Рыночные данные (securities)

#!pip install moexalgo
#!pip install matplotlib

import pandas as pd
from moexalgo.beta import issplus

# Данные для входа
ws_login = 'ваш_логин'
ws_passcode = 'ваш_пароль'

ticker = 'SBER'

async def websocket_securities():
    url = 'wss://iss.moex.com/infocx/v3/websocket'
    credentials = issplus.Credentials('passport', ws_login, ws_passcode)
    
    df_snapshot = None
    count = 0
    
    async with issplus.connect(url, credentials) as client:
        # Подписка на рыночные данные
        destination = 'MXSE.securities'
        selector = f'TICKER="MXSE.TQBR.{ticker}"'
        
        subscription = await client.subscribe(destination, selector)
        print(f"Подписка ID: {subscription.id}\n")
        
        async for data in subscription:
            msg_type = data['properties']['type']
            
            # Первое сообщение (snapshot) - полный снимок данных
            if msg_type == 'snapshot':              
                df_snapshot = pd.DataFrame(data['data'], columns=data['columns'])
                
                cols = list(df_snapshot.columns)
                print(f"Доступные поля ({len(cols)}):")
                for i in range(0, len(cols), 5):
                    print("  " + ", ".join(cols[i:i+5]))

                print(f"\nСнэпшот (snapshot):")
                print(df_snapshot[['TICKER', 'LAST', 'BID', 'OFFER', 'VOLTODAY', 'VALTODAY', 'NUMTRADES']].T)
                print()
                
            # Последующие сообщения (updates) - только изменившиеся поля
            elif msg_type == 'updates':
                count += 1
                print(f"Обновление (updates) #{count}")
                
                df_update = pd.DataFrame(data['data'], columns=data['columns'])
                
                print(df_update)
                
                # Обновляем значения снэпшота (snapshot)
                if df_snapshot is not None:
                    for col in df_update.columns:
                        if col in df_snapshot.columns:
                            df_snapshot.at[0, col] = df_update.at[0, col]
                
                print()
            
            # Остановка после пяти итераций (для примера)
            if count >= 5:
                break
    
    return df_snapshot


securities_snapshot = await websocket_securities()

Subscription ID: afefd79d-bb0b-43c0-8889-206d6d75019c

Доступные поля (41):
  TICKER, CAPTION, LAST, CHANGE, BID
  OFFER, HIGH, LOW, HIGHBID, LOWOFFER
  BIDDEPTHT, OFFERDEPTHT, VOLTODAY, VALTODAY, NUMTRADES
  LCLOSEPRICE, LCURRENTPRICE, PREVPRICE, WAPRICE, PREVWAPRICE
  PRICEMINUSPREVWAPRICE, QTY, VALUE, BASEPRICE, MARKETPRICE
  CURRENCYID, SETTLECODE, SETTLEDATE1, SETTLEDATE2, LOTSIZE
  FACEUNIT, FACEVALUE, ISSUESIZE, ADMITTEDQUOTE, TRADINGSTATUS
  STATUS, DPVALINDICATORBUY, DPVALINDICATORSELL, TIME, MINSTEP
  PRICEMINSTEP

Снэпшот (snapshot):
                        0
TICKER     MXSE.TQBR.SBER
LAST          [306.13, 2]
BID           [306.12, 2]
OFFER         [306.13, 2]
VOLTODAY     [1322700, 0]
VALTODAY        405375659
NUMTRADES           10774

Обновление (updates) #1
           TICKER         LAST      CHANGE  BIDDEPTHT  OFFERDEPTHT  \
0  MXSE.TQBR.SBER  [306.12, 2]  [-0.37, 2]    1685771      3001280   

       VOLTODAY   VALTODAY  NUMTRADES PRICEMINUSPREVWAPRICE  QTY  \
0  [1322706, 0]  405377496      10775              [0.7, 2]    6   

          VALUE      TIME  
0  [1836.72, 2]  09:51:20  

Обновление (updates) #2
           TICKER  BIDDEPTHT
0  MXSE.TQBR.SBER    1685771

Обновление (updates) #3
           TICKER  BIDDEPTHT
0  MXSE.TQBR.SBER    1685741

Обновление (updates) #4
           TICKER  BIDDEPTHT
0  MXSE.TQBR.SBER    1685739

Обновление (updates) #5
           TICKER  BIDDEPTHT
0  MXSE.TQBR.SBER    1685738

# Финальный снэпшот (snapshot)
securities_snapshot.T

	0
TICKER	MXSE.TQBR.SBER
CAPTION	Sberbank
LAST	[306.12, 2]
CHANGE	[-0.37, 2]
BID	[306.12, 2]
OFFER	[306.13, 2]
HIGH	[307.0, 2]
LOW	[305.89, 2]
HIGHBID	[310.0, 2]
LOWOFFER	[295.0, 2]
BIDDEPTHT	1685738
OFFERDEPTHT	3001280
VOLTODAY	[1322706, 0]
VALTODAY	405377496
NUMTRADES	10775
LCLOSEPRICE	None
LCURRENTPRICE	[306.24, 2]
PREVPRICE	[306.49, 2]
WAPRICE	[306.48, 2]
PREVWAPRICE	[305.42, 2]
PRICEMINUSPREVWAPRICE	[0.7, 2]
QTY	6
VALUE	[1836.72, 2]
BASEPRICE	None
MARKETPRICE	[305.44, 2]
CURRENCYID	SUR
SETTLECODE	Y1
SETTLEDATE1	2026-01-23
SETTLEDATE2	None
LOTSIZE	1
FACEUNIT	SUR
FACEVALUE	[3, 0]
ISSUESIZE	21586948000
ADMITTEDQUOTE	None
TRADINGSTATUS	T
STATUS	A
DPVALINDICATORBUY	None
DPVALINDICATORSELL	None
TIME	09:51:20
MINSTEP	[0.01, 2]
PRICEMINSTEP	[0.01, 2]