Python Client example

Introduction

The RapidMarket Python client allows users to subscribe to and receive real-time market data. This client leverages ZeroMQ for communication and Protocol Buffers (Protobuf) for efficient data serialization.

Usage

Below is an example version of the RapidMarket Python client.

Python

import sys
import zmq
import l2_book_pb2

CR_LINE = "\r" + " " * 64 + "\r"


def run(ipcpath: str):
    # create zmq context
    context = zmq.Context()
    # create zmq subscriber socket
    socket = context.socket(zmq.SUB)
    # connect to zmq publisher
    socket.connect(ipcpath)
    # subscribe all messages
    socket.subscribe("")

    book = l2_book_pb2.L2BookProto()
    print("Receiving market data...")
    while True:
        # receive message
        msg = socket.recv()
        # parse message
        book.ParseFromString(msg)
        bid = book.levels_bids[0]
        ask = book.levels_asks[0]
        bid_price = bid.price
        bid_qty = bid.qty
        ask_price = ask.price
        ask_qty = ask.qty
        exchange = book.exchange
        symbol = book.symbol
        # print message
        print(
                f" {CR_LINE}bid: {bid_price}, {bid_qty}\task: {ask_price}, {ask_qty} {exchange} {symbol}"

            )
        book.Clear()


def main():
    if len(sys.argv) != 2:
        print("Usage: python3 rapidmarket_client.py <path>", file=sys.stderr)
        print(
            'Example: python3 rapidmarket_client.py "tcp://localhost:50000"',
            file=sys.stderr,
        )
        exit(1)
    ipcpath = sys.argv[1]
    run(ipcpath)


if __name__ == "__main__":
    main()

Requirements

To use the RapidMarket Python client to receive data, you need the following environment and tools:

text

# Install the Proto Buffer compiler
sudo apt install -y protobuf-compiler

sudo apt install python3-pip

# The following two commands install the runtime dependency that matches the version of the Proto Buffer compiler
version=$(apt show protobuf-compiler | grep -i version | awk -F'[ -]' '{print $2}')
pip install protobuf==${version}

# Install ZeroMQ dependency
pip install pyzmq

These commands will install the following dependencies:

• protobuf-compiler: Compiler for compiling Protobuf files.
• protobuf: Python runtime library for Protocol Buffers.
• pyzmq: Python bindings for ZeroMQ, used for communication with RapidMarket.

Getting Started

For more detailed information on ZeroMQ and Protobuf, including their roles in the RapidMarket application, please refer to the Getting Started page.

Directory structure

├── l2_book.proto           Protobuf definition file
└── rapidmarket_client.py   Client example code

Compilation

To generate the l2_book_pb2.py file required by Proto Buffer, use the following command:

Bash

protoc --python_out=. ./l2_book.proto

Start command

IP_ADDR and PORT below are the IP address and port of the RapidMarket server, respectively.

Bash

python3 ./rapidmarket_client.py "tcp://${IP_ADDR}:${PORT}"
# For example: python3 ./rapidmarket_client.py "tcp://192.168.0.1:50000"

The program outputs real-time market data:

Receiving market data...
bid: 30033.05000, 6.48043       ask: 30033.06000, 4.91876

l2_book.proto File Explanation

The message format released by RapidMarket is defined in l2_book.proto. It outlines the hierarchical structure and fields of market data, aiding clients in correctly parsing received market data.