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REQUIRED

A Thetadata Index Standard Subscription is required to use this endpoint.

Price Stream ​

Behavior ​

This stream returns every price change for a specified symbol reported on the CBOE CGIF feed. The Theta Terminal will continue to receive these messages unless it is terminated or you unsubscribe from the full price stream.

NOTE

The trade object only the price field is updated and only reported if price has changed since last report. Indices are typically reported once every 1-second or few seconds. There is normally no 9:30:00 index price report, only 9:30:01.

Subscribe to Price Stream ​

The id field should be increased for each new stream request made. This ID is returned in a later message to verify that the request to stream trades was successful. This ID does not have any representation of contracts or unqiue streams. It only represents a way of tracking streaming requests made. Failure to increment the ID for each request will prevent the terminal from automatically resubscribing to streams you previously requested.

Contract Parameter ​

The contract in the payload example below is subscribing to all prices for SPX stock.

Payload ​

json
{
  "msg_type": "STREAM",
  "sec_type": "INDEX",
  "req_type": "TRADE",
  "add": true,
  "id": 0,
  "contract": {
    "root": "SPX"
  }
}

Sample Code ​

REQUIRED

The Theta Terminal must be running for this code to work.

Python
import asyncio
import websockets

# This code has only been tested on Python 3.11. Other versions might require adjustments.
async def stream_prices():
    async with websockets.connect('ws://127.0.0.1:25520/v1/events') as websocket:
        req = {}
        req['msg_type'] = 'STREAM'
        req['sec_type'] = 'INDEX'
        req['req_type'] = 'TRADE'
        req['add'] = True
        req['id'] = 0
        req['contract'] = {}
        req['contract']['root'] = "SPX"
        await websocket.send(req.__str__())
        while True:
            response = await websocket.recv()
            print(response)


asyncio.get_event_loop().run_until_complete(stream_prices())

Unsubscribe from the Price Stream ​

Changing the add field in the payload from true to false will end the price stream subscription.

json
{
  "msg_type": "STREAM",
  "sec_type": "INDEX",
  "req_type": "TRADE",
  "add": false,
  "id": 1,
  "contract": {
    "root": "SPX"
  }
}

Sample output ​

  • The condition and exchange values correspond to their respective Enums.
  • We use the trade object to represent price reports and every other field aside from price can be ignored.
json
{
  "header": {
    "type": "TRADE",
    "status": "CONNECTED"
  },
  "contract": {
    "security_type": "INDEX",
    "root": "SPX"
  },
  "trade": {
    "ms_of_day": 51952000,
    "sequence": 0,
    "size": 0,
    "condition": 0,
    "price": 5333.39,
    "exchange": 5,
    "date": 20240809
  }
}
json
{
  "header": {
    "type": "OHLC",
    "status": "CONNECTED"
  },
  "contract": {
    "security_type": "INDEX",
    "root": "SPX"
  },
  "ohlc": {
    "ms_of_day": 51952000,
    "open": 5314.66,
    "high": 5358.67,
    "low": 5300.84,
    "close": 5333.39,
    "volume": 0,
    "count": 1135013,
    "date": 20240809
  }
}