feature(websocket): Add websocket client

README.rst

@@ -135,6 +135,40 @@ To receive results in ``pandas`` format, use the ``get_dataframe()`` method:
                                         startDate='2017-01-01',
                                         endDate='2018-05-31')
 
+Websocket support::
+
+.. code-block:: python
+    from tiingo import TiingoWebsocketClient
+
+    def cb_fn(msg):
+
+        # Example response 
+        # msg = {
+        #   "service":"iex" # An identifier telling you this is IEX data. The value returned by this will always be "iex".
+        #   
+        #   # Will always return "A" meaning new price quotes. There are also H type Heartbeat msgs used to keep the connection alive
+        #   "messageType":"A" # A value telling you what kind of data packet this is from our IEX feed.
+        #  
+        #   # see https://api.tiingo.com/documentation/websockets/iex > Response for more info
+        #   "data":[] # an array containing trade information and a timestamp
+        #   
+        # }
+
+        print(msg)
+
+    subscribe = {
+            'eventName':'subscribe',
+            'authorization':'API_KEY_GOES_HERE',
+            #see https://api.tiingo.com/documentation/websockets/iex > Request for more info
+            'eventData': { 
+                'thresholdLevel':5
+          }
+    }
+    # notice how the object isn't needed after using it
+    # any logic should be implemented in the callback function 
+    TiingoWebsocketClient(subscribe,endpoint="iex",on_msg_cb=cb_fn)
+    while True:pass
+
 
 You can specify any of the end of day frequencies (daily, weekly, monthly, and annually) or any intraday frequency for both the ``get_ticker_price`` and ``get_dataframe`` methods.  Weekly frequencies resample to the end of day on Friday, monthly frequencies resample to the last day of the month, and annually frequencies resample to the end of day on 12-31 of each year.  The intraday frequencies are specified using an integer followed by "Min" or "Hour", for example "30Min" or "1Hour".
 

docs/usage.rst

@@ -61,6 +61,40 @@ Now you can use ``TiingoClient`` to make your API calls. (Other parameters are a
                               startDate='2017-01-01',
                               endDate='2017-08-31')
 
+Websocket support::
+
+.. code-block:: python
+    from tiingo import TiingoWebsocketClient
+
+    def cb_fn(msg):
+
+        # Example response 
+        # msg = {
+        #   "service":"iex" # An identifier telling you this is IEX data. The value returned by this will always be "iex".
+        #   
+        #   # Will always return "A" meaning new price quotes. There are also H type Heartbeat msgs used to keep the connection alive
+        #   "messageType":"A" # A value telling you what kind of data packet this is from our IEX feed.
+        #  
+        #   # see https://api.tiingo.com/documentation/websockets/iex > Response for more info
+        #   "data":[] # an array containing trade information and a timestamp
+        #   
+        # }
+
+        print(msg)
+
+    subscribe = {
+            'eventName':'subscribe',
+            'authorization':'API_KEY_GOES_HERE',
+            #see https://api.tiingo.com/documentation/websockets/iex > Request for more info
+            'eventData': { 
+                'thresholdLevel':5
+          }
+    }
+    # notice how the object isn't needed after using it
+    # any logic should be implemented in the callback function 
+    TiingoWebsocketClient(subscribe,endpoint="iex",on_msg_cb=cb_fn)
+    while True:pass
+
 
 Further Docs
 --------

setup.py

@@ -26,6 +26,7 @@ def read(*filenames, **kwargs):
 
 requirements = [
     'requests',
+    'websocket-client'
 ]
 
 setup_requirements = [

tiingo/__init__.py

@@ -1,5 +1,6 @@
 # -*- coding: utf-8 -*-
 from tiingo.api import TiingoClient
+from tiingo.wsclient import TiingoWebsocketClient
 
 __author__ = """Cameron Yick"""
 __email__ = '[email protected]'

tiingo/wsclient.py

@@ -0,0 +1,114 @@
+import os
+import websocket
+try:
+    import thread
+except ImportError:
+    import _thread as thread
+import time
+import json
+from tiingo.exceptions import MissingRequiredArgumentError
+
+GLOB_config=None
+GLOB_on_msg_cb=None
+
+class genericWebsocketClient:
+    '''
+    the methods passed to websocketClient have to be unbounded if we want WebSocketApp to pass everything correctly
+    see websocket-client/#471
+    '''
+    def on_message(ws, message):
+        GLOB_on_msg_cb(message)
+    def on_error(ws, error):
+        print(error)
+    def on_close(ws):
+        pass
+    def on_open(ws):
+        def run(*args):
+            print(GLOB_config)
+            ws.send(json.dumps(GLOB_config))
+        thread.start_new_thread(run, ())
+    def __init__(self,config,on_msg_cb):
+        global GLOB_config
+        global GLOB_on_msg_cb
+        GLOB_config=config
+        GLOB_on_msg_cb=on_msg_cb
+        return
+
+class TiingoWebsocketClient:
+    '''
+    from tiingo import TiingoWebsocketClient
+
+    def cb_fn(msg):
+
+        # Example response 
+        # msg = {
+        #   "service":"iex" # An identifier telling you this is IEX data. The value returned by this will always be "iex".
+        #   
+        #   # Will always return "A" meaning new price quotes. There are also H type Heartbeat msgs used to keep the connection alive
+        #   "messageType":"A" # A value telling you what kind of data packet this is from our IEX feed.
+        #  
+        #   # see https://api.tiingo.com/documentation/websockets/iex > Response for more info
+        #   "data":[] # an array containing trade information and a timestamp
+        #   
+        # }
+
+        print(msg)
+
+    subscribe = {
+            'eventName':'subscribe',
+            'authorization':'API_KEY_GOES_HERE',
+            #see https://api.tiingo.com/documentation/websockets/iex > Request for more info
+            'eventData': { 
+                'thresholdLevel':5
+          }
+    }
+    # notice how the object isn't needed after using it
+    # any logic should be implemented in the callback function 
+    TiingoWebsocketClient(subscribe,endpoint="iex",on_msg_cb=cb_fn)
+    while True:pass
+    '''
+
+    def __init__(self,config={},endpoint=None,on_msg_cb=None):
+
+        self._base_url = "wss://api.tiingo.com"
+        self.config=config
+
+        try:
+            api_key = self.config['authorization']
+        except KeyError:
+            api_key = os.environ.get('TIINGO_API_KEY')
+            self.config.update({"authorization":api_key})
+
+        self._api_key = api_key
+        if not(api_key):
+            raise RuntimeError("Tiingo API Key not provided. Please provide"
+                               " via environment variable or config argument."
+                               "Notice that this config dict takes the API Key as authorization ")
+
+        try:
+            self.endpoint = endpoint
+            if not self.endpoint:
+                raise KeyError
+            if not (self.endpoint=="iex" or self.endpoint=="fx" or self.endpoint=="crypto"):
+                raise KeyError
+        except KeyError:
+            raise AttributeError("Endpoint must be defined as either (iex,fx,crypto) ")
+
+        self.on_msg_cb = on_msg_cb
+        if not self.on_msg_cb:
+            raise MissingRequiredArgumentError("please define on_msg_cb It's a callback that gets called when new messages arrive "
+                                          "Example:"
+                                          "def cb_fn(msg):"
+                                          "    print(msg)")
+
+        ws_client = genericWebsocketClient(config=self.config,on_msg_cb=self.on_msg_cb)
+
+
+        websocket.enableTrace(True)
+
+        ws = websocket.WebSocketApp("{0}/{1}".format(self._base_url,self.endpoint),
+                              on_message = genericWebsocketClient.on_message,
+                              on_error = genericWebsocketClient.on_error,
+                              on_close = genericWebsocketClient.on_close,
+                              on_open = genericWebsocketClient.on_open)
+        ws.run_forever()