Getting Started Trades

Language: C++ Java Python

Basic:	Intro/Trade	Quote	Category	Status	Symbol	Options
Detailed:	Trade	Quote

Getting Started and Introduction to Trades

This is a simple introduction to writing code using NxCore. If you are not ready to begin writing code, check out Time and Sales to extract NxCore Data using a GUI. This example will cover printing the price and size of trades.
The NxCore module is distributed as wheel files. These are pre-built binary files that can be installed using pip. While the web documentation is primarily for c++, the name and description of variables will usually be the same. Additionally all elements of the NxCore Python module should contain detailed docstrings that can be consulted. For example print(NxCore.ProcessTape.__doc__) will give details on using the ProcessTape function. Note the Python API has a decreased throughput. For high performance programs it is recomended to use C/C++/C#.

Getting Started

Install Python 3.7 or higher.
Download and extract the zip which includes everything you need to get started: here
Install the wheel for your system using terminal: "python -m pip install --no-index --find-links=[Path of whl folder] NxCore" replacing [Path of whl; folder] with the location of the whl folder within the previous extracted folder. The appriate wheel file for your system will automatically be selected by pip.

Code

import NxCore

def OnNxCoreCallback(NxCoreSys, NxCoreMsg):
    if NxCoreMsg.MessageType == NxCore.NxMSG_TRADE:

        header = NxCoreMsg.coreHeader
        symbol = header.pnxStringSymbol.String
        timestamp = header.nxExgTimestamp

        trade = NxCoreMsg.coreData.Trade
        price = NxCore.PriceToFloat(trade.Price,trade.PriceType)
        size = trade.Size

        print("Trade for {} at {:02d}:{:02d}:{:02d} for {} shares at ${:.2f}" \
            .format( symbol, timestamp.Hour, timestamp.Minute, timestamp.Second, size, price))
    return NxCore.NxCALLBACKRETURN_CONTINUE

if NxCore.LoadNxCore("NxCoreAPI64.dll"):
    returnValue = NxCore.ProcessTape("demo.XU.nx2", 0, 0, 0, OnNxCoreCallback)
    NxCore.ProcessReturnValue(returnValue)
else:
    print("loading library failed")

Import

This imports the NxCore Python module. If you receive an error ModuleNotFoundError: No module named 'NxCore', ensure the whl install succeeded.

import NxCore

Callback Function

The NxCore API uses a callback function to deliver tick data. The callback function must be defined with 2 parameters which will correspond to NxCoreSystem and NxCoreMessage objects respectively. The type of message is set in the MessageType field of the NxCoreMessage object. Since we only want to process trades we check that MessageType equals NxCore.NxMSG_TRADE. The callback should return NxCore.NxCALLBACKRETURN_CONTINUE to receive the next message.

def OnNxCoreCallback(NxCoreSys, NxCoreMsg):
    if NxCoreMsg.MessageType == NxCore.NxMSG_TRADE:
        ...
    return NxCore.NxCALLBACKRETURN_CONTINUE

Message Header

The coreHeader object in NxCoreMessage contains general information about the message. For this example we will get the Symbol from pnxStringSymbol and exchange timestamp. Note nxExgTimestamp is not a Python time type, intead it is a NxTime type. For most feeds nxExgTimestamp will have millisecond resolution.

header = NxCoreMsg.coreHeader
symbol = header.pnxStringSymbol.String
timestamp = header.nxExgTimestamp

Trade Message

The Trade object in the coreData object in NxCoreMessage contains details of the trade when MessageType is NxCore.NxMSG_TRADE. For this example we will get the size of the trade and the price as a float. PriceToFloat can be used to convert NxCore int Prices into a floating-point price.

trade = NxCoreMsg.coreData.Trade
price = NxCore.PriceToFloat(trade.Price,trade.PriceType)
size = trade.Size

Printing

This simply prints the values we found earlier in the code.

print("Trade for {} at {:02d}:{:02d}:{:02d} for {} shares at ${:.2f}"
    .format(symbol, timestamp.Hour, timestamp.Minute, timestamp.Second, size, price))

Loading Library

Processing NxCore tapes requires that the NxCore dynamic library is loaded. The argument for LoadNxCore is the path to the corresponding dynamic library. On success LoadNxCore returns non-zero.
For 32-bit Windows: "NxCoreAPI.dll"
For 64-bit Windows: "NxCoreAPI64.dll"
For Linux: "libnx.so"
For aarch64 Linux: "libnx_aarch64.so"
For macOS: "libnx.dylib"

if NxCore.LoadNxCore("NxCoreAPI64.dll"):
    ...
else:
    print("loading library failed")

Start Processing

ProcessTape begins processing the file in the first argument. The callback defined earlier should be the fifth argument. For this simple example all other arguments can be ignored. ProcessReturnValue prints the result of ProcessTape.

if NxCore.LoadNxCore("NxCoreAPI64.dll"):
    returnValue = NxCore.ProcessTape("demo.XU.nx2", 0, 0, 0, OnNxCoreCallback)
    NxCore.ProcessReturnValue(returnValue)
else:
    print("loading library failed")

Next:
Quote
Detailed Trade

API Documentation