Subscription to Formulas
How subscription to formulas works
A user-defined formula subscription needs to be represented by a symbol starting with the prefix '='. Several rules:
In case of symbol division at least one (or both) of components need to be enclosed in brackets.
Brackets are allowed.
Numeric division needs to be enclosed in brackets.
Use braces or backslash to escape the following special characters: ‘!’, ‘:’, ‘;’, ‘|’, ‘&’, ‘*’, ‘?’, ‘+’, ‘(‘, ‘)’, ‘{‘, ‘}’, ‘<‘, ‘>;’, ‘~’, ‘,’, ‘“‘, ‘’’, ‘`’.
Escape the input string, if it starts with a lower-case character (from ‘a’ to ‘z’).
For example:
=AAPL[+]GOOG
=3[*]IBM-MSFT
=[(]AAPL[)]/GOOG
=[(]AAPL[+]GOOG[)]/[(]MSFT[+]NFLX[)]
=1/3[*]AAPL
Limitations
There are some limitations to formula components:
Only the simple math operations are allowed ('+', '-', '*', '/').
Brackets can be used with both expressions and symbols.
Besides the raw symbol(s), a time-based CandlePeriod has to be specified (a time based candle record used in QD can also be used here; in short, this method allows the time period to be set either in the record (
Trade.1min AAPL) or in the symbol (Candle AAPL{=m})). Defined below are all the possible CandleType values to build a proper CandlePeriod from:CandleType.SECOND("s", 1000L), for example
=AAPL+GOOG{=2s}CandleType.MINUTE("m", 60 * 1000L), for example
=AAPL+GOOG{=3m}CandleType.HOUR("h", 60 * 60 * 1000L), for example
=AAPL+GOOG{=h}CandleType.DAY("d", 24 * 60 * 60 * 1000L), for example
=AAPL+GOOG{=10d}CandleType.WEEK("w", 7 * 24 * 60 * 60 * 1000L), for example
=AAPL+GOOG{=w}CandleType.MONTH("mo", 30 * 24 * 60 * 60 * 1000L), for example
=AAPL+GOOG{=3mo}CandleType.YEAR("y", 365 * 24 * 60 * 60 * 1000L), , for example
=AAPL+GOOG{=y}
In cases when schedule-related symbol attributes (CandleSession, CandleAlignment) are used all symbol components must have the same schedule.
Spread symbols are not allowed in formulas.
Candle aggregation rules:
All formula components must have a candle during particular day. In other words, a candle will be built only if all symbol’s components have at least one valid trade event.
Сount, volume, vwap, bidVolume, askVolume, implVolatility, openInterest are excluded from computations due to their uselessness in math operations.
Examples
Candlewebservice
https://tools.dxfeed.com/candledata?records=Candle&symbols==[(]AAPL[%2B]GOOG[)]/2%7B=d%7D&start=20220501-000000-0000&stop=20220505-000000-0000
qds-tool
java -Ddxscheme.wide=true -jar lib/qds-tools.jar connect localhost:7368 Trade.1hour "=AAPL\+GOOG" 20191212 -c history
Output
=Trade.1hour EventSymbol Time Sequence Count Open High Low Close Volume VWAP BidVolume AskVolume ImpVolatility Trade.1hour =AAPL+GOOG 20191216-150000+0100 0 NaN 1633.7 1635.0019 1629.42 1631.76 NaN NaN NaN NaN NaN EventFlags=SNAPSHOT_BEGIN Trade.1hour =AAPL+GOOG 20191216-140000+0100 0 NaN 1633.85 1634.29 1624.7401 1632.3501 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191216-130000+0100 0 NaN 1631.48 1632.4899 1631.23 1632.0999 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191216-120000+0100 0 NaN 1631.93 1632.28 1631.85 1632.13 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191214-010000+0100 0 NaN 1624.2199 1624.35 1624.15 1624.35 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191214-000000+0100 0 NaN 1625.14 1625.15 1622.93 1622.9301 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-230000+0100 0 NaN 1625.03 1625.19 1622.83 1622.99 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-220000+0100 0 NaN 1623.1 1624.79 1621.04 1624.5999 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-210000+0100 0 NaN 1625.4001 1627.1 1621.22 1623.09 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-200000+0100 0 NaN 1624.5275 1625.95 1622.75 1625.035 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-190000+0100 0 NaN 1624.65 1625.23 1622.69 1624.35 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-180000+0100 0 NaN 1622.32 1625.98 1621.49 1624.7107 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-170000+0100 0 NaN 1617.6 1624.8399 1616.46 1622.41 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-160000+0100 0 NaN 1620.8139 1627.8931 1616.82 1618.0279 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-150000+0100 0 NaN 1618.534 1622.35 1616.37 1620.39 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-140000+0100 0 NaN 1623.79 1625.64 1622.0442 1625.21 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-130000+0100 0 NaN 1627.08 1627.32 1622.2 1623 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-120000+0100 0 NaN 1632.12 1632.33 1629.21 1629.39 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191213-000000+0100 0 NaN 1622.31 1624.39 1622.31 1624.39 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-230000+0100 0 NaN 1621.94 1623.7 1621.94 1623.5 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-220000+0100 0 NaN 1621.73 1623.4 1621.42 1623.14 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-210000+0100 0 NaN 1616.23 1625.7 1613.53 1620.76 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-200000+0100 0 NaN 1616.394 1618.065 1609.74 1615.8471 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-190000+0100 0 NaN 1615.79 1618.9456 1614.83 1616.46 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-180000+0100 0 NaN 1615.04 1617.53 1610.43 1615.46 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-170000+0100 0 NaN 1623.4602 1623.99 1611.92 1615.1155 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-160000+0100 0 NaN 1623.49 1628.3349 1620.27 1623.13 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-150000+0100 0 NaN 1612.99 1625.13 1610.98 1623.02 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-140000+0100 0 NaN 1612.65 1614.68 1611.67 1612.31 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-130000+0100 0 NaN 1619.19 1619.28 1617.26 1617.43 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-120000+0100 0 NaN 1616.23 1616.88 1616.23 1616.62 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-110000+0100 0 NaN 1617.13 1617.36 1616.23 1616.23 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-100000+0100 0 NaN 1617.89 1617.97 1617.17 1617.38 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-010000+0100 0 NaN 1617.48 1617.53 1617.18 1617.53 NaN NaN NaN NaN NaN Trade.1hour =AAPL+GOOG 20191212-000000+0100 0 NaN NaN NaN NaN NaN NaN NaN NaN NaN NaN EventFlags=REMOVE_EVENT,SNAPSHOT_END
dxfeed-api
There is a sample called com.dxfeed.acs.sample.SpreadSymbolSubscriptionSample located in acs-api:
public static void main(String[] args) throws InterruptedException {
if (args.length < 2) {
System.out.println("Usage: 'java -cp acs-api\\lib\\* com.dxfeed.acs.sample.SpreadSymbolSubscriptionSample " +
"<endpointAddress> <symbol>'");
System.out.println(" <address> - endpoint address");
System.out.println(" <symbol> - symbol to request");
System.exit(0);
}
String endpointAddress = args[0];
String symbol = args[1];
DXEndpoint endpoint = DXEndpoint.create().connect(endpointAddress);
DXFeed feed = endpoint.getFeed();
CountDownLatch eventLatch = new CountDownLatch(1);
long fromTime = Timing.GMT.today().day_start - 10 * TimeUtil.DAY;
CandleSymbol candleSymbol = CandleSymbol.valueOf(
symbol,
CandlePeriod.DAY // specify time based candle period
);
DXFeedTimeSeriesSubscription<Candle> sub = feed.createTimeSeriesSubscription(Candle.class);
sub.addEventListener(events -> {
System.out.println("Received: " + events);
eventLatch.countDown();
});
sub.setFromTime(fromTime);
sub.setSymbols(candleSymbol);
eventLatch.await(5, TimeUnit.SECONDS);
}Input parameters
localhost:7368 =AAPL+GOOG
Output
Received: [Candle{=AAPL+GOOG{=d}, eventTime=0, eventFlags=0x4, time=20191216-010000.000, sequence=0, count=0, open=1633.5, high=1636.28, low=1629.65, close=1635.2201, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL+GOOG{=d}, eventTime=0, eventFlags=0x0, time=20191213-010000.000, sequence=0, count=0, open=1619.41, high=1628.3931, low=1614.8, close=1622.98, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL+GOOG{=d}, eventTime=0, eventFlags=0x0, time=20191212-010000.000, sequence=0, count=0, open=1613.72, high=1628.3349, low=1607.821, close=1621.73, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL+GOOG{=d}, eventTime=0, eventFlags=0x0, time=20191211-010000.000, sequence=0, count=0, open=1619.65, high=1622.3, low=1611.17, close=1615.79, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL+GOOG{=d}, eventTime=0, eventFlags=0x0, time=20191210-010000.000, sequence=0, count=0, open=1610.1, high=1620.045, low=1601.9, close=1613.14, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL+GOOG{=d}, eventTime=0, eventFlags=0x0, time=20191209-010000.000, sequence=0, count=0, open=1608.04, high=1630.25, low=1602.75, close=1610.48, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL+GOOG{=d}, eventTime=0, eventFlags=0x8, time=20191206-010000.000, sequence=0, count=0, open=1600.92, high=1615.0, low=1600.74, close=1611.33, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN}]Input parameters
localhost:7368 =AAPL/(GOOG)
Output
Received: [Candle{=AAPL/(GOOG){=d}, eventTime=0, eventFlags=0x4, time=20191216-010000.000, sequence=0, count=0, open=0.204202, high=0.2052616, low=0.204202, close=0.2052616, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL/(GOOG){=d}, eventTime=0, eventFlags=0x0, time=20191213-010000.000, sequence=0, count=0, open=0.2013873, high=0.204143, low=0.2013873, close=0.204143, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL/(GOOG){=d}, eventTime=0, eventFlags=0x0, time=20191212-010000.000, sequence=0, count=0, open=0.1989539, high=0.2010413, low=0.1989539, close=0.2010413, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL/(GOOG){=d}, eventTime=0, eventFlags=0x0, time=20191211-010000.000, sequence=0, count=0, open=0.1989947, high=0.201313, low=0.1989947, close=0.201313, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL/(GOOG){=d}, eventTime=0, eventFlags=0x0, time=20191210-010000.000, sequence=0, count=0, open=0.2002236, high=0.2002236, low=0.198991, close=0.1996639, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL/(GOOG){=d}, eventTime=0, eventFlags=0x0, time=20191209-010000.000, sequence=0, count=0, open=0.2017877, high=0.2017877, low=0.1980132, close=0.1986662, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN},Candle{=AAPL/(GOOG){=d}, eventTime=0, eventFlags=0x8, time=20191206-010000.000, sequence=0, count=0, open=0.200594, high=0.201929, low=0.200459, close=0.201929, volume=NaN, vwap=NaN, bidVolume=NaN, askVolume=NaN, impVolatility=NaN, openInterest=NaN}]