Mastering Python for Finance - Second Edition

Implementing the method for streaming prices

Add the following stream_prices() method in the OandaBroker class to start streaming prices from your broker:

def stream_prices(self, symbols=[]):
    response = self.stream_api.pricing.stream(
        self.accountid,
        instruments=",".join(symbols),
        snapshot=True
    )

    for msg_type, msg in response.parts():
        if msg_type == "pricing.Heartbeat":
            continue
        elif msg_type == "pricing.ClientPrice":
            self.process_price(msg)

Since the host connection expects a continuous stream, the response object has a parts() method that listens for incoming data. The msg object is essentially a price object, which we can reuse with the process_price() method to notify the listeners of an incoming price event.