thinkorswim RTD/DDE data into Python

Many may not know it, but thinkorswim provides users the ability to access real time data (RTD) in excel. This is a great feature that a lot of data-streams ask their customers to pay a pretty penny for each month. Unfortunately, not many people know how to leverage the the functionality as it is pretty limiting out of the box.

So you are a thinkorswim customer and you want real time data in a python environment? No problem.

First, install the xlwings module. Load up your python IDE of choice.

from xlwings import Workbook, Sheet, Range, Chart
import time
wb = Workbook()

You need to have thinkorswim open and running. A blank excel spreadsheet should open up after you execute the last command above.

def getQuote(ticker, type):
    Range('B1').value = '=RTD("tos.rtd", ,"%s", "%s")' % (type, ticker)
    time.sleep(2.5)
    return Range('B1').value

So we create a getQuote function above that takes in two variables, both strings. We utilize the Write value feature in python to input the DDE/RTD function into the Excel cell. After about a second, this will return a value where we can use the return feature to read it back. 

Really, this is just a work-around. Unfortunately, I could not find a way to get RTD data working into the python environment directly. If anyone does, please feel free to drop a note in the comments.

So now we can call the getQuote function a ticker and input type of our choice:

getQuote("/ESU5", "LAST")

Out[447]: 2101.0

Pretty awesome! You can experiment with options as well:

def quoteOption(type, ticker, cp, exp, strike):
    Range('B1').value = '=RTD("tos.rtd", ,"%s", ".%s%s%s%s")' % (type, ticker, exp, cp, strike)
    time.sleep(2.5) #wait for excel to update the cell, usually a couple of seconds.    return Range('B1').value

quoteOption('LAST', 'VXX', 'C', 150731, 17)
Out[446]: 1.23

Cheers.