A Python Websocket DTC Protocol Client for use with Sierra Chart
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
Dependencies:
pip install websocket_client
pip install flask
pip install Flask-Sockets
pip install gevent-websocket
For code gen:
pip install CppHeaderParser
Usage
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
Logging
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
REST API
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
Sample REST Output
[
{
"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"
}
]
WS API
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"}
WS Test
https://www.screencast.com/t/EzpC4V7MQ61
Sample WS Output
[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.
Sample Runtime Output
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
}
TODO
Add Trade operations from REST
Websocket Server unit testing during market hours
Current Code Gen Warning:
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