RxJava in Action with Financial Market Data: Part 1

In one of my recent projects I automated a trading strategy using Iteractive Brokers Java API, the perfect companion framework to handle large amount of live and historical data is RxJava. Reading the doc and examples of RxJava can be intimidating and quite abstract, here is a hands on example of how to use it and what it can do:

• Feed market data to the RxJava marketDataObservable class
• Aggregate tick data to 1-minute bars, using groupBy, flatmap and buffer operators

1. Feed market data to the RxJava marketDataObservable class

 public void subscribeRealTimeData(Instrument instrument) {
    controller.reqTopMktData(instrument.ibContract, "232", false, new ApiController.ITopMktDataHandler() 
    {
        @Override
        public void tickPrice(TickType tickType, double price, int canAutoExecute) {

            if (tickType == TickType.ASK) 
            {
                log.info("IB tick " + new Date() + " price " + price);
                LivePriceEvent priceEvent = new LivePriceEvent(System.currentTimeMillis(), instrument, new BigDecimal(price).setScale(3, RoundingMode.UP));
                marketDataObservable.push(priceEvent);
            }

        }

Now each time a tick arrives from IB, it will be pushed to our Obseravble. Now we can now fold the data as we want using the different opearator of RxJava Observable

2. Aggregate tick data to 1-minute bars

public void aggregateLiveMinuteBar() {

    observable().
            ofType(LivePriceEvent.class). //filter on live ticks
            groupBy(LivePriceEvent::getInstrument). // group by instrument i.e AAPL, GOOG
            flatMap(grouped -> grouped.buffer(2, 1)). // take each 2 consecutive events
            subscribe(listOf2 -> {
                LivePriceEvent lastEvent = listOf2.get(0);
                int lastMinute = new DateTime(lastEvent.getCreateTimestamp()).minuteOfHour().get();
                int currentMinute = new DateTime(listOf2.get(1).getCreateTimestamp()).minuteOfHour().get();
        //when minute is crossed , we push the result back in the observable to make it available to other subscribers
        if (lastMinute != currentMinute) {
                    push(new LiveBarEvent(TimeUnit.MINUTES, lastEvent.createTimestamp, lastEvent.getInstrument(), lastEvent.getPrice()));
                }

    });


}

3. Running the minute bar aggregator against IB demo feed

just follow the instructions from the github

$ git clone [https://github.com/dsebban/blog-post-1] rx-ib
$ cd rx-ib
$ mvn package
$ foreman start

you should see something like this

daniel@daniel-desktop:~/Projects/dice_bot/blog-post-1$ foreman start

16:22:37 ib.1   | started with pid 29935
16:22:37 app.1  | started with pid 29937
16:22:47 app.1  | Server Version:76
16:22:47 app.1  | TWS Time at connection:20150717 16:22:44 IST
16:22:47 app.1  | Jul 17, 2015 4:22:47 PM daniels.reactive.blog.InteractiveBrokersFeed$2 connected
16:22:47 app.1  | INFO: connected
16:22:48 app.1  | Jul 17, 2015 4:22:48 PM daniels.reactive.blog.InteractiveBrokersFeed$2 message
16:22:48 app.1  | SEVERE: id -1 errocode = 2119msg Market data farm is connecting:ibdemo
16:22:48 app.1  | Jul 17, 2015 4:22:48 PM daniels.reactive.blog.InteractiveBrokersFeed$2 message
16:22:48 app.1  | SEVERE: id -1 errocode = 2104msg Market data farm connection is OK:ibdemo
16:22:48 app.1  | Jul 17, 2015 4:22:48 PM daniels.reactive.blog.InteractiveBrokersFeed$1 tickPrice
16:22:48 app.1  | INFO: IB tick Fri Jul 17 16:22:48 IDT 2015 price 122.09
16:22:48 app.1  | Jul 17, 2015 4:22:48 PM daniels.reactive.blog.InteractiveBrokersFeed$1 tickPrice
16:22:48 app.1  | INFO: IB tick Fri Jul 17 16:22:48 IDT 2015 price 122.08
16:22:52 app.1  | Jul 17, 2015 4:22:52 PM daniels.reactive.blog.InteractiveBrokersFeed$1 tickPrice
16:22:52 app.1  | INFO: IB tick Fri Jul 17 16:22:52 IDT 2015 price 122.09
16:22:58 app.1  | Jul 17, 2015 4:22:58 PM daniels.reactive.blog.InteractiveBrokersFeed$1 tickPrice
16:22:58 app.1  | INFO: IB tick Fri Jul 17 16:22:58 IDT 2015 price 122.08
16:23:00 app.1  | Jul 17, 2015 4:23:00 PM daniels.reactive.blog.InteractiveBrokersFeed$1 tickPrice
16:23:00 app.1  | INFO: IB tick Fri Jul 17 16:23:00 IDT 2015 price 122.09
16:23:00 app.1  | Jul 17, 2015 4:23:00 PM daniels.reactive.blog.Main lambda$main$0
16:23:00 app.1  | INFO: minute = 22 val=LiveBarEvent(barDuration=MINUTES, createTimestamp=1437139378855, instrument=APPL, price=122.080)

To be continued (Part 2 taking advantage of your multicore cpu with observeOn RxJava operator )