Checkout example_client.py for an example on how to use the client.
The DTCClient class should contain common logic only, and custom logic should go in a child class
(ExampleDTCClient for example)
The dtc directory contains the generated code based on DTCProtocol.h.
Message Types are here: https://github.com/jseparovic/python-ws-dtc-client/tree/master/dtc/message_types
There are generated enums and message types to use in your code
pip install websocket_client
pip install flask
pip install Flask-Sockets
pip install gevent-websocket
For code gen:
pip install CppHeaderParser
usage: example_client.py [-h] -n HOST -p PORT -q HISTORYPORT [-r RESTPORT]
[-l] [-s] [-u USERNAME] [-x PASSWORD]
DTC Client
optional arguments:
-h, --help show this help message and exit
-n HOST, --host HOST Websocket Host
-p PORT, --port PORT SC Listening Port
-q HISTORYPORT, --historyport HISTORYPORT
SC Historical Data Port
-r RESTPORT, --restport RESTPORT
Local REST Server Port
-l, --live Live trading mode
-s, --simulated Simulated trading mode
-u USERNAME, --username USERNAME
Server Username
-x PASSWORD, --password PASSWORD
Server Password
Set Environment variable LOG_LEVEL=DEBUG to see request/responses
eg: LOG_LEVEL=DEBUG ./example_client.py -n localhost -p 11099 -l
If you want to see market data messages in the logs:
eg: LOG_DATA=1 LOG_LEVEL=DEBUG ./example_client.py -n localhost -p 11099 -l
A REST Server will run by default on port 8080 (or specify -r to select a REST port)
Currently the following GET APIs are supported:
ACCOUNT_BALANCE = '/accountbalance'
CURRENT_POSITIONS = '/currentpositions'
EXCHANGE_LIST = '/exchangelist'
HISTORICAL_ACCOUNT_BALANCES = '/historicalaccountbalances'
HISTORICAL_ORDER_FILLS = '/historicalorderfills'
SECURITY_DEFINITION = '/securitydefinition'
TRADE_ACCOUNTS = '/tradeaccounts'
Note the full URL would look like (for example):
http://localhost:8080/api/v1/accountbalance
If an API requires input, pass in query params (for example):
http://localhost:8080/api/v1/securitydefinition?Symbol=ESM20_FUT_CME
[
{
"Currency": "USD",
"CurrencyValuePerIncrement": 12.5,
"Description": "E-MINI S&P 500 FUTURES ES Jun 2020",
"DisplayPriceMultiplier": 0.009999999776482582,
"ExchangeSymbol": "ESM20",
"IsFinalMessage": 1,
"MinPriceIncrement": 0.25,
"OpenInterest": 3332460,
"PriceDisplayFormat": 2,
"RequestID": 1,
"SecurityExpirationDate": 1592524800,
"SecurityType": 1,
"Symbol": "ESM20_FUT_CME",
"Type": 507,
"UnderlyingSymbol": "ES"
}
]
Support for Websocket server exists. Currently you can subscribe and unsubscribe to market data.
Connect to the WS Server running on the REST port using one of the following urls:
ws://localhost:8080/api/v1/marketdata
ws://localhost:8080/api/v1/marketdepth
To subscribe to data, Send a JSON message in the following format:
{"action": "subscribe", "symbol": "ESM20_FUT_CME"}
To unsubscribe to data, Send a JSON message in the following format:
{"action": "unsubscribe", "symbol": "ESM20_FUT_CME"}
https://www.screencast.com/t/EzpC4V7MQ61
[SENT] {"action": "subscribe", "symbol": "ESM20_FUT_CME"}
[RECV] {"action": "subscribe", "symbol": "ESM20_FUT_CME", "success": true}
[RECV] {
"AskPrice": 282825,
"AskQuantity": 1,
"BidAskDateTime": 1587762000.001,
"BidPrice": 282800,
"BidQuantity": 1,
"LastTradeDateTime": 1587761999.001,
"LastTradePrice": 282800,
"LastTradeVolume": 1,
"MarketDepthUpdateDateTime": 1587762000.065,
"OpenInterest": 3332460,
"SessionHighPrice": 283500,
"SessionLowPrice": 275525,
"SessionNumTrades": 4888086,
"SessionOpenPrice": 277700,
"SessionSettlementDateTime": 0,
"SessionSettlementPrice": 282950,
"SessionVolume": 0,
"Symbol": "ESM20_FUT_CME",
"SymbolID": 2114831995,
"TradingSessionDate": 1587772800,
"TradingStatus": 4,
"Type": 104
}
[SENT] {"action": "unsubscribe", "symbol": "ESM20_FUT_CME"}
[RECV] {"action": "unsubscribe", "symbol": "ESM20_FUT_CME", "success": true}
Note: There's currently an issue raised with Sierra Charts in regards to the ordering of Market Update fields being incorrect.
2020-04-25 13:45:16,969 - DTC_Client - INFO - URL: ws://192.168.1.11:21099
2020-04-25 13:45:16,981 - DTC_Client - DEBUG - Sending LogonRequest:
{
"ClientName": "DTC Client",
"HeartbeatIntervalInSeconds": 60,
"Password": "********",
"ProtocolVersion": 8,
"TradeMode": 2,
"Type": 1,
"Username": "********"
}
2020-04-25 13:45:16,983 - DTC_Client - DEBUG - Received LogonResponse:
{
"BracketOrdersSupported": 0,
"HistoricalPriceDataSupported": 0,
"Integer_1": 0,
"MarketDataSupported": 1,
"MarketDepthIsSupported": 1,
"MarketDepthUpdatesBestBidAndAsk": 0,
"OCOOrdersSupported": 0,
"OneHistoricalPriceDataRequestPerConnection": 0,
"OrderCancelReplaceSupported": 0,
"ProtocolVersion": 8,
"ReconnectAddress": "",
"ResubscribeWhenMarketDataFeedAvailable": 0,
"Result": 1,
"ResultText": "Connected to SC DTC Protocol server. Service=sc_futures.dtc.trading|SymbolSettings=sc_futures.dtc.trading",
"SecurityDefinitionsSupported": 1,
"ServerName": "SC DTC Server",
"SymbolExchangeDelimiter": "",
"TradingIsSupported": 0,
"Type": 2,
"UseIntegerPriceOrderMessages": 0,
"UsesMultiplePositionsPerSymbolAndTradeAccount": 0
}
2020-04-25 13:45:16,984 - DTC_Client - DEBUG - post_login_thread
2020-04-25 13:45:16,984 - DTC_Client - DEBUG - Sending MarketDataRequest:
{
"RequestAction": 1,
"Symbol": "ESM20_FUT_CME",
"SymbolID": 2114831995,
"Type": 101
}
2020-04-25 13:45:16,984 - DTC_Client - DEBUG - Sending MarketDataRequest:
{
"RequestAction": 1,
"Symbol": "CLM20_FUT_NYMEX",
"SymbolID": 2380550405,
"Type": 101
}
2020-04-25 13:45:16,985 - DTC_Client - DEBUG - Received MarketDataSnapshot:
{
"AskPrice": 282825,
"AskQuantity": 1,
"BidAskDateTime": 1587762000.001,
"BidPrice": 282800,
"BidQuantity": 1,
"LastTradeDateTime": 1587761999.001,
"LastTradePrice": 282800,
"LastTradeVolume": 1,
"MarketDepthUpdateDateTime": 1587762000.065,
"OpenInterest": 3332460,
"SessionHighPrice": 283500,
"SessionLowPrice": 275525,
"SessionNumTrades": 4888086,
"SessionOpenPrice": 277700,
"SessionSettlementDateTime": 0,
"SessionSettlementPrice": 282950,
"SessionVolume": 0,
"SymbolID": 2114831995,
"TradingSessionDate": 1587772800,
"TradingStatus": 2,
"Type": 104
}
2020-04-25 13:45:16,985 - DTC_Client - DEBUG - on_message_thread
2020-04-25 13:45:16,985 - DTC_Client - DEBUG - Received MarketDataSnapshot:
{
"AskPrice": 1750,
"AskQuantity": 6,
"BidAskDateTime": 1587762000.001,
"BidPrice": 1702,
"BidQuantity": 200,
"LastTradeDateTime": 1587761998.001,
"LastTradePrice": 1718,
"LastTradeVolume": 1,
"MarketDepthUpdateDateTime": 1587762000.081,
"OpenInterest": 360880,
"SessionHighPrice": 1797,
"SessionLowPrice": 1564,
"SessionNumTrades": 3660069,
"SessionOpenPrice": 1678,
"SessionSettlementDateTime": 0,
"SessionSettlementPrice": 1694,
"SessionVolume": 0,
"SymbolID": 2147483647,
"TradingSessionDate": 1587772800,
"TradingStatus": 2,
"Type": 104
}
2020-04-25 13:45:16,985 - DTC_Client - DEBUG - on_message_thread
2020-04-25 13:45:56,985 - DTC_Client - DEBUG - Received Heartbeat:
{
"CurrentDateTime": 1587847557,
"NumDroppedMessages": 0,
"Type": 3
}
2020-04-25 13:45:56,985 - DTC_Client - DEBUG - Sending Heartbeat:
{
"CurrentDateTime": 1587847556.985286,
"Type": 3
}
2020-04-25 13:46:36,972 - DTC_Client - DEBUG - Received Heartbeat:
{
"CurrentDateTime": 1587847597,
"NumDroppedMessages": 0,
"Type": 3
}
2020-04-25 13:46:36,972 - DTC_Client - DEBUG - Sending Heartbeat:
{
"CurrentDateTime": 1587847596.972321,
"Type": 3
}
Add Trade operations from REST
Websocket Server unit testing during market hours
2020-04-24 22:49:38,368 - CppHeaderParser - WARNING - Ignored struct s_DepthEntry
2020-04-24 22:49:38,369 - CppHeaderParser - WARNING - Ignored struct s_MarketDataUpdateBidAskNoTimeStamp
will need to handle these at some stage