SYMBOL_LIST = [{_NAME: "ESM20_FUT_CME"}, {_NAME: "CLM20_FUT_NYMEX"}]
# Generate symbol IDs
for ix, symbol in enumerate(SYMBOL_LIST):
SYMBOL_LIST[ix][_ID] = get_symbol_id(symbol[_NAME])
class ExampleDTCClient(DTCClient):
def __init__(self):
super().__init__(on_message_handler=self.on_message_thread,
post_login_thread=self.post_login_thread)
def post_login_thread(self):
for ix, symbol in enumerate(SYMBOL_LIST):
self.send(
MarketDataRequest(
request_action=RequestActionEnum.SUBSCRIBE,
symbol_id=SYMBOL_LIST[ix][_ID],
symbol=symbol[_NAME]))
def on_message_thread(self, message):
if isinstance(message, MarketDataSnapshot):
marketDataSnapshot = MarketDataSnapshot()
# do something with market data
try:
logger = Util.setup_logging("DTC_Client", console=CONSOLE_LOGGING)
dtc_client = ExampleDTCClient()
dtc_client.start()
except BaseException as e:
logging.error(e.__str__())
logging.debug(traceback.format_exc())
def generate_message_types(self, output_directory):
message_type_dir = join(output_directory, _MESSAGE_TYPE_DIR)
new_package(message_type_dir)
template = env.get_template(_MESSAGE_TYPE_TEMPLATE)
for struct in self.structs:
name = struct[_PARSED_NAME]
snake_name = camel_to_snake(name).upper()
with open(join(message_type_dir, "%s.py" % camel_to_snake(name)),
"w") as f:
f.write(
template.render(class_name=name,
class_name_snake=snake_name,
values=struct[_PROPERTIES]))
def generate_python_code(self, output_directory):
os.system("rm -rf %s" % output_directory)
new_package(output_directory)
self.generate_enums(output_directory)
self.generate_message_types(output_directory)
self.generate_message_util(output_directory)
if __name__ == '__main__':
Util.setup_logging("CppHeaderParser",
console=CONSOLE_LOGGING,
log_to_file=False)
parser = DTCProtocolHeaderParser("DTCProtocol.h")
#logging.info(json.dumps(parser.structs, indent=4))
parser.generate_python_code(output_directory=GENERATED_DIR)