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Streaming Guide

This guide explains how to use the streaming functionality in the TradeStation API TypeScript wrapper.

Overview

The wrapper provides real-time streaming capabilities for:

  • Market Data (quotes, bars, options)
  • Order Updates
  • Position Updates
  • Market Depth

All streams use Node.js EventEmitter pattern and handle:

  • Automatic reconnection
  • Rate limiting
  • Error handling
  • Resource cleanup

Stream Types

Market Data Streams

  1. Quote Streaming
const stream = await client.marketData.streamQuotes(['MSFT', 'AAPL']);

stream.on('data', (quote) => {
    if ('Ask' in quote) {
        console.log('Quote:', quote);
    } else if ('Heartbeat' in quote) {
        console.log('Heartbeat:', quote);
    }
});
  1. Bar Streaming
const stream = await client.marketData.streamBars('MSFT', {
    interval: '1',
    unit: 'Minute'
});

stream.on('data', (bar) => {
    if ('Close' in bar) {
        console.log('Bar:', bar);
    }
});
  1. Option Chain Streaming
const stream = await client.marketData.streamOptionChain('MSFT');

stream.on('data', (option) => {
    console.log('Option:', option);
});

Order Streams

  1. Order Updates
const stream = await client.brokerage.streamOrders('account_id');

stream.on('data', (order) => {
    if ('OrderID' in order) {
        console.log('Order Update:', order);
    }
});
  1. Specific Order Updates
const stream = await client.brokerage.streamOrdersByOrderID(
    'account_id',
    'order_id1,order_id2'
);

stream.on('data', (order) => {
    console.log('Order Update:', order);
});

Position Streams

const stream = await client.brokerage.streamPositions('account_id');

stream.on('data', (position) => {
    console.log('Position Update:', position);
});

Stream Management

1. Creating Streams

// Single symbol
const stream1 = await client.marketData.streamQuotes(['MSFT']);

// Multiple symbols
const stream2 = await client.marketData.streamQuotes(['MSFT', 'AAPL', 'GOOGL']);

// With parameters
const stream3 = await client.marketData.streamBars('MSFT', {
    interval: '5',
    unit: 'Minute',
    sessiontemplate: 'USEQPreAndPost'
});

2. Event Handling

All streams emit these events:

stream.on('data', (data) => {
    // Handle data updates
});

stream.on('error', (error) => {
    // Handle errors
});

stream.on('end', () => {
    // Handle stream end
});

stream.on('close', () => {
    // Handle stream closure
});

3. Stream Cleanup

// Close a specific stream
stream.emit('close');

// Close all active streams
client.closeAllStreams();

// Get list of active streams
const activeStreams = client.getActiveStreams();

Best Practices

  1. Resource Management
// Create stream
const stream = await client.marketData.streamQuotes(['MSFT']);

// Use try-finally for cleanup
try {
    // Use the stream
} finally {
    stream.emit('close');
}
  1. Error Handling
stream.on('error', (error) => {
    if (error.name === 'RateLimitError') {
        // Handle rate limiting
    } else if (error.name === 'NetworkError') {
        // Handle network issues
    } else {
        // Handle other errors
    }
});
  1. Heartbeat Monitoring
stream.on('data', (data) => {
    if ('Heartbeat' in data) {
        // Update last heartbeat timestamp
        lastHeartbeat = Date.now();
    }
});

Rate Limiting

Streams are subject to rate limits:

  • Maximum concurrent streams per client
  • Maximum symbols per stream
  • Maximum data frequency
// Configure max concurrent streams
const client = new TradeStationClient({
    maxConcurrentStreams: 10
});

Error Handling

Common streaming errors:

  1. Rate limit exceeded
  2. Invalid symbols
  3. Network disconnection
  4. Authentication failures

Example error handling:

stream.on('error', (error) => {
    switch (error.name) {
        case 'RateLimitError':
            console.error('Rate limit exceeded:', error.message);
            // Implement backoff strategy
            break;
        case 'NetworkError':
            console.error('Network issue:', error.message);
            // Attempt reconnection
            break;
        case 'AuthenticationError':
            console.error('Auth error:', error.message);
            // Re-authenticate
            break;
        default:
            console.error('Unknown error:', error.message);
    }
});

Performance Optimization

  1. Symbol Batching
// Instead of multiple single-symbol streams
const stream = await client.marketData.streamQuotes([
    'MSFT', 'AAPL', 'GOOGL'
]);
  1. Data Processing
// Use efficient data handling
stream.on('data', (data) => {
    // Process only needed fields
    const { Symbol, Last, Volume } = data;
    // Update your application state
});
  1. Resource Cleanup
// Monitor memory usage
const usage = process.memoryUsage();
if (usage.heapUsed > threshold) {
    // Clean up unused streams
}

Debugging

Enable debug mode for detailed logging:

const client = new TradeStationClient({
    debug: true
});

Monitor stream status:

setInterval(() => {
    const streams = client.getActiveStreams();
    console.log('Active streams:', streams.length);
}, 60000);

Additional Resources