KiwoomScribe

KiwoomScribe is an application for dumping real-time intraday Stock/ETF/ELW tick data in South Korean KOSPI market using Kiwoom Securities OpenAPI.

It records

• For all: level 1 (top of the book quotes and trades) and partial level 2 (order book up to ±10 ticks) data with 1 second resolution
• For ETF: Net Asset Value (NAV) and its related measures
• For ELW: theoretical option value (V), implied volatility (𝜎), Greeks (𝛥, 𝛤, 𝛩, 𝜈, 𝜌), and liquidity provider's order book
• KOSPI200 index (the base for many of the ETF/ELW items in this market)

Zipped full-day data can be used for backtesting using simserv in Sibyl repository.

Requirements

• A trading account at Kiwoom Securities
• Kiwoom Securities OpenAPI (after installing, OpenAPI feature also needs to be activated on on their website)
• Visual C++ Redistributable for Visual Studio 2015 Update 2 (or versions compatible with it)

How to use

• config.ini sets the codes of Stock/ETF/ELW whose data will be collected
• At the time of writing, the KOSPI market generates first data at 07:30 KST and last data at 16:00 KST, so this application should be started/stopped before/after those time points
• Before Quitting, using Fetch codes button collects certain numbers of ETF/ELW items sorted by trade volume during that day (this calls command line program FetchCode/FetchCode.exe and modifies config.ini accordingly)

Notes

• See CKiwoomScribeDlg::OnReceiveRealData for data format
• Due to the human-intervention-inviting update procedure of Kiwoom Securities OpenAPI, the login cannot be reliably automated. Hence, it is recommended that this program be started/stopped manually.
• Due to restrictions of Kiwoom Securities OpenAPI, any Korean text appearing in their API must be in EUC-KR encoding, and their API malfuctions severely under a Unicode compile environment. Hence, the project itself is also built in that encoding, and some source code files contain text in that encoding (yes, they have built their API in a way that cannot be used without EUC-KR Korean text in source codes). These source code files, some data files ($i.txt files for ELW), and config.ini are in EUC-KR, which will need special care if being opened, and especially if being re-saved, in *nix enviroments. These are not files containing timestamped data.