DMBCS Market Data Server API

DMBCS Market Data Server API 1.0

DMBCS Market Data Server API

Copyright © 2020 DM Bespoke Computer Solutions Ltd

Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.3 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled “GNU Free Documentation License”.

A copy of the license is also available from the Free Software Foundation Web site at http://www.gnu.org/licenses/fdl.html.

Table of Contents

1 Introduction

1.1 The DMBCS Market Data Service

While there are several open APIs available on the Internet for fetching stock market trading data, there are scant few which provide data of the markets themselves, in particular it is quite difficult to programmatically get an enumeration of all the components of a particular market from the Internet.

The DMBCS Market Data service provides this facility, offering two end-points which enumerate all markets known to the system and all components of any given market. The service provides a RESTful API which is currently freely available without registration. More information can be found at https://rdmp.org/trader-desk.

1.2 The C++ Library

This is a small library (about 140 physical source lines of code) which should be taken both as a production library and reference implementation of the protocol which the DMBCS Market Data service expects clients to implement.

1.3 ‘DMBCS’?

This isnʼt a vanity or promotional project with any kind of commercial restriction, it is something that was needed and is being shared so that others can benefit from the effort that has been spent on the development, and maybe improve upon it.

It is not our wish to preclude the development of alternative libraries which meet the same goals as ours, and if such were to materialize we need a way to refer to our own implementation specifically and allow it to sit in harmony with any other library that might come along. So we use ‘DMBCS’ to provide our distinguishing label: this is appended to the front of the package name, and all of the C++ code comes inside a namespace with this label. These should be considered to be five random letters: okay, they are abbreviated from DM Bespoke Computer Solutions Ltd, the original authorʼs company, but the project is released as fully free, open source software (FOSS) which falls under the GNU GPLv3 license, so you should treat it as any other component in your free, open operating system (Please donʼt tell me you actually pay money for some inferior OS beyond the eyes of humble scrutineers).

2 Installation of the library

You will require the git code management system. At the terminal, type

git clone https://rdmp.org/dmbcs/market-data-api.git  \
              dmbcs-market-data-api

and then you will have a newly created directory called dmbcs-market-data-api which contains the full source code for the program. Type cd dmbcs-market-data-api to enter that directory.

The libraryʼs build configuration system is GNUʼs autotools. You will need autoconf, automake, and libtool, and pkg-config. At the terminal, type

autoreconf --install; ./configure.

You may at this point see errors relating to lack of openssl, curl, curlpp packages. You must address these issues in your operating system and perform a successful ./configure before you can proceed with the dmbcs-market-data-api build.

The libraryʼs build is undertaken by GNU make. You will need the make package on your system (GNU make is probably not necessary, any modern incarnation of make will most likely suffice). Type make && sudo make install to build and install the library in your system. Note that the sudo command will require that you have sufficient privilege on your system, and you may have to type in your system password (for a local build not requiring such privilege, in a pinch, do ./configure --prefix=install-here && make install).

That should be it. Try making and running the example program described below (Section 3).

3 Use example

To get a summary of the current list of markets the server knows about, write the following C++ code

#include <dmbcs-market-data-api.h>
#include <iostream>

int main ()
{
    cURLpp::initialize ();
    const auto  markets  {DMBCS::Market_Data_Api::get_markets ()};
    for  (const auto&  M  :  markets)
       std::cout  <<  M.symbol  <<  ": "  <<  M.name  << "\n";
    return 0;
}

If this code is stored in a file called markets.cc, compile it with a line like (this should be typed all on one line, without the back-slash)

g++ $( pkg-config --cflags --libs dmbcs-market-data-api ) \
   a.cc -o markets

and then you will have an executable file called markets. (If you installed the library in a non-standard place, you may need to export PKG_CONFIG_PATH=<path>/lib/pkgconfig prior to running the g++ command, and then setting LD_LIBRARY_PATH.) Run this and observe the result in your terminal (provided that your internet connection is okay); you should see a list of symbols and human-readable names of various stock markets).

If this doesnʼt work for you, you either havenʼt installed dmbcs-market-data-api properly yet (see instructions in Section 2 above), or you need to improve your operating system, or get a better one; this is as far as we hand-hold you here.

4 Detailed reference

An important point of note. This library uses libcurlpp, and assumes that that library has been initialized. See the example code above for an idea how to do this (it must be done exactly once in your application).

Note that the dmbcs-market-data-api library itself requires no explicit global initialization or finalization.

The library is not thread safe; there are severe limits to the volume and regularity of data transfer through the Market Data API, and, given the turn-around times of the accesses, access to the library should be considered a strictly serial activity for which parallelism has no purpose. If, however, delayed blocking behaviour is unsatisfactory for your application and you need to realize asynchronous communications channels with the Exchange, running the dmbcs-market-data-api entirely in a thread separate from the main one would be appropriate.

4.1 Exceptions

The dmbcs-market-data-api client library may throw two exceptions, both derived from std::runtime_error: DMBCS::Market_Data_Api::No_Network and DMBCS::Market_Data_Api::Bad_Communication. Both these will convey the implied meaning, and will be furnished with human-readable error messages (via the what() methods) that clarify the situation. Note especially that Bad_Communication will be thrown if the service refuses to provide data due to too many requests being received in a short time interval.

4.2 Enumerating the markets

4.2.1 The Market object

This is a pure struct with the following members.

string symbol

The string by which the Market Data Server identifies this market. It should be passed to the get_component_delta function, for example.

string component_extension

The symbol which Yahoo! appends to all stock items after a period. For example BP.L is the ticker symbol for BP on the London stock exchange, hence the market symbol is “L”.

string name

Human-readable, although terse, string which identifies the market, e.g. “FTSE 100”.

std::chrono::system_clock::duration close_time

The time interval after midnight at which the market closes each day. This should be regarded as indicative only and will not account for extraordinary days or other variations.

4.2.2 The get_markets function

Simply calling the DMBCS::Market_Data_Api::get_markets () function will return a STL container full of Market objects, each describing one of the markets the server follows, the collection enumerating all of the markets that the server follows.

4.2.3 The Delta object

This is a pure struct which describes changes in the components of a market, such as additions, removals and sideways movements. The members are

string symbol

The Yahoo! ticker symbol for the component, sans any market suffix.

string name

A human-readable name of this component, i.e. company name.

enum{ADD, REMOVE, SIDEWAYS} action

Has the company recently entered the market, or left it? Or perhaps this is a sideways movement: change of name, symbol and/or market of a market component already being tracked.

4.2.4 The get_component_delta function

This function returns a container of all the changes that have taken place in the constitution of a market since a given time. Applications are encouraged to keep track of the times that this function is called, and only request changes since the last call. The precise signature of the function is

std::vector<Delta>  DMBCS::Market_Data_Api::get_component_delta
                               (const string&  market_symbol,
                                const time_t&  last_time)

where

const std::string& market_symbol

Identifies the market for which constituent changes are required.

const time_t& last_time

Is the (UNIX) time from which changes need to be reported.

For example,

   auto  changes  =  DMBCS::Market_Data_Api::get_component_delta ("FTSE", 0);

will get all current components of the FTSE 100 listing (you can iterate over the Delta members of the changes container).

Appendix A Copying This Manual

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Function index

Index