Rust Rithmic R | Protocol API client

Unofficial rust client for connecting to Rithmic's R | Protocol API.

rithmic protocol version: 0.84.0.0

Not all functionality has been implemented, but this is currently being used to trade live capital through Rithmic.

Only order_plant, ticker_plant, pnl_plant, history_plant are provided. Each plant uses the actor pattern so you'll want to start a plant, and communicate / call commands with it using it's handle. The crate is setup to be used with tokio channels.

The history_plant supports loading both historical tick data and time bar data (1-second, 1-minute, 5-minute, daily, and weekly bars).

Installation

You can install it from crates.io

$ cargo add rithmic-rs

Or manually add it to your Cargo.toml file.

[dependencies]
rithmic-rs = "0.4.0"

Usage

Store your credentials in a .env file.

# .env
RITHMIC_TEST_USER=<USER_NAME>
RITHMIC_TEST_PW=<PASSWORD>

RITHMIC_DEMO_USER=<USER_NAME>
RITHMIC_DEMO_PW=<PASSWORD>

RITHMIC_LIVE_USER=<USER_NAME>
RITHMIC_LIVE_PW=<PASSWORD>

Rithmic supports three types of account environments, RithmicConnectionSystem::Demo is used for paper trading, RithmicConnectionSystem::Live will connect to your funded account, and RithmicConnectionSystem::Test connects to the test environment before your app is approved.

To use this crate, pass in your account information to one of the plants. Doing so will spawn an actor in a new thread that listens to commands that you send via a handle. Some plants like the ticker plant will also include a broadcast channel that you can listen to for wire level updates.

pub async fn stream_live_ticks(
    &self,
    env: &RithmicConnectionSystem,
    account_info: &AccountInfo
) -> Result<(), Box<dyn std::error::Error>> {
    event!(Level::INFO, "market-data streaming ticks");

    let ticker_plant = RithmicTickerPlant::new(env, account_info).await;
    let ticker_plant_handle = ticker_plant.get_handle();

    let mut min_backoff_wait = 1;

    while let Err(err) = ticker_plant_handle.login().await {
        event!(Level::ERROR, "market-data: login failed: {}", err);

        sleep(Duration::from_secs(min_backoff_wait)).await;

        min_backoff_wait *= 2;

        if min_backoff_wait > 60 {
            event!(Level::ERROR, "market-data: login exceeded max backoff");

            panic!("market-data: login exceeded max backoff")
        }
    }

    handle.subscribe("ESM5", "CME").await?;

    loop {
        let message = ticker_plant_handle.subscription_receiver.recv().await;

        match message {
            Ok(update) => {
                match update.message {
                    RithmicMessage::LastTrade(u) => {
                        let tick = Tick {
                            dir: u.aggressor.unwrap(),
                            price: u.trade_price.unwrap(),
                            vol: u.trade_size.unwrap(),
                            utime: u.ssboe.unwrap() as i64 * 1_000_000 + u.usecs.unwrap() as i64
                        };

                        if let Some(s) = self.stream_map.get(&u.symbol.unwrap()) {
                            if let Err(e) = s.send(tick) {
                                event!(Level::ERROR, "market-data: failed to send tick: {}", e);
                            };
                        }
                    }
                    _ => {}
                }
            }
            Err(RecvError::Lagged(count)) => {
                event!(Level::WARN, "{} messages lagged", count);
            }
            Err(err) => {
                event!(Level::ERROR, "received error {:?}", err);

                break;
            }
        }
    }
}

Examples

The repository includes several examples to help you get started:

Environment Variables

Before running examples, copy .env.blank to .env and fill in your credentials:

cp examples/.env.blank .env
# Edit .env with your Rithmic credentials

Basic Connection

cargo run --example connect

Historical Data

# Load historical tick data
cargo run --example load_historical_ticks

# Load historical time bars (1-minute, 5-minute, daily)
cargo run --example load_historical_bars

Contribution

Contributions encouraged and welcomed!

Unless you explicitly state otherwise, any contribution intentionally submitted for inclusion in the work by you, as defined in the Apache-2.0 license, shall be dual licensed as above, without any additional terms or conditions.

License

Licensed under either of Apache License, Version 2.0 or MIT license at your option.

rithmic-rs 0.4.0