This package provides access to dxFeed market data.

Table of Contents

• Documentation
• Dependencies
• How to build
  • Windows
  • Linux
  • macOS
  • Android Termux
• Key features
  • Event types
  • Contracts
    • Ticker
    • Stream
    • History
  • Subscription creation
  • Listener attachment
  • Order sources
• Usage
  • Create connection
  • Create subscription
  • Setting up contract type
  • Setting up symbol
  • Setting up Order source
  • Quote subscription
• Samples

Documentation

Find useful information in self-service dxFeed Knowledge Base, or C API framework documentation:

• dxFeed Knowledge Base
  • Getting started
  • Troubleshooting
  • Market events
  • Event delivery contracts
  • dxFeed API event classes
  • Exchange codes
  • Order sources
  • Order book reconstruction
  • Symbol guide
• dxFeed С API framework Documentation
  • Order scopes
  • Event flags
  • Subscriptions

Dependencies

• API
  • Boost.Locale.EncodingUtf (1.75)
  • TOML11 (3.6.0)
• Tests
  • Catch2 (2.13.8)
• C++ Wrappers
  • Args (6.2.2)
  • fmt (8.0.0)
  • optional-lite (3.1.1)
  • string-view-lite (1.1.0)
  • variant-lite (1.1.0)

How to build

Windows

System requirements (for the libressl): Visual C++ Redistributable 2015, Visual Studio.

Prerequisites: git, cmake, ninja or make, clang (mingw or VS) or gcc (mingw) or visual studio

git clone https://github.com/dxFeed/dxfeed-c-api.git
cd dxfeed-c-api
mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=Release -DDISABLE_TLS=ON -DTARGET_PLATFORM=x64 ..
cmake --build . --config Release

---

Linux

Prerequisites: git, cmake, ninja or make, clang or gcc

git clone https://github.com/dxFeed/dxfeed-c-api.git
cd dxfeed-c-api
mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=Release -DDISABLE_TLS=ON -DTARGET_PLATFORM=x64 ..
cmake --build . --config Release

---

macOS

Prerequisites: git, cmake, ninja or make, clang

git clone https://github.com/dxFeed/dxfeed-c-api.git
cd dxfeed-c-api
mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=Release -DDISABLE_TLS=ON -DTARGET_PLATFORM=x64 ..
cmake --build . --config Release

---

Android Termux

Prerequisites: git, cmake, ninja, clang

git clone https://github.com/dxFeed/dxfeed-c-api.git
cd dxfeed-c-api
mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=Release -DDISABLE_TLS=ON -DTARGET_PLATFORM=x64 ..
cmake --build . --config Release

Key features

Event types

#	EventType	Short description	Examples of original feed events	Struct
1	Trade	The price and size of the last trade during regular trading hours, an overall day volume and day turnover	Trade (last sale), trade conditions change messages, volume setting events, index value	dxf_trade_t
2	TradeETH	The price and size of the last trade during extended trading hours, and the extended trading hours day volume and day turnover	Trade (last sale), trade conditions change messages, volume setting events	dxf_trade_t
3	TimeAndSale	The trade or other market event with price that provides information about trades in a continuous time slice (unlike Trade events, which are supposed to provide a snapshot of the current last trade)	Trade, index value	dxf_time_and_sale_t
4	Quote	The best bid and ask prices and other fields that may change with each quote. It represents the most recent information that is available about the best quote on the market	BBO Quote (bid/ask), regional Quote (bid/ask)	dxf_quote_t
5	Order	Depending on the scope flag it may be: composite BBO from the whole market or regional BBO from a particular exchange or aggregated information (e.g. PLB - price level book) or individual order (FOD - full order depth)	Regional Quote (bid/ask), depth (order books, price levels, market maker quotes), market depth	dxf_order_t
6	SpreadOrder	Multi-leg order	Regional Quote (bid/ask), depth (order books, price levels, market maker quotes), market depth	dxf_order_t
7	Candle	OHLCV candle	Charting aggregations	dxf_candle_t
8	Profile	The most recent information that is available about the traded security on the market	Instrument definition, trading halt/resume messages	dxf_profile_t
9	Summary	The most recent OHLC information about the trading session on the market	OHLC setting events (trades, explicit hi/lo update messages, explicit summary messages)	dxf_summary_t
10	Greeks	Differential values that show how the price of an option depends on other market parameters	Greeks and Black-Scholes implied volatility	dxf_greeks_t
11	TheoPrice	The theoretical option price	Theoretical prices	dx_theo_price_t
12	Underlying	Calculated values that are available for an option underlying symbol based on the option prices on the market	VIX methodology implied volatility, P/C ratios	dxf_underlying_t
13	Series	Properties of the underlying	VIX methodology implied volatility, P/C ratios	dxf_series_t

ℹ️ CODE SAMPLE: take a look at event_type usage in CommandLineSample

✅ READ MORE: Events to be published for different feed types, feed types and events matrix

---

Contracts

There are three types of delivery contracts: Ticker, Stream and History. You can set up the contract type by dx_event_subscr_flag as a parameter of dxf_create_subscription_with_flags.

Ticker

The main task of this contract is to reliably deliver the latest value for an event (for example, for the last trade of the selected symbol). Queued older events could be conflated to conserve bandwidth and resources.

Stream

A stream contract guaranteedly delivers a stream of events without conflation.

History

History contract first delivers a snapshot (set of previous events) for the specified time range (subject to limitations). After the snapshot is transmitted, the history contract delivers a stream of events.

ℹ️ NOTE: if dx_event_subscr_flag is not set, the default contract type will be enabled.

Default contracts for events (in most cases):

Ticker	Stream	History
Trade	TimeAndSale	Order
TradeETH		SpreadOrder
Quote		Candle
Profile		Series
Summary		Greeks
Greeks
TheoPrice
Underlying

ℹ️ CODE SAMPLE: take a look at dx_event_subscr_flag usage in CommandLineSample

✅ READ MORE: Event delivery contracts

---

Subscription creation

#	Method	Handle	Description	Code sample
1	dxf_create_subscription dxf_create_subscription_with_flags	dxf_subscription_t	Creates subscription to an event	CommandLineSample CommandLineSample
2	dxf_create_snapshot dxf_create_candle_snapshot dxf_create_order_snapshot	dxf_snapshot_t	Creates a snapshot subscription	SnapshotConsoleSample SnapshotConsoleSample SnapshotConsoleSample
3	dxf_create_price_level_book	dxf_price_level_book_t	Creates the new price level book for the specified symbol and sources	PriceLevelBookSample
4	dxf_create_regional_book	dxf_regional_book_t	Creates a regional price level book	RegionalBookSample

---

Listener attachment

#	Method	Handle	Callback listener
1	dxf_attach_event_listener	dxf_subscription_t	dxf_event_listener_t
2	dxf_attach_snapshot_listener	dxf_snapshot_t	dxf_snapshot_listener_t
3	dxf_attach_price_level_book_listener	dxf_price_level_book_t	dxf_price_level_book_listener_t
4	dxf_attach_regional_book_listener dxf_attach_regional_book_listener_v2	dxf_regional_book_t	dxf_price_level_book_listener_t dxf_regional_quote_listener_t

---

Order sources

Order source in most cases identifies source of Order and SpreadOrder events. You can set Order source in subscription creation method (e.g. order_source_ptr in dxf_create_order_snapshot()) or by dxf_set_order_source(). Several supported sources are listed below. Please find the full list here.

Aggregated:

• AGGREGATE_ASK, AGGREGATE_BID - Ask, Bid side of an aggregate order book (futures depth and Nasdaq Level II)

  ---

Full order depth:

• BATE - Cboe EU BXE (BATE)
• BYX - Cboe BYX
• BZX - Cboe BZX
• BXTR - Cboe EU SI (Systematic Internaliser)
• BI20 - BIST Top20 Orders (Level2+)
• CHIX - Cboe EU CXE (Chi-X)
• CEUX - Cboe EU DXE
• CFE - Cboe CFE
• C2OX - Cboe C2
• DEA - Cboe EDGA
• DEX - Cboe EDGX
• ERIS - ErisX
• ESPD - Nasdaq E-speed
• FAIR - FairX
• GLBX - Globex
• ICE - ICE Futures US/EU
• IST - Borsa Istanbul
• MEMX - Members Exchange
• NTV - Nasdaq TotalView
• NFX - Nasdaq NFX
• SMFE - SmallEx
• XNFI - Nasdaq NFI
• XEUR - Eurex

---

Price level book:

• glbx - CME Globex
• iex - IEX
• memx - Members Exchange
• ntv - Nasdaq TotalView
• smfe - SmallEx
• xeur - Eurex

ℹ️ CODE SAMPLE: take a look at order_sources_ptr usage in PriceLevelBookSample

✅ READ MORE: Order sources

---

Usage

Create connection

//connection handler declaration
dxf_connection_t connection;
//creating connection result declaration
ERRORCODE connection_result;
//creating connection
connection_result = dxf_create_connection(dxfeed_host, on_reader_thread_terminate, NULL, NULL, NULL, NULL, &connection);

---

Create subscription

//subscription handler declaration
dxf_subscription_t subscription;
//creating subscription result declaration
ERRORCODE subscription_result;
//creating subscription handler
subscription_result = dxf_create_subscription(connection, event_type, &subscription);

---

Setting up contract type

//creating subscription handler with Ticker contract
subscription_result = dxf_create_subscription_with_flags(connection, event_type, dx_esf_force_ticker, &subscription);

---

Setting up symbol

//adding array of symbols
dxf_add_symbols(subscription, (dxf_const_string_t*)symbols, symbol_count)

---

Setting up Order source

//setting Nasdaq TotalView FOD source
dxf_set_order_source(subscription, "NTV")

---

Quote subscription

#include <stdio.h>
#include <time.h>
#include "DXFeed.h"
void print_timestamp(dxf_long_t timestamp) {
	wchar_t timefmt[80];
	struct tm* timeinfo;
	time_t tmpint = (time_t)(timestamp / 1000);
	timeinfo = localtime(&tmpint);
	wcsftime(timefmt, 80, L"%Y%m%d-%H%M%S", timeinfo);
	wprintf(L"%ls", timefmt);
}
void listener(int event_type, dxf_const_string_t symbol_name, const dxf_event_data_t* data, int data_count,
			  void* user_data) {
	wprintf(L"%Quote{symbol=%ls, ", symbol_name);
	dxf_quote_t* q = (dxf_quote_t*)data;
	wprintf(L"bidTime=");
	print_timestamp(q->bid_time);
	wprintf(L" bidExchangeCode=%c, bidPrice=%f, bidSize=%i, ", q->bid_exchange_code, q->bid_price, q->bid_size);
	wprintf(L"askTime=");
	print_timestamp(q->ask_time);
	wprintf(L" askExchangeCode=%c, askPrice=%f, askSize=%i, scope=%d}\n", q->ask_exchange_code, q->ask_price,
			q->ask_size, (int)q->scope);
}
int main(int argc, char* argv[]) {
	dxf_connection_t con;
	dxf_subscription_t sub;
	dxf_create_connection("demo.dxfeed.com:7300", NULL, NULL, NULL, NULL, NULL, &con);
	dxf_create_subscription(con, DXF_ET_QUOTE, &sub);
	dxf_const_string_t symbols2[] = {L"AAPL"};
	dxf_attach_event_listener(sub, listener, NULL);
	dxf_add_symbols(sub, symbols2, sizeof(symbols2) / sizeof(symbols2[0]));
	wprintf(L"Press enter to stop\n");
	getchar();
	dxf_close_subscription(sub);
	dxf_close_connection(con);
	return 0;
}

Output:

Quote{symbol=AAPL, bidTime=20210826-174935 bidExchangeCode=A, bidPrice=148.020000, bidSize=0, askTime=20210826-174936 askExchangeCode=A, askPrice=148.050000, askSize=0, scope=1}
Quote{symbol=AAPL, bidTime=20210826-174901 bidExchangeCode=B, bidPrice=147.710000, bidSize=0, askTime=20210826-174916 askExchangeCode=B, askPrice=148.280000, askSize=0, scope=1}
Quote{symbol=AAPL, bidTime=20210826-174901 bidExchangeCode=C, bidPrice=147.740000, bidSize=0, askTime=20210826-174901 askExchangeCode=C, askPrice=148.210000, askSize=0, scope=1}
Quote{symbol=AAPL, bidTime=20170704-054404 bidExchangeCode=D, bidPrice=646.490000, bidSize=0, askTime=20170704-054404 askExchangeCode=D, askPrice=653.370000, askSize=0, scope=1}
Quote{symbol=AAPL, bidTime=20210826-174930 bidExchangeCode=H, bidPrice=147.560000, bidSize=0, askTime=20210826-174933 askExchangeCode=H, askPrice=148.200000, askSize=0, scope=1}
Quote{symbol=AAPL, bidTime=19700101-030000 bidExchangeCode=I, bidPrice=nan, bidSize=0, askTime=19700101-030000 askExchangeCode=I, askPrice=nan, askSize=0, scope=1}
Quote{symbol=AAPL, bidTime=20210826-174935 bidExchangeCode=J, bidPrice=147.890000, bidSize=0, askTime=20210826-174935 askExchangeCode=J, askPrice=148.220000, askSize=0, scope=1}

---

Samples

https://github.com/dxFeed/dxfeed-c-api/tree/master/samples:

• CandleSample - demonstrates how to subscribe to Candle event.
• CommandLineSample - demonstrates how to subscribe to Quote, Trade, TradeETH, Order, SpreadOrder, Profile, Summary, TimeAndSale, Underlying, TheoPrice, Series, Greeks, Configuration events.
• IncSnapshotConsoleSample - demonstrates how to subscribe to Order, SpreadOrder, TimeAndSale, Series, Greeks events with a snapshot and incremental updates.
• PriceLevelBookSample - demonstrates how to subscribe to a price level book.
• RegionalBookSample - demonstrates how to subscribe to regional price level book.
• SnapshotConsoleSample - demonstrates how to subscribe to Order, SpreadOrder, Candle, TimeAndSale, Greeks, Series snapshots.
• FullOrderBookSample - demonstrates how to subscribe to full order book (FOB) with NTV order source.