclaimer

• The project is for personal use and is not officially affiliated with, maintained, or endorsed by London Stock Exchange Group. For official resources and support, please refer to https://developers.lseg.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis.
• The code is provided as-is without any guarantees, and it might not reflect the current or official capabilities of the API.
• Updates to the code might not be regular and feedback might not be promptly addressed.
• The code is not be suitable for production use and should be used at your own risk.

Getting Started

Prerequisites

• Python 3.12:
  • [optional] uvloop for a faster event loop
• poetry package manager with poetry-plugin-dotenv installed
• a valid RDP API account with access to the real-time optimised (RTO) feed

Installation

Clone the repository and install the required dependencies:

git clone https://github.com/zhenyakovalyov/async-rto-feed-handler.git
cd async-rto-feed-handler
poetry install

Environment Variables

Create a .env file in the project root directory (use .env.example as a template) and add the following environment variables:

• TOKEN_URL: the URL to obtain the access token, e.g. https://api.refinitiv.com/auth/oauth2/v1/token
• CLIENT_ID: a generated app key, if you have it; if not, you can generate a new one at http://apidocs.refinitiv.com
• ACCOUNT_ID: your username or a machine ID, if you have it
• PASSWORD: your password
• SCOPE: the scope of the access token, e.g. trapi.streaming.pricing.read
• WS_URL: the URL to connect to the RTO feed, e.g. wss://eu-west-1-aws-1-lrg.optimized-pricing-api.refinitiv.net:443/WebSocket

For more information, please refer to the official quick start guide https://developers.lseg.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/quick-start

Running the demo

Execute the demo.py script to start receiving real-time updates:

poetry run python demo.py

Output example:

{'ID': 4, 'Type': 'Update', 'UpdateType': 'Unspecified', 'DoNotConflate': True, 'Key': {'Service': 'ELEKTRON_DD', 'Name': 'GBP='}, 'SeqNumber': 3374, 'Fields': {'BID': 1.2554, 'ASK': 1.2558}}
{'ID': 6, 'Type': 'Update', 'UpdateType': 'Unspecified', 'DoNotConflate': True, 'Key': {'Service': 'ELEKTRON_DD', 'Name': 'JPY='}, 'SeqNumber': 39406, 'Fields': {'BID': 156.19, 'ASK': 156.22}}

Running with Docker

Build the Docker image:

docker build -t async-rto-fh .

Run the Docker container:

docker run --env-file .env -d async-rto-fh

Usage

import asyncio
import logging

import uvloop

from feedhandler import AsyncRealtimeOptimizedClient

logging.basicConfig(level=logging.DEBUG)


async def main():
    async with AsyncRealtimeOptimizedClient(
        items=['EUR=', 'GBP=', 'CHF=', 'JPY='], fields=['BID', 'ASK']
    ) as feed:
        async for msg in feed:
            print(msg)


if __name__ == '__main__':
    with asyncio.Runner(loop_factory=uvloop.new_event_loop) as runner:
        try:
            runner.run(main())
        except KeyboardInterrupt:
            print('Shutting down...')
            runner.close()

License

This project is licensed under the MIT license. Please see the LICENSE file for more information.

Contact

If you have any specific questions about this project, feel free to reach out to me via e-mail github.compound383@passinbox.com.