Add websocket support for options Admin (AD) messages

examples/websocket/options-admin.py

@@ -0,0 +1,18 @@
+from massive import WebSocketClient
+from massive.websocket.models import WebSocketMessage, Market
+from typing import List
+
+client = WebSocketClient(market=Market.Options, verbose=True)
+
+# Options Admin / FLEX messages
+client.subscribe("AD.*")  # all options exchanges
+# client.subscribe("AD.302")
+# client.subscribe("AD.323")
+
+
+def handle_msg(msgs: List[WebSocketMessage]):
+    for m in msgs:
+        print(m)
+
+
+client.run(handle_msg)

massive/websocket/models/__init__.py

@@ -30,6 +30,7 @@ def from_dict(cls, data: Dict[str, Any]) -> "FromDictProtocol":
         "Q": EquityQuote,
         "FMV": FairMarketValue,
         "LV": LaunchpadValue,
+        "AD": OptionsAdmin,
     },
     Market.Indices: {
         "A": EquityAgg,

massive/websocket/models/common.py

@@ -54,6 +54,7 @@ class EventType(Enum):
     LaunchpadValue = "LV"
     LaunchpadAggMin = "AM"
     BusinessFairMarketValue = "FMV"
+    OptionsAdmin = "AD"
     FuturesTrade = "T"
     FuturesQuote = "Q"
     FuturesAgg = "A"

massive/websocket/models/models.py

@@ -374,6 +374,31 @@ def from_dict(d):
         )
 
 
+@modelclass
+class OptionsAdmin:
+    "OptionsAdmin contains an OPRA administrative message, such as a FLEX trade report, for a given options exchange. The message is the raw OPRA text, kept as-is since its format varies by exchange. The timestamp is the SIP timestamp in Unix nanoseconds, and retransmission is only set (True) on retransmitted messages."
+
+    event_type: Optional[Union[str, EventType]] = None
+    id: Optional[str] = None
+    exchange: Optional[int] = None
+    message: Optional[str] = None
+    timestamp: Optional[int] = None
+    sequence_number: Optional[int] = None
+    retransmission: Optional[bool] = None
+
+    @staticmethod
+    def from_dict(d):
+        return OptionsAdmin(
+            event_type=d.get("ev", None),
+            id=d.get("i", None),
+            exchange=d.get("x", None),
+            message=d.get("m", None),
+            timestamp=d.get("t", None),
+            sequence_number=d.get("q", None),
+            retransmission=d.get("rt", None),
+        )
+
+
 @modelclass
 class FuturesTrade:
     event_type: Optional[str] = None
@@ -470,6 +495,7 @@ def from_dict(d):
             IndexValue,
             LaunchpadValue,
             FairMarketValue,
+            OptionsAdmin,
             FuturesTrade,
             FuturesQuote,
             FuturesAgg,

test_websocket/test_options_admin.py

@@ -0,0 +1,59 @@
+import json
+import unittest
+from massive.websocket import logger
+from massive.websocket.models import parse, Market, OptionsAdmin
+
+# frames captured verbatim from wss://socket.massive.com/options (AD.*)
+SINGLE_FRAME = '[{"ev":"AD","i":"1794331349111117097-2270200655","t":1794331349111117097,"q":2270200655,"x":300,"m":"FLEX E   MDB   LST 127888 240 P EUR 12.18.26 631 @ 6 2MDB"}]'
+MULTI_FRAME = '[{"ev":"AD","i":"1794331356867045949-2270938732","t":1794331356867045949,"q":2270938732,"x":300,"m":"FLEX E   PG    LST 96699 135 P EUR 12.18.26 1122 @ 0.05 2PG"},{"ev":"AD","i":"1794331356867503288-2270938735","t":1794331356867503288,"q":2270938735,"x":300,"m":"FLEX E   PG    LST 97132 135 C EUR 12.18.26 1122 @ 35.25 2PG"}]'
+
+
+class OptionsAdminTest(unittest.TestCase):
+    def test_parse_single(self):
+        msgs = parse(json.loads(SINGLE_FRAME), logger, Market.Options)
+        self.assertEqual(
+            msgs,
+            [
+                OptionsAdmin(
+                    event_type="AD",
+                    id="1794331349111117097-2270200655",
+                    exchange=300,
+                    message="FLEX E   MDB   LST 127888 240 P EUR 12.18.26 631 @ 6 2MDB",
+                    timestamp=1794331349111117097,
+                    sequence_number=2270200655,
+                    retransmission=None,
+                )
+            ],
+        )
+
+    def test_parse_multi(self):
+        msgs = parse(json.loads(MULTI_FRAME), logger, Market.Options)
+        self.assertEqual(
+            msgs,
+            [
+                OptionsAdmin(
+                    event_type="AD",
+                    id="1794331356867045949-2270938732",
+                    exchange=300,
+                    message="FLEX E   PG    LST 96699 135 P EUR 12.18.26 1122 @ 0.05 2PG",
+                    timestamp=1794331356867045949,
+                    sequence_number=2270938732,
+                    retransmission=None,
+                ),
+                OptionsAdmin(
+                    event_type="AD",
+                    id="1794331356867503288-2270938735",
+                    exchange=300,
+                    message="FLEX E   PG    LST 97132 135 C EUR 12.18.26 1122 @ 35.25 2PG",
+                    timestamp=1794331356867503288,
+                    sequence_number=2270938735,
+                    retransmission=None,
+                ),
+            ],
+        )
+
+    def test_parse_retransmission(self):
+        d = json.loads(SINGLE_FRAME)
+        d[0]["rt"] = True
+        msgs = parse(d, logger, Market.Options)
+        self.assertEqual(msgs[0].retransmission, True)  # type: ignore