Added barebone support for websockets API

docs/usage.rst

@@ -61,6 +61,23 @@ Now you can use ``TiingoClient`` to make your API calls. (Other parameters are a
                               startDate='2017-01-01',
                               endDate='2017-08-31')
 
+Websocket support::
+
+.. code-block:: python
+   from tiingo import TiingoWebsocketClient
+ 
+   def cb_fn(msg):
+       print(msg)
+
+   subscribe = {
+           'eventName':'subscribe',
+           'authorization':'API_KEY_GOES_HERE',
+           'eventData': {
+               'thresholdLevel':5
+         }
+   }
+   
+   client=TiingoWebsocketClient(subscribe,endpoint="iex",on_msg_cb=cb_fn)
 
 Further Docs
 --------

setup.py

@@ -26,6 +26,7 @@ LONG_DESCRIPTION = read('README.rst', 'HISTORY.rst')
 
 requirements = [
     'requests',
+    'websocket-client'
 ]
 
 setup_requirements = [

tiingo/__init__.py

@@ -1,5 +1,6 @@
 # -*- coding: utf-8 -*-
 from tiingo.api import TiingoClient
+from tiingo.wsclient import TiingoWebsocketClient
 
 __author__ = """Cameron Yick"""
 __email__ = 'cameron.yick@enigma.com'

tiingo/wsclient.py

@@ -0,0 +1,93 @@
+import os
+import websocket
+try:
+    import thread
+except ImportError:
+    import _thread as thread
+import time
+import json
+
+GLOB_config=None
+GLOB_on_msg_cb=None
+
+class genericWebsocketClient:
+    '''
+    the methods passed to websocketClient have to be unbounded if we want WebSocketApp to pass everything correctly
+    see websocket-client/#471
+    '''
+    def on_message(ws, message):
+        GLOB_on_msg_cb(message)
+    def on_error(ws, error):
+        print(error)
+    def on_close(ws):
+        pass
+    def on_open(ws):
+        def run(*args):
+            print(GLOB_config)
+            ws.send(json.dumps(GLOB_config))
+        thread.start_new_thread(run, ())
+    def __init__(self,config,on_msg_cb):
+        global GLOB_config
+        global GLOB_on_msg_cb
+        GLOB_config=config
+        GLOB_on_msg_cb=on_msg_cb
+        return
+
+class TiingoWebsocketClient:
+    '''
+    from tiingo import TiingoWebsocketClient
+    def cb_fn(msg):
+        print(msg)
+    subscribe = {
+            'eventName':'subscribe',
+            'authorization':'API_KEY_GOES_HERE',
+            'eventData': {
+                'thresholdLevel':5
+          }
+    }
+    client=TiingoWebsocketClient(subscribe,endpoint="iex",on_msg_cb=cb_fn)
+    while True:pass
+    '''
+
+    def __init__(self,config={},endpoint=None,on_msg_cb=None):
+        
+        self._base_url = "wss://api.tiingo.com"
+        self.config=config
+        
+        try:
+            api_key = self.config['authorization']
+        except KeyError:
+            api_key = os.environ.get('TIINGO_API_KEY')
+            self.config.update({"authorization":api_key})
+
+        self._api_key = api_key
+        if not(api_key):
+            raise RuntimeError("Tiingo API Key not provided. Please provide"
+                               " via environment variable or config argument."
+                               "Notice that this config dict ticks the API Key as authorization ")
+
+        try:
+            self.endpoint = endpoint
+            if self.endpoint==None:
+                raise KeyError
+            if not (self.endpoint=="iex" or self.endpoint=="fx" or self.endpoint=="crypto"):
+                raise KeyError
+        except KeyError:
+            raise AttributeError("Endpoint must be defined as either (iex,fx,crypto) ")
+        
+        self.on_msg_cb = on_msg_cb
+        if self.on_msg_cb==None:
+            raise AttributeError("please define on_msg_cb ")
+
+        ws_client = genericWebsocketClient(config=self.config,on_msg_cb=self.on_msg_cb)
+        
+
+        websocket.enableTrace(True)
+        
+        ws = websocket.WebSocketApp("{0}/{1}".format(self._base_url,self.endpoint),
+                              on_message = genericWebsocketClient.on_message,
+                              on_error = genericWebsocketClient.on_error,
+                              on_close = genericWebsocketClient.on_close,
+                              on_open = genericWebsocketClient.on_open)
+        ws.run_forever()
+