SQF User Guide

The nasdaq_protocols.sqf module provides an API to interact with SQF servers. Refer SQF API Reference. for more information on the API.

This package only provides the core implementation of the SQF protocols, like message serialization deserialization, session handling, etc. It does not define any actual SQF messages. The actual SQF messages has to be defined by the user of this package. The first step is to create a new python package which contains the messages definitions for all the protocols that the user wants to use.

This package provides a command line utility nasdaq-protocols-create-new-project to create a new python package and all the necessary files.

Follow the steps in Create New Project Guide to create a new python package for application specific messages.

Note

This rest of the guide assumes that you have built a new python project using the steps mentioned in Create New Project Guide.

The generated project will contain a file sqf_<app_name>.py which will contain the following

• SQF message definitions

• SQF Client Session for this application

Using the generated code, you can connect to a SQF server and start sending/receiving messages.

The nasdaq_protocols.sqf module provides an API to interact with SQF servers. Refer SQF API Reference. for more information on the API.

Sending Message to a SQF Server

Sample Message Definition

For our test sqf app, lets define our sqf messages in the file <app_name>.xml as follows,

<root>
    <fielddef-root>
        <field name="instrumentId" type="uint_8"/>
        <field name="price" type="uint_8"/>
        <field name="quantity" type="uint_8"/>
        <field name="timestamp" type="uint_8"/>
        <field name="someInfo" type="str_iso-8859-1_n" length="32"/>
    </fielddef-root>
    <records-root>
        <record id="Quote">
            <fields>
                <field def="instrumentId"/>
                <field name="bidPrice" def="price"/>
                <field name="askPrice" def="price"/>
                <field name="bidQuantity" def="quantity"/>
                <field name="askQuantity" def="quantity"/>
            </fields>
        </record>
    </records-root>
    <messages-root>
        <message id="QuoteMessage" message-id="1" direction="incoming">
            <fields>
                <field def="timestamp"/>
                <field def="someInfo"/>
                <field name="quotes" type="record:Quote" array="true" endian="big"/>
            </fields>
        </message>
        <message id="QuoteAccepted" message-id="2" direction="outgoing">
            <fields>
                <field name="quoteId" type="uint_8"/>
            </fields>
        </message>
    </messages-root>
</root>

Sending and Receiving SQF messages

With the above message definition, we can now send the SQF message as follows.

#!/usr/bin/env python
import asyncio
# from the generated package we import the application we want to use
from nasdaq_protocols_messages import sqf_oe


port = 1234  # give the proper SQF server port


async def main():
    # Step1: connect
    sqf_session = await sqf_oe.connect_async(
        ('hostname', port),
        'sqf username',  # SQF username, max 6 characters
        'pwdchange', # SQF password, max 10 characters
        '', # session id
        sequence=0  # 0 to listen from HEAD, 1 to listen from start, n to listen from n
    )

    # Step2: Prepare a message
    quotes = []
    for i in range(1, 2):
        quote = sqf_oe.Quote()
        quote.instrumentId = i
        quote.bidPrice = i * 100
        quote.askPrice = i * 1000
        quote.bidQuantity = i * 10
        quote.askQuantity = i * 100
        quotes.append(quote)

    msg = sqf_oe.QuoteMessage()
    msg.timestamp = key
    msg.someInfo = 'a' * 32
    msg.quotes = quotes
    return msg

    # Step3: Send the message to the server.
    sqf_session.send_message(msg)

    # Step4: receive the first message from the server.
    output = await sqf_session.receive_message()
    if isinstance(output, sqf_oe.QuoteAccepted):
        print("Quote accepted")

    # Step5: Close the session
    print("Closing the sqf session...")
    await sqf_session.close()


if __name__ == '__main__':
    asyncio.run(main())

A simple SQF send and receive program