Market Data API v1

C# Stats Example

Using C# to download stats for 300+ tickers

The example below details

Authenticating to the API
Getting a pre defined list of ticker symbols
Gathering stats about those tickers.

1. Authenticate to web service

FastTrack's API token is reset every 8 hours. Make a request to /v1/auth/login with your account number, password, and app id.

Receive the response and extract the token to use in all other API requests.

// authenticate to web service
// docs: /docs/ftlightning/openapi.json/paths/~1v1~1auth~1login/get

string account = "xxxxxx";
string pass = "xxxxxx";
string appid = "xxxxxx";
auth a = new auth();
a = (auth)makeGET("https://ftl.fasttrack.net/v1/auth/login?account=" + account + "&pass=" + pass + "&appid=" + appid, a, null, null);

2. Request all Vanguard Tickers

Each FT API request needs a ticker or list of tickers included in the request. This example pulls all Vanguard Funds and ETFs from the database using the screener endpoint.

Other common sources are user input, external database, or flat files of ticker symbols.


// request all Vanguard funds and ETFs in FT database with screener
// docs: /docs/ftlightning/openapi.json/paths/~1v1~1family~1screener/post

// create screener request
FTScreener ftr = new FTScreener();
ftr.screener = new List<FTScreenItem>();

// Add ALL - Vanguard screen to object
FTScreenItem fti1 = new FTScreenItem();
fti1.family = "ALL - Vanguard";/// family for ALL Vanguard funds and ETFS in database
fti1.operation = "add";
ftr.screener.Add(fti1);

// request screen
FTScreenerResult ftscreen = new FTScreenerResult();
ftscreen = (FTScreenerResult)makePOST("https://ftl.fasttrack.net/v1/family/screener", ftscreen, ftr, a.token, a.appid);

// Extract ticker list from screener. 
// Transform to List<> to send in POST body
string[] tickers = ftscreen.resulttickers.ToArray();

3. Split Tickers into Mini Arrays to multi thread

Speed up your execution times by multi-threading your request. The below code splits the ticker array into 200 ticker mini arrays.

 
String[][] chunks = tickers
        .Select((s, i) => new { Value = s, Index = i })
        .GroupBy(x => x.Index / 200)
        .Select(grp => grp.Select(x => x.Value).ToArray())
        .ToArray();

4. Request Statistics for Tickers

Using the tickers retieved above, multi thread the request for ticker stats. Gennerally, 100-200 tickers per request achieves the best performance. Each app id is limited to 10 concurrent threads.


// set end date to last day of prior month, start date last day of month 5 years prior
int pervious_month = DateTime.Now.AddMonths(-1).Month;
int pervious_year = DateTime.Now.AddMonths(-1).Year;

string dteend = pervious_year.ToString() + "-" + pervious_month.ToString("0#") + "-" + DateTime.DaysInMonth(pervious_year, pervious_month);
string dtestart = dtestart = (pervious_year - 5).ToString() + "-" + pervious_month.ToString("0#") + "-" + DateTime.DaysInMonth(pervious_year, pervious_month);

// multi thread the 200 ticker chunk request
// store all results in "toplevel_statslist"

FTStatsList toplevel_statslist = new FTStatsList();
toplevel_statslist.statslist = new List<FTStats>();
ParallelOptions popt = new ParallelOptions() { MaxDegreeOfParallelism = 4 };
Parallel.For(0, chunks.Length, popt, i =>
{
    // request stats data for array of tickers
    // make sure to pass start and end dates as query strings
    // docs: /docs/ftlightning/openapi.json/paths/~1v1~1stats~1xmulti/post
    FTStatsList stats = new FTStatsList();
    stats = (FTStatsList)makePOST("https://ftl.fasttrack.net/v1/stats/xmulti?start=" + dtestart + "&end=" + dteend, stats, chunks[i], a.token, a.appid);
    lock (toplevel_statslist)
    {
        toplevel_statslist.statslist.AddRange(stats.statslist);
        Console.WriteLine(toplevel_statslist.statslist.Count().ToString() + " / " + tickers.Count().ToString());
    }
});

5. Write Data to Console

// write dates
Console.WriteLine("Start: " + dtestart);
Console.WriteLine("End: " + dteend);

/// write stats of first ticker
Console.WriteLine("Ticker: " + toplevel_statslist.statslist[0].ticker);
Console.WriteLine("Name: " + toplevel_statslist.statslist[0].describe.name);
Console.WriteLine("5 Year Total Return: " + toplevel_statslist.statslist[0].returns.total.period);
Console.WriteLine("5 Year Annualized Return: " + toplevel_statslist.statslist[0].returns.annualized.period);
Console.WriteLine("5 Year SD: " + toplevel_statslist.statslist[0].risk.sd);

Utility Functions Used Above

public static object makeGET(string _base, object obj, string token, string appid)
{
    HttpWebRequest request = (HttpWebRequest)HttpWebRequest.Create(_base);
    request.Headers.Add("token", token);
    request.Headers.Add("appid", appid);

    HttpWebResponse response = (HttpWebResponse)request.GetResponse();

    using (Stream receiveStream = response.GetResponseStream())
    {
        StreamReader stre = new StreamReader(receiveStream);
        String json = stre.ReadToEnd();
        JsonTextReader reader = new JsonTextReader(new StringReader(json));
        JsonSerializer serializer = new JsonSerializer();
        obj = serializer.Deserialize(reader, obj.GetType());
        return obj;
    }
}

public static object makePOST(string _base, Object result, Object body, string token, string appid)
{
    HttpWebRequest request = (HttpWebRequest)HttpWebRequest.Create(_base);
    request.Method = "POST";
    request.Headers.Add("token", token);
    request.Headers.Add("appid", appid);

    request.AutomaticDecompression = DecompressionMethods.GZip;

    String val = JsonConvert.SerializeObject(body);
    Byte[] bytes = Encoding.UTF8.GetBytes(val);

    Stream requestStream = request.GetRequestStream();
    requestStream.Write(bytes, 0, bytes.Length);

    HttpWebResponse response = (HttpWebResponse)request.GetResponse();

    using (Stream receiveStream = response.GetResponseStream())
    {
        StreamReader stre = new StreamReader(receiveStream);
        String json = stre.ReadToEnd();
        JsonTextReader reader = new JsonTextReader(new StringReader(json));
        JsonSerializer serializer = new JsonSerializer();
        result = serializer.Deserialize(reader, result.GetType());
        return result;
    }
}

Various Classes Used in Example

//Stats Classes
public class FTStats
{
  public string ticker;

  public FTDate dtestart;
  public FTDate dteend;

  public FTChartData chartprices = new FTChartData();
  public FTRisk risk = new FTRisk();
  public FTDescribe describe = new FTDescribe();
  public FTReturns returns = new FTReturns();
  public FTMaxDraw max = new FTMaxDraw();

  public int aux;

  public err err;
}

public class FTStatsList
{
  public List<FTStats> statslist;
  public err err;
}

public class FTDescribe
{
  public string name;
  public string sharesout;
  public string price;
  public string marketcap;
  public string security_type;
  public string high_52;
  public string low_52;
  public string yield;
  public string yield_all;
  public string yieldL;
  public string yieldS;
  public FTDate startdate = new FTDate();
}

public class FTRisk
{
  public string sd;
  public string ui;
  public string upi;
  public string rsi;
  public string sharpe;
  public string alpha;
  public string ftalpha;
  public string corr;
  public string beta;
}

public class FTReturns
{
  public FTReturn annualized = new FTReturn();
  public FTReturn total = new FTReturn();
  public List<FTYearReturns> years = new List<FTYearReturns>();
}

public class FTReturn
{
  public string period;

  public string oneday;
  public string fiveday;

  public string onemonth;
  public string threemonths;
  public string sixmonths;
  public string ninemonths;

  public string one;
  public string three;
  public string five;
  public string ten;
  public string inception;
  public string ytd;
}

public class FTYearReturns
{
  public string year;
  public string returns;
  public string jan;
  public string feb;
  public string mar;
  public string apr;
  public string may;
  public string jun;
  public string jul;
  public string aug;
  public string sep;
  public string oct;
  public string nov;
  public string dec;
}

public class FTChartData
{
  public double[] p_log;
  public string[] p_percents;
  public string[] p_percents2;
  public string[] p_divadj;
  public FTDates dates;
}

public class FTMaxDraw
{
  public string maxdrawdown;
  public string maxdrawlength;
  public string recoverylength;
  public string peakdate;
  public string valleydate;
}


/// Details Classes


public class FTDetailsList
{
  public List<FTDetails> datalist;
  public err err;
}

public class FTDetails
{
  public string ticker { get; set; }
  public string expenseratio { get; set; }
  public expense_detail expense_detail { get; set; }
  public string category { get; set; }
  public string objective { get; set; }
  public string security_type { get; set; }
}

public class expense_detail
{
  public string deferred { get; set; }
  public string b12 { get; set; }
  public string frontload { get; set; }
  public string initpurchase { get; set; }
  public string redemption { get; set; }
}

#endregion

#region "SCREEN"

public class FTScreenItem
{
  public string operation;
  public string level;
  public string rank;
  public string family;
  public string count;
}

public class FTScreener
{
  public List<FTScreenItem> screener;
  public string name;
  public string dtecreated;
  public err err;
}

public class FTScreenerResult
{
  public List<FTScreenItem> screener;
  public string resulttotal;
  public string name;
  public string id;
  public string dtecreated;
  public List<string> resulttickers;
  public err err;
}

/// Authentication, Date, Error Classes

public class auth
{
  public string accountnumber { get; set; }
  public string appid { get; set; }
  public err err { get; set; }
  public string expiration { get; set; }
  public string pass { get; set; }
  public string token { get; set; }
}

public class FTDates
{
  public FTDate[] dtes;
  public int maxnumdays;
  public string strmaxnumdays;
  public err err;
}

public class FTDate
{
  public string marketdate = null;
  public string juliandate = null;
  public string strdate { get; set; }
}

public class err
{
  public string code;
  public string link;
  public string message;
}