This package provides access to dxFeed market data. The library is built as a language-specific wrapper over the dxFeed Graal Native library, which was compiled with GraalVM Native Image and dxFeed Java API (our flagman API).
ℹ️ If you already use dxFeed C API, please see
the Overview section.
- Overview
- Documentation
- Requirements
- Installation
- Usage
- Tools
- Samples
- Current State
- Dependencies
- How To Build
- 3rd Party Licenses
The old version of dxFeed C API, has several architectural restrictions that prevent us from providing a state-of-the-art technological solution.
- 🚀 Increased performance
- 🌌 Wider functionality
- ♊ Identical programming interfaces to our best API
- 👍 Higher quality of support and service
Feature development has already stopped for the old version of dxFeed C API.
The old version will be considered deprecated, and at the end of 2024, we plan to end the service. If you’re already our customer and have difficulty with a future transition, please contact us via our customer portal.
To help you rewrite the existing API calls, we’ve prepared samples demonstrating how to work with the new API and how several functionalities are implemented. More examples will follow. The table below shows the sample mapping between the old and new versions.
Our support team on our customer portal is ready to answer any questions and help with the transition.
We use GraalVM Native Image technology and specially written code that wraps Java methods into native ones to get dynamically linked libraries for different platforms (Linux, macOS, and Windows) based on the latest Java API package.
Then, the resulting dynamic link library (dxFeed Graal-native) is used through C ABI (application binary interface), and we write programming interfaces that describe our business model (similar to Java API).
As a result, we get a full-featured, similar performance as with Java API. Regardless of the language, writing the final application logic using API calls will be very similar (only the syntax will be amended, "best practices", specific language restrictions).
Below is a scheme of this process:
| # | Limitation | How It’s Solved in the New Version |
|---|---|---|
| 1 | Single-threaded architecture limiting throughput | Based on the Java API, each subscription object (DXFeedSubscription) can run on its own thread |
| 2 | User code in event callbacks (for example, dxf_event_listener_t) is executed in the socket read thread, which can significantly reduce throughput | Socket processing threads and callback threads are separated |
| 3 | In event callbacks, one market event type and one data portion always arrive (excluding snapshot subscription), which increases the load on the CPU with a large amount of incoming data | Event callbacks can receive different market event types, and more than one by batch |
| 4 | It’s impossible to subscribe to data without getting regionals (if it is available for the market event) or only for a certain regional | subscription->addSymbols({"AAPL"}); - compositesubscription->addSymbols({"AAPL&Q"}); - regional |
| 5 | It’s impossible to subscribe to Order event (excluding snapshot subscription) without getting: all sources, Order by Quote (including regionals), Order by MarketMaker |
subscription->addSymbols(IndexedEventSubscriptionSymbol::create("AAPL", OrderSource::NTV)); - OrderSource determines which data is being subscribed to |
| 6 | Data is mixed up when creating two subscriptions (regular and time series) for the same market event type. Both regular and time series data go to both subscriptions | Each subscription instance receives only the data requested |
| 7 | Each subsequent request for the same symbol set in a subscription instance overwrites the existing one in another subscription instance | Subscription instances and the data they receive are independent of each other |
| 8 | Removing a symbol from one subscription instance caused it to be removed from all others | Subscription instances and the data they receive are independent of each other |
| 9 | Incorrect behavior when reading from a file (if a market event in the file hasn't been subscribed to). Reading from a file always occurs at maximum speed. The supported format is binary only | endpoint->connect("file:tape.txt[format=text]"); - processing a text file with at it's "real" speed by timestampsendpoint->connect("file:tape.bin[format=binary,speed=max]"); - processing a binary file with max speed |
Find useful information in our self-service dxFeed Knowledge Base or CXX API documentation:
Only x64 versions are supported.
| OS | Version | Architectures |
|---|---|---|
| Windows | 8, 8.1 | x64 |
| Windows 10 | Version 1607+ | x64 |
| Windows 11 | Version 22000+ | x64 |
| Windows Server | 2012+ | x64 |
| Windows Server Core | 2012+ | x64 |
| Nano Server | Version 1809+ | x64 |
Only x64 versions are supported.
A symlink on libpthread.so, libpthread.so.0, or libcoreclr.so must exist.
| OS | Version | Architectures |
|---|---|---|
| macOS | 10.15+ | x64 |
| macOS | 11+ | Arm64 |
Examples of how to install the library and integrate with the library can be found here.
The API is delivered as a dynamic library (dxFeedGraalCxxApi.so|dll|dylib) and a static
one (dxFeedGraalCxxApi_static.a|lib).
Also, it depends on DxFeedGraalNativeSdk.so|dll|dylib. Please place it nearby or available on PATH (Or
use RPATH, LD_LIBRARY_PATH).
To use the dynamic library define the DXFCPP_USE_DLLS preprocessor directive.
#include <iostream>
#include <dxfeed_graal_cpp_api/api.hpp>
int main() {
using namespace dxfcpp;
// For token-based authorization, use the following address format:
// "demo.dxfeed.com:7300[login=entitle:token]"
auto endpoint = DXEndpoint::newBuilder()
->withProperty("dxfeed.address", "demo.dxfeed.com:7300")
->build();
// Another way to connect the endpoint.
// auto endpoint = DXEndpoint::create()->connect("demo.dxfeed.com:7300");
auto subscription = endpoint->getFeed()->createSubscription(Quote::TYPE);
subscription->addEventListener([](auto&& events) {
for (auto&& e : events) {
std::cout << e << "\n";
}
});
subscription->addSymbols({"AAPL"});
std::cin.get();
}Output
I 221219 224811.681 [main] QD - Using QDS-3.313+file-UNKNOWN+mars-UNKNOWN+monitoring-UNKNOWN+tools-UNKNOWN, (C) Devexperts
I 221219 224811.695 [main] QD - Using scheme com.dxfeed.api.impl.DXFeedScheme DH2FdjP0DtOEIOAbE4pRVpmJsPnaZzAo1mICPJ6b06w
I 221219 224812.010 [main] QD - qd with collectors [Ticker, Stream, History]
I 221219 224812.017 [main] ClientSocket-Distributor - Starting ClientSocketConnector to demo.dxfeed.com:7300
I 221219 224812.017 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Resolving IPs for demo.dxfeed.com
I 221219 224812.021 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connecting to 208.93.103.170:7300
I 221219 224812.170 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connected to 208.93.103.170:7300
D 221219 224812.319 [demo.dxfeed.com:7300-Reader] QD - Distributor received protocol descriptor multiplexor@WQMPz [type=qtp, version=QDS-3.306, opt=hs, mars.root=mdd.demo-amazon.multiplexor-demo1] sending [TICKER, STREAM, HISTORY, DATA] from 208.93.103.170
Quote{AAPL, eventTime=0, time=20221219-223311.000, timeNanoPart=0, sequence=0, bidTime=20221219-223311, bidExchange=Q, bidPrice=132.16, bidSize=2, askTime=20221219-223311, askExchange=K, askPrice=132.17, askSize=10}
Quote{AAPL, eventTime=0, time=20221219-223312.000, timeNanoPart=0, sequence=0, bidTime=20221219-223312, bidExchange=Q, bidPrice=132.16, bidSize=6, askTime=20221219-223312, askExchange=K, askPrice=132.17, askSize=10}
Quote{AAPL, eventTime=0, time=20221219-223312.000, timeNanoPart=0, sequence=0, bidTime=20221219-223312, bidExchange=K, bidPrice=132.16, bidSize=10, askTime=20221219-223312, askExchange=V, askPrice=132.17, askSize=4}
#include <iostream>
#include <dxfeed_graal_cpp_api/api.hpp>
int main() {
using namespace dxfcpp;
// Enable experimental feature.
System::setProperty("dxfeed.experimental.dxlink.enable", "true");
// Set scheme for dxLink.
System::setProperty("scheme", "ext:opt:sysprops,resource:dxlink.xml");
// For token-based authorization, use the following address format:
// "dxlink:wss://demo.dxfeed.com/dxlink-ws[login=dxlink:token]"
auto endpoint = DXEndpoint::newBuilder()
->withProperty("dxfeed.address", "dxlink:wss://demo.dxfeed.com/dxlink-ws")
->build();
// Another way to connect the endpoint.
// auto endpoint = DXEndpoint::create()->connect("dxlink:wss://demo.dxfeed.com/dxlink-ws");
auto subscription = endpoint->getFeed()->createSubscription(Quote::TYPE);
subscription->addEventListener([](auto&& events) {
for (auto&& e : events) {
std::cout << e << "\n";
}
});
subscription->addSymbols({"AAPL"});
std::cin.get();
}Output
I 231130 154554.594 [main] QD - Using QDS-3.325+file-UNKNOWN, (C) Devexperts
I 231130 154554.602 [main] QD - Using scheme com.dxfeed.api.impl.DXFeedScheme slfwemJduh1J7ibvy9oo8DABTNhNALFQfw0KmE40CMI
I 231130 154555.094 [main] MARS - Started time synchronization tracker using multicast 239.192.51.45:5145 with gixCx
I 231130 154555.100 [main] MARS - Started JVM self-monitoring
I 231130 154555.100 [main] QD - monitoring with collectors [Ticker, Stream, History]
I 231130 154555.103 [main] QD - monitoring DXEndpoint with dxfeed.address=dxlink:wss://demo.dxfeed.com/dxlink-ws
I 231130 154555.105 [main] DxLinkClientWebSocket-Distributor - Starting DxLinkClientWebSocketConnector to wss://demo.dxfeed.com/dxlink-ws
I 231130 154555.107 [wss://demo.dxfeed.com/dxlink-ws-Writer] DxLinkClientWebSocket-Distributor - Connecting to wss://demo.dxfeed.com/dxlink-ws
I 231130 154556.640 [wss://demo.dxfeed.com/dxlink-ws-Writer] DxLinkClientWebSocket-Distributor - Connected to wss://demo.dxfeed.com/dxlink-ws
D 231130 154557.801 [oioEventLoopGroup-2-1] QD - Distributor received protocol descriptor [type=dxlink, version=0.1-0.18-20231017-133150, keepaliveTimeout=120, acceptKeepaliveTimeout=5] sending [] from wss://demo.dxfeed.com/dxlink-ws
D 231130 154557.802 [oioEventLoopGroup-2-1] QD - Distributor received protocol descriptor [type=dxlink, version=0.1-0.18-20231017-133150, keepaliveTimeout=120, acceptKeepaliveTimeout=5, authentication=] sending [] from wss://demo.dxfeed.com/dxlink-ws
Quote{AAPL, eventTime=0, time=20231130-152903.000, timeNanoPart=0, sequence=0, bidTime=20231130-152903, bidExchange=P, bidPrice=189.9, bidSize=5.0, askTime=20231130-152854, askExchange=K, askPrice=189.98, askSize=10.0}
To familiarize with the dxLink protocol, please click here.
Tools is a collection of utilities that allow you to subscribe to various market events for the specified symbols. The tools can be downloaded from Release:
- Connect connects to the specified address(es) and subscribes to the specified events with the specified symbol
- Dump dumps all events received from address. This was designed to retrieve data from a file
- PerfTest connects to the specified address(es) and calculates performance counters (events per second, memory usage, CPU usage, etc.)
- LatencyTest connects to the specified address(es) and calculates latency
- Qds collection of tools ported from the Java qds-tools
- AuthSample demonstrates how to connect to an endpoint that requires an authentication token, subscribe to market data events, and handle periodic token updates
- ConnectSample demonstrates how to connect to the endpoint and subscribe to various market events
- PrintQuoteEventsSample
is a simple demonstration of how to subscribe to the
Quoteevent, using aDxFeedinstance singleton anddxfeed.propertiesfile - QuoteAndTradeSample
demonstrates how to create multiple event listeners and subscribe to
QuoteandTradeevents - ReconnectSample demonstrates how to connect to an endpoint, subscribe to market data events, handle reconnections and re-subscribing
- CandleSample
demonstrates how to subscribe to
Candleevents - CandleDataSample demonstrates how to parse response from CandleData service
- FetchDailyCandlesSample demonstrates how to fetch last N-days of candles for a specified symbol
- LastEventConsoleSample demonstrates how to subscribe to various market events with the dxFeed API, cache them in memory, and take snapshots of these events based on user input
- ConvertTapeFileSample demonstrates how to convert one tape file to another tape file with optional intermediate processing or filtering
- FileParserSample demonstrates how to read events from a tape file
- WriteTapeFileSample demonstrates how to write events to a tape file
- DxFeedIpfConnect is a simple demonstration of how to get Instrument Profiles
- DxFeedLiveIpfSample is a simple demonstration of how to get live updates for Instrument Profiles
- PublishProfiles is a simple demonstration of how to publish market events
- OptionChainSample demonstrates how to build option chains, and prints quotes for nearby option strikes
- IncOrderSnapshotSample demonstrates how to subscribe to the Order event and handle snapshots and updates
- MultipleMarketDepthSample
demonstrates how to use the
MarketDepthModelto manage and display order books for multiple symbols
- ScheduleSample demonstrates how to get various scheduling information for instruments
- OnDemandSample a sample that demonstrates how to use the dxFeed on-demand history data replay service API
- MarketDepthModelSample demonstrates how to draw a Market Depth.
- CandleChartSample demonstrates how to draw a Candlestick Chart.
- PriceLevelBookSample demonstrates how to compile a price level book (market by price) that aggregates individual orders (market by order)
- FEED connects to the remote data
feed provider and is optimized for real-time or delayed data processing, this is a default role
- dxFeed Graal C API
- dxFeed Graal C++ API
- STREAM_FEED is similar to
FEED and also connects to the remote data feed provider but is designed for bulk data parsing from files
- dxFeed Graal C API
- dxFeed Graal C++ API
- PUBLISHER connects to the
remote publisher hub (also known as multiplexor) or creates a publisher on the local
host (WriteTapeFile)
- dxFeed Graal C API
- dxFeed Graal C++ API
- STREAM_PUBLISHER is
similar to PUBLISHER and also connects to the remote publisher hub, but is designed for bulk data publishing
- dxFeed Graal C API
- dxFeed Graal C++ API
- LOCAL_HUB is a local hub
without the ability to establish network connections. Events published via publisher are delivered to local feed only.
- dxFeed Graal C API
- dxFeed Graal C++ API
- ON_DEMAND_FEED is similar
to FEED, but it is designed to be used with OnDemandService for historical data replay only
- dxFeed Graal C API
- dxFeed Graal C++ API
- Order is a snapshot of the full available
market depth for a symbol
- dxFeed Graal C API
- dxFeed Graal C++ API
- SpreadOrder is a snapshot of the
full available market depth for all spreads
- dxFeed Graal C API
- dxFeed Graal C++ API
- AnalyticOrder represents an
extension of Order introducing analytic information, e.g., adding iceberg-related
information to this order
- dxFeed Graal C API
- dxFeed Graal C++ API
- Trade is a snapshot of the price and size
of the last trade during regular trading hours and an overall day
volume and day turnover
- dxFeed Graal C API
- dxFeed Graal C++ API
- TradeETH is a snapshot of the price
and size of the last trade during extended trading hours and the extended
trading hours day volume and day turnover
- dxFeed Graal C API
- dxFeed Graal C++ API
- Candle - event with open, high, low, and
close prices and other information for a specific period
- dxFeed Graal C API
- dxFeed Graal C++ API
- Quote is a snapshot of the best bid and
ask prices and other fields that change with each quote
- dxFeed Graal C API
- dxFeed Graal C++ API
- Profile is a snapshot that contains the
security instrument description
- dxFeed Graal C API
- dxFeed Graal C++ API
- Summary is a snapshot of the trading
session, including session highs, lows, etc.
- dxFeed Graal C API
- dxFeed Graal C++ API
- TimeAndSale - represents a trade or
other market event with price, like market open/close price, etc.
- dxFeed Graal C API
- dxFeed Graal C++ API
- Greeks is a snapshot of the option
price, Black-Scholes volatility, and Greeks
- dxFeed Graal C API
- dxFeed Graal C++ API
- Series is a snapshot of computed values
available for all options series for a given underlying symbol based on options market prices
- dxFeed Graal C API
- dxFeed Graal C++ API
- TheoPrice is a snapshot of the
theoretical option price computation that is periodically performed
by dxPrice model-free computation
- dxFeed Graal C API
- dxFeed Graal C++ API
- Underlying is a snapshot of computed
values available for an option underlying symbol based on the market’s option prices
- dxFeed Graal C API
- dxFeed Graal C++ API
- Message is an event with an
application-specific attachment
- dxFeed Graal C API
- dxFeed Graal C++ API
- OptionSale is an event that represents
a trade or another market event with the price (for example, market open/close price, etc.) for each option symbol
listed under the specified Underlying
- dxFeed Graal C API
- dxFeed Graal C++ API
- OtcMarketsOrder represents an
extension of
Orderfor the symbols traded on the OTC Markets- dxFeed Graal C API
- dxFeed Graal C++ API
- String is a string representation of the symbol
- dxFeed Graal C API
- dxFeed Graal C++ API
- TimeSeriesSubscriptionSymbol
represents subscription to time-series events
- dxFeed Graal C API
- dxFeed Graal C++ API
- IndexedEventSubscriptionSymbol
represents subscription to a specific source of indexed events
- dxFeed Graal C API
- dxFeed Graal C++ API
- WildcardSymbol.ALL represents a
wildcard subscription to all events of the specific event type
- dxFeed Graal C API
- dxFeed Graal C++ API
- CandleSymbol symbol used
with DXFeedSubscription class to
subscribe for Candle events
- dxFeed Graal C API
- dxFeed Graal C++ API
- DXFeedSubscription is a subscription for
a set of symbols and event types
- dxFeed Graal C API
- dxFeed Graal C++ API
- GetLastEvent
returns the last event for the specified event instance
- dxFeed Graal C API
- dxFeed Graal C++ API
- GetTimeSeriesPromise
requests time series events for the specified event type, symbol, and time range
- dxFeed Graal C API
- dxFeed Graal C++ API
- InstrumentProfile represents basic
profile information about a market instrument
- dxFeed Graal C API
- dxFeed Graal C++ API (DxFeedIpfConnect)
- InstrumentProfileReader reads
instrument profiles from the stream using Instrument Profile Format (IPF).
- dxFeed Graal C API
- dxFeed Graal C++ API
- InstrumentProfileConnection
connects to an instrument profile URL and reads instrument profiles with support of streaming live updates.
- dxFeed Graal C API
- dxFeed Graal C++ API
- InstrumentProfileCollector
collects instrument profile updates and provides the live instrument profiles list
- dxFeed Graal C API
- dxFeed Graal C++ API (DxFeedLiveIpfSample)
- Schedule provides API to retrieve and
explore various exchanges’ trading schedules and different financial instrument
classes
- dxFeed Graal C API
- dxFeed Graal C++ API (ScheduleSample)
- OnDemandService provides on-demand
historical tick data replay
controls (OnDemandSample)
- dxFeed Graal C API
- dxFeed Graal C++ API