async def process_row(receive_channel, prc_file):
"""receive price feed, process it and store in a np.array"""
prc_list = []
async for value in receive_channel:
# differentiate between 112 and 117
if value[0] == 117:
m_resp = Dtc.MarketDataUpdateBidAskCompact()
m_resp.ParseFromString(value[1])
msg = np.array([
np.uint32(value[0]),
np.uint32(m_resp.DateTime),
np.uint32(m_resp.SymbolID),
np.uint32(m_resp.BidPrice * 100),
np.uint32(m_resp.BidQuantity),
np.uint32(m_resp.AskPrice * 100),
np.uint32(m_resp.AskQuantity)
])
np.savetxt(prc_file, msg[None, :], fmt="%d", delimiter=', ')
elif value[0] == 112:
m_resp = Dtc.MarketDataUpdateTradeCompact()
m_resp.ParseFromString(value[1])
msg = np.array([
np.uint32(value[0]),
np.uint32(m_resp.DateTime),
np.uint32(m_resp.SymbolID),
np.uint32(m_resp.Price * 100),
np.uint32(m_resp.Volume),
np.uint32(m_resp.AtBidOrAsk)
])
np.savetxt(prc_file, msg[None, :], fmt="%d", delimiter=', ')
async def heartbeater(client_stream, heartbeat_interval):
# loggen.debug("Heartbeater started")
hrtbt = Dtc.Heartbeat()
while True:
logStdout.info('Sending Heartbeat')
await send_message(hrtbt, Dtc.HEARTBEAT, client_stream)
await trio.sleep(heartbeat_interval)
def create_mktdat_req(symbolID, symbol, exchange):
data_req = Dtc.MarketDataRequest()
data_req.RequestAction = Dtc.SUBSCRIBE
data_req.SymbolID = symbolID # Note: Make sure this is unique when requesting multiple symbols
data_req.Symbol = symbol
data_req.Exchange = exchange
return data_req
async def trigger(event,scope, sock, loggen):
loggen.info(" trigger waiting now...")
logStdout.info(" trigger waiting now...")
await event.wait()
""" Gracefully logoff and close the connection """
loggen.info(" QUIT!!! : Gracefully logoff and close the connection ")
logStdout.info(" QUIT!!! : Gracefully logoff and close the connection ")
logoff = Dtc.Logoff()
logoff.Reason = "John-Client quit"
await send_message(logoff, Dtc.LOGOFF, sock)
loggen.info('--------------------------------------------------------------')
logStdout.info('--------------------------------------------------------------')
scope.cancel()
async def parent(addr,
symbols,
logfile,
encoding=Dtc.PROTOCOL_BUFFERS,
heartbeat_interval=15):
event = trio.Event()
#logprc = create_logprc(logfile)
prc_file = open(logfile + "_prc", 'a')
loggen = create_loggen(logfile)
loggen.info(f"connecting to {addr[0]}:{addr[1]}")
logStdout.info(f"connecting to {addr[0]}:{addr[1]}")
client_stream = await trio.open_tcp_stream(addr[0], addr[1])
# client_stream = await trio.open_ssl_over_tcp_stream(addr[0], addr[1], ssl_context=ssl.SSLContext())
async with client_stream:
# encoding request
loggen.info("spawing encoding request ...")
# construct encoding request
enc_req = Dtc.EncodingRequest()
enc_req.Encoding = encoding
enc_req.ProtocolType = "DTC"
enc_req.ProtocolVersion = Dtc.CURRENT_VERSION
await send_message(enc_req, Dtc.ENCODING_REQUEST,
client_stream) # send encoding request
mtype, mbody = await get_response(client_stream)
msg = read_response(mtype, mbody)
loggen.info("%s, %s", mtype, msg)
# # logon request
loggen.info("spawing logon request ...")
logon_req = Dtc.LogonRequest()
logon_req.ProtocolVersion = Dtc.CURRENT_VERSION
# logon_req.Username = "******"
# logon_req.Password = "******"
logon_req.GeneralTextData = "John's Test"
logon_req.HeartbeatIntervalInSeconds = heartbeat_interval
logon_req.ClientName = "John_Tester"
await send_message(logon_req, Dtc.LOGON_REQUEST, client_stream)
mtype, mdata = await get_response(client_stream)
msg = read_response(mtype, mbody)
loggen.info("%s, %s", mtype, msg)
# Start nursery
async with trio.open_nursery() as nursery:
# trigger
loggen.info("spawning trigger...")
nursery.start_soon(trigger, event, nursery.cancel_scope,
client_stream, loggen, prc_file)
# Open Channels to separate receiving and writing jobs from feed
send_channel, receive_channel = trio.open_memory_channel(4096)
# Start a producer and a consumer, passing one end of the channel to each of them:
#nursery.start_soon(producer, send_channel)
#nursery.start_soon(consumer, receive_channel)
# mkt data request
loggen.info("spawning mkt data request ...")
for m in symbols:
data_req = create_mktdat_req(*m)
await send_message(data_req, Dtc.MARKET_DATA_REQUEST,
client_stream)
mtype, mdata = await get_response(client_stream)
msg = read_response(mtype, mbody)
loggen.info("%s, %s", mtype, msg)
loggen.info("spawning heartbeater ...")
nursery.start_soon(heartbeater, client_stream,
heartbeat_interval) # task to send heartbeat
loggen.info("spawning prc_feeder ...")
nursery.start_soon(prc_feeder, client_stream, send_channel,
loggen) # task to grab price from feed
nursery.start_soon(process_row, receive_channel,
prc_file) # task to write to disk
# -- NEW
async for key in keyboard():
if key == 'q':
# nursery.cancel_scope.cancel()
event.set()
loggen.info("waiting for tasks to finish...")
logStdout.info("waiting for tasks to finish...")
loggen.info(" Logoff Successful!!!")
logStdout.info(" Logoff Successful!!!")
loggen.info(
" Socket Closed!!! --------------------------------------------------------"
)
logStdout.info(
" Socket Closed!!!------------------------------------------------------"
)
async def parent(addr, symbols, logfile, encoding=Dtc.PROTOCOL_BUFFERS, heartbeat_interval=10):
event = trio.Event()
logprc = create_logprc(logfile)
loggen = create_loggen(logfile)
loggen.info(f"connecting to {addr[0]}:{addr[1]}")
logStdout.info(f"connecting to {addr[0]}:{addr[1]}")
client_stream = await trio.open_tcp_stream(addr[0], addr[1])
# client_stream = await trio.open_ssl_over_tcp_stream(addr[0], addr[1], ssl_context=ssl.SSLContext())
async with client_stream:
# encoding request
loggen.info("spawing encoding request ...")
# construct encoding request
enc_req = Dtc.EncodingRequest()
enc_req.Encoding = encoding
enc_req.ProtocolType = "DTC"
enc_req.ProtocolVersion = Dtc.CURRENT_VERSION
await send_message(enc_req, Dtc.ENCODING_REQUEST,client_stream) # send encoding request
response = await get_response(client_stream)
loggen.info("%s ", response)
# # logon request
loggen.info("spawing logon request ...")
logon_req = Dtc.LogonRequest()
logon_req.ProtocolVersion = Dtc.CURRENT_VERSION
# logon_req.Username = "******"
# logon_req.Password = "******"
logon_req.GeneralTextData = "John's Test"
logon_req.HeartbeatIntervalInSeconds = heartbeat_interval
logon_req.ClientName = "John_Tester"
await send_message(logon_req, Dtc.LOGON_REQUEST, client_stream)
response = await get_response(client_stream)
loggen.info("%s ", response)
# Start nursery
async with trio.open_nursery() as nursery:
# trigger
loggen.info("spawning trigger...")
nursery.start_soon(trigger, event, nursery.cancel_scope, client_stream, loggen)
loggen.info("spawned trigger ...")
# mkt data request
loggen.info("spawning mkt data request ...")
for m in symbols:
data_req = create_mktdat_req(*m)
await send_message(data_req, Dtc.MARKET_DATA_REQUEST, client_stream)
response = await get_response(client_stream)
loggen.info("%s ", response)
loggen.info("spawning heartbeater ...")
nursery.start_soon(heartbeater, client_stream, heartbeat_interval)
loggen.info("spawning mkt_updater ...")
nursery.start_soon(mkt_updater, client_stream, logprc)
# -- NEW
async for key in keyboard():
if key == 'q':
# nursery.cancel_scope.cancel()
event.set()
loggen.info("waiting for tasks to finish...")
logStdout.info("waiting for tasks to finish...")
loggen.info(" Logoff Successful!!!")
logStdout.info(" Logoff Successful!!!")
loggen.info(" Socket Closed!!! --------------------------------------------------------")
logStdout.info(" Socket Closed!!!------------------------------------------------------")