This package provides access to dxFeed market data. The library is built as a language-specific wrapper over the dxFeed Graal Native library, which was compiled with GraalVM Native Image and dxFeed Java API (our flagman API).

ℹ️ If you already use dxFeed .NET API, please see the Overview section.

Table of Contents

• Overview
  • Reasons for the New .NET API Repository
  • Benefits of the New Version
  • Milestones
  • Migration
  • Implementation Details
  • Architectural Restrictions and Other Limitations in the Old Version
• Documentation
• Requirements
• Installation
• Usage
  • How to connect to QD endpoint
  • How to connect to dxLink
• Tools
• Samples
• Current State
• Dependencies
• 3rd Party Licenses

Overview

Reasons for the New .NET API Repository

The old version of dxFeed .NET API is built as a thin wrapper over dxFeed C API, which has several architectural restrictions that prevent us from providing a state-of-the-art technological solution.

Benefits of the New Version

• 🚀 Increased performance
• 🌌 Wider functionality
• ♊ Identical programming interfaces to our best API
• 👍 Higher quality of support and service

Milestones

Feature development has already stopped for the old version of dxFeed .NET API.

The old version will be considered deprecated, and at the end of 2024, we plan to end the service. If you’re already our customer and have difficulty with a future transition, please contact us via our customer portal.

Migration

To help you rewrite the existing API calls, we’ve prepared samples demonstrating how to work with the new API and how several functionalities are implemented. More examples will follow. The table below shows the sample mapping between the old and new versions.

Our support team on our customer portal is ready to answer any questions and help with the transition.

Sample Mapping

#	Sample	Old Version	New Version
1	How to get Instrument Profiles	dxf_ipf_connect_sample	DxFeedIpfConnect
2	How to get live updates for Instrument Profiles	dxf_instrument_profile_live_sample	DxFeedLiveIpfSample
3	How to subscribe to Order, SpreadOrder, Candle, TimeAndSale, Greeks, Series snapshots	dxf_snapshot_sample	Q2’2024, please see TBD section
4	How to subscribe to depth of market	dxf_price_level_book_sample	Q2’2024, please see TBD section
5	How to receive snapshots of TimeAndSale, Candle, Series, Greeks events on a given time interval without live subscription	dxf_simple_data_retrieving_sample	FetchDailyCandles
6	How to subscribe to order snapshot with incremental updates	dxf_inc_order_snapshot_sample	Q2’2024, please see TBD section
7	How to retrieve Candle data from the candle web service	dxf_candle_data_retrieving_sample	Q4’2024, please see TBD section
8	How to retrieve TimeAndSale data from the candle web service	dxf_tns_data_retrieving_sample	Q4’2024, please see TBD section

Implementation Details

We use GraalVM Native Image technology and specially written code that wraps Java methods into native ones to get dynamically linked libraries for different platforms (Linux, macOS, and Windows) based on the latest Java API package.

Then, the resulting dynamic link library (dxFeed Graal-native) is used through C ABI (application binary interface), and we write programming interfaces that describe our business model (similar to Java API).

As a result, we get a full-featured, similar performance as with Java API. Regardless of the language, writing the final application logic using API calls will be very similar (only the syntax will be amended, "best practices", specific language restrictions).

Below is a scheme of this process:

Architectural Restrictions and Other Limitations of the Old Version

#	Limitation	How It’s Solved in the New Version
1	Windows support only	Windows-x64, Linux-x64, macOS-x64, macOS-arm64 support by .NET
2	Single-threaded architecture limiting throughput	Based on the Java API, each subscription object (DXFeedSubscription) can run on its own thread
3	User code in event callbacks (for example, OnQuote) is executed in the socket read thread, which can significantly reduce throughput	Socket processing threads and callback threads are separated
4	In event callbacks, one market event type and one data portion always arrive (excluding snapshot subscription), which increases the load on the CPU with a large amount of incoming data	Event callbacks can receive different market event types, and more than one by batch
5	It’s impossible to subscribe to data without getting regionals (if it is available for the market event) or only for a certain regional	subscription.AddSymbols("AAPL"); - composite subscription.AddSymbols("AAPL&Q"); - regional
6	It’s impossible to subscribe to Order event (excluding snapshot subscription) without getting: all sources, Order by Quote (including regionals), Order by MarketMaker	subscription.AddSymbols(new IndexedEventSubscriptionSymbol("AAPL", OrderSource.NTV)); - Order.Source determines which data is being subscribed to
7	Data is mixed up when creating two subscriptions (regular and time series) for the same market event type. Both regular and time series data go to both subscriptions	Each subscription instance receives only the data requested
8	Each subsequent request for the same symbol set in a subscription instance overwrites the existing one in another subscription instance	Subscription instances and the data they receive are independent of each other
9	Removing a symbol from one subscription instance caused it to be removed from all others	Subscription instances and the data they receive are independent of each other
10	Incorrect behavior when reading from a file (if a market event in the file hasn’t been subscribed to). Reading from a file always occurs at maximum speed. The supported format is binary only	endpoint.Connect(@"file:tape.txt[format=text]"); - processing a text file with at it's "real" speed by timestamps endpoint.Connect(@"file:tape.bin[format=binary,speed=max]"); - processing a binary file with max speed

Documentation

Find useful information in our self-service dxFeed Knowledge Base or .NET API documentation:

• dxFeed Graal .NET API documentation
• dxFeed Knowledge Base
  • Getting Started
  • Troubleshooting
  • Market Events
  • Event Delivery contracts
  • dxFeed API Event classes
  • Exchange Codes
  • Order Sources
  • Order Book reconstruction
  • Symbology Guide

Requirements

Windows

Only x64 versions are supported.

OS	Version	Architectures
Windows	8, 8.1	x64
Windows 10	Version 1607+	x64
Windows 11	Version 22000+	x64
Windows Server	2012+	x64
Windows Server Core	2012+	x64
Nano Server	Version 1809+	x64

Requirements

• .NET compatible with .NET Standard 2.0 (not required for self-contained assemblies)
• Visual C++ Redistributable for Visual Studio 2015

Linux

Only x64 versions are supported.

Requirements

• .NET compatible with .NET Standard 2.0 (not required for self-contained assemblies)

Libc compatibility

• glibc: 2.17+ (from Oracle Linux 7)
• musl: gcompat (glibc compatibility layer) for musl is required. Installation on alpine linux apk update && apk add gcompat libstdc++

Libpthread compatibility

A symlink on libpthread.so, libpthread.so.0, or libcoreclr.so must exist.

macOS

OS	Version	Architectures
macOS	10.15+	x64
macOS	11+	Arm64

Is supported in the Rosetta 2 x64 emulator.

Requirements

• .NET compatible with .NET Standard 2.0 (not required for self-contained assemblies)

Installation

Add the following package source to your NuGet.Config file.

For Linux and macOS:

The NuGet.Config file is usually located at ~/.config/NuGet/NuGet.Config.

For Windows:

The NuGet.Config file is usually located at %appdata%\NuGet\NuGet.Config.

An example of what this file might look like:

<?xml version="1.0" encoding="utf-8"?>
<configuration>
    <packageSources>
        <add key="nuget.org" value="https://api.nuget.org/v3/index.json" protocolVersion="3"/>
        <add key="dxFeed" value="https://dxfeed.jfrog.io/artifactory/api/nuget/v3/nuget-open" protocolVersion="3"/>
    </packageSources>
</configuration>

Then add the DxFeed.Graal.Net package to your project using the NuGet package manager.

Using Visual Studio:

1. Open your solution in Visual Studio.
2. Right-click on the project in Solution Explorer and select Manage NuGet Packages.
3. Switch to the Browse tab, select the dxFeed source, and search for DxFeed.Graal.Net.
4. Click Install to add the package to your project.

Using JetBrains Rider:

1. Open your solution in JetBrains Rider.
2. Right-click on the project in the Solution and select Manage NuGet Packages.
3. Switch to the Packages tab, select the dxFeed source, and search for DxFeed.Graal.Net.
4. Right-click on the package and select Install to add the package to your project.

If you are using .NET Framework and building for platform target AnyCPU, be sure to uncheck Prefer 32-bit in Properties->Build for the project. We only support 64-bit builds.

Usage

How to connect to QD endpoint

using System;
using DxFeed.Graal.Net.Api;
using DxFeed.Graal.Net.Events.Market;

// For token-based authorization, use the following address format:
// "demo.dxfeed.com:7300[login=entitle:token]"
using var endpoint = DXEndpoint.Create().Connect("demo.dxfeed.com:7300");
using var subscription = endpoint.GetFeed().CreateSubscription(typeof(Quote));
subscription.AddEventListener(events =>
{
    foreach (var e in events)
    {
        Console.WriteLine(e);
    }
});
subscription.AddSymbols("AAPL");
Console.ReadKey();

Output

I 231130 141419.914 [main] QD - Using QDS-3.325+file-UNKNOWN, (C) Devexperts
I 231130 141419.925 [main] QD - Using scheme com.dxfeed.api.impl.DXFeedScheme slfwemJduh1J7ibvy9oo8DABTNhNALFQfw0KmE40CMI
I 231130 141419.934 [main] MARS - Started time synchronization tracker using multicast 239.192.51.45:5145 with SFmog
I 231130 141419.937 [main] MARS - Started JVM self-monitoring
I 231130 141419.938 [main] QD - qdnet with collectors [Ticker, Stream, History]
I 231130 141419.950 [main] ClientSocket-Distributor - Starting ClientSocketConnector to demo.dxfeed.com:7300
I 231130 141419.950 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Resolving IPs for demo.dxfeed.com
I 231130 141419.951 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connecting to 208.93.103.170:7300
I 231130 141420.099 [demo.dxfeed.com:7300-Reader] ClientSocketConnector - Connected to 208.93.103.170:7300
D 231130 141420.246 [demo.dxfeed.com:7300-Reader] QD - Distributor received protocol descriptor multiplexor@fFLro [type=qtp, version=QDS-3.319, opt=hs, mars.root=mdd.demo-amazon.multiplexor-demo1] sending [TICKER, STREAM, HISTORY, DATA] from 208.93.103.170
Quote{AAPL, eventTime=0, time=20231130-135604.000+03:00, timeNanoPart=0, sequence=0, bidTime=20231130-135548+03:00, bidExchange=Q, bidPrice=189.43, bidSize=3, askTime=20231130-135604+03:00, askExchange=Q, askPrice=189.49, askSize=1}

How to connect to dxLink

using System;
using DxFeed.Graal.Net;
using DxFeed.Graal.Net.Api;
using DxFeed.Graal.Net.Events.Market;

// Enable experimental feature.
SystemProperty.SetProperty("dxfeed.experimental.dxlink.enable", "true");
// Set scheme for dxLink.
SystemProperty.SetProperty("scheme", "ext:opt:sysprops,resource:dxlink.xml");

// For token-based authorization, use the following address format:
// "dxlink:wss://demo.dxfeed.com/dxlink-ws[login=dxlink:token]"
using var endpoint = DXEndpoint.Create().Connect("dxlink:wss://demo.dxfeed.com/dxlink-ws");
using var subscription = endpoint.GetFeed().CreateSubscription(typeof(Quote));
subscription.AddEventListener(events =>
{
    foreach (var e in events)
    {
        Console.WriteLine(e);
    }
});
subscription.AddSymbols("AAPL");
Console.ReadKey();

Output

I 231130 141308.314 [main] QD - Using QDS-3.325+file-UNKNOWN, (C) Devexperts
I 231130 141308.326 [main] QD - Using scheme com.dxfeed.api.impl.DXFeedScheme slfwemJduh1J7ibvy9oo8DABTNhNALFQfw0KmE40CMI
I 231130 141308.351 [main] MARS - Started time synchronization tracker using multicast 239.192.51.45:5145 with DgKtZ
I 231130 141308.358 [main] MARS - Started JVM self-monitoring
I 231130 141308.359 [main] QD - qdnet with collectors [Ticker, Stream, History]
I 231130 141308.384 [main] DxLinkClientWebSocket-Distributor - Starting DxLinkClientWebSocketConnector to wss://demo.dxfeed.com/dxlink-ws
SLF4J: Failed to load class "org.slf4j.impl.StaticLoggerBinder".
SLF4J: Defaulting to no-operation (NOP) logger implementation
SLF4J: See http://www.slf4j.org/codes.html#StaticLoggerBinder for further details.
I 231130 141308.392 [wss://demo.dxfeed.com/dxlink-ws-Writer] DxLinkClientWebSocket-Distributor - Connecting to wss://demo.dxfeed.com/dxlink-ws
I 231130 141308.938 [wss://demo.dxfeed.com/dxlink-ws-Writer] DxLinkClientWebSocket-Distributor - Connected to wss://demo.dxfeed.com/dxlink-ws
D 231130 141310.105 [oioEventLoopGroup-2-1] QD - Distributor received protocol descriptor [type=dxlink, version=0.1-0.18-20231017-133150, keepaliveTimeout=120, acceptKeepaliveTimeout=5] sending [] from wss://demo.dxfeed.com/dxlink-ws
D 231130 141310.106 [oioEventLoopGroup-2-1] QD - Distributor received protocol descriptor [type=dxlink, version=0.1-0.18-20231017-133150, keepaliveTimeout=120, acceptKeepaliveTimeout=5, authentication=] sending [] from wss://demo.dxfeed.com/dxlink-ws
Quote{AAPL, eventTime=0, time=20231130-135604.000+03:00, timeNanoPart=0, sequence=0, bidTime=20231130-135548+03:00, bidExchange=Q, bidPrice=189.43, bidSize=3, askTime=20231130-135604+03:00, askExchange=Q, askPrice=189.49, askSize=1}

To familiarize with the dxLink protocol, please click here.

Tools

Tools is a collection of utilities that allow you to subscribe to various market events for the specified symbols. The tools can be downloaded from Release (including self-contained versions, that do not require .NET installation):

• Connect connects to the specified address(es) and subscribes to the specified events with the specified symbol
• Dump dumps all events received from address. This was designed to retrieve data from a file
• PerfTest connects to the specified address(es) and calculates performance counters (events per second, memory usage, CPU usage, etc.)
• LatencyTest connects to the specified address(es) and calculates latency
• Qds collection of tools ported from the Java qds-tools

To run tools on macOS, it may be necessary to unquarantine them:

sudo /usr/bin/xattr -r -d com.apple.quarantine <directory_with_tools>

Samples

• ConvertTapeFile demonstrates how to convert one tape file to another tape file with optional intermediate processing or filtering
• DxFeedFileParser is a simple demonstration of how events are read form a tape file
• DxFeedSample is a simple demonstration of how to create multiple event listeners and subscribe to Quote and Trade events
• PrintQuoteEvents is a simple demonstration of how to subscribe to the Quote event, using a DxFeed instance singleton and dxfeed.properties file
• WriteTapeFile is a simple demonstration of how to write events to a tape file
• DxFeedIpfConnect is a simple demonstration of how to get Instrument Profiles
• DxFeedLiveIpfSample is a simple demonstration of how to get live updates for Instrument Profiles
• ScheduleSample is a simple demonstration of how to get various scheduling information for instruments
• FetchDailyCandles is a simple demonstration of how to fetch last N-days of candles for a specified symbol

Current State

Endpoint Roles

• FEED connects to the remote data feed provider and is optimized for real-time or delayed data processing, this is a default role

• STREAM_FEED is similar to Feed and also connects to the remote data feed provider but is designed for bulk data parsing from files (DxFeedFileParser)

• PUBLISHER connects to the remote publisher hub (also known as multiplexor) or creates a publisher on the local host (WriteTapeFile)

• STREAM_PUBLISHER is similar to Publisher and also connects to the remote publisher hub, but is designed for bulk data publishing (ConvertTapeFile)

• LOCAL_HUB is a local hub without the ability to establish network connections. Events published via Publisher are delivered to local Feed only

Event Types

• Order is a snapshot of the full available market depth for a symbol

• SpreadOrder is a snapshot of the full available market depth for all spreads

• AnalyticOrder is an Order extension that introduces analytic information, such as adding iceberg-related information to a given order

• Trade is a snapshot of the price and size of the last trade during regular trading hours and an overall day volume and day turnover

• TradeETH is a snapshot of the price and size of the last trade during extended trading hours and the extended trading hours day volume and day turnover

• Candle event with open, high, low, and close prices and other information for a specific period

• Quote is a snapshot of the best bid and ask prices and other fields that change with each quote

• Profile is a snapshot that contains the security instrument description

• Summary is a snapshot of the trading session, including session highs, lows, etc.

• TimeAndSale represents a trade or other market event with price, such as the open/close price of a market, etc.

• Greeks is a snapshot of the option price, Black-Scholes volatility, and greeks

• Series is a snapshot of computed values available for all options series for a given underlying symbol based on options market prices

• TheoPrice is a snapshot of the theoretical option price computation that is periodically performed by dxPrice model-free computation

• Underlying is a snapshot of computed values available for an option underlying symbol based on the market’s option prices

• OptionSale represents a trade or another market event with the price (for example, market open/close price, etc.) for each option symbol listed under the specified Underlying

• OtcMarketsOrder represents an extension of Order for the symbols traded on the OTC Markets

Subscription Symbols

• String is a string representation of the symbol

• TimeSeriesSubscriptionSymbol represents subscription to time-series events

• IndexedEventSubscriptionSymbol represents subscription to a specific source of indexed events

• WildcardSymbol.ALL represents a wildcard subscription to all events of the specific event type

• CandleSymbol is a symbol used with DXFeedSubscription class to subscribe for Candle events

Subscriptions & Models

• DXFeedSubscription is a subscription for a set of symbols and event types

• GetLastEvent returns the last event for the specified event instance (DxFeedSample)

• GetTimeSeriesPromise requests time series events for the specified event type, symbol, and time range

IPF & Schedule

• InstrumentProfile represents basic profile information about a market instrument (DxFeedIpfConnect)

• InstrumentProfileReader reads instrument profiles from the stream using Instrument Profile Format (IPF)

• InstrumentProfileCollector collects instrument profile updates and provides the live instrument profiles list (DxFeedLiveIpfSample)

• InstrumentProfileConnection connects to an instrument profile URL and reads instrument profiles with support of streaming live updates

• Schedule provides an API to retrieving and exploring the trading schedules of various exchanges and different financial instrument classes (ScheduleSample)