candles default to 0, add event flags (#185)

tastytrade/dxfeed/candle.py

@@ -1,18 +1,20 @@
 from decimal import Decimal
 from typing import Optional
 
-from .event import Event
+from pydantic import Field, computed_field
 
+from .event import IndexedEvent
 
-class Candle(Event):
+ZERO = Decimal(0)
+
+
+class Candle(IndexedEvent):
     """
     A Candle event with open, high, low, close prices and other information
     for a specific period. Candles are build with a specified period using a
     specified price type with data taken from a specified exchange.
     """
 
-    #: transactional event flags
-    event_flags: int
     #: unique per-symbol index of this candle event
     index: int
     #: timestamp of the candle in milliseconds
@@ -21,14 +23,6 @@ class Candle(Event):
     sequence: int
     #: total number of events in the candle
     count: int
-    #: the first (open) price of the candle
-    open: Decimal
-    #: the maximal (high) price of the candle
-    high: Decimal
-    #: the minimal (low) price of the candle
-    low: Decimal
-    #: the last (close) price of the candle
-    close: Decimal
     #: the total volume of the candle
     volume: Optional[Decimal] = None
     #: volume-weighted average price
@@ -41,3 +35,40 @@ class Candle(Event):
     imp_volatility: Optional[Decimal] = None
     #: open interest in the candle
     open_interest: Optional[int] = None
+    # these fields will not show up in serialization
+    raw_open: Optional[Decimal] = Field(validation_alias="open", exclude=True)
+    raw_high: Optional[Decimal] = Field(validation_alias="high", exclude=True)
+    raw_low: Optional[Decimal] = Field(validation_alias="low", exclude=True)
+    raw_close: Optional[Decimal] = Field(validation_alias="close", exclude=True)
+
+    @computed_field
+    @property
+    def open(self) -> Decimal:
+        """
+        the first (open) price of the candle
+        """
+        return self.raw_open or ZERO
+
+    @computed_field
+    @property
+    def high(self) -> Decimal:
+        """
+        the maximal (high) price of the candle
+        """
+        return self.raw_high or ZERO
+
+    @computed_field
+    @property
+    def low(self) -> Decimal:
+        """
+        the minimal (low) price of the candle
+        """
+        return self.raw_low or ZERO
+
+    @computed_field
+    @property
+    def close(self) -> Decimal:
+        """
+        the last (close) price of the candle
+        """
+        return self.raw_close or ZERO

tastytrade/dxfeed/event.py

@@ -6,8 +6,19 @@
 from tastytrade import logger
 from tastytrade.utils import TastytradeError
 
+REMOVE_EVENT = 0x2
+SNAPSHOT_BEGIN = 0x4
+SNAPSHOT_END = 0x8
+SNAPSHOT_MODE = 0x40
+SNAPSHOT_SNIP = 0x10
+TX_PENDING = 0x1
+
 
 class Event(BaseModel):
+    """
+    Base class for dxfeed events received from the data streamer.
+    """
+
     #: symbol of this event
     event_symbol: str
     #: time of this event
@@ -47,6 +58,40 @@ def from_stream(cls, data: list) -> List["Event"]:
             try:
                 objs.append(cls(**event_dict))
             except ValidationError as e:
-                # we just skip these events as they're generally useless
-                logger.debug(e)
+                # we just skip these events as they're generally not helpful
+                logger.debug(f"Skipping event due to error: {e}")
         return objs
+
+
+class IndexedEvent(Event):
+    """
+    A dxfeed `IndexedEvent` with flags computed bitwise.
+    For info see `here <https://docs.dxfeed.com/dxfeed/api/com/dxfeed/event/IndexedEvent.html>`_.
+    """
+
+    #: flags for the event
+    event_flags: int
+
+    @property
+    def pending(self) -> bool:
+        return self.event_flags & TX_PENDING != 0
+
+    @property
+    def remove(self) -> bool:
+        return self.event_flags & REMOVE_EVENT != 0
+
+    @property
+    def snapshot_begin(self) -> bool:
+        return self.event_flags & SNAPSHOT_BEGIN != 0
+
+    @property
+    def snapshot_end(self) -> bool:
+        return self.event_flags & SNAPSHOT_END != 0
+
+    @property
+    def snapshot_mode(self) -> bool:
+        return self.event_flags & SNAPSHOT_MODE != 0
+
+    @property
+    def snapshot_snip(self) -> bool:
+        return self.event_flags & SNAPSHOT_SNIP != 0

tastytrade/dxfeed/greeks.py

@@ -1,9 +1,9 @@
 from decimal import Decimal
 
-from .event import Event
+from .event import IndexedEvent
 
 
-class Greeks(Event):
+class Greeks(IndexedEvent):
     """
     Greek ratios, or simply Greeks, are differential values that show how the
     price of an option depends on other market parameters: on the price of the
@@ -13,8 +13,6 @@ class Greeks(Event):
     portfolio has a risky sensitivity in this parameter.
     """
 
-    #: transactional event flags
-    event_flags: int
     #: unique per-symbol index of this event
     index: int
     #: timestamp of this event in milliseconds

tastytrade/dxfeed/theoprice.py

@@ -1,9 +1,9 @@
 from decimal import Decimal
 
-from .event import Event
+from .event import IndexedEvent
 
 
-class TheoPrice(Event):
+class TheoPrice(IndexedEvent):
     """
     Theo price is a snapshot of the theoretical option price computation that
     is periodically performed by dxPrice model-free computation. dxFeed does
@@ -12,8 +12,6 @@ class TheoPrice(Event):
     this event.
     """
 
-    #: transactional event flags
-    event_flags: int
     #: unique per-symbol index of this event
     index: int
     #: timestamp of this event in milliseconds

tastytrade/dxfeed/timeandsale.py

@@ -1,9 +1,9 @@
 from decimal import Decimal
 
-from .event import Event
+from .event import IndexedEvent
 
 
-class TimeAndSale(Event):
+class TimeAndSale(IndexedEvent):
     """
     TimeAndSale event represents a trade or other market event with a price,
     like market open/close price. TimeAndSale events are intended to provide
@@ -13,8 +13,6 @@ class TimeAndSale(Event):
     correction/cancellation processing.
     """
 
-    #: transactional event flags
-    event_flags: int
     #: unique per-symbol index of this time and sale event
     index: int
     #: timestamp of the original event

tastytrade/dxfeed/underlying.py

@@ -1,18 +1,16 @@
 from decimal import Decimal
 
-from .event import Event
+from .event import IndexedEvent
 
 
-class Underlying(Event):
+class Underlying(IndexedEvent):
     """
     Underlying event is a snapshot of computed values that are available for
     an option underlying symbol based on the option prices on the market. It
     represents the most recent information that is available about the
     corresponding values on the market at any given moment of time.
     """
 
-    #: transactional event flags
-    event_flags: int
     #: unique per-symbol index of this event
     index: int
     #: timestamp of this event in milliseconds