Protocol usage

Protocol Usage

JSON

Standard JSON, each websocket frame can only contain one JSON message at a time.

Import Classes:

import asyncio

import json

import time

import websockets

import nest_asyncio

import threading

import datetime

nest_asyncio.apply()

Authentication:

uriJson = "wss://mlink-live.nms.saturn.spiderrockconnect.com/mlink/json"

apiKey = 'your api key'

password = 'your password'

api_key_token = f"{apiKey}.{password}"

Asynchronously query AAPL:

async def recv_msg(websocket):

  buffer = await websocket.recv()

  parts = list(filter(None, buffer.split(b'\r\n')))

    for msg in parts:

      result = json.loads(msg)

      print(result, '\n')

return True



async def query_mlink(api_key_token):

  retry = True

  while retry:

    try:

      async with websockets.connect(

        uriJson,

        extra_headers={"Authorization": f"Bearer {api_key_token}"},

        ping_timeout=None

      ) as websocket:

        msg = {

                "header": {

                    "mTyp": "MLinkStream"

                },

                "message": {

                    "queryLabel": "ExampleStockNbbo",

                    "activeLatency": 1, #stream

                    "msgName": "StockBookQuote",

                    "where":"ticker.tk:eq:AAPL | ticker.at:eq:EQT | ticker.ts:eq:NMS"

                }

            }

        t = time.time_ns()

        tstr = '.'.join([time.strftime("%Y-%m-%d %H:%M:%S", time.gmtime(t / 1000000000)), "%06d" % ((t / 1000) % 1000000)])

        msg['header']['sTim'] = tstr

        msg['header']['encT'] = tstr

        smsg = json.dumps(msg)

        await websocket.send(smsg)

        notDone = True

        while notDone:

          notDone = await recv_msg(websocket)

          retry = False

        except asyncio.exceptions.TimeoutError:

          print("timeout occurred, retrying...")

Framed JSON

SpiderRock JSON with protobuf-like header.

Same as JSON above, except for the parser:

async def query_mlink(api_key_token):

  retry = True

  while retry:

    try:

      async with websockets.connect(

        uriJson,

        extra_headers={"Authorization": f"Bearer {api_key_token}"},

        ping_timeout=None

      ) as websocket:

        msg = {

                "header": {

                    "mTyp": "MLinkStream"

                },

                "message": {

                    "queryLabel": "ExampleStockNbbo",

                    "activeLatency": 1, #stream

                    "msgName": "StockBookQuote",

                    "where":"ticker.tk:eq:AAPL & ticker.at:eq:EQT & ticker.ts:eq:NMS"

                }

            }

        t = time.time_ns()

        tstr = '.'.join([time.strftime("%Y-%m-%d %H:%M:%S",time.gmtime(t/1000000000)),"%06d"%((t/1000)%1000000)])

        msg['header']['sTim'] = tstr

        msg['header']['encT'] = tstr

        smsg = json.dumps(msg)

        jmsg = ''.join(['\r\nJ', '%011d'%len(smsg), smsg]) #header

        await websocket.send(jmsg)

        notDone = True

        while notDone:

          buffer = await websocket.recv()

          parts = list(filter(None,buffer.split(b'\r\n')))

          for msg in parts:

            result = json.loads(msg[12:])

            print(result, '\n')

        except asyncio.exceptions.TimeoutError:

          print("timeout occurred, retrying...")