tdameritrade-streaming

Stream order book data using TD Ameritrade API. Supports Level 1, Level 2 and Time of Sale. Save quotes either to your local disk or Azure Data Lake Storage Gen2. I have this script running 24/7 on a Microsoft Azure VM for a few months now.

Instructions

• Rename the file sample_config.py to config.py.
• Customize config.py per your needs. See the video tutorial for instructions to create TD Ameritrade API key and token.
• Start the program. Dependencies are automatically installed. Script restarts if there are any errors.
• To stop, kill the process.

Start

./start.sh

Sample Data

• Refer to json files in the Quote folder

Support for Docker coming soon.

Dependencies

tda-api

Upgrading Dependencies

If you already had tda-api installed, make sure you upgrade to the latest version!

pip install --upgrade -r requirements.txt

Video tutorial

https://youtube.com/parttimelarry

Original code: https://github.com/hackingthemarkets/tdameritrade-streaming