Data Streaming

Introduction

IDS supports the following environments :

1.Net

2.Javascript

3.Python

4.Java

Market Data Streaming

Data Streaming in TradingAPI is taken care by its sub-system, Information Distribution Service (IDS). IDS is a subscription basis data pushing facility.  This version of IDS focuses on the streaming of market data as well as status of active orders.  In the near future, more information will be added such as company profile, back testing facilities, and others

Channels :

Securities Status : F

Stock Price : X

Foreign Room : R

Index Information : MI

Ohlc Information : B

ALL : ALL

1.Securities Status

 

No.

Name of Element

Type

Description

Value Value/Format

1.       

RType

String

This is a fixed value to identify the value of this record for what type of information

F – Securities Status

2.       

MarketID

String

The ID of the corresponding Exchange where the equity is trading.

-          HOSE

-          HNX

-          HNXBOND

-          UPCOM

-          DER

3.       

ReportDate

Date

Date & time of the data record.

DDMMYYYY 24HHMISS

4.       

Symbol

String

Ticker of the securities

 

5.       

TradingSession

String

Session status of the market

Having the following value:

-          ATO: Opening Call Auction

-          LO: Continuous Trading

-          ATC: Closing Call Auction

-          PT: Putthrough

-          CLOSE: Market Close

-          BREAK: Lunch Break

-          HALT: Market Halt

6.       

TradingStatus

String

 

 

 

2.Market Data

No.

Name of Element

Type

Description

Valid Value or Format

1.       

Rtype

String

 

X: Stock price

2.       

TradingDate

Date

 

 

3.       

Time

Time

 

 

4.       

ISIN

String

ISIN code

 

5.       

Symbol

String

Local ticker

 

6.       

Ceiling

Number

Ceiling price

 

7.       

Floor

Number

Floor price

 

8.       

RefPrice

Number

Reference price

 

9.       

Open

Number

The opening price of the equity

 

10.   

Close

Number

The closing price of the equity

 

11.   

High

Number

Highest matched price in the date of report

 

12.   

Low

Number

Lowest matched price in the date of report.

 

13.   

Avg

Number

Average price of the security

 

14.   

PriorVal

 

Number

The closing price of previous trading day of the report date.

 

15.   

LastVal

Number

Latest matched price

 

16.   

LastVol

Number

Latest matched volume

 

17.   

TotalVal

Number

Total matched value from market opening till the reporting time.

 

18.   

TotalVol

Number

 

Total matched volume from market opening till the reporting time.

 

19.   

BidPrice1

Number

Best bid price 1

 

20.   

BidVol1

Number

Best bid volume 1

 

21.   

BidPrice2

Number

Best bid price 2

 

22.   

BidVol2

Number

Best bid volume 2

 

23.   

BidPrice3

Number

Best bid price 3

 

24.   

BidVol3

Number

Best bid volume 3

 

25.   

BidPrice4

Number

Best bid price 4

 

26.   

BidVol4

Number

Best bid volume 4

 

27.   

BidPrice5

Number

Best bid price 5

 

28.   

BidVol5

Number

Best bid volume 5

 

29.   

BidPrice6

Number

Best bid price 6

 

30.   

BidVol6

Number

Best bid volume 6

 

31.   

BidPrice7

Number

Best bid price 7

 

32.   

BidVol7

Number

Best bid volume 7

 

33.   

BidPrice8

Number

Best bid price 8

 

34.   

BidVol8

Number

Best bid volume 8

 

35.   

BidPrice9

Number

Best bid price 9

 

36.   

BidVol9

Number

Best bid volume 9

 

37.   

BidPrice10

Number

Best bid price 10

 

38.   

BidVol10

Number

Best bid volume 10

 

39.   

AskPrice1

Number

Best Ask price 1

 

40.   

AskVol1

Number

Best Ask volume 1

 

41.   

AskPrice2

Number

Best Ask price 2

 

42.   

AskVol2

Number

Best Ask volume 2

 

43.   

AskPrice3

Number

Best Ask price 3

 

44.   

AskVol3

Number

Best Ask volume 3

 

45.   

AskPrice4

Number

Best Ask price 4

 

46.   

AskVol4

Number

Best Ask volume 4

 

47.   

AskPrice5

Number

Best Ask price 5

 

48.   

AskVol5

Number

Best Ask volume 5

 

49.   

AskPrice6

Number

Best Ask price 6

 

50.   

AskVol6

Number

Best Ask volume 6

 

51.   

AskPrice7

Number

Best Ask price 7

 

52.   

AskVol7

Number

Best Ask volume 7

 

53.   

AskPrice8

Number

Best Ask price 8

 

54.   

AskVol8

Number

Best Ask volume 8

 

55.   

AskPrice9

Number

Best Ask price 9

 

56.   

AskVol9

Number

Best Ask volume 9

 

57.   

AskPrice10

Number

Best Ask price 10

 

58.   

AskVol10

Number

Best Ask volume 10

 

 

 

3.Foreign Room Data

No.

Name of Element

Type

Description

Valid Value or Format

1.       

Rtype

String

Message type

R: Foreign room

2.       

TradingDate

Date

 

 

3.       

Time

Time

 

 

4.       

ISIN

String

ISIN code

 

5.       

Symbol

String

Local ticker

 

6.       

TotalRoom

Number

Available no of shares for foreign trading.

 

7.       

CurrentRoom

 

Number

Total matched volumes which foreigner brought from market opening till the reporting time.

 

8.       

FBuyVol

Number

Total matched volumes which foreigner buy from market opening till the reporting time.

 

9.       

FSellVol

 

Total matched volumes which foreigner sold from market opening till the reporting time.

 

10.   

FBuyVal

Number

Total matched buy value of foreign customers

 

11.   

FSellVal

Number

Total matched sell value of foreign customers

 

4.Index Data

No

Name of Element

Tyoe

Description

Valid value

1.       

Rtype

String

Message Type

MI: Index Information

2.       

IndexID

String

Index ID

 

3.       

IndexValue

Number

Value of the index

 

4.       

Trading Date

Date

Trading Date

 

5.       

Time

Timestamp

Time

 

6.       

Change

Number

Change of index

 

7.       

RatioChange

Number

Ratio of Change

 

8.       

TotalTrade

Number

Tổng số lệnh khớp (cả thông thường và thỏa thuận)

 

9.       

TotalMatchQtty

Number

Tổng matched quantity of normal orders

 

10.   

TotalMatchValue

Number

Tổng matched value of normal orders

 

11.   

TypeIndex

String

Index

“Main” – main index such as VN30

“Industry” – industrial related index

“Other” – non classified index.

12.   

IndexName

String

Name of Index

 

13.   

Advances

Number

Total number of symbols having price increase

 

14.   

Nochanges

Number

Total number of symbols having price unchange

 

15.   

Declines

Number

Total number of symbols having price decrease

 

16.   

Ceiling

Number

Total number of symbols having last price = ceiling price

 

17.   

Floor

Number

Total number of symbols having last price = floor price

 

18.   

TotalMatchQttyPT

Number

Total matched quantity of puthrough orders

 

19.   

TotalMatchValuePT

Number

Total matched value of putthrough orders

 

20.   

TotalVol

Number

Total matched quantity of both normal and putthrough

 

21.   

TotalVal

Number

Total matched value of both normal and putthrough

 

22.   

TradingSession

String

Trading session

-   ATO: ATO

-   LO: Continuous

-   ATC: ATC

-   PT: Putthrough

-   Break: lunch break

-   C: Market Close

-   H: Market halted

23.   

Market

String

Market

-     HOSE

-     HNX

-     UPCOM

-     DER: Derivatives

24.   

Exchange

String

Exchange

-    HOSE

-    HNX

 

5.Realtime Bars

 

No.

Name of Element

Type

Description

Valid Value or Format

1.       

Rtype

String

Message Type

b: OHLC information

2.       

Time

Timestamp

Include date and time

 

3.       

Symbol

String

Local ticker

Include both Index, Stock and Derivatives

4.       

Open

Number

Open price

 

5.       

High

Number

Highest price

 

6.       

Low

Number

Lowest price

 

7.       

Close

Number

Close price

 

8.       

Volume

Number

Matched Volume

 

9.       

Value

Number

Matched Value

 



TAPI  Streaming

1.Order Streaming

To use the order stream, client need to init the stream and then bind to subcribe the update

  • Initstream:

client.initStream({

    url: config.stream_url,

    consumer_id: config.ConsumerID,

    consumer_secret: config.ConsumerSecret,

    notify_id : 0

 

});

Note: when server disconnected: notify_id = 0 return data from the start day, notify_id = -1 return data from reconnected, notify_id = n return data from n

  • Bind to subcribe:
    • Bind a callback function to event onNewOrder:

            client.bind(client.events.onOrderUpdate, function (e,data) {

            console.log(e + ": ");

            console.log(JSON.stringify(data));

   

});

 

  • Bind a callback function to event onOrderError:

client.bind(client.events.onOrderError, function (e, data) {

            console.log(e + ": ");

            console.log(JSON.stringify(data));

});

Order Event Response

Name of Element

Type

Required

Description

Valid Value or Format

uniqueid

String

 

 

 

connectionid

String

 

 

 

ipaddress

String

 

To detect the request from client to TAPI

 

notifyid

String

 

The serial number of msg

 

orderid

String

 

 

 

instrumentid

String

 

Stock symbol

 

buysell

String

 

 

-     B: Buy

-    S: Sell

ordertype

String

 

 

-     LO

-     ATO

-     ATC

-     MP

-     MTL

-     MOK

-     MAK

-     PLO

price

Number

 

 

 

quantity

Number

 

 

 

marketid

String

 

 

 

origrequestid

String

 

 

 

account

String

 

 

 

cancelqty

Number

 

Total quantity was cancelled

 

osqty

Number

 

Total quantity was not matched

 

filledqty

Number

 

Total quantity was matched

 

avgprice

Number

 

 

 

channel

String

 

 

 

inputtime

String

 

 

HH:mm:ss

modifiedtime

String

 

 

HH:mm:ss

isforcesell

Boolean

 

 

 

isshortsell

Boolean

 

 

 

orderstatus

String

 

 

-     WA: WaitingApproval

-     RS: ReadyToSendExchange

-     SD: SentToExchange

-     QU: QueueInExchange

-     FF: FullyFilled

-     PF: PartiallyFilled

-     FFPC: FullyFilledPartiallyCancelled

-     WM: WaitingModify

-     WC: WaitingCancel

-     CL: Cancelled

-     RJ: Rejected

-     EX: Expired

-     SOR: StopOrderReady

-     SOS: StopOrderSent

-     IAV: PreSessionOrder

-      SOI: PreSessionStopOrder

OrigOrderId

String

 

The order id of the parent conditional order

 

rejectreason

String

 

 

 

 

Example:

 

New order

New Order Input

Streaming Output

data: {

requestid: “88011140",

requestdata: {

instrumentid: "SSI",

market: "VN",

buysell: "B",

ordertype: "LO",

channelid: "XL",

price: "24200",

quantity: "50",

account: "0163271"

}

}

 

{"data":

"","uniqueid":"88011140",

"connectionid":"2d5af2a7a81a4f4f88d4ba3ac865ae64",

"ipaddress":"192.168.202.36","notifyevent":

{"orderevent":

{“notifyid”:”545”,

"orderid":"8747582",

"instrumentid":"SSI",

"buysell":"B",

"ordertype":"LO",

"price":"24,200",

"quantity":"50",

"marketid":"VN",

"origorderid":"",

"account":"0163271",

"cancelqty":"0",

"osqty":"50",

"filledqty":"0",

"avgprice":"0",

"channel":"N",

"inputtime":"20190712-151432",

"modifiedtime":"1562919273000",

"isforcesell":"F",

"isshortsell":"F",

"orderstatus":"RS",

“rejectreason”:”0”,

"neworder":{}

}}}

 

Case newOrder has error:

{"data":"","uniqueid":"90545362","connectionid":"eeee5d053df0457ab03c48c5656445fe","ipaddress":"192.168.202.36","notifyevent":{"notifyid":531,"ordererror":{"message":"Order price lower limit can not exceed spread limit","errorcode":"ORD002"}}}

 

Modify Order

 

Modify Input

Streaming Output

data: {

requestid: "34726460",

requestdata: {

orderid: “8747582”

instrumentid: "SSI",

market: "VN",

buysell: "B",

ordertype: "LO",

price: "24500",

quantity: "50",

account: "0163271"}

}

 

{"data":

"","uniqueid":"34726460",

"connectionid":"2d5af2a7a81a4f4f88d4ba3ac865ae64",

"ipaddress":"192.168.202.36","notifyevent":

{"orderevent":

{“notifyid”:”578”,

"orderid":"8747582",

"instrumentid":"SSI",

"buysell":"B",

"ordertype":"LO",

“price":"24,500",

"quantity":"450",

"marketid":"VN",

"origorderid":"",

"account":"0163271",

"cancelqty":"0",

"osqty":"450",

"filledqty":"0",

"avgprice":"0",

"channel":"N",

"inputtime":"20190715-132154",

"modifiedtime":"1563171865000",

"isforcesell":"F",

"isshortsell":"F",

"orderstatus":"WM",

“rejectreason”:”0”,

"ordermodified":{}

}}}

 

Case modifyOrder has error:

{"data":"","uniqueid":"90545366","connectionid":"eeee5d053df0457ab03c48c5656445fe","ipaddress":"192.168.202.36","notifyevent":{"notifyid":535,"ordererror":{"message":"Order price lower limit can not exceed spread limit","errorcode":"ORD002"}}}

 

Cancel Order

Cancel Input

Streaming Output

data: {

requestid: "38396691",

requestdata: {

orderid:"8747983",

market: "VN",

instrumentid: "MBB",

buysell: "B",

account: "0163271",

}

}

{"data":"",

"uniqueid":"38396691",

"connectionid":"2d5af2a7a81a4f4f88d4ba3ac865ae64",

"ipaddress":"192.168.202.36","notifyevent":

{"orderevent":

{“notifyid”: “560”,

"orderid":"8747983",

"instrumentid":"MBB",

"buysell":"B",

"ordertype":"LO",

"price":"21,300",

"quantity":"100",

"marketid":"VN",

"origorderid":"",

"account":"0163271",

"cancelqty":"0",

"osqty":"50",

"filledqty":"50",

"avgprice":"21300.0",

"channel":"N",

"inputtime":"20190716-135027",

"modifiedtime":"1563260590000",

"isforcesell":"F",

"isshortsell":"F",

"orderstatus":"CR",

“rejectreason”:”0”,

"orderpendingcancel":{}

}}}

 

Case cancel has error:

{"data":"","uniqueid":"80036291","connectionid":"eeee5d053df0457ab03c48c5656445fe","ipaddress":"192.168.202.36","notifyevent":{"notifyid":551,"ordererror":{"message":"Invalid State To Cancel Order Error!","errorcode":"ERR500"}}}

Order Error

Name of Element

Type

Required

Description

Valid Value or Format

UniqueID

String

 

Original request ID

 

ConnectionID

String

 

 

 

IPAddress

String

 

To detect the request from client to TAPI

 

notifyid

String

 

The serial number of msg

 

ErrorCode

String

 

One of the error code defined in the list

 

Message

String

 

Corresponding error msg

 

 

Example:

{"data":"","uniqueid":"6309248","connectionid":"2d5af2a7a81a4f4f88d4ba3ac865ae64","ipaddress":"192.168.202.36","notifyevent":{ “notifyid”: 550,"ordererror":{"message":"This order cannot be modified", "errorcode":"ORD001"}}}

2.Porfolio Streaming

To use the porfolio stream, client need to init the stream and then bind to subcribe the update

client.bind(client.events.onClientPortfolioEvent,function(e,data){

    //Process data...

    console.log(e + ": ");

    console.log(JSON.stringify(data));

})

Porfolio Event Response

Name of Element

Type

Required

Description

Valid Value or Format

uniqueid

string

 

 

 

connectionid

String

 

 

 

ipaddress

String

 

To detect the request from client to TAPI

 

notifyid

String

 

Id of message

 

account

 

 

accountid

 

clientporfoliosopenList

marketid

String

 

 

VNFE

instrumentid

String

 

Stock symbol

 

longqty

number 

 

Long position

 

shortqty

number 

 

Short position

 

net

number 

 

Net position

 

bidavgprice

number 

 

Average bid price

 

askavgprice

number 

 

Average ask price

 

tradeprice

number 

 

Trade price

 

marketprice

number 

 

Maket price

 

floatingpl

number 

 

Temporarily calculated profit and loss

 

tradingpl

number 

 

Calculated profit and loss

 

clientporfolioscloseList

marketid

String

 

 

 

instrumentid

String

 

Stock symbol

 

longqty

number 

 

Long position

 

shortqty

number 

 

Short position

 

net

number 

 

Net position

 

bidavgprice

number 

 

Average bid price

 

askavgprice

number 

 

Average ask price

 

tradeprice

number 

 

Trade price

 

marketprice

number 

 

Maket price

 

floatingpl

number 

 

Temporarily calculated profit and loss

 

tradingpl

number

 

Calculated profit and loss

 

 

Example:

{"data":"","uniqueid":"","connectionid":"","ipaddress":"","notifyevent":{"notifyid":2972,"clientportfolioevent":{"account":"0032528","clientportfoliosopenList":[{"martketid":"VNFE","instrumentid":"VN30F1907","longqty":"3","shortqty":"0","net":"3","bidavgprice":"0","askavgprice":"0","tradeprice":"881.8","marketprice":"881.84","floatingpl":"0","tradingpl":""},{"martketid":"VNFE","instrumentid":"VN30F1909","longqty":"76","shortqty":"0","net":"76","bidavgprice":"0","askavgprice":"0","tradeprice":"881.8","marketprice":"881.84","floatingpl":"0","tradingpl":""}],"clientportfolioscloseList":[{"martketid":"VNFE","instrumentid":"VN30F1909","longqty":"1","shortqty":"0","net":"1","bidavgprice":"0","askavgprice":"0","tradeprice":"881.8","marketprice":"881.84","floatingpl":"","tradingpl":"0"},{"martketid":"VNFE","instrumentid":"VN30F1909","longqty":"0","shortqty":"1","net":"-1","bidavgprice":"0","askavgprice":"0","tradeprice":"900","marketprice":"881.84","floatingpl":"","tradingpl":"0"}]}}}