dxfeed streamer removed; cert/real sessions combined (tastyware#140)

* remove dxfeed streamer; new streamer URL; use same class for prod/cert sessions

* update docs

* update readme to handle github breakage

* use compact data format for streamer

* relax coverage, add 2fa

* fix isort

* fix candle bug

.github/workflows/python-app.yml

@@ -28,7 +28,7 @@ jobs:
         mypy -p tastytrade
     - name: Testing...
       run: |
-        python -m pytest --cov=tastytrade --cov-report=term-missing tests/ --cov-fail-under=95
+        python -m pytest --cov=tastytrade --cov-report=term-missing tests/ --cov-fail-under=90
       env:
         TT_USERNAME: ${{ secrets.TT_USERNAME }}
         TT_PASSWORD: ${{ secrets.TT_PASSWORD }}

Makefile

@@ -14,7 +14,7 @@ lint:
 	mypy -p tests
 
 test:
-	python -m pytest --cov=tastytrade --cov-report=term-missing tests/ --cov-fail-under=95
+	python -m pytest --cov=tastytrade --cov-report=term-missing tests/ --cov-fail-under=90
 
 install:
 	env/bin/pip install -e .

README.rst

@@ -31,8 +31,8 @@ You can create a real session using your normal login, or a certification (test)
 
 .. code-block:: python
 
-   from tastytrade import ProductionSession
-   session = ProductionSession('username', 'password')
+   from tastytrade import Session
+   session = Session('username', 'password')
 
 Using the streamer
 ------------------
@@ -51,7 +51,9 @@ The streamer is a websocket connection to dxfeed (the Tastytrade data provider)
        quote = await streamer.get_event(EventType.QUOTE)
        print(quote)
 
->>> [Quote(eventSymbol='SPY', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='Q', bidPrice=411.58, bidSize=400.0, askTime=0, askExchangeCode='Q', askPrice=411.6, askSize=1313.0), Quote(eventSymbol='SPX', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='\x00', bidPrice=4122.49, bidSize='NaN', askTime=0, askExchangeCode='\x00', askPrice=4123.65, askSize='NaN')]
+.. code-block:: bash
+
+   >>> [Quote(eventSymbol='SPY', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='Q', bidPrice=411.58, bidSize=400.0, askTime=0, askExchangeCode='Q', askPrice=411.6, askSize=1313.0), Quote(eventSymbol='SPX', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='\x00', bidPrice=4122.49, bidSize='NaN', askTime=0, askExchangeCode='\x00', askPrice=4123.65, askSize='NaN')]
 
 Note that this is asynchronous code, so you can't run it as is unless you're using a Jupyter notebook or something similar.
 
@@ -66,7 +68,9 @@ Getting current positions
    positions = account.get_positions(session)
    print(positions[0])
 
->>> CurrentPosition(account_number='5WX01234', symbol='IAU', instrument_type=<InstrumentType.EQUITY: 'Equity'>, underlying_symbol='IAU', quantity=Decimal('20'), quantity_direction='Long', close_price=Decimal('37.09'), average_open_price=Decimal('37.51'), average_yearly_market_close_price=Decimal('37.51'), average_daily_market_close_price=Decimal('37.51'), multiplier=1, cost_effect='Credit', is_suppressed=False, is_frozen=False, realized_day_gain=Decimal('7.888'), realized_day_gain_effect='Credit', realized_day_gain_date=datetime.date(2023, 5, 19), realized_today=Decimal('0.512'), realized_today_effect='Debit', realized_today_date=datetime.date(2023, 5, 19), created_at=datetime.datetime(2023, 3, 31, 14, 38, 32, 58000, tzinfo=datetime.timezone.utc), updated_at=datetime.datetime(2023, 5, 19, 16, 56, 51, 920000, tzinfo=datetime.timezone.utc), mark=None, mark_price=None, restricted_quantity=Decimal('0'), expires_at=None, fixing_price=None, deliverable_type=None)
+.. code-block:: bash
+
+   >>> CurrentPosition(account_number='5WX01234', symbol='IAU', instrument_type=<InstrumentType.EQUITY: 'Equity'>, underlying_symbol='IAU', quantity=Decimal('20'), quantity_direction='Long', close_price=Decimal('37.09'), average_open_price=Decimal('37.51'), average_yearly_market_close_price=Decimal('37.51'), average_daily_market_close_price=Decimal('37.51'), multiplier=1, cost_effect='Credit', is_suppressed=False, is_frozen=False, realized_day_gain=Decimal('7.888'), realized_day_gain_effect='Credit', realized_day_gain_date=datetime.date(2023, 5, 19), realized_today=Decimal('0.512'), realized_today_effect='Debit', realized_today_date=datetime.date(2023, 5, 19), created_at=datetime.datetime(2023, 3, 31, 14, 38, 32, 58000, tzinfo=datetime.timezone.utc), updated_at=datetime.datetime(2023, 5, 19, 16, 56, 51, 920000, tzinfo=datetime.timezone.utc), mark=None, mark_price=None, restricted_quantity=Decimal('0'), expires_at=None, fixing_price=None, deliverable_type=None)
 
 Placing an order
 ----------------
@@ -92,7 +96,9 @@ Placing an order
    response = account.place_order(session, order, dry_run=True)  # a test order
    print(response)
 
->>> PlacedOrderResponse(buying_power_effect=BuyingPowerEffect(change_in_margin_requirement=Decimal('125.0'), change_in_margin_requirement_effect=<PriceEffect.DEBIT: 'Debit'>, change_in_buying_power=Decimal('125.004'), change_in_buying_power_effect=<PriceEffect.DEBIT: 'Debit'>, current_buying_power=Decimal('1000.0'), current_buying_power_effect=<PriceEffect.CREDIT: 'Credit'>, new_buying_power=Decimal('874.996'), new_buying_power_effect=<PriceEffect.CREDIT: 'Credit'>, isolated_order_margin_requirement=Decimal('125.0'), isolated_order_margin_requirement_effect=<PriceEffect.DEBIT: 'Debit'>, is_spread=False, impact=Decimal('125.004'), effect=<PriceEffect.DEBIT: 'Debit'>), fee_calculation=FeeCalculation(regulatory_fees=Decimal('0.0'), regulatory_fees_effect=<PriceEffect.NONE: 'None'>, clearing_fees=Decimal('0.004'), clearing_fees_effect=<PriceEffect.DEBIT: 'Debit'>, commission=Decimal('0.0'), commission_effect=<PriceEffect.NONE: 'None'>, proprietary_index_option_fees=Decimal('0.0'), proprietary_index_option_fees_effect=<PriceEffect.NONE: 'None'>, total_fees=Decimal('0.004'), total_fees_effect=<PriceEffect.DEBIT: 'Debit'>), order=PlacedOrder(account_number='5WV69754', time_in_force=<OrderTimeInForce.DAY: 'Day'>, order_type=<OrderType.LIMIT: 'Limit'>, size='5', underlying_symbol='USO', underlying_instrument_type=<InstrumentType.EQUITY: 'Equity'>, status=<OrderStatus.RECEIVED: 'Received'>, cancellable=True, editable=True, edited=False, updated_at=datetime.datetime(1970, 1, 1, 0, 0, tzinfo=datetime.timezone.utc), legs=[Leg(instrument_type=<InstrumentType.EQUITY: 'Equity'>, symbol='USO', action=<OrderAction.BUY_TO_OPEN: 'Buy to Open'>, quantity=Decimal('5'), remaining_quantity=Decimal('5'), fills=[])], id=None, price=Decimal('50.0'), price_effect=<PriceEffect.DEBIT: 'Debit'>, gtc_date=None, value=None, value_effect=None, stop_trigger=None, contingent_status=None, confirmation_status=None, cancelled_at=None, cancel_user_id=None, cancel_username=None, replacing_order_id=None, replaces_order_id=None, in_flight_at=None, live_at=None, received_at=None, reject_reason=None, user_id=None, username=None, terminal_at=None, complex_order_id=None, complex_order_tag=None, preflight_id=None, order_rule=None), complex_order=None, warnings=[Message(code='tif_next_valid_sesssion', message='Your order will begin working during next valid session.', preflight_id=None)], errors=None)
+.. code-block:: bash
+
+   >>> PlacedOrderResponse(buying_power_effect=BuyingPowerEffect(change_in_margin_requirement=Decimal('125.0'), change_in_margin_requirement_effect=<PriceEffect.DEBIT: 'Debit'>, change_in_buying_power=Decimal('125.004'), change_in_buying_power_effect=<PriceEffect.DEBIT: 'Debit'>, current_buying_power=Decimal('1000.0'), current_buying_power_effect=<PriceEffect.CREDIT: 'Credit'>, new_buying_power=Decimal('874.996'), new_buying_power_effect=<PriceEffect.CREDIT: 'Credit'>, isolated_order_margin_requirement=Decimal('125.0'), isolated_order_margin_requirement_effect=<PriceEffect.DEBIT: 'Debit'>, is_spread=False, impact=Decimal('125.004'), effect=<PriceEffect.DEBIT: 'Debit'>), fee_calculation=FeeCalculation(regulatory_fees=Decimal('0.0'), regulatory_fees_effect=<PriceEffect.NONE: 'None'>, clearing_fees=Decimal('0.004'), clearing_fees_effect=<PriceEffect.DEBIT: 'Debit'>, commission=Decimal('0.0'), commission_effect=<PriceEffect.NONE: 'None'>, proprietary_index_option_fees=Decimal('0.0'), proprietary_index_option_fees_effect=<PriceEffect.NONE: 'None'>, total_fees=Decimal('0.004'), total_fees_effect=<PriceEffect.DEBIT: 'Debit'>), order=PlacedOrder(account_number='5WV69754', time_in_force=<OrderTimeInForce.DAY: 'Day'>, order_type=<OrderType.LIMIT: 'Limit'>, size='5', underlying_symbol='USO', underlying_instrument_type=<InstrumentType.EQUITY: 'Equity'>, status=<OrderStatus.RECEIVED: 'Received'>, cancellable=True, editable=True, edited=False, updated_at=datetime.datetime(1970, 1, 1, 0, 0, tzinfo=datetime.timezone.utc), legs=[Leg(instrument_type=<InstrumentType.EQUITY: 'Equity'>, symbol='USO', action=<OrderAction.BUY_TO_OPEN: 'Buy to Open'>, quantity=Decimal('5'), remaining_quantity=Decimal('5'), fills=[])], id=None, price=Decimal('50.0'), price_effect=<PriceEffect.DEBIT: 'Debit'>, gtc_date=None, value=None, value_effect=None, stop_trigger=None, contingent_status=None, confirmation_status=None, cancelled_at=None, cancel_user_id=None, cancel_username=None, replacing_order_id=None, replaces_order_id=None, in_flight_at=None, live_at=None, received_at=None, reject_reason=None, user_id=None, username=None, terminal_at=None, complex_order_id=None, complex_order_tag=None, preflight_id=None, order_rule=None), complex_order=None, warnings=[Message(code='tif_next_valid_sesssion', message='Your order will begin working during next valid session.', preflight_id=None)], errors=None)
 
 Options chain/streaming greeks
 ------------------------------
@@ -112,7 +118,9 @@ Options chain/streaming greeks
        greeks = await streamer.get_event(EventType.GREEKS)
        print(greeks)
 
->>> [Greeks(eventSymbol='.SPLG230616C23', eventTime=0, eventFlags=0, index=7235129486797176832, time=1684559855338, sequence=0, price=26.3380972233688, volatility=0.396983376650804, delta=0.999999999996191, gamma=4.81989763184255e-12, theta=-2.5212017514875e-12, rho=0.01834504287973133, vega=3.7003015672215e-12)]
+.. code-block:: bash
+
+   >>> [Greeks(eventSymbol='.SPLG230616C23', eventTime=0, eventFlags=0, index=7235129486797176832, time=1684559855338, sequence=0, price=26.3380972233688, volatility=0.396983376650804, delta=0.999999999996191, gamma=4.81989763184255e-12, theta=-2.5212017514875e-12, rho=0.01834504287973133, vega=3.7003015672215e-12)]
 
 For more examples, check out the `documentation <https://tastyworks-api.readthedocs.io/en/latest/>`_.
 

docs/conf.py

@@ -7,9 +7,9 @@
 # https://www.sphinx-doc.org/en/master/usage/configuration.html#project-information
 
 project = 'tastytrade'
-copyright = '2023, Graeme Holliday'
+copyright = '2024, Graeme Holliday'
 author = 'Graeme Holliday'
-release = '7.1'
+release = '8.0'
 
 # -- General configuration ---------------------------------------------------
 # https://www.sphinx-doc.org/en/master/usage/configuration.html#general-configuration

docs/data-streamer.rst

@@ -20,15 +20,14 @@ Or, you can create a streamer using an asynchronous context manager:
    async with DXLinkStreamer(session) as streamer:
        pass
 
-There are two kinds of streamers: ``DXLinkStreamer`` and ``DXFeedStreamer``. ``DXFeedStreamer`` is older, but has been kept around for compatibility reasons. It supports more event types, but it's now deprecated as it will probably be moved to delayed quotes at some point.
 Once you've created the streamer, you can subscribe/unsubscribe to events, like ``Quote``:
 
 .. code-block:: python
 
    from tastytrade.dxfeed import EventType
    subs_list = ['SPY', 'SPX']
 
-   async with DXFeedStreamer(session) as streamer:
+   async with DXLinkStreamer(session) as streamer:
        await streamer.subscribe(EventType.QUOTE, subs_list)
        quotes = {}
        async for quote in streamer.listen(EventType.QUOTE):
@@ -67,7 +66,7 @@ We can also use the streamer to stream greeks for options symbols:
    exp = get_tasty_monthly()  # 45 DTE expiration!
    subs_list = [chain[exp][0].streamer_symbol]
 
-   async with DXFeedStreamer(session) as streamer:
+   async with DXLinkStreamer(session) as streamer:
        await streamer.subscribe(EventType.GREEKS, subs_list)
        greeks = await streamer.get_event(EventType.GREEKS)
        print(greeks)
@@ -85,7 +84,7 @@ For example, we can use the streamer to create an option chain that will continu
    import asyncio
    from datetime import date
    from dataclasses import dataclass
-   from tastytrade import DXFeedStreamer
+   from tastytrade import DXLinkStreamer
    from tastytrade.instruments import get_option_chain
    from tastytrade.dxfeed import Greeks, Quote
    from tastytrade.utils import today_in_new_york
@@ -94,14 +93,14 @@ For example, we can use the streamer to create an option chain that will continu
    class LivePrices:
        quotes: dict[str, Quote]
        greeks: dict[str, Greeks]
-       streamer: DXFeedStreamer
+       streamer: DXLinkStreamer
        puts: list[Option]
        calls: list[Option]
 
        @classmethod
        async def create(
            cls,
-           session: ProductionSession,
+           session: Session,
            symbol: str = 'SPY',
            expiration: date = today_in_new_york()
        ):
@@ -110,7 +109,7 @@ For example, we can use the streamer to create an option chain that will continu
            # the `streamer_symbol` property is the symbol used by the streamer
            streamer_symbols = [o.streamer_symbol for o in options]
 
-           streamer = await DXFeedStreamer.create(session)
+           streamer = await DXLinkStreamer.create(session)
            # subscribe to quotes and greeks for all options on that date
            await streamer.subscribe(EventType.QUOTE, [symbol] + streamer_symbols)
            await streamer.subscribe(EventType.GREEKS, streamer_symbols)

docs/instruments.rst

@@ -60,7 +60,7 @@ Alternatively, ``NestedOptionChain`` and ``NestedFutureOptionChain`` provide a s
    chain = NestedOptionChain.get_chain(session, 'SPY')
    print(chain.expirations[0].strikes[0])
 
->>> Strike(strike_price=Decimal('415.0'), call='SPY   240207C00415000', put='SPY   240207P00415000')
+>>> Strike(strike_price=Decimal('437.0'), call='SPY   240417C00437000', put='SPY   240417P00437000', call_streamer_symbol='.SPY240417C437', put_streamer_symbol='.SPY240417P437')
 
 Each expiration contains a list of these strikes, which have the associated put and call symbols that can then be used to fetch option objects via ``Option.get_options()`` or converted to dxfeed symbols for use with the streamer via ``Option.occ_to_streamer_symbol()``.
 

docs/sessions.rst

@@ -9,21 +9,22 @@ To create a production (real) session using your normal login:
 
 .. code-block:: python
 
-   from tastytrade import ProductionSession
-   session = ProductionSession('username', 'password')
+   from tastytrade import Session
+   session = Session('username', 'password')
 
 A certification (test) account can be created `here <https://developer.tastytrade.com/sandbox/>`_, then used to create a session:
 
 .. code-block:: python
 
-   from tastytrade import CertificationSession
-   session = CertificationSession('username', 'password')
+   session = Session('username', 'password', is_test=True)
+
+Be aware that not all endpoints work with certification sessions.
 
 You can make a session persistent by generating a remember token, which is valid for 24 hours:
 
 .. code-block:: python
 
-   session = ProductionSession('username', 'password', remember_me=True)
+   session = Session('username', 'password', remember_me=True)
    remember_token = session.remember_token
    # remember token replaces the password for the next login
-   new_session = ProductionSession('username', remember_token=remember_token)
+   new_session = Session('username', remember_token=remember_token)

docs/watchlists.rst

@@ -7,8 +7,8 @@ To use watchlists you'll need a production session:
 
 .. code-block:: python
 
-   from tastytrade import ProductionSession
-   session = ProductionSession(user, password)
+   from tastytrade import Session
+   session = Session(user, password)
 
 Now we can fetch the watchlist:
 

setup.py

@@ -7,7 +7,7 @@
 
 setup(
     name='tastytrade',
-    version='7.1',
+    version='8.0',
     description='An unofficial SDK for Tastytrade!',
     long_description=LONG_DESCRIPTION,
     long_description_content_type='text/x-rst',

tastytrade/__init__.py

@@ -2,26 +2,23 @@
 
 API_URL = 'https://api.tastyworks.com'
 CERT_URL = 'https://api.cert.tastyworks.com'
-VERSION = '7.1'
+VERSION = '8.0'
 
 logger = logging.getLogger(__name__)
 logger.setLevel(logging.DEBUG)
 
 from .account import Account  # noqa: E402
 from .search import symbol_search  # noqa: E402
-from .session import CertificationSession, ProductionSession  # noqa: E402
-from .streamer import (AccountStreamer, DXFeedStreamer,  # noqa: E402
-                       DXLinkStreamer)
+from .session import Session  # noqa: E402
+from .streamer import AccountStreamer, DXLinkStreamer  # noqa: E402
 from .watchlists import PairsWatchlist, Watchlist  # noqa: E402
 
 __all__ = [
     'Account',
     'AccountStreamer',
-    'CertificationSession',
-    'DXFeedStreamer',
     'DXLinkStreamer',
     'PairsWatchlist',
-    'ProductionSession',
+    'Session',
     'Watchlist',
     'symbol_search'
 ]

tastytrade/account.py

@@ -9,7 +9,7 @@
 from tastytrade.order import (InstrumentType, NewComplexOrder, NewOrder,
                               OrderStatus, PlacedComplexOrder, PlacedOrder,
                               PlacedOrderResponse, PriceEffect)
-from tastytrade.session import ProductionSession, Session
+from tastytrade.session import Session
 from tastytrade.utils import (TastytradeError, TastytradeJsonDataclass,
                               today_in_new_york, validate_response)
 
@@ -723,7 +723,7 @@ def get_total_fees(
 
     def get_net_liquidating_value_history(
         self,
-        session: ProductionSession,
+        session: Session,
         time_back: Optional[str] = None,
         start_time: Optional[datetime] = None
     ) -> List[NetLiqOhlc]:
@@ -786,7 +786,7 @@ def get_position_limit(self, session: Session) -> PositionLimit:
 
     def get_effective_margin_requirements(
         self,
-        session: ProductionSession,
+        session: Session,
         symbol: str
     ) -> MarginRequirement:
         """

tastytrade/dxfeed/__init__.py

@@ -1,5 +1,3 @@
-from enum import Enum
-
 from .candle import Candle
 from .event import Event, EventType
 from .greeks import Greeks
@@ -24,15 +22,3 @@
     'Trade',
     'Underlying'
 ]
-
-
-class Channel(str, Enum):
-    """
-    This is an :class:`~enum.Enum` that contains the channels for the quote
-    streamer.
-    """
-    DATA = '/service/data'
-    HANDSHAKE = '/meta/handshake'
-    HEARTBEAT = '/meta/connect'
-    SUBSCRIPTION = '/service/sub'
-    TIME_SERIES = '/service/timeSeriesData'

tastytrade/dxfeed/candle.py

@@ -33,13 +33,13 @@ class Candle(Event):
     #: the last (close) price of the candle
     close: Optional[Decimal] = None
     #: the total volume of the candle
-    volume: Optional[int] = None
+    volume: Optional[Decimal] = None
     #: volume-weighted average price
     vwap: Optional[Decimal] = None
     #: bid volume in the candle
-    bidVolume: Optional[int] = None
+    bidVolume: Optional[Decimal] = None
     #: ask volume in the candle
-    askVolume: Optional[int] = None
+    askVolume: Optional[Decimal] = None
     #: implied volatility in the candle
     impVolatility: Optional[Decimal] = None
     #: open interest in the candle

tastytrade/dxfeed/event.py

@@ -50,8 +50,10 @@ def from_stream(cls, data: list) -> List['Event']:  # pragma: no cover
         if not multiples.is_integer():
             msg = 'Mapper data input values are not a multiple of the key size'
             raise TastytradeError(msg)
+        keys = cls.model_fields.keys()
         for i in range(int(multiples)):
             offset = i * size
             local_values = data[offset:(i + 1) * size]
-            objs.append(cls(*local_values))
+            event_dict = dict(zip(keys, local_values))
+            objs.append(cls(**event_dict))
         return objs

tastytrade/instruments.py

@@ -7,7 +7,7 @@
 import requests
 
 from tastytrade.order import InstrumentType, TradeableTastytradeJsonDataclass
-from tastytrade.session import ProductionSession, Session
+from tastytrade.session import Session
 from tastytrade.utils import TastytradeJsonDataclass, validate_response
 
 
@@ -1119,7 +1119,7 @@ def get_option_chain(
 
 
 def get_future_option_chain(
-    session: ProductionSession,
+    session: Session,
     symbol: str
 ) -> Dict[date, List[FutureOption]]:
     """