Intrinio C# SDK for Real-Time Stock Prices
SDK for working with Intrinio’s realtime OPRA, IEX, delayed SIP, or NASDAQ Basic prices feeds. Get a comprehensive view with increased market volume and enjoy minimized exchange and per user fees.
Intrinio provides real-time stock and option prices via a two-way WebSocket connection. To get started, subscribe to a real-time equity feed, or subscribe to a real-time options feed and follow the instructions below.
Add your API key to the config.json file in SampleApp as well as select the appropriate provider, comment the appropriate line in Program.cs, then
docker compose build
docker compose run example
Either use the Nuget package, or go to Release, download the DLLs, reference it in your project. The DLLs contains dependencies necessary to the SDK.
For a sample .NET project see: intrinio-realtime-dotnet-sdk
Be sure to update config.json
static async Task Main(string[] _)
{
Client.Log("Starting sample app");
var client = new EquitiesWebSocketClient(OnTrade, OnQuote);
//var client = new OptionsWebSocketClient(OnTrade, OnQuote, OnRefresh, OnUnusualActivity);
await client.Start();
timer = new Timer(TimerCallback, client, 10000, 10000);
await client.Join(); //Load symbols from config.json
//client.Join(new string[] { "AAPL", "GOOG", "MSFT" }, false); //Specify symbols at runtime
//client.JoinLobby(true); //Join the lobby instead (don't subscribe to anything else) to get everything.
Console.CancelKeyPress += new ConsoleCancelEventHandler(Cancel);
}
static void Cancel(object sender, ConsoleCancelEventArgs args)
{
Log("Stopping sample app");
timer.Dispose();
client.Stop();
Environment.Exit(0);
}
There are thousands of securities and millions of options contracts, each with their own feed of activity. We highly encourage you to make your trade and quote handlers as short as possible and follow a queue pattern so your app can handle the volume of activity. Please note that quotes comprise 99% of the volume of the feed.
The client is able to report back various statistics about its performance, including the quantity of various events and if and how much it is falling behind. The client has two internal buffers - a main buffer and an overflow buffer. The main buffer will spill into the overflow buffer when the main buffer is full, but if the overflow buffer fills, then messages start to drop until it catches up. The statistics allow you to see how full both buffers are, as well as how many have spilled into overflow, and how many were dropped altogether. If your client is dropping messages, you can try to increase buffer size, but the main problem is most likely that you need more processing power (more hardware cores, and more threads configured in your client config). Please see below for recommended hardware requirements.
Equities Client:
Options Client:
Equities Client:
Options Client:
type [<Struct>] Trade =
{
Symbol : string
Price : float
Size : uint32
TotalVolume : uint32
Timestamp : DateTime
SubProvider: SubProvider
MarketCenter: char
Condition: string
}
NONE - No subtype specified.CTA_A - CTA_A in the DELAYED_SIP provider.CTA_B - CTA_B in the DELAYED_SIP provider.UTP - UTP in the DELAYED_SIP provider.OTC - OTC in the DELAYED_SIP provider.NASDAQ_BASIC - NASDAQ Basic in the NASDAQ_BASIC provider.IEX - From the IEX exchange in the REALTIME provider.type [<Struct>] Quote =
{
Type : QuoteType
Symbol : string
Price : float
Size : uint32
Timestamp : DateTime
SubProvider: SubProvider
MarketCenter: char
Condition: string
}
Ask - represents an ask typeBid - represents a bid typeNONE - No subtype specified.CTA_A - CTA_A in the DELAYED_SIP provider.CTA_B - CTA_B in the DELAYED_SIP provider.UTP - UTP in the DELAYED_SIP provider.OTC - OTC in the DELAYED_SIP provider.NASDAQ_BASIC - NASDAQ Basic in the NASDAQ_BASIC provider.IEX - From the IEX exchange in the REALTIME provider.type Trade
| Value | Description |
|---|---|
| @ | Regular Sale |
| A | Acquisition |
| B | Bunched Trade |
| C | Cash Sale |
| D | Distribution |
| E | Placeholder |
| F | Intermarket Sweep |
| G | Bunched Sold Trade |
| H | Priced Variation Trade |
| I | Odd Lot Trade |
| K | Rule 155 Trade (AMEX) |
| L | Sold Last |
| M | Market Center Official Close |
| N | Next Day |
| O | Opening Prints |
| P | Prior Reference Price |
| Q | Market Center Official Open |
| R | Seller |
| S | Split Trade |
| T | Form T |
| U | Extended Trading Hours (Sold Out of Sequence) |
| V | Contingent Trade |
| W | Average Price Trade |
| X | Cross/Periodic Auction Trade |
| Y | Yellow Flag Regular Trade |
| Z | Sold (Out of Sequence) |
| 1 | Stopped Stock (Regular Trade) |
| 4 | Derivatively Priced |
| 5 | Re-Opening Prints |
| 6 | Closing Prints |
| 7 | Qualified Contingent Trade (QCT) |
| 8 | Placeholder for 611 Exempt |
| 9 | Corrected Consolidated Close (Per Listing Market) |
| Value | Description |
|---|---|
| R | Regular |
| A | Slow on Ask |
| B | Slow on Bid |
| C | Closing |
| D | News Dissemination |
| E | Slow on Bid (LRP or Gap Quote) |
| F | Fast Trading |
| G | Trading Range Indication |
| H | Slow on Bid and Ask |
| I | Order Imbalance |
| J | Due to Related - News Dissemination |
| K | Due to Related - News Pending |
| O | Open |
| L | Closed |
| M | Volatility Trading Pause |
| N | Non-Firm Quote |
| O | Opening |
| P | News Pending |
| S | Due to Related |
| T | Resume |
| U | Slow on Bid and Ask (LRP or Gap Quote) |
| V | In View of Common |
| W | Slow on Bid and Ask (Non-Firm) |
| X | Equipment Changeover |
| Y | Sub-Penny Trading |
| Z | No Open / No Resume |
| 1 | Market Wide Circuit Breaker Level 1 |
| 2 | Market Wide Circuit Breaker Level 2 |
| 3 | Market Wide Circuit Breaker Level 3 |
| 4 | On Demand Intraday Auction |
| 45 | Additional Information Required (CTS) |
| 46 | Regulatory Concern (CTS) |
| 47 | Merger Effective |
| 49 | Corporate Action (CTS) |
| 50 | New Security Offering (CTS) |
| 51 | Intraday Indicative Value Unavailable (CTS) |
| Value | Description |
|---|---|
| 0 | Transaction is a regular trade |
| 1 | Out-of-sequence cancellation |
| 2 | Transaction is being reported late and is out-of-sequence |
| 3 | In-sequence cancellation |
| 4 | Transaction is being reported late, but is in correct sequence. |
| 5 | Cancel the first trade of the day |
| 6 | Late report of the opening trade and is out -of-sequence. Send an open price. |
| 7 | Transaction was the only one reported this day for the particular option contract and is now to be cancelled. |
| 8 | Late report of an opening trade and is in correct sequence. Process as regular trade. |
| 9 | Transaction was executed electronically. Process as regular trade. |
| 10 | Re-opening of a contract which was halted earlier. Process as regular trade. |
| 11 | Transaction is a contract for which the terms have been adjusted to reflect stock dividend, stock split or similar event. Process as regular trade. |
| 12 | Transaction represents a trade in two options of same class (a buy and a sell in the same class). Process as regular trade. |
| 13 | Transaction represents a trade in two options of same class (a buy and a sell in a put and a call.). Process as regular trade. |
| 14 | Transaction is the execution of a sale at a price agreed upon by the floor personnel involved, where a condition of the trade is that it reported following a non -stopped trade of the same series at the same price. |
| 15 | Cancel stopped transaction. |
| 16 | Transaction represents the option portion of buy/write (buy stock, sell call options). Process as regular trade. |
| 17 | Transaction represents the buying of a call and selling of a put for same underlying stock or index. Process as regular trade. |
| 18 | Transaction was the execution of an order which was “stopped” at a price that did not constitute a Trade-Through on another market at the time of the stop. Process like a normal transaction. |
| 19 | Transaction was the execution of an order identified as an Intermarket Sweep Order. Updates open, high, low, and last. |
| 20 | Transaction reflects the execution of a “benchmark trade”. A “benchmark trade” is a trade resulting from the matching of “benchmark orders”. A “benchmark order” is an order for which the price is not based, directly or indirectly, on the quoted price of th e option at the time of the order’s execution and for which the material terms were not reasonably determinable at the time a commitment to trade the order was made. Updates open, high, and low, but not last unless the trade is the first of the day. |
| 24 | Transaction is trade through exempt, treat like a regular trade. |
| 27 | “a” (Single leg auction non ISO) |
| 28 | “b” (Single leg auction ISO) |
| 29 | “c” (Single leg cross Non ISO) |
| 30 | “d” (Single leg cross ISO) |
| 31 | “e” (Single leg floor trade) |
| 32 | “f” (Multi leg auto electronic trade) |
| 33 | “g” (Multi leg auction trade) |
| 34 | “h” (Multi leg Cross trade) |
| 35 | “i” (Multi leg floor trade) |
| 36 | “j” (Multi leg auto electronic trade against single leg) |
| 37 | “k” (Stock options Auction) |
| 38 | “l” (Multi leg auction trade against single leg) |
| 39 | “m” (Multi leg floor trade against single leg) |
| 40 | “n” (Stock options auto electronic trade) |
| 41 | “o” (Stock options cross trade) |
| 42 | “p” (Stock options floor trade) |
| 43 | “q” (Stock options auto electronic trade against single leg) |
| 44 | “r” (Stock options auction against single leg) |
| 45 | “s” (Stock options floor trade against single leg) |
| 46 | “t” (Multi leg floor trade of proprietary products) |
| 47 | “u” (Multilateral Compression Trade of Proprietary Data Products)Transaction represents an execution in a proprietary product done as part of a multilateral compression. Trades are executed outside of regular trading hours at prices derived from end of day markets. Trades do not update Open, High, Low, and Closing Prices, but will update total volume. |
| 48 | “v” (Extended Hours Trade )Transaction represents a trade that was executed outside of regular market hours. Trades do not update Open, High, Low, and Closing Prices but will update total volume. |
type Quote
type Refresh
type UnusualActivity
Block - represents an ‘block’ tradeSweep - represents an intermarket sweepLarge - represents a trade of at least $100,000Unusual Sweep - represents an unusually large sweep near market open.Neutral -Bullish -Bearish -You will receive your Intrinio API Key after creating an account. You will need a subscription to a realtime data feed as well.
EquitiesWebSocketClient client = new EquitiesWebSocketClient(OnTrade, OnQuote); - Creates a new instance of the Intrinio Real-Time client. The provided actions implement OnTrade and OnQuote, which handle what happens when the associated event happens.
onTrade: The Action accepting trades. This function will be invoked when a ‘trade’ has been received. The trade will be passed as an argument to the callback.onQuote: Optional. The Action accepting quotes. This function will be invoked when a ‘quote’ has been received. The quote will be passed as an argument to the callback. If ‘onQuote’ is not provided, the client will NOT request to receive quote updates from the server.client.Start(); - Initializes and connects the client.client.Join(symbols, tradesOnly); - Joins the given channels. This can be called at any time. The client will automatically register joined channels and establish the proper subscriptions with the WebSocket connection. If no arguments are provided, this function joins channel(s) configured in config.json.
symbols - Optional. A string representing a single ticker symbol (e.g. “AAPL”) or an array of ticker symbols (e.g. [“AAPL”, “MSFT”, “GOOG”]) to join. You can also use the special symbol, “lobby” to join the firehose channel and recieved updates for all ticker symbols. You must have a valid “firehose” subscription.tradesOnly - Optional (default: false). A boolean value indicating whether the server should return trade data only (as opposed to trade and quote data).client.Join(["AAPL", "MSFT", "GOOG"])
client.Join("GE", true)
client.JoinLobby() //must have a valid 'firehose' subscription
client.Leave(symbols) - Leaves the given channels.
symbols - Optional (default = all channels). A string representing a single ticker symbol (e.g. “AAPL”) or an array of ticker symbols (e.g. [“AAPL”, “MSFT”, “GOOG”]) to leave. If not provided, all subscribed channels will be unsubscribed.client.Leave(["AAPL", "MSFT", "GOOG"])
client.Leave("GE")
client.LeaveLobby()
client.Leave()
client.Stop() - Closes the WebSocket, stops the self-healing. Call this to properly dispose of the client.
config.json
The application will look for the config file if you don’t pass in a config object.
{
"EquitiesConfig": {
"ApiKey": "API_KEY_HERE",
"NumThreads": 4,
"Provider": "REALTIME",
//"Provider": "DELAYED_SIP",
//"Provider": "NASDAQ_BASIC",
//"Provider": "MANUAL",
//"IPAddress": "1.2.3.4",
"BufferSize": 4096,
"OverflowBufferSize": 16384,
"Symbols": [ "AAPL", "MSFT", "TSLA" ]
//"Symbols": [ "lobby" ],
//"Symbols": [ ]
},
"OptionsConfig": {
"ApiKey": "API_KEY_HERE",
"NumThreads": 8,
"Provider": "OPRA",
//"Provider": "MANUAL",
//"IPAddress": "1.2.3.4",
"BufferSize": 4096,
"OverflowBufferSize": 16384,
"Delayed": false,
"Symbols": [ "GOOG__220408C02870000", "MSFT__220408C00315000", "AAPL__220414C00180000", "SPY", "TSLA" ]
//"Symbols": [ "lobby" ],
//"Symbols": [ ]
},
"Serilog": {
"Using": [ "Serilog.Sinks.Console", "Serilog.Sinks.File" ],
"MinimumLevel": {
"Default": "Information",
"Override": {
"Microsoft": "Warning",
"System": "Warning"
}
},
"WriteTo": [
{ "Name": "Console" }
]
}
}
To create a config object to pass in instead of the file, do the following. Don’t forget to also set up sirilog configuration as well:
Log.Logger = new LoggerConfiguration().WriteTo.Console(restrictedToMinimumLevel: Serilog.Events.LogEventLevel.Information).CreateLogger();
Config config = new Config();
config.Provider = Provider.REALTIME;
config.ApiKey = "";
config.Symbols = new[] { "AAPL", "MSFT" };
config.NumThreads = 2;
config.BufferSize = 2048;
config.OverflowBufferSize = 4096;
client = new EquitiesWebSocketClient(onTrade, onQuote, config);
client.Start();
The replay client may be used to replay a specific day’s data. It may be used as a drop in replacement since it adheres to the same interface. It is especially useful for testing when the markets are closed and the websocket servers are off for the night.
You may have it play at the same rate it did that day, or stream all the events as a continuous stream as fast as it can process through them.
static void Main(string[] _)
{
Client.Log("Starting sample app");
//You can also simulate a trading day by replaying a particular day's data. You can do this with the actual time between events, or without.
DateTime yesterday = DateTime.Today - TimeSpan.FromDays(1);
replayClient = new ReplayClient(onTrade, onQuote, config, yesterday, true, true, false, String.Empty); //A client to replay a previous day's data
timer = new Timer(ReplayTimerCallback, replayClient, 10000, 10000);
replayClient.Join(); //Load symbols from your config or config.json
//client.Join(new string[] { "AAPL", "GOOG", "MSFT" }, false); //Specify symbols at runtime
Console.CancelKeyPress += new ConsoleCancelEventHandler(Cancel);
}
static void Main(string[] _)
{
Client.Log("Starting sample app");
Action<Trade> onTrade = OnTrade;
Action<Quote> onQuote = OnQuote;
//Subscribe the candlestick client to trade and/or quote events as well. It's important any method subscribed this way handles exceptions so as to not cause issues for other subscribers!
_useTradeCandleSticks = true;
_useQuoteCandleSticks = true;
_candleStickClient = new CandleStickClient(OnTradeCandleStick, OnQuoteCandleStick, IntervalType.OneMinute, false, null, null, 0, false);
onTrade += _candleStickClient.OnTrade;
onQuote += _candleStickClient.OnQuote;
_candleStickClient.Start();
client = new EquitiesWebSocketClient(onTrade, onQuote);
timer = new Timer(TimerCallback, client, 10000, 10000);
client.Join(); //Load symbols from your config or config.json
//client.Join(new string[] { "AAPL", "GOOG", "MSFT" }, false); //Specify symbols at runtime
Console.CancelKeyPress += new ConsoleCancelEventHandler(Cancel);
}
It is possible to calculate greek values in realtime with this client. It has a built-in Black-Scholes calculator, but you may also add your own, and we’ll probably add more methods in the future. You can specify on which events they recalculate.
The greek client automatically downloads the risk free interest rate and dividend yields via the REST SDK (product plan authorization required) and stores both in the DataCache.
Pass in an OnGreek delegate callback to be notified when a greek calculation updates.
Utilized the DataCache to compare values across contexts.
_dataCache = DataCacheFactory.Create();
GreekUpdateFrequency updateFrequency = GreekUpdateFrequency.EveryDividendYieldUpdate |
GreekUpdateFrequency.EveryRiskFreeInterestRateUpdate |
GreekUpdateFrequency.EveryOptionsTradeUpdate |
GreekUpdateFrequency.EveryEquityTradeUpdate;
// //You can either automatically load the config.json by doing nothing, or you can specify your own config and pass it in.
// //If you don't have a config.json, don't forget to also give Serilog a config so it can write to console
// Serilog.Log.Logger = new LoggerConfiguration().WriteTo.Console(restrictedToMinimumLevel: Serilog.Events.LogEventLevel.Information).CreateLogger();
// _optionsConfig = new Intrinio.Realtime.Options.Config();
// _optionsConfig.Provider = Intrinio.Realtime.Options.Provider.OPRA;
// _optionsConfig.ApiKey = "API_KEY_HERE";
// _optionsConfig.Symbols = Array.Empty<string>();
// _optionsConfig.NumThreads = System.Environment.ProcessorCount;
// _optionsConfig.TradesOnly = false;
// _optionsConfig.BufferSize = 8192;
// _optionsConfig.OverflowBufferSize = 65536;
// _optionsConfig.Delayed = false;
_optionsConfig = Intrinio.Realtime.Options.Config.LoadConfig();
_greekClient = new GreekClient(updateFrequency, OnGreek, _optionsConfig.ApiKey, _dataCache);
_greekClient.AddBlackScholes();
_greekClient.TryAddOrUpdateGreekCalculation("MyGreekCalculation", MyCalculateNewGreekDelegate); //Hint: Use the dataCache.SetOptionSupplementalDatum inside your delegate to save the value.
_greekClient.Start();
_optionsClient = new OptionsWebSocketClient(OnOptionsTrade, OnOptionsQuote, null, null, _optionsConfig, new Intrinio.Realtime.Options.ISocketPlugIn[]{_dataCache, _greekClient});
await _optionsClient.Start();
await _optionsClient.Join();
//await _optionsClient.JoinLobby(false); //Firehose
//await _optionsClient.Join(new string[] { "AAPL", "GOOG", "MSFT" }, false); //Specify symbols at runtime
// //You can either automatically load the config.json by doing nothing, or you can specify your own config and pass it in.
// //If you don't have a config.json, don't forget to also give Serilog a config so it can write to console
// //Serilog.Log.Logger = new LoggerConfiguration().WriteTo.Console(restrictedToMinimumLevel: Serilog.Events.LogEventLevel.Information).CreateLogger();
// Intrinio.Realtime.Equities.Config _equitiesConfig = new Intrinio.Realtime.Equities.Config();
// _equitiesConfig.Provider = Intrinio.Realtime.Equities.Provider.NASDAQ_BASIC;
// _equitiesConfig.ApiKey = "API_KEY_HERE";
// _equitiesConfig.Symbols = Array.Empty<string>();
// _equitiesConfig.NumThreads = System.Environment.ProcessorCount;
// _equitiesConfig.TradesOnly = false;
// _equitiesConfig.BufferSize = 8192;
// _equitiesConfig.OverflowBufferSize = 65536;
_equitiesConfig = Intrinio.Realtime.Equities.Config.LoadConfig();
_equitiesClient = new EquitiesWebSocketClient(OnEquitiesTrade, OnEquitiesQuote, _equitiesConfig, new Intrinio.Realtime.Equities.ISocketPlugIn[]{_dataCache, _greekClient});
await _equitiesClient.Start();
await _equitiesClient.Join();
//await _equitiesClient.JoinLobby(false); //Firehose
//await _equitiesClient.Join(new string[] { "AAPL", "GOOG", "MSFT" }, false); //Specify symbols at runtime
timer = new Timer(TimerCallback, null, 60000, 60000);
Console.CancelKeyPress += new ConsoleCancelEventHandler(Cancel);
The DataCache is a local in-memory cache of the most recent event of each event type (ex: last trade) for securities, option contracts, and candlesticks, and other scalar data. To populate it, pass it in to the constructor of a websocket client, and the client will insert the events.
It is thread-safe, but non-transactional - the cache is always updating as it’s passed around. You may also hook in to events that fire when a specific type of data is updated, and the event will have the appropriate context and scope of the cache slots changed.
//Kitchen sink - let's use everything!
//Create a cache so we can have the latest event of all types
_dataCache = DataCacheFactory.Create();
//Hook in to the on-updated events of the cache
_dataCache.EquitiesTradeUpdatedCallback += OnEquitiesTradeCacheUpdated;
_dataCache.EquitiesQuoteUpdatedCallback += OnEquitiesQuoteCacheUpdated;
_dataCache.EquitiesTradeCandleStickUpdatedCallback += OnEquitiesTradeCandleStickCacheUpdated;
_dataCache.EquitiesQuoteCandleStickUpdatedCallback += OnEquitiesQuoteCandleStickCacheUpdated;
_dataCache.OptionsTradeUpdatedCallback += OnOptionsTradeCacheUpdated;
_dataCache.OptionsQuoteUpdatedCallback += OnOptionsQuoteCacheUpdated;
_dataCache.OptionsRefreshUpdatedCallback += OnOptionsRefreshCacheUpdated;
_dataCache.OptionsUnusualActivityUpdatedCallback += OnOptionsUnusualActivityCacheUpdated;
_dataCache.OptionsTradeCandleStickUpdatedCallback += OnOptionsTradeCandleStickCacheUpdated;
_dataCache.OptionsQuoteCandleStickUpdatedCallback += OnOptionsQuoteCandleStickCacheUpdated;
//Create options trade and quote candlestick client. Feed in the cache so the candle client can update the cache with the latest candles.
_optionsUseTradeCandleSticks = true;
_optionsUseQuoteCandleSticks = true;
_optionsCandleStickClient1Minute = new Intrinio.Realtime.Options.CandleStickClient(OnOptionsTradeCandleStick, OnOptionsQuoteCandleStick, IntervalType.OneMinute, false, null, null, 0, _dataCache);
_optionsCandleStickClient15Minute = new Intrinio.Realtime.Options.CandleStickClient(OnOptionsTradeCandleStick, OnOptionsQuoteCandleStick, IntervalType.FifteenMinute, false, null, null, 0, null);
_optionsCandleStickClient1Minute.Start();
//Create equities trade and quote candlestick client. Feed in the cache so the candle client can update the cache with the latest candles.
_equitiesUseTradeCandleSticks = true;
_equitiesUseQuoteCandleSticks = true;
_equitiesCandleStickClient1Minute = new Intrinio.Realtime.Equities.CandleStickClient(OnEquitiesTradeCandleStick, OnEquitiesQuoteCandleStick, IntervalType.OneMinute, true, null, null, 0, false, _dataCache);
_equitiesCandleStickClient15Minute = new Intrinio.Realtime.Equities.CandleStickClient(OnEquitiesTradeCandleStick, OnEquitiesQuoteCandleStick, IntervalType.FifteenMinute, true, null, null, 0, false, null);
_equitiesCandleStickClient1Minute.Start();
//Maintain a list of options plugins that we want the options socket to send events to
List<Intrinio.Realtime.Options.ISocketPlugIn> optionsPlugins = new List<Intrinio.Realtime.Options.ISocketPlugIn>();
optionsPlugins.Add(_optionsCandleStickClient1Minute);
optionsPlugins.Add(_optionsCandleStickClient15Minute);
optionsPlugins.Add(_dataCache);
//You can either automatically load the config.json by doing nothing, or you can specify your own config and pass it in.
//If you don't have a config.json, don't forget to also give Serilog (the logging library) a config so it can write to console
Serilog.Log.Logger = new LoggerConfiguration().WriteTo.Console(restrictedToMinimumLevel: Serilog.Events.LogEventLevel.Information).CreateLogger();
Intrinio.Realtime.Options.Config optionsConfig = new Intrinio.Realtime.Options.Config();
optionsConfig.Provider = Intrinio.Realtime.Options.Provider.OPRA;
optionsConfig.ApiKey = "API_KEY_HERE";
optionsConfig.Symbols = new string[] {"MSFT", "AAPL"};
optionsConfig.NumThreads = 4; //Adjust this higher as you subscribe to more channels, or you will fall behind and will drop messages out of your local buffer.
optionsConfig.TradesOnly = false; //If true, don't send separate quote events.
optionsConfig.BufferSize = 2048; //Primary buffer block quantity. Adjust higher as you subscribe to more channels.
optionsConfig.OverflowBufferSize = 8192; //Overflow buffer block quantity. Adjust higher as you subscribe to more channels.
optionsConfig.Delayed = false; //Used to force to 15minute delayed mode if you have access to realtime but want delayed.
//Provide the plugins to feed events to, as well as callbacks for each event type.
_optionsClient = new OptionsWebSocketClient(OnOptionsTrade, OnOptionsQuote, OnOptionsRefresh, OnOptionsUnusualActivity, optionsConfig, optionsPlugins);
//_optionsClient = new OptionsWebSocketClient(OnOptionsTrade, OnOptionsQuote, OnOptionsRefresh, OnOptionsUnusualActivity, optionsPlugins);
await _optionsClient.Start();
await _optionsClient.Join();
//await _optionsClient.JoinLobby(false); //Firehose - subscribe to everything all at once. Do NOT subscribe to any individual channels if you subscribe to this channel. This is resource intensive (especially with quotes). You need more than a 2 core machine to subscribe to this...
//await _optionsClient.Join(new string[] { "AAPL", "GOOG", "MSFT" }, false); //Specify symbols at runtime
//Maintain a list of equities plugins that we want the equity socket to send events to
List<Intrinio.Realtime.Equities.ISocketPlugIn> equitiesPlugins = new List<Intrinio.Realtime.Equities.ISocketPlugIn>();
equitiesPlugins.Add(_equitiesCandleStickClient1Minute);
equitiesPlugins.Add(_equitiesCandleStickClient15Minute);
equitiesPlugins.Add(_dataCache);
//You can either automatically load the config.json by doing nothing, or you can specify your own config and pass it in.
//If you don't have a config.json, don't forget to also give Serilog a config so it can write to console
//Serilog.Log.Logger = new LoggerConfiguration().WriteTo.Console(restrictedToMinimumLevel: Serilog.Events.LogEventLevel.Information).CreateLogger();
Intrinio.Realtime.Equities.Config equitiesConfig = new Intrinio.Realtime.Equities.Config();
equitiesConfig.Provider = Intrinio.Realtime.Equities.Provider.NASDAQ_BASIC;
equitiesConfig.ApiKey = "API_KEY_HERE";
equitiesConfig.Symbols = new string[] {"MSFT", "AAPL"};
equitiesConfig.NumThreads = 2; //Adjust this higher as you subscribe to more channels, or you will fall behind and will drop messages out of your local buffer.
equitiesConfig.TradesOnly = false; //If true, don't send separate quote events.
equitiesConfig.BufferSize = 2048; //Primary buffer block quantity. Adjust higher as you subscribe to more channels.
equitiesConfig.OverflowBufferSize = 4096; //Overflow buffer block quantity. Adjust higher as you subscribe to more channels.
//Provide the plugins to feed events to, as well as callbacks for each event type.
_equitiesClient = new EquitiesWebSocketClient(OnEquitiesTrade, OnEquitiesQuote, equitiesConfig, equitiesPlugins);
//_equitiesClient = new EquitiesWebSocketClient(OnEquitiesTrade, OnEquitiesQuote, equitiesPlugins);
await _equitiesClient.Start();
await _equitiesClient.Join();
//await _equitiesClient.JoinLobby(false); //Firehose - subscribe to everything all at once. Do NOT subscribe to any individual channels if you subscribe to this channel. This is resource intensive (especially with quotes). You need more than a 2 core machine to subscribe to this...
//await _equitiesClient.Join(new string[] { "AAPL", "GOOG", "MSFT" }, false); //Specify symbols at runtime
//Summarize app performance and event metrics periodically.
timer = new Timer(TimerCallback, null, 60000, 60000);
Console.CancelKeyPress += new ConsoleCancelEventHandler(Cancel);