Market Data Target Schema

Preferred Schema

Installation

Install the SDK using pip:

pip install blockhouse==1.0.16

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Sending Market Data

The send_market_data method supports sending consolidated order book data based on the Market Data schema. Below are the details of the required and optional fields for the input.

from blockhouse import MarketClient

# Initialize the client
client = MarketClient("f6d8d388f0c3c1479d5b30cb43d5346d")

# Send the market data
response = client.send_market_data(market_data)

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Input Schema

The send_market_data method accepts a dictionary containing the following fields:

Field Name	Data Type	Description	Example
timestamp	str	Timestamp of the order event.	2024-07-31T20:07:25
ask_price_0	float	Ask price at level 0.	102.578125
ask_size_0	int	Ask size at level 0.	5
ask_price_1	float	Ask price at level 1.	103.578125
ask_size_1	int	Ask size at level 1.	10
ask_price_2	float	Ask price at level 2.	104.578125
ask_size_2	int	Ask size at level 2.	15
ask_price_3	float	Ask price at level 3.	105.578125
ask_size_3	int	Ask size at level 3.	20
ask_price_4	float	Ask price at level 4.	106.578125
ask_size_4	int	Ask size at level 4.	25
ask_price_5	float	Ask price at level 5.	107.578125
ask_size_5	int	Ask size at level 5.	30
ask_price_6	float	Ask price at level 6.	108.578125
ask_size_6	int	Ask size at level 6.	35
ask_price_7	float	Ask price at level 7.	109.578125
ask_size_7	int	Ask size at level 7.	40
ask_price_8	float	Ask price at level 8.	110.578125
ask_size_8	int	Ask size at level 8.	45
ask_price_9	float	Ask price at level 9.	111.578125
ask_size_9	int	Ask size at level 9.	50
bid_price_0	float	Bid price at level 0.	101.578125
bid_size_0	int	Bid size at level 0.	4
bid_price_1	float	Bid price at level 1.	100.578125
bid_size_1	int	Bid size at level 1.	8
bid_price_2	float	Bid price at level 2.	99.578125
bid_size_2	int	Bid size at level 2.	12
bid_price_3	float	Bid price at level 3.	98.578125
bid_size_3	int	Bid size at level 3.	16
bid_price_4	float	Bid price at level 4.	97.578125
bid_size_4	int	Bid size at level 4.	20
bid_price_5	float	Bid price at level 5.	96.578125
bid_size_5	int	Bid size at level 5.	24
bid_price_6	float	Bid price at level 6.	95.578125
bid_size_6	int	Bid size at level 6.	28
bid_price_7	float	Bid price at level 7.	94.578125
bid_size_7	int	Bid size at level 7.	32
bid_price_8	float	Bid price at level 8.	93.578125
bid_size_8	int	Bid size at level 8.	36
bid_price_9	float	Bid price at level 9.	92.578125
bid_size_9	int	Bid size at level 9.	40
symbol	str	Represents the security symbol.	"AAPL"

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Example Usage

from blockhouse import MarketClient

# Initialize the client
client = MarketClient("f6d8d388f0c3c1479d5b30cb43d5346d")

# Define the full market data schema
market_data = {
    "timestamp_ny": "2024-07-31T20:07:25",
    "symbol": "AAPL",
    "ask_price_0": 102.578125,
    "ask_size_0": 5,
    "ask_price_1": 103.578125,
    "ask_size_1": 10,
    "ask_price_2": 104.578125,
    "ask_size_2": 15,
    "ask_price_3": 105.578125,
    "ask_size_3": 20,
    "ask_price_4": 106.578125,
    "ask_size_4": 25,
    "ask_price_5": 107.578125,
    "ask_size_5": 30,
    "ask_price_6": 108.578125,
    "ask_size_6": 35,
    "ask_price_7": 109.578125,
    "ask_size_7": 40,
    "ask_price_8": 110.578125,
    "ask_size_8": 45,
    "ask_price_9": 111.578125,
    "ask_size_9": 50,
    "bid_price_0": 101.578125,
    "bid_size_0": 4,
    "bid_price_1": 100.578125,
    "bid_size_1": 8,
    "bid_price_2": 99.578125,
    "bid_size_2": 12,
    "bid_price_3": 98.578125,
    "bid_size_3": 16,
    "bid_price_4": 97.578125,
    "bid_size_4": 20,
    "bid_price_5": 96.578125,
    "bid_size_5": 24,
    "bid_price_6": 95.578125,
    "bid_size_6": 28,
    "bid_price_7": 94.578125,
    "bid_size_7": 32,
    "bid_price_8": 93.578125,
    "bid_size_8": 36,
    "bid_price_9": 92.578125,
    "bid_size_9": 40
}

# Send the market data
response = client.send_market_data(market_data)

# Print the response
print(response)

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Response Schema

The send_market_data method returns a structured response, adhering to the following schema:

Field	Data Type	Description	Example
status	str	Indicates whether the operation was successful.	"success"
message	str	Describes the status of the operation.	"Market data successfully sent."

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Example Response

Successful API calls return a response similar to the following:

{
    "status": "success",
    "message": "Market data successfully sent to Blockhouse API."
}

Alternate Schema