Merge pull request #12 from matbarofex/Issue-11/add_book_depth_for_we…

…bsocket_md

Add market depth to market data suscription message

setup.py

@@ -5,7 +5,7 @@
 
 setuptools.setup(
     name="pyRofex",
-    version="0.3.0",
+    version="0.3.1b1",
     author="Franco Zanuso",
     author_email="[email protected]",
     description="Python connector for ROFEX's Rest and Websocket APIs.",

src/pyRofex/__init__.py

@@ -38,4 +38,4 @@
 from .components.enums import Side
 from .components.enums import TimeInForce
 
-__version__ = "0.3.0"
+__version__ = "0.3.1b1"

src/pyRofex/clients/websocket_rfx.py

@@ -206,7 +206,7 @@ def close_connection(self):
         """
         self.ws_connection.close()
 
-    def market_data_subscription(self, tickers, entries, market):
+    def market_data_subscription(self, tickers, entries, market, depth):
         """ Creates and sends new Market Data Subscription Message through the connection.
 
         :param tickers: List of the tickers to subscribe.
@@ -216,6 +216,8 @@ def market_data_subscription(self, tickers, entries, market):
         :type entries: List of MarketDataEntry (Enum).
         :param market: Market id associated to the tickers.
         :type market: Market (Enum).
+        :param depth: Market depth to received. default: 1 (top of book)
+        :type depth: int
         """
 
         # Iterates through the tickers list and creates a new list of Instrument String using the INSTRUMENT Template.
@@ -229,7 +231,8 @@ def market_data_subscription(self, tickers, entries, market):
         entries_string = ",".join(entries)
 
         # Creates a Market Data Subscription Message using the Template.
-        message = messages.MARKET_DATA_SUBSCRIPTION.format(entries=entries_string,
+        message = messages.MARKET_DATA_SUBSCRIPTION.format(depth=depth,
+                                                           entries=entries_string,
                                                            symbols=instruments_string)
 
         # Send the message through the connection.

src/pyRofex/components/messages.py

@@ -6,7 +6,7 @@
 """
 
 # Template for a Market Data Subscription message
-MARKET_DATA_SUBSCRIPTION = '{{"type":"smd","level":1, "entries":[{entries}],"products":[{symbols}]}}'
+MARKET_DATA_SUBSCRIPTION = '{{"type":"smd","level":1,"depth":{depth},"entries":[{entries}],"products":[{symbols}]}}'
 # Template for an Order Subscription message
 ORDER_SUBSCRIPTION = '{{"type":"os","account":{{"id":"{a}"}},"snapshotOnlyActive":{snapshot}}}'
 # Template to specify an instrument in a market data subscription message

src/pyRofex/service.py

@@ -494,14 +494,16 @@ def order_report_subscription(account=None, snapshot=True, handler=None, environ
     client.order_report_subscription(account, snapshot)
 
 
-def market_data_subscription(tickers, entries, market=Market.ROFEX, handler=None, environment=None):
+def market_data_subscription(tickers, entries, depth=1, market=Market.ROFEX, handler=None, environment=None):
     """Send a Market Data Subscription Message through the connection.
 
     :param tickers: list of the the instruments to be subscribe.
     :type tickers: List of str.
     :param entries: List of market data entries that want to be received.
     Example: [MarketDataEntry.BIDS, MarketDataEntry.OFFERS]
     :type entries: List of MarketDataEntry (Enum).
+    :param depth: Market depth to received. default: 1 (top of book)
+    :type depth: int
     :param market: Market id associated to the tickers. Default Market.ROFEX.
     :type market: Market (Enum).
     :param handler: function that is going to be call when a new Market Data Message is received. Default None.
@@ -523,7 +525,7 @@ def market_data_subscription(tickers, entries, market=Market.ROFEX, handler=None
 
     # Get the client for the environment and send the subscription message
     client = globals.environment_config[environment]["ws_client"]
-    client.market_data_subscription(tickers, entries, market)
+    client.market_data_subscription(tickers, entries, market, depth)
 
 
 def add_websocket_market_data_handler(handler, environment=None):