Market Data client¶
- class lime_trader.clients.market_data_client.MarketDataClient(api_client: AuthenticatedApiClient, logger: Logger)[source]¶
Bases:
object
Contains methods related to market data
- get_current_quote(symbol: str) Quote [source]¶
Retrieves current quote for the specified symbol
- Parameters:
symbol – Security symbol
- Returns:
Quote for the symbol
- get_current_quotes(symbols: list[str]) list[Quote] [source]¶
Retrieves current quotes for all specified symbols
- Parameters:
symbols – List of security symbols
- Returns:
List of quotes for specified symbols
- get_option_chain(symbol: str, expiration: date, series: str | None = None) OptionChain [source]¶
Returns option contracts for specified symbol, expiration date and series.
- Parameters:
symbol – The security symbol.
expiration – Contract expiration date
series – By default the series is the same as the security symbol
- Returns:
Option contracts for specified symbol, expiration date and series
- get_option_series(symbol: str) list[OptionSeries] [source]¶
Returns an array of option series by the specified underlying security’s symbol. Contains at least one element which is the default series. Option Series is a specific set of calls or puts on the same underlying security, with the same strike price and expiration date. For the most part there is just one series name that matches the symbol but in some cases related to corporate actions on the underlying security additional series are issued.
- Parameters:
symbol – The security symbol
- Returns:
Array of option series by the specified underlying security’s symbol
- get_quotes_history(symbol: str, period: Period, from_date: datetime, to_date: datetime) list[QuoteHistory] [source]¶
Returns candle structures aggregated by specified period
- Parameters:
symbol – The security symbol, stocks in Nasdaq CMS convention. Options in OCC
period – Aggregation period.
from_date – Period start
to_date – Period end
- Returns:
Quote history between specified period
- get_trading_schedule() CurrentSchedule [source]¶
Returns trading session info depending on current date and time:
- Returns:
Current trading schedule
- iterate_time_and_sales(symbol: str, from_date: datetime, to_date: datetime, start_page: PageRequest) Iterator[Page[AccountTransaction]] [source]¶
Returns iterator for the time and sales history, ordered by descending timestamp
- Parameters:
symbol – The security symbol, stocks in Nasdaq CMS convention. Options are not supported
from_date – Period start
to_date – Period end
start_page – Start page. Iterator starts from this page
- Returns:
Iterator of pages of historical trades
- lookup_securities(query: str, page: PageRequest) Page[Security] [source]¶
Searches the securities reference by the specified criteria. The criteria can be a symbol, part of a symbol or part of a company name.
- Parameters:
query – Search criteria
page – Pagination parameters
- Returns:
Page of security symbols which match criteria
- time_and_sales(symbol: str, from_date: datetime, to_date: datetime, page: PageRequest) Page[Trade] [source]¶
Retrieves the time and sales history, ordered by descending timestamp. Query parameters are:
- Parameters:
symbol – The security symbol, stocks in Nasdaq CMS convention. Options are not supported
from_date – Period start
to_date – Period end
page – Pagination parameters
- Returns:
Page of historical trades