BidFX API Python

Release 1.1.1

BidFX Systems Ltd

Mar 28, 2024

CONTENTS

1 Contents 3

1.1 About BidFX . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

1.2 FX liquidity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

1.3 User Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

1.4 Example Programs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

1.5 API Conﬁguration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

1.6 Global Points of Presence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

1.7 Potential issues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

2 API docs 17

2.1 BidFX package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17

2.2 Pricing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18

3 Indices and tables 31

Python Module Index 33

Index 35

BidFX API Python, Release 1.1.1

The BidFX Python API is a price API that connects to the BidFX trading platform to subscribe to realtime pricing.

The API supports the following features:

• FX streaming executable prices (RFS)

• FX request for quote (RFQ)

CONTENTS 1

BidFX API Python, Release 1.1.1

2 CONTENTS

CHAPTER

ONE

CONTENTS

1.1 About BidFX

BidFX is the market-leading provider of electronic trading solutions for the global foreign exchange marketplace.

BidFX has addressed the challenges of the FX market by introducing a complete suite of negotiation protocols –

which include: auto-routing, streaming, request-for-quote, voice, algo-trading and best execution – via a cloud-based

SaaS trading platform. BidFX offer clients access to a cutting edge, broker-neutral, Execution Management System

(EMS) backed by a hub to all major bank’s algo suites. You can read about all BidFX products on the main BidFX

Website.

1.1.1 BidFX APIs

BidFX clients access the trading platform via a dedicated User Interface (UI) either on their desktop PC, web browser

or mobile device.

Public APIs provide a secondary means of accessing the trading platform that can either supplement the UI or re-

place it entirely in some use cases, including: systematic trading, OMS integration and market intelligence. BidFX

place signiﬁcant emphasis on API support and therefore provide a suite of APIs for different high-level programming

languages and common protocols.

You can read about the complete BidFX API range, and their different capabilities, at BidFX API Overview.

1.1.2 Python API

This document describes the BidFX Public API for Python. The Python API is written pure Python and is compatible

with Python 3.6 and above. All of the code examples below are presented in Python.

We use the nomenclature Public to indicated that this API is designed and maintained for public use by BidFX clients.

Being Public implies a degree of support, API stability and future compatibility appropriate to client usage.

1.2 FX liquidity

BidFX are connected to all the major tier-1 banks and FX liquidity providers (LP). LPs publish tradable FX

price/quotes into the BidFX platform using the FIX protocol. The quotes from LPs are ﬁrm prices with an associ-

ated price-ID that needs to be attached to any order placed against the quote. The BidFX platform consumes billions

for FIX messages per day. We provision high-bandwidth, cross-connect circuits in the main global data centres for

this purpose. BidFX connect to banks where they host their price engines, in particular in:

• London (LD4),

BidFX API Python, Release 1.1.1

• New York (NY4) and

• Tokyo (TY3).

1.2.1 Last look

FX quotes are short-lived and LPs reserve the right of last look. A quote usually is good for no more than a few hundred

milliseconds. Network latency between the client application and the LP is therefore a signiﬁcant consideration if we

want to avoid order rejections.

If clients intend to trade directly against price-IDs, then it is recommended that they run their application very close to

the source of liquidity and cross-connect within the same data centre. Alternatively, clients may route their orders to

the BidFX Strategy Server which is located close to LPs to minimise both rejections and slippage.

1.2.2 Binary protocols

The BidFX Python API implements two binary protocols that are optimised to deliver realtime quotes from LPs

directly to into a client’s application with minimal latency. The binary delivery mechanism is more efﬁcient than the

FIX protocol used by most banks to publish prices. Furthermore, using the publish and subscribe paradigm, BidFX

servers publish only those quotes that are subscribed to, thus saving signiﬁcantly in network trafﬁc.

1.3 User Guide

1.3.1 Download and installation

Installation

The library is setup to use the pip package manager. It can be installed running pip as follows.

pip install bidfx-api

Python version

BidFX Python API works with Python 3.6 and greater. To check that your have the right version of Python installed

use the command:

python --version

You should get some output like Python 3.7.5.

If you do not have Python, please install the latest 3.x version from python.org or refer to the Installing Python section

of the Hitchhiker’s Guide to Python.

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BidFX API Python, Release 1.1.1

Git repository

As part of the BidFX Open Source initiative, BidFX intend to published the source code for the Python API on the

BidFX Github Page. This source will be released soon. When available, you will be able to clone the API with the

following command.

git clone https://github.com/bidfx/bidfx-api-py.git

1.3.2 Session conﬁguration

The bidfx package contains all of the classes, methods and event handlers that are necessary to subscribe to pricing

from multiple pricing services.

To work with the API, the ﬁrst thing you need to do is create a Session. Session is the core class that allows you

to subscribe to prices and trade via BidFX. To connect to the BidFX platform the Session must ﬁrst be conﬁgured.

There are three ways to conﬁgure the Session:

1. by using a default conﬁg ﬁle located in your home directory

2. specifying a named conﬁg ﬁle from any location

3. creating a conﬁg in code.

Details of how to conﬁgure the API can be found at API Conﬁguration. In our examples we will just use the default

method to create and conﬁgure a Session as follows.

from bidfx import Session

session = Session.create_from_ini_file()

1.3.3 Pricing API

The Pricing API interface is obtained as a property of the Session. Pricing makes use of a publish-subscribe

paradigm in which clients register for price updates by subscribing on subjects. A Subject identiﬁes a view of an

individual instruments for which realtime pricing may be obtained.

LPs publish streams of realtime prices against large numbers of subjects. The BidFX price service matches the client’s

subscribed subjects against the total universe of published subjects and forwards on to each client only those price

updates that match their subscriptions.

Pricing uses threads to manage asynchronous communication with the price servers. The threads need to be started

explicitly. Realtime data is passed back to the user-code via event-handling callback functions. The normal pattern for

using the pricing API is:

1. conﬁgure the Session

2. fetch the pricing API from the Session

3. register the pricing callback functions

4. start the pricing threads

5. subscribe to Subjects

1.3. User Guide 5

BidFX API Python, Release 1.1.1

Minimal example

Here is a small but complete example of a price consuming application:

from bidfx import Session

def on_price_event(event):

print(f"Price update to {event}")

def main():

session = Session.create_from_ini_file()

pricing = session.pricing

pricing.callbacks.price_event_fn = on_price_event

pricing.subscribe(

pricing.build.fx.stream.spot.liquidity_provider("CSFX")

.currency_pair("EURUSD")

.currency("EUR")

.quantity(1000000)

.create_subject()

)

pricing.start()

if __name__ == "__main__":

main()

After subscribing to a Subject, you will start receiving related PriceEvent notiﬁcations via the registered callback

function: pricing.callbacks.price_event_fn.

In addition, if required, whenever the status of a subscription changes a SubscriptionEvent notiﬁcation is pub-

lished via the registered subscription status callback pricing.callbacks.subscription_event_fn.

FX streaming example

Example of streaming (RFS) ﬁrm spot rates direct from LPs

import logging

from bidfx import Session, Subject

def on_price_event(event):

if event.price:

print(

"{} {} {} {} {} -> {}".format(

event.subject[Subject.CURRENCY_PAIR],

event.subject[Subject.LIQUIDITY_PROVIDER],

event.subject[Subject.DEAL_TYPE],

event.subject[Subject.CURRENCY],

event.subject[Subject.QUANTITY],

event.price,

)

(continues on next page)

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BidFX API Python, Release 1.1.1

(continued from previous page)

def on_subscription_event(event):

print(f"Subscription to {event}")

def on_provider_event(event):

print(f"Provider {event}")

def main():

logging.basicConfig(

level=logging.INFO,

format="%(asctime)s %(levelname)-7s %(threadName)-12s %(message)s",

)

session = Session.create_from_ini_file()

pricing = session.pricing

pricing.callbacks.price_event_fn = on_price_event

pricing.callbacks.subscription_event_fn = on_subscription_event

pricing.callbacks.provider_event_fn = on_provider_event

pricing.start()

pricing.subscribe(

pricing.build.fx.stream.spot.liquidity_provider("DBFX")

.currency_pair("EURUSD")

.currency("EUR")

.quantity(1000000)

.create_subject()

)

pricing.subscribe(

pricing.build.fx.stream.spot.liquidity_provider("DBFX")

.currency_pair("USDJPY")

.currency("USD")

.quantity(5000000)

.create_subject()

)

if __name__ == "__main__":

main()

Callbacks

The Price API notiﬁes user-code of various pricing events via a set of callback functions. Separate callback are

provided for:

• Price update events (price_event_fn for PriceEvent)

• Subscription status events (subscription_event_fn for SubscriptionEvent)

• Provider status events (provider_event_fn for ProviderEvent)

Events are dispatched through in instance of the class Callbacks which is a property of the PricingAPI.

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BidFX API Python, Release 1.1.1

Price ﬁeld names

Price Fields as just strings key-pairs. The ﬁeld names are simple works or terms such as “Bid”, “Ask” or “AskSize”.

A list of the most common price ﬁeld names is provided by the class Field.

Building subjects

Because BidFX connects to many different liquidity providers our instrument symbology is necessarily complex. Each

instrument that can be subscribed on is deﬁned by a unique Subject. A Subject is an immutable object that looks

and behaves similar to a read-only dict. It contains many key-value string pairs called Subject components. FX

price Subjects can be particularly large, especially when it comes to swaps and NDS which are described by many

components. Here are a few example Subjects parsed from strings (not recommended):

from bidfx import Subject

indi_spot = Subject.parse_string("AssetClass=Fx,Exchange=OTC,Level=1,Source=Indi,

˓→Symbol=USDCAD")

rfs_spot = Subject.parse_string("AssetClass=Fx,BuySideAccount=GIVE_UP_ACCT,

˓→Currency=EUR,DealType=Spot,Level=1,LiquidityProvider=CSFX,Quantity=5000000.00,

˓→RequestFor=Stream,Symbol=EURUSD,Tenor=Spot,User=smartcorp_api")

rfq_ndf = Subject.parse_string("AssetClass=Fx,BuySideAccount=GIVE_UP_ACCT,

˓→Currency=USD,DealType=NDF,Level=1,LiquidityProvider=DBFX,Quantity=1000000.00,

˓→RequestFor=Quote,Symbol=USDKRW,Tenor=1M,User=smartcorp_api")

Subjects are case sensitive. Their components are ordered alphabetically by key. It is important to get the Subject

syntax and component spellings right, otherwise the subscription will fail. This is non-trivial for newcomers as Subject

formats vary by both asset class and deal type.

To build Subjects correctly, its is best to use a Subject builder which provides method-chaining to aid syntax discovery

and validation to check the result. The API provides a Subject builder as a property of the PricingAPI interface.

This allows you to construct to the following types of Subject:

• Indicative FX

• FX Request for Stream (RFS/ESP) - Spot, Forward, NDF

• FX Request for Quote (RFQ) - Spot, Forward, NDF, Swap and NDS

• Future

• Equity

Below are some Subject building examples that produce the same Subjects as the parsed strings above.

from bidfx import Session

from bidfx.pricing.tenor import Tenor

pricing = Session.create_from_ini_file().pricing

indi_spot = pricing.build.fx.indicative.spot.currency_pair("USDCAD").create_subject()

rfs_spot = pricing.build.fx.stream.spot.liquidity_provider("CSFX").currency_pair(

"EURUSD").currency("EUR").quantity(5000000).create_subject()

rfq_ndf = pricing.build.fx.quote.ndf.liquidity_provider("DBFX").currency_pair(

"USDKRW").currency("USD").quantity(1000000).tenor(Tenor.IN_1_MONTH).create_

˓→subject()

# To subscribing to pricing

pricing.subscribe(indicative_spot)

(continues on next page)

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BidFX API Python, Release 1.1.1

(continued from previous page)

# To un-subscribing from pricing

pricing.unsubscribe(indicative_spot)

1.4 Example Programs

The BidFX API comes bundled with a number of example programs to demonstrate its usage. These can be found

under the examples directory, immediately under the top-level directory. Two sets of examples are provided to

demonstrate the:

• Pricing API

These are located in separate sub-directories called examples/pricing.

1.4.1 Conﬁguration

All of the examples share a common means of conﬁguration using a Window-style INI ﬁle. Out of the box the ex-

amples will attempt to locate the API conﬁguration in the ﬁle .bidfx/api/config.ini located in the users

home directory i.e. $HOME/.bidfx/api/config.ini. An example conﬁg ﬁle is provided at examples/

config_example.ini to get you started. Tailor the conﬁguration as follows before attempting to run the exam-

ples.

cp examples/config_example.ini $HOME/.bidfx/api/config.ini

vi $HOME/.bidfx/api/config.ini

chmod 600 $HOME/.bidfx/api/config.ini

Edit the INI ﬁle to add the host name and user credentials provided by your BidFX account manager. It is best to make

the ﬁle read-only to protect the credentials. See API Conﬁguration for documentation of the supported parameters.

1.4.2 Running the examples

Running in an IDE

For running the example programs and for general Python development, we recommend an integrated development

environment (IDE) designed for programming in Python. We like the PyCharm from JetBrains. With PyCharm the

examples can be run directly by right-clicking on the example program in the Project tab and selecting Run.

Running from the command line

You may also run the examples directly from the command line. The examples are all executable Python scripts.

The scripts will select the ﬁrst version of python from your $PATH environment variable. The scripts can be run

directly on UNIX as follows.

./examples/pricing/example_indicative_fx.py

Alternatively, if you want to use a speciﬁc version of python then pass the example program ﬁle as the argument to

the version of python that you prefer.

1.4. Example Programs 9

BidFX API Python, Release 1.1.1

1.5 API Conﬁguration

The API is best conﬁgured using a Window’s style INI ﬁle. It is common to conﬁgure the API by supplying the name

of the INI on a call Session.create_from_ini_file(). If no ﬁlename is provided then the Session will

look for a ﬁle called .bidfx/api/config.ini in the user’s home directory.

1.5.1 Conﬁguration methods

There are three ways to provide a conﬁguration for the API:

1. by using a default conﬁg ﬁle located in your home directory

2. specifying a named conﬁg ﬁle from any location

3. creating a conﬁg in code.

Default conﬁguration

For convenience, all of conﬁguration items may be provided through a single conﬁguration object. The API uses a

ConﬁgParser to read its conﬁguration from a Windows-style INI ﬁle.

The conﬁg ﬁle is commonly located at $HOME/.bidfx/api/config.ini. When using the default INI ﬁle

location, the Session can be created and conﬁgured as follows.

from bidfx import Session

session = Session.create_from_ini_file()

Non-standard conﬁguration ﬁle

The conﬁg ﬁle location may be changed by passing a in ﬁle name to Session.create_from_ini_file().

from bidfx import Session

session = Session.create_from_ini_file("./my_config.ini")

Conﬁguration in code

The ConfigParser can be built directly in code if preferred, then passed into the Session constructor as follows.

from bidfx import Session

from configparser import ConfigParser

config_parser = ConfigParser()

# configure config manually

session = Session(config_parser)

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BidFX API Python, Release 1.1.1

1.5.2 INI ﬁle sections

There is four sections in the conﬁguration INI ﬁle:

• [DEFAULT] - deﬁnes shared properties such as host and port.

• [Exclusive Pricing] - is for overrides and properties particular to Exclusive Pricing (Pixie protocol).

• [Shared Pricing] - is for overrides and properties particular to Shared Pricing (Pufﬁn protocol).

Default section

The [DEFAULT] section provides default properties that are shared by the other sections. At present all four protocols

can be accessed by tunnelling via a single host on secure port 443. The required user credentials are also the same

for all usages of the API. These data can therefore be deﬁned once in the [DEFAULT] section of the conﬁguration.

Should this situation change then it is possible to override default settings in the each speciﬁc sections.

Shared pricing section

Shared Pricing, as the name suggests, is pricing which is shared between many users. An example of shared pricing

is Exchange Listed Futures; all exchange members receive the same shared price stream. The BixFX API currently

implements the Pufﬁn protocol for subscribing to shared pricing via a Pufﬁn server.

The conﬁguration of the Price Provider for shared pricing requires the following properties:

• host

• port

• username

• password

Exclusive pricing section

Exclusive pricing by contrast is not shared across users. It is exclusive to one particular user or group of users.

Tradable FX OTC prices direct from liquidity providers are exclusive to the subscribing user. The BixFX API currently

implements the Pixie protocol for subscribing to exclusive pricing from BidFX price servers.

The conﬁguration of the Price Provider for exclusive pricing uses the following properties:

• host

• port

• username

• password

• product_serial

• default_account

• min_interval

1.5. API Conﬁguration 11

BidFX API Python, Release 1.1.1

1.5.3 Example INI conﬁg ﬁle

[DEFAULT]

# The host and port number of the BidFX service to connect to.

host = api.ld.bidfx.biz

port = 443

# Provide the API login credentials provided by your BidFX account manager.

username = smartcorp_api

password = 4EL77HqPC2W8hQut

# If you have an API serial key then set it below otherwise leave it blank.

# product_serial = aad33247deffe2aa2832001f

[Exclusive Pricing]

# Use this section to override DEFAULT settings for user-exclusive pricing.

# When subscribing to user-exclusive quotes, the prices consumed may vary by account.

# A default account is defined here for use no explicit account has been provided.

default_account = GIVE_UP_ACCT

# The minimum price publication interval is given below in milliseconds.

min_interval = 500

[Shared Pricing]

# Use this section to override DEFAULT settings for use with shared pricing.

1.6 Global Points of Presence

BidFX provides several network Points-Of-Presence (POPs) around the world where our clients may connect to access

our pricing and trading service. TLS secures all connections over a single port which is sufﬁcient for both pricing and

order ﬂow.

1.6.1 Production

The table below lists the available Production POPs.

City Environment DNS name IP Port

London PROD api.ld.bidfx.com 64.52.164.90 443

New York PROD api.ny.bidfx.com 64.52.165.90 443

Tokyo PROD api.ty.bidfx.com 64.52.166.90 443

Singapore PROD api.sg.bidfx.com 64.52.167.90 443

Clients are encouraged to connect to their geographically closest access point for minimum latency.

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1.6.2 User acceptance testing

BidFX provide dedicated User Acceptance Test (UAT) environments which clients can uses to test and certify their

software before going into production. The table below lists the available UAT POPs.

City Environment DNS name IP Port

London UAT api.ld.bidfx.biz 64.52.164.80 443

Tokyo UAT api.ty.bidfx.biz 64.52.166.80 443

UAT pricing subscriptions are routed to liquidity provider test sessions. These will quote prices that are similar to

current market rates but will not compare well with production data. Prices on bank test session are good for heavily

traded instruments but less so for less-liquid instruments such as NDF.

In UAT orders are routed to a BidFX market simulator running in New York. Clients located far from the simulator

may experience latency on their orders as they route to New York for handling.

1.7 Potential issues

1.7.1 On-boarding issues

Credentials

Applications need valid credentials to connect to services using the BidFX API. Please don’t use personal credentials

for programmatic access via the API. BidFX on-boarding staff provide dedicated credentials for API usage. Creden-

tials will differ between UAT and Production, so be sure not to mix the two.

If you create a Session using an incorrect username or password, or you fail to conﬁgure credentials, then the API

will issue a suitable error soon after starting.

API product

A valid credentials are insufﬁcient by themselves to access resources using the API. The user also requires a backend

product assignment for API access. Your BidFX account manager will set this up for you. There may be a usage

charge associated with API access.

Booking account

FX subscriptions require a booking account. Prices, session routing and entitlements can differ from one account to

another. If required, a separate account can be set for each subscription but commonly a single default account is used

for all API subscriptions. The default account is conﬁgured on the API Session conﬁg. Please verify with your

account manager to ensure you are providing the correct account to the API.

1.7. Potential issues 13

BidFX API Python, Release 1.1.1

Relationships and entitlements

You might ﬁnd that you can connect to the price service, receive some pricing but not get data for all subscriptions;

perhaps some LPs or currency pairs are absent. This situation is most likely due to the assigned customer relationships

or entitlements for the user account. Talk to you account manager to ensure that all of your LPs have been fully

on-boarded.

1.7.2 Connectivity issues

First time users of the API may experience connectivity issues due to ﬁrewalls, content ﬁltering or network accelerator

devices managed by their corporate network team.

Firewalls

A ﬁrewall is in place at most organisations to provide basic network security. It is often necessary for API users to

request their local network team to white-list an IP address or open a port in the ﬁrewall to the required BidFX POP.

See Global Points of Presence for a list of IP addresses.

If you encounter network issues then it is possible to test the connectivity to BidFX using the ping and telnet

commands as follows:

$ ping api.ld.bidfx.biz

PING api.ld.bidfx.biz (64.52.164.80): 56 data bytes

64 bytes from 64.52.164.80: icmp_seq=0 ttl=58 time=1.175 ms

64 bytes from 64.52.164.80: icmp_seq=1 ttl=58 time=1.076 ms

$ telnet api.ld.bidfx.biz 443

Trying 64.52.164.80...

Connected to api.ld.bidfx.biz.

Escape character is '^]'.

Consult your network team if either command returns an error or hangs.

Network devices

Security-conscious organisations deploy sophisticated network devices to inspect packets, shape trafﬁc and optimise

bandwidth. Such devices can corrupt the message ﬂow to BidFX and cause a protocol marshalling error, quickly

followed by a session disconnect.

Network security devices may allow the initial connection through to BidFX but interfere subsequently with either

the price protocol or the TLS security layer. Packet inspection might, for example, appear to the API as a man-in-

the-middle attack. Some packet inspection devices prevent WebSocket upgrades by ﬁltering HTTP headers, either

intentionally or unintentionally.

The observed symptom in these cases is a read timeout or an SSL handshake error, received soon after establishing

the connection. The solution to all of these issues is to request your company’s network team to bypass the offending

device(s) for the BidFX IP addresses and ports. See Global Points of Presence for a list of IP addresses and ports used

by BidFX.

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1.7.3 Subscription limits

The BidFX Price Service limits the number of simultaneous price subscriptions that an API may make. We restrict

subscriptions, both to protect the Price Service from excessive use and to guarantee a high quality of service for all

users. The default subscription limits allow hundreds of price subscriptions and are sufﬁcient and appropriate for most

applications.

Increasing limits

BidFX may provide a licence key that grants a larger subscription limit for demanding applications. The licence key

is provided to the API via the Session conﬁg. To qualify for a higher subscription limit, the client will need to:

• have sufﬁcient CPU capacity to consume the increased price update load,

• run their application physically close to the source of liquidity,

• have a good quality, high bandwidth network connection (ideally a data centre cross-connect to BidFX).

There may be an additional service charge for an increased subscription limit. Ask your BidFX sales representative

for price details.

1.7.4 Latency

FX pricing has the potential to update very rapidly, especially around times of major news announcements. Too many

price subscriptions can generate substantial amounts of network trafﬁc, causing bandwidth saturation and heavy CPU

load on the application host. If an overworked application becomes a slow consumer then it will experience latency.

We recommend all API users to close subscriptions that are no longer required to minimise network load.

If you experience latency then there are a few remedial actions you can take:

• Reduce the number of open subscriptions.

• Change the conﬁguration to increase the price publication throttle.

• Move your application close to your main source of liquidity.

• Install a dedicated network link with high capacity and QoS.

• Ideally cross-connect at the same data center as BidFX.

1.7. Potential issues 15

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16 Chapter 1. Contents

CHAPTER

TWO

API DOCS

2.1 BidFX package

The BidFX API provides a Session via which access is given to all of the API features. The Session represents a

applications’s working session with the API for accessing either real-time pricing or the trading capabilities. Sessions

open and maintain network connections to services running within the BidFX platform. They create threads to manage

these connections asynchronously. These threads must be started explicitly after the Session has been conﬁgured.

Typical Usage

# Create the Session from the INI file at .bidfx/api/config.ini

session = Session.create_from_ini_file()

# Set the callback for receiving price update events

session.pricing.callbacks.price_event_fn = on_price_event

# Set the pricing threads

session.pricing.start()

# Subscribe to streaming FX prices for C1m EURUSD at spot from DBFX

subject = session.pricing.build.fx.stream.spot.liquidity_provider("DBFX")

.currency_pair("EURUSD").currency("EUR").quantity(1000000).create_subject()

session.pricing.subscribe(subject)

2.1.1 Session

class bidfx.Session(conﬁg_parser)

A Session is the top-level API class which gives access to all of the features of the API. It represents a client’s

working session with the API.

Parameters config_parser (configparser.ConfigParser) – The API conﬁguration

settings.

static create_from_ini_file(conﬁg_ﬁle='~/.bidfx/api/conﬁg.ini')

Creates a new Session using conﬁguration data parsed from an INI ﬁle. The default behaviour is to search

for the ﬁle .bidfx/api/config.ini in the user’s home directory.

Parameters config_file – is the name of the INI ﬁle.

Returns the Session conﬁgured from the conﬁguration ﬁle.

property pricing

Gets the Pricing API session used for subscribing to realtime _prices.

Returns A conﬁgured interface to the PricingAPI.

BidFX API Python, Release 1.1.1

Return type PricingAPI

static version() → str

Gets the API version number.

Return type str

2.1.2 BidFXError

exception bidfx.BidFXError

Base class for all errors raised by the BidFX API. Extends Exception.

2.1.3 PricingError

exception bidfx.PricingError

Base class for all errors raised by the BidFX Pricing API. Extends BidFXError.

2.1.4 InvalidSubjectError

exception bidfx.InvalidSubjectError

Error indicating the a price Subject is invalid. Extends PricingError.

2.2 Pricing

The Pricing API is used to provide users with access to real-time pricing from the BidFX platform. Although the API

can be used independently of trading, it is recommended that pricing be accessed via the top-level Session class of

the BidFX API.

2.2.1 PricingAPI

class bidfx.PricingAPI(conﬁg_parser)

Pricing is the top-level API interface for accessing the real-time pricing services of BidFX. It implements two

PriceProvider implementations: one for exclusive pricing that uses the Pixie protocol, and one for shared

pricing that uses the Pufﬁn protocol.

Parameters config_parser (configparser.ConfigParser) – The API conﬁguration.

start()

Starts the pricing threads which connect to and manage real-time price services asynchronously.

stop()

Stops the pricing threads.

subscribe(subject)

Subscribes to real-time price publications on a given Subject representing an instrument.

Parameters subject (Subject) – The price subject to subscribe to.

unsubscribe(subject)

Un-subscribes from a previously subscribed price Subject.

Parameters subject (Subject) – The price subject to unsubscribe from.

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property build

Provides a handle to a the subject builder interface that provides a convenient way to construct a well-

formed and validated price Subject by using a blend of method-chaining and the builder pattern. The

method-chains guide the user to ﬁnd a correct subject for common classes of instrument, and the builder

then validates the resulting subject. For example:

# Create an indicative FX spot subject

pricing.build.fx.indicative.spot.currency_pair("GBPAUD").create_subject()

# Create a tradable FX OTC spot subject

pricing.build.fx.stream.spot.liquidity_provider("DBFX").currency_pair("USDJPY

˓→").currency("USD").quantity(5000000).create_subject()

Returns A method-chain that should lead to the creation a valid Subject.

property callbacks

Accessor for setting callbacks for pricing related events.

Returns The set of Callbacks that determine which user-functions get called for each type

of event.

Return type Callbacks

static create_price_provider(conﬁg_section, callbacks, protocol)

Creates a price provider for a given protocol. Allowed values are ‘Pixie’ or ‘Pufﬁn’. Most applications

will not use this method directly as the PricingAPI will create the required price providers.

Parameters

• config_section (configparser.ConfigParser[section]) – Provider sec-

tion of the API conﬁguration.

• callbacks (Callbacks) – The callback functions to handle events.

• protocol (str) – The protocol implementation for the provider. Defaults to ‘Pixie’.

Returns A new price provider instance.

Return type PriceProvider

Raises PricingError – if the protocol is not supported.

2.2.2 PriceProvider

class bidfx.PriceProvider

A PriceProvider is an interface that encapsulates the operations of an underlying price provider implementation.

abstract start()

Starts the pricing threads which connect to and manage real-time price services asynchronously.

abstract stop()

Stops the pricing threads.

abstract subscribe(subject)

Subscribes to real-time price publications on a given Subject representing an instrument.

Parameters subject (Subject) – The price subject to subscribe to.

abstract unsubscribe(subject)

Un-subscribes from a previously subscribed price Subject.

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Parameters subject (Subject) – The price subject to unsubscribe from.

2.2.3 Callbacks

class bidfx.Callbacks

This class provides a set of callback functions that can be overridden by the API user to handle the different

types of event that are published by the Pricing API.

price_event_fn

The callback function to be used for handling price events.

Type def function(event: PriceEvent)

subscription_event_fn

The callback function to be used for handling subscription events.

Type def function(event: SubscriptionEvent)

provider_event_fn

The callback function to be used for handling provider events.

Type def function(event: ProviderEvent)

2.2.4 Subject

class bidfx.Subject(components)

A subject is an immutable, multi-component identiﬁer used to identify instruments that may be subscribed to

via the pricing API. Subjects are represented as tuples of many nested tuple pairs, where each pair provides a

component key and value. Subject components are alphabetically ordered by key.

Example subjects are:

• AssetClass=Fx,BuySideAccount=ABC,Currency=EUR,DealType=Spot,Level=1,

LiquidityProvider=DBFX, Quantity=100000.00,RequestFor=Stream,

Symbol=EURUSD,Tenor=Spot,User=smartcorp_api

• AssetClass=Fx,Exchange=OTC,Level=1,Source=Indi,Symbol=USDJPY

Subject are safe to compare for equality and to use as the keys of a dictionary. Subjects can be converted to

string using str(subject) for display purposes. Instances of the subject class can be used much like a dict

to pull out the individual component parts. For example:

>>> subject = Subject(...)

>>> ccy_pair = subject[Subject.CURRENCY]

A number of common subject component keys are provided as constants of the Subject class for this purpose.

Parameters components (tuple) – A tuple of subject components, key-value pairs as tuples.

flatten()

Flattens the subject into a simple list of the subject’s key and value pairings.

Returns A ﬂattened list of strings.

Return type list

static parse_string(s)

Creates a new Subject by parsing the string form of subject.

Parameters s (str) – The string to be parsed.

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Returns A new Subject

Return type Subject

static from_dict(d)

Creates a new Subject from a dictionary.

Parameters d (dict) – The dictionary to convert.

Returns A new Subject

Return type Subject

get(key, default)

Gets the value of a Subject component. The component value is returned if the component is present in

the subject, otherwise the default value is returned.

Parameters

• key (str) – The key of the subject component to get.

• default (str) – The default value to be returned if the key is not present in the subject.

Returns A the value of the component mapped from the key, or the default value.

Return type str

__contains__(key)

Checks if this Subject contains a component with the given key.

__len__()

Gets the length of the Subject in terms of components.

__str__()

Gets a string representation of the Subject.

__eq__(other)

Tests the subject for equality with another Subject.

__hash__()

Provides a hash code of the Subject.

ASSET_CLASS = 'AssetClass'

BUY_SIDE_ACCOUNT = 'BuySideAccount'

CURRENCY = 'Currency'

CURRENCY_PAIR = 'Symbol'

DEAL_TYPE = 'DealType'

EXCHANGE = 'Exchange'

EXPIRY_DATE = 'ExpiryDate'

FAR_CURRENCY = 'FarCurrency'

FAR_FIXING_DATE = 'FarFixingDate'

FAR_QUANTITY = 'FarQuantity'

FAR_SETTLEMENT_DATE = 'FarSettlementDate'

FAR_TENOR = 'FarTenor'

FIXING_CCY = 'FixingCcy'

FIXING_DATE = 'FixingDate'

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LEVEL = 'Level'

LIQUIDITY_PROVIDER = 'LiquidityProvider'

ON_BEHALF_OF = 'OnBehalfOf'

PUT_CALL = 'PutCall'

QUANTITY = 'Quantity'

REQUEST_TYPE = 'RequestFor'

ROUTE = 'Route'

ROWS = 'Rows'

SETTLEMENT_DATE = 'SettlementDate'

SOURCE = 'Source'

STRIKE = 'Strike'

SYMBOL = 'Symbol'

TENOR = 'Tenor'

USER = 'User'

2.2.5 Tenor

class bidfx.Tenor

Tenor values for deﬁning the settlement period in a Subject for FX futures and swaps.

BROKEN_DATE = 'BD'

Broken data tenor implied that an explicit settlement date is provided.

TODAY = 'TOD'

Today or same day settlement.

TOMORROW = 'TOM'

Tomorrow or next day settlement. Next good business day after today.

SPOT = 'Spot'

Spot date settlement. Spot is T+1 or T+2 depending of the currency pair.

SPOT_NEXT = 'S/N'

Spot/next settlement. The next good business day after spot.

IN_1_WEEK = '1W'

Settlement in one week.

IN_2_WEEKS = '2W'

Settlement in two weeks.

IN_3_WEEKS = '3W'

Settlement in three weeks.

IN_1_MONTH = '1M'

Settlement in one month.

IN_2_MONTHS = '2M'

Settlement in two months.

IN_3_MONTHS = '3M'

Settlement in three months.

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IN_4_MONTHS = '4M'

Settlement in four months.

IN_5_MONTHS = '5M'

Settlement in ﬁve months.

IN_6_MONTHS = '6M'

Settlement in six months.

IN_7_MONTHS = '7M'

Settlement in seven months.

IN_8_MONTHS = '8M'

Settlement in eight months.

IN_9_MONTHS = '9M'

Settlement in nine months.

IN_10_MONTHS = '10M'

Settlement in ten months.

IN_11_MONTHS = '11M'

Settlement in eleven months.

IN_18_MONTHS = '18M'

Settlement in eighteen months.

IN_30_MONTHS = '30M'

Settlement in thirty months.

IN_1_YEAR = '1Y'

Settlement in one year.

IN_2_YEARS = '2Y'

Settlement in two years.

IN_3_YEARS = '3Y'

Settlement in three years.

IN_4_YEARS = '4Y'

Settlement in four years.

IN_5_YEARS = '5Y'

Settlement in ﬁve years.

IMM_MARCH = 'IMMH'

Settlement coinciding with the IMM cash futures contract for March.

IMM_JUNE = 'IMMM'

Settlement coinciding with the IMM cash futures contract for June.

IMM_SEPTEMBER = 'IMMU'

Settlement coinciding with the IMM cash futures contract for September.

IMM_DECEMBER = 'IMMZ'

Settlement coinciding with the IMM cash futures contract for December.

classmethod of_week(week: int)

Gets the weekly tenor of the given number of weeks. :param week: number of weeks :return: the tenor

value

classmethod of_month(month: int)

Gets the monthly tenor of the given number of months. :param month: number of months :return: the

tenor value

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classmethod of_year(year: int)

Gets the yearly tenor of the given number of years. :param year: number of months :return: the tenor value

classmethod of_imm_month(month)

Gets the IMM monthly contract tenor of the given month. :param month: months number in year 1..12

:return: the tenor value

2.2.6 PriceEvent

class bidfx.PriceEvent(subject, price, full)

This class deﬁnes a Price Event that gets published for each price tick received on a subscription. Price events

should be handled by setting a callback function via PricingAPI.callbacks. The callback function could

be implemented and used as follows.

def on_price_event(event):

if event.price:

print("price update {} {} / {})".format(

event.subject[Subject.CURRENCY_PAIR],

event.price.get(Field.BID, ""),

event.price.get(Field.ASK, "")))

def main():

session = Session.create_from_ini_file()

session.pricing.callbacks.price_event_fn = on_price_event

Notice from above that you can use the constants provided by:

• Subject to access the components of the subject

• Field to access the ﬁelds of the price update.

Parameters

• subject (Subject) – The unique subject of the price subscription.

• price (dict) – The price as a map for ﬁelds.

• full (bool) – Flag indicating if this is a full or partial price update.

subject

The Subject of the price event.

Type Subject

price

The map of updated price ﬁeld.

Type dict

full

A boolean ﬂag indicating if the update represents a full or partial update. The value is set to True for a

full price image and False for a partial update.

Type bool

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2.2.7 SubscriptionEvent

class bidfx.SubscriptionEvent(subject, status, explanation)

This class deﬁnes a Subscription Event that gets published whenever the status of subscription changes. Sub-

scription events should be handled by setting a callback function via PricingAPI.callbacks. The call-

back function could be implemented and used as follows.

def on_subscription_event(event):

print(f"Subscription to {event.subject} is {event.status.name}")

def main():

session = Session.create_from_ini_file()

pricing.callbacks.subscription_event_fn = on_subscription_event

Parameters

• subject (Subject) – The unique subject of the price subscription.

• status (SubscriptionStatus) – The subscription status.

• explanation (str) – An explanation of the status reason.

subject

The Subject of the price event.

Type Subject

status

The SubscriptionStatus associated with the event.

Type SubscriptionStatus

explanation

An optional explanation message for the status event.

Type str

2.2.8 ProviderEvent

class bidfx.ProviderEvent(provider, status, explanation)

This class deﬁnes Provider Event that gets published whenever the status of price provider changes. Provider

events should be handled by setting a callback function via PricingAPI.callbacks. The callback function

could be implemented and used as follows.

def on_provider_event(event):

print(f"Provider {event.provider} is {event.status.name}")

def main():

session = Session.create_from_ini_file()

pricing.callbacks.provider_event_fn = on_provider_event

Parameters

• provider (str) – The unique name of the price provider.

• status (ProviderStatus) – The provider status.

• explanation (str) – An explanation of the status reason.

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provider

The name of the price provider that issued the event.

Type str

status

The ProviderStatus associated with of the event.

Type ProviderStatus

explanation

An optional explanation message for the status event.

Type str

2.2.9 SubscriptionStatus

class bidfx.SubscriptionStatus

This enum deﬁnes the number of different statuses that can be applied to a pricing subscription.

OK = 1

The subscription is OK. This state is not normally published, it is implied by any price update.

PENDING = 2

The subscription is pending an update from an upstream service or provider.

STALE = 3

The subscription is stale, possibly due to a connection issue.

CANCELLED = 4

The subscription has been cancelled.

DISCONTINUED = 5

The subscription has been discontinued by the provider (common on RFQ subscriptions).

PROHIBITED = 6

The subscription is prohibited by entitlements.

UNAVAILABLE = 7

The subscription is unavailable perhaps due to routing issues or setup.

REJECTED = 8

The subscription has been rejected by the provider.

TIMEOUT = 9

The subscription has timed out.

INACTIVE = 10

The subscription has been detected as being inactive.

EXHAUSTED = 11

The subscription is has exhausted a usage limit or resource.

CLOSED = 12

The subscription has been closed (normally by the client API). This is a terminal state.

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2.2.10 ProviderStatus

class bidfx.ProviderStatus

This enum deﬁnes the number of different statuses that can be applied to a price provider.

READY = 1

The price provider is ready for use.

DISABLED = 2

The price provider is has been disabled.

DOWN = 3

The price provider is down and attempting to reconnect.

UNAVAILABLE = 4

The price provider is unavailable.

INVALID = 5

The price provider is invalid most likely due to misconﬁguration.

CLOSED = 6

The price provider has been closed. This is the terminal state.

2.2.11 Field

class bidfx.Field

Fields provides constants for the most commonly used price ﬁeld names.

ASK = 'Ask'

Price ﬁeld containing the ask price.

ASK_END_SIZE = 'AskEndSize'

Price ﬁeld containing the ask size of the end leg of a swap or NDS.

ASK_EXCHANGE = 'AskExchange'

Price ﬁeld containing the exchange code from where the ask price has originated.

ASK_FORWARD_POINTS = 'AskForwardPoints'

Price ﬁeld containing the ask forward points of an FX forward.

ASK_ID = 'AskID'

Price ﬁeld containing the price ID of a quote of the ask side of an quote book.

ASK_LEVELS = 'AskLevels'

Price ﬁeld containing the number of market-depth levels of the ask side of an order book.

ASK_FIRM = 'AskFirm'

Price ﬁeld containing the ﬁrm (company) offering on the ask side of an order book.

ASK_SIZE = 'AskSize'

Price ﬁeld containing the ask size.

ASK_SPOT = 'AskSpot'

Price ﬁeld containing the ask spot rate associated with an FX forward.

ASK_TICK = 'AskTick'

Price ﬁeld containing the tick direction for the ask price relative to the previous price.

ASK_TIME = 'AskTime'

Price ﬁeld containing the time of the last change in the ask price.

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BID = 'Bid'

Price ﬁeld containing the bid price.

BID_END_SIZE = 'BidEndSize'

Price ﬁeld containing the bid size of the end leg of a swap or NDS.

BID_EXCHANGE = 'BidExchange'

Price ﬁeld containing the exchange code from where the bid price has originated.

BID_FORWARD_POINTS = 'BidForwardPoints'

Price ﬁeld containing the bid forward points of an FX forward.

BID_ID = 'BidID'

Price ﬁeld containing the price ID of a quote of the bid side of an quote book.

BID_LEVELS = 'BidLevels'

Price ﬁeld containing the number of market-depth levels of the bid side of an order book.

BID_FIRM = 'BidFirm'

Price ﬁeld containing the ﬁrm (company) offering on the bid side of an order book.

BID_SIZE = 'BidSize'

Price ﬁeld containing the bid size.

BID_SPOT = 'BidSpot'

Price ﬁeld containing the bid spot rate associated with an FX forward.

BID_TICK = 'BidTick'

Price ﬁeld containing the tick direction for the bid price relative to the previous price.

BID_TIME = 'BidTime'

Price ﬁeld containing the time of the last change in the bid price.

BROKER = 'Broker'

Price ﬁeld containing the name of the broker quoting the price.

CLOSE = 'Close'

Price ﬁeld containing the previous market close price.

HIGH = 'High'

Price ﬁeld containing the market high price for the current day or session.

LAST = 'Last'

Price ﬁeld containing the last traded price.

LAST_SIZE = 'LastSize'

Price ﬁeld containing the size of the last trade.

LAST_TICK = 'LastTick'

Price ﬁeld containing the tick direction of the last trade relative to the previous trade.

LOW = 'Low'

Price ﬁeld containing the market low price for the current day or session.

NET_CHANGE = 'NetChange'

Price ﬁeld containing the net change in price between the last price and the open price.

NUM_ASKS = 'NumAsks'

Price ﬁeld containing the number of participants offering at the ask price.

NUM_BIDS = 'NumBids'

Price ﬁeld containing the the number of participants bidding at the bid price.

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OPEN = 'Open'

Price ﬁeld containing the market price at the open.

OPEN_INTEREST = 'OpenInterest'

Price ﬁeld containing the open interest in a future.

ORIGIN_TIME = 'OriginTime'

Price ﬁeld containing the time of a price tick as measured at the originating source.

PERCENT_CHANGE = 'PercentChange'

Price ﬁeld containing the percentage change between the last price and the market open.

PRICE_ID = 'PriceID'

Price ﬁeld containing the ID used by an LP to identify a tradable quote.

STRIKE = 'Strike'

Price ﬁeld containing the strike price of an option.

VOLUME = 'Volume'

Price ﬁeld containing the volume.

VWAP = 'VWAP'

Price ﬁeld containing the volume weighted average price.

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30 Chapter 2. API docs

CHAPTER

THREE

INDICES AND TABLES

• genindex

• search

BidFX API Python, Release 1.1.1

32 Chapter 3. Indices and tables

PYTHON MODULE INDEX

bidfx, 17

BidFX API Python, Release 1.1.1

34 Python Module Index

INDEX

Symbols

__contains__() (bidfx.Subject method), 21

__eq__() (bidfx.Subject method), 21

__hash__() (bidfx.Subject method), 21

__len__() (bidfx.Subject method), 21

__str__() (bidfx.Subject method), 21

ASK (bidfx.Field attribute), 27

ASK_END_SIZE (bidfx.Field attribute), 27

ASK_EXCHANGE (bidfx.Field attribute), 27

ASK_FIRM (bidfx.Field attribute), 27

ASK_FORWARD_POINTS (bidfx.Field attribute), 27

ASK_ID (bidfx.Field attribute), 27

ASK_LEVELS (bidfx.Field attribute), 27

ASK_SIZE (bidfx.Field attribute), 27

ASK_SPOT (bidfx.Field attribute), 27

ASK_TICK (bidfx.Field attribute), 27

ASK_TIME (bidfx.Field attribute), 27

ASSET_CLASS (bidfx.Subject attribute), 21

BID (bidfx.Field attribute), 27

BID_END_SIZE (bidfx.Field attribute), 28

BID_EXCHANGE (bidfx.Field attribute), 28

BID_FIRM (bidfx.Field attribute), 28

BID_FORWARD_POINTS (bidfx.Field attribute), 28

BID_ID (bidfx.Field attribute), 28

BID_LEVELS (bidfx.Field attribute), 28

BID_SIZE (bidfx.Field attribute), 28

BID_SPOT (bidfx.Field attribute), 28

BID_TICK (bidfx.Field attribute), 28

BID_TIME (bidfx.Field attribute), 28

bidfx (module), 17

BidFXError, 18

BROKEN_DATE (bidfx.Tenor attribute), 22

BROKER (bidfx.Field attribute), 28

build() (bidfx.PricingAPI property), 18

BUY_SIDE_ACCOUNT (bidfx.Subject attribute), 21

Callbacks (class in bidfx), 20

callbacks() (bidfx.PricingAPI property), 19

CANCELLED (bidfx.SubscriptionStatus attribute), 26

CLOSE (bidfx.Field attribute), 28

CLOSED (bidfx.ProviderStatus attribute), 27

CLOSED (bidfx.SubscriptionStatus attribute), 26

create_from_ini_file() (bidfx.Session static

method), 17

create_price_provider() (bidfx.PricingAPI

static method), 19

CURRENCY (bidfx.Subject attribute), 21

CURRENCY_PAIR (bidfx.Subject attribute), 21

DEAL_TYPE (bidfx.Subject attribute), 21

DISABLED (bidfx.ProviderStatus attribute), 27

DISCONTINUED (bidfx.SubscriptionStatus attribute), 26

DOWN (bidfx.ProviderStatus attribute), 27

EXCHANGE (bidfx.Subject attribute), 21

EXHAUSTED (bidfx.SubscriptionStatus attribute), 26

EXPIRY_DATE (bidfx.Subject attribute), 21

explanation (bidfx.ProviderEvent attribute), 26

explanation (bidfx.SubscriptionEvent attribute), 25

FAR_CURRENCY (bidfx.Subject attribute), 21

FAR_FIXING_DATE (bidfx.Subject attribute), 21

FAR_QUANTITY (bidfx.Subject attribute), 21

FAR_SETTLEMENT_DATE (bidfx.Subject attribute), 21

FAR_TENOR (bidfx.Subject attribute), 21

Field (class in bidfx), 27

FIXING_CCY (bidfx.Subject attribute), 21

FIXING_DATE (bidfx.Subject attribute), 21

flatten() (bidfx.Subject method), 20

from_dict() (bidfx.Subject static method), 21

full (bidfx.PriceEvent attribute), 24

get() (bidfx.Subject method), 21

BidFX API Python, Release 1.1.1

HIGH (bidfx.Field attribute), 28

IMM_DECEMBER (bidfx.Tenor attribute), 23

IMM_JUNE (bidfx.Tenor attribute), 23

IMM_MARCH (bidfx.Tenor attribute), 23

IMM_SEPTEMBER (bidfx.Tenor attribute), 23

IN_10_MONTHS (bidfx.Tenor attribute), 23

IN_11_MONTHS (bidfx.Tenor attribute), 23

IN_18_MONTHS (bidfx.Tenor attribute), 23

IN_1_MONTH (bidfx.Tenor attribute), 22

IN_1_WEEK (bidfx.Tenor attribute), 22

IN_1_YEAR (bidfx.Tenor attribute), 23

IN_2_MONTHS (bidfx.Tenor attribute), 22

IN_2_WEEKS (bidfx.Tenor attribute), 22

IN_2_YEARS (bidfx.Tenor attribute), 23

IN_30_MONTHS (bidfx.Tenor attribute), 23

IN_3_MONTHS (bidfx.Tenor attribute), 22

IN_3_WEEKS (bidfx.Tenor attribute), 22

IN_3_YEARS (bidfx.Tenor attribute), 23

IN_4_MONTHS (bidfx.Tenor attribute), 22

IN_4_YEARS (bidfx.Tenor attribute), 23

IN_5_MONTHS (bidfx.Tenor attribute), 23

IN_5_YEARS (bidfx.Tenor attribute), 23

IN_6_MONTHS (bidfx.Tenor attribute), 23

IN_7_MONTHS (bidfx.Tenor attribute), 23

IN_8_MONTHS (bidfx.Tenor attribute), 23

IN_9_MONTHS (bidfx.Tenor attribute), 23

INACTIVE (bidfx.SubscriptionStatus attribute), 26

INVALID (bidfx.ProviderStatus attribute), 27

InvalidSubjectError, 18

LAST (bidfx.Field attribute), 28

LAST_SIZE (bidfx.Field attribute), 28

LAST_TICK (bidfx.Field attribute), 28

LEVEL (bidfx.Subject attribute), 21

LIQUIDITY_PROVIDER (bidfx.Subject attribute), 22

LOW (bidfx.Field attribute), 28

NET_CHANGE (bidfx.Field attribute), 28

NUM_ASKS (bidfx.Field attribute), 28

NUM_BIDS (bidfx.Field attribute), 28

of_imm_month() (bidfx.Tenor class method), 24

of_month() (bidfx.Tenor class method), 23

of_week() (bidfx.Tenor class method), 23

of_year() (bidfx.Tenor class method), 23

OK (bidfx.SubscriptionStatus attribute), 26

ON_BEHALF_OF (bidfx.Subject attribute), 22

OPEN (bidfx.Field attribute), 28

OPEN_INTEREST (bidfx.Field attribute), 29

ORIGIN_TIME (bidfx.Field attribute), 29

parse_string() (bidfx.Subject static method), 20

PENDING (bidfx.SubscriptionStatus attribute), 26

PERCENT_CHANGE (bidfx.Field attribute), 29

price (bidfx.PriceEvent attribute), 24

price_event_fn (bidfx.Callbacks attribute), 20

PRICE_ID (bidfx.Field attribute), 29

PriceEvent (class in bidfx), 24

PriceProvider (class in bidfx), 19

pricing() (bidfx.Session property), 17

PricingAPI (class in bidfx), 18

PricingError, 18

PROHIBITED (bidfx.SubscriptionStatus attribute), 26

provider (bidfx.ProviderEvent attribute), 25

provider_event_fn (bidfx.Callbacks attribute), 20

ProviderEvent (class in bidfx), 25

ProviderStatus (class in bidfx), 27

PUT_CALL (bidfx.Subject attribute), 22

QUANTITY (bidfx.Subject attribute), 22

READY (bidfx.ProviderStatus attribute), 27

REJECTED (bidfx.SubscriptionStatus attribute), 26

REQUEST_TYPE (bidfx.Subject attribute), 22

ROUTE (bidfx.Subject attribute), 22

ROWS (bidfx.Subject attribute), 22

Session (class in bidfx), 17

SETTLEMENT_DATE (bidfx.Subject attribute), 22

SOURCE (bidfx.Subject attribute), 22

SPOT (bidfx.Tenor attribute), 22

SPOT_NEXT (bidfx.Tenor attribute), 22

STALE (bidfx.SubscriptionStatus attribute), 26

start() (bidfx.PriceProvider method), 19

start() (bidfx.PricingAPI method), 18

status (bidfx.ProviderEvent attribute), 26

status (bidfx.SubscriptionEvent attribute), 25

stop() (bidfx.PriceProvider method), 19

stop() (bidfx.PricingAPI method), 18

STRIKE (bidfx.Field attribute), 29

STRIKE (bidfx.Subject attribute), 22

subject (bidfx.PriceEvent attribute), 24

subject (bidfx.SubscriptionEvent attribute), 25

Subject (class in bidfx), 20

subscribe() (bidfx.PriceProvider method), 19

subscribe() (bidfx.PricingAPI method), 18

36 Index

BidFX API Python, Release 1.1.1

subscription_event_fn (bidfx.Callbacks at-

tribute), 20

SubscriptionEvent (class in bidfx), 25

SubscriptionStatus (class in bidfx), 26

SYMBOL (bidfx.Subject attribute), 22

TENOR (bidfx.Subject attribute), 22

Tenor (class in bidfx), 22

TIMEOUT (bidfx.SubscriptionStatus attribute), 26

TODAY (bidfx.Tenor attribute), 22

TOMORROW (bidfx.Tenor attribute), 22

UNAVAILABLE (bidfx.ProviderStatus attribute), 27

UNAVAILABLE (bidfx.SubscriptionStatus attribute), 26

unsubscribe() (bidfx.PriceProvider method), 19

unsubscribe() (bidfx.PricingAPI method), 18

USER (bidfx.Subject attribute), 22

version() (bidfx.Session static method), 18

VOLUME (bidfx.Field attribute), 29

VWAP (bidfx.Field attribute), 29

Index 37