This package provides access to dxFeed market data. The library is build as a thin wrapper over dxFeed C API library.

• Documentation
• Installation
  • Windows
  • Linux
  • macOS
• Key features
  • Event types
  • Contracts
    • Ticker
    • Stream
    • History
  • Subscription types
  • Order sources
• Usage
  • Create connection
  • Create subscription
  • Setting up contract type
  • Setting up symbol
  • Setting up Order source
  • Quote subscription
• Samples

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

• dxFeed Knowledge Base
  • Getting started
  • Troubleshooting
  • Market events
  • Event delivery contracts
  • dxFeed API event classes
  • Exchange codes
  • Order sources
  • Order book reconstruction
  • Incremental updates
  • IPF live updates
  • Symbol guide
• dxFeed .NET API framework Documentation
  • Order scopes
  • Event flags
  • Subscriptions

System requirements: Visual C++ Redistributable 2015, .NET Framework 4.5.2+, Visual Studio.

1. Download the latest version of dxFeed .NET API (dxfeed-net-api-x.x.x-windows.zip).
2. Extract archive.
3. Copy dxf_api.dll, dxf_native.dll, DXFeed.dll, DXFeed_64.dll, DXFeedd.dll, DXFeedd_64.dll, libcrypto-41.dll, libcrypto-41_64.dll, libssl-43.dll, libssl-43_64.dll, libtls-15.dll, libtls-15_64.dll to \lib folder of your Project.
4. Open Visual Studio.
5. Open Solution Explorer 🠒 Project (.csproj file) 🠒 References 🠒 Add Reference 🠒 Browse 🠒 Add. Then choose dxf_api.dll, dxf_native.dll libraries to add them to your Project.
6. Open Solution Explorer 🠒 Project (.csproj file) 🠒 Add 🠒 Existing Item 🠒 Add As Link. Then choose DXFeed.dll, DXFeed_64.dll, DXFeedd.dll, DXFeedd_64.dll, libcrypto-41.dll, libcrypto-41_64.dll, libssl-43.dll, libssl-43_64.dll, libtls-15.dll, libtls-15_64.dll libraries to add them to your Project.
7. Add using directive in class (.cs file):

using com.dxfeed.api;
using com.dxfeed.native;

8. Look through the usage section and code samples.

Coming soon

Coming soon

There are three types of delivery contracts: Ticker, Stream and History. You can set up the contract type by EventSubscriptionFlag as a parameter of NativeConnection.

The main task of this contract is to reliably deliver the latest value for an event (for example, for the last trade of the selected symbol). Queued older events could be conflated to conserve bandwidth and resources.

A stream contract guaranteedly delivers a stream of events without conflation.

History contract first delivers a snapshot (set of previous events) for the specified time range (subject to limitations). After the snapshot is transmitted, the history contract delivers a stream of events.

Default contracts for events (in most cases):

Order source identifies source of IDxOrder and IDxSpreadOrder events. You can set Order source by SetSource() method of IDxSubscription. Several supported sources are listed below. Please find the full list here.

Aggregated:

• AGGREGATE_ASK, AGGREGATE_BID - Ask, Bid side of an aggregate order book (futures depth and Nasdaq Level II)

  ---

Full order depth:

• BATE - Cboe EU BXE (BATE)
• BYX - Cboe BYX
• BZX - Cboe BZX
• BXTR - Cboe EU SI (Systematic Internaliser)
• BI20 - BIST Top20 Orders (Level2+)
• CHIX - Cboe EU CXE (Chi-X)
• CEUX - Cboe EU DXE
• CFE - Cboe CFE
• C2OX - Cboe C2
• DEA - Cboe EDGA
• DEX - Cboe EDGX
• ERIS - ErisX
• ESPD - Nasdaq E-speed
• FAIR - FairX
• GLBX - Globex
• ICE - ICE Futures US/EU
• IST - Borsa Istanbul
• MEMX - Members Exchange
• NTV - Nasdaq TotalView
• NFX - Nasdaq NFX
• SMFE - SmallEx
• XNFI - Nasdaq NFI
• XEUR - Eurex

Price level book:

• glbx - CME Globex
• iex - IEX
• memx - Members Exchange
• ntv - Nasdaq TotalView
• smfe - SmallEx
• xeur - Eurex

//creating connection handler
var connection = new NativeConnection("demo.dxfeed.com:7300", _ => { });

//creating subscription handler
var subscription = connection.CreateSubscription(EventType.Quote, new EventPrinter());

//creating subscription handler with Ticker contract
var subscription = connection.CreateSubscription(EventType.Quote, EventSubscriptionFlag.ForceTicker, new EventPrinter());

//adding single symbol
subscription.AddSymbols("AAPL");
//adding array of symbols
subscription.AddSymbols(new string[] { "AAPL", "MSFT" });
//adding all available symbols
subscription.AddSymbols("*");

//setting Nasdaq TotalView FOD source
 subscription.SetSource("NTV");

//creating connection handler
using (var connection = new NativeConnection("demo.dxfeed.com:7300", DisconnectHandler))
           {
           //creating subscription handler,
           //passing object of type 'EventPrinter' as an argument 
           //to invoke callback method when data received 
               using (var subscription = connection.CreateSubscription(EventType.Quote, new EventPrinter()))
               {
               	   //adding subscription to 'AAPL' symbol
                   subscription.AddSymbols("AAPL");
                   Console.WriteLine("Press enter to stop");
                   Console.ReadLine();
               }
           }

//implementation of 'DisconnectHandler' method which passed as an argument
//in 'NativeConnection' constructor
private static void DisconnectHandler(IDxConnection _) => 
	Console.WriteLine("Disconnected");

//implementation of class 'EventPrinter' which object passed as an argument
//in 'CreateSubscription' method
public class EventPrinter: IDxFeedListener
{
	//implementation of callback method 'OnQuote' of 'IDxFeedListener' interface
        public void OnQuote<TB, TE>(TB buf)
            where TB : IDxEventBuf<TE>
            where TE : IDxQuote {
            foreach (var q in buf)
                Console.WriteLine($"{buf.Symbol} {q}");
        }
}

Output:

AAPL Quote: {AAPL, AskExchangeCode: 'U', Ask: [email protected], AskTime: 2021-07-29T12:42:21.0000000Z, BidExchangeCode: 'U', Bid: [email protected], BidTime: 2021-07-29T12:44:06.0000000Z, Scope: Regional}
AAPL Quote: {AAPL, AskExchangeCode: 'V', Ask: [email protected], AskTime: 2021-07-29T12:46:47.0000000Z, BidExchangeCode: 'V', Bid: [email protected], BidTime: 2021-07-29T12:47:17.0000000Z, Scope: Regional}
AAPL Quote: {AAPL, AskExchangeCode: 'W', Ask: [email protected], AskTime: 2017-07-04T02:44:04.0000000Z, BidExchangeCode: 'W', Bid: [email protected], BidTime: 2017-07-04T02:44:04.0000000Z, Scope: Regional}
AAPL Quote: {AAPL, AskExchangeCode: 'X', Ask: [email protected], AskTime: 2021-07-29T12:46:19.0000000Z, BidExchangeCode: 'X', Bid: [email protected], BidTime: 2021-07-29T12:42:07.0000000Z, Scope: Regional}
AAPL Quote: {AAPL, AskExchangeCode: 'Y', Ask: [email protected], AskTime: 2021-07-29T12:44:50.0000000Z, BidExchangeCode: 'Y', Bid: [email protected], BidTime: 2021-07-29T12:42:06.0000000Z, Scope: Regional}
AAPL Quote: {AAPL, AskExchangeCode: 'Z', Ask: [email protected], AskTime: 2021-07-29T12:46:51.0000000Z, BidExchangeCode: 'Z', Bid: [email protected], BidTime: 2021-07-29T12:47:28.0000000Z, Scope: Regional}
AAPL Quote: {AAPL, AskExchangeCode: 'K', Ask: [email protected], AskTime: 2021-07-29T12:47:28.0000000Z, BidExchangeCode: 'K', Bid: [email protected], BidTime: 2021-07-29T12:47:29.0000000Z, Scope: Composite}

dxf_client - demonstrates some commonly used .NET API functions

https://github.com/dxFeed/dxfeed-net-api/tree/master/samples:

• dxf_candle_sample - demonstrates how to subscribe to Candle event.
• dxf_candle_data_retrieving_sample - demonstrates how to retrieve Candle data from the candle web service.
• dxf_tns_data_retrieving_sample - demonstrates how to retrieve TimeAndSale data from the candle web service.
• dxf_events_sample - demonstrates how to subscribe to Quote, Trade, TradeETH, Order, SpreadOrder, Profile, Summary, TimeAndSale, Underlying, TheoPrice, Series, Greeks, Configuration events.
• dxf_inc_order_snapshot_sample - demonstrates how to subscribe to order snapshot with incremental updates.
• dxf_instrument_profile_live_sample - demonstrates how to subscribe to IPF live updates.
• dxf_instrument_profile_sample - demonstrates how to receive IPF data from URL or file.
• dxf_ipf_connect_sample - demonstrates how to subscribe to events by symbols from downloaded IPF (from URL or file).
• dxf_price_level_book_sample - demonstrates how to subscribe to a price level book.
• dxf_read_write_raw_data_sample - demonstrates how to save/read incoming binary traffic to/from file.
• dxf_regional_book_sample - demonstrates how to subscribe to regional price level book.
• dxf_simple_data_retrieving_sample - demonstrates how to receive snapshots of TimeAndSale, Candle, Series, Greeks events on a given time interval without subscription.
• dxf_snapshot_sample - demonstrates how to subscribe to Order, SpreadOrder, Candle, TimeAndSale, Greeks, Series snapshots.