DTC Protocol Discussion Forum

%module DTCProtocol

%{
#define SWIG_FILE_WITH_INIT
#include "DTCProtocol.h"
%}

%include "DTCProtocol.h"

DTCProtocol.h:15: Warning 315: Nothing known about 'std::int32_t'.
DTCProtocol.h:16: Warning 315: Nothing known about 'std::int64_t'.
DTCProtocol.h:17: Warning 315: Nothing known about 'std::uint16_t'.
DTCProtocol.h:18: Warning 315: Nothing known about 'std::uint32_t'.

#include <cfloat>

In file included from DTCProtocol_wrap.cxx:3204:0:
DTCProtocol.h: In member function ‘void DTC::s_MarketDataSnapshot::Clear()’:
DTCProtocol.h:834:29: error: ‘DBL_MAX’ was not declared in this scope
    SessionSettlementPrice = DBL_MAX;
                             ^
DTCProtocol.h: In member function ‘void DTC::s_MarketDataUpdateBidAsk::Clear()’:
DTCProtocol.h:1495:15: error: ‘DBL_MAX’ was not declared in this scope
    BidPrice = DBL_MAX; //This also signifies the BidQuantity is unset
               ^
DTCProtocol.h: In member function ‘void DTC::s_MarketDataUpdateBidAskCompact::Clear()’:
DTCProtocol.h:1574:15: error: ‘FLT_MAX’ was not declared in this scope
    BidPrice = FLT_MAX;
               ^
DTCProtocol.h: In member function ‘void DTC::s_OrderUpdate::Clear()’:
DTCProtocol.h:2493:13: error: ‘DBL_MAX’ was not declared in this scope
    Price1 = DBL_MAX;
             ^

➜ python3
Python 3.5.2 (default, Nov 17 2016, 17:05:23)
[GCC 5.4.0 20160609] on linux
Type "help", "copyright", "credits" or "license" for more information.
>>> import DTCProtocol
Traceback (most recent call last):
File "<stdin>", line 1, in <module>
File "/home/queeq/Work/wat/wat/DTC/DTCProtocol.py", line 28, in <module>
_DTCProtocol = swig_import_helper()
File "/home/queeq/Work/wat/wat/DTC/DTCProtocol.py", line 24, in swig_import_helper
_mod = imp.load_module('_DTCProtocol', fp, pathname, description)
File "/usr/lib/python3.5/imp.py", line 242, in load_module
return load_dynamic(name, filename, file)
File "/usr/lib/python3.5/imp.py", line 342, in load_dynamic
return _load(spec)
ImportError: /home/queeq/Work/wat/wat/DTC/_DTCProtocol.so: undefined symbol: _ZN3DTC25s_MarketDepthFullUpdate2016NUM_DEPTH_LEVELSE

➜ readelf -sW _DTCProtocol.so | grep _ZN3DTC25s_MarketDepthFullUpdate2016NUM_DEPTH_LEVELSE
29: 0000000000000000 0 NOTYPE GLOBAL DEFAULT UND _ZN3DTC25s_MarketDepthFullUpdate2016NUM_DEPTH_LEVELSE
3407: 0000000000000000 0 NOTYPE GLOBAL DEFAULT UND _ZN3DTC25s_MarketDepthFullUpdate2016NUM_DEPTH_LEVELSE

%module DTCProtocol

%{
#define SWIG_FILE_WITH_INIT
#include "DTCProtocol.h"
%}

%ignore s_MarketDepthFullUpdate20;
%ignore s_MarketDepthFullUpdate10;

%include "DTCProtocol.h"

swig -c++ -python DTCProtocol.i
gcc -O2 -fPIC -std=c++11 -c DTCProtocol.cpp DTCProtocol_wrap.cxx -I/usr/include/python3.5
gcc -shared DTCProtocol.o DTCProtocol_wrap.o -o _DTCProtocol.so -lstdc++

>>> import DTCProtocol
>>> print(DTCProtocol.cvar.CURRENT_VERSION)
<Swig Object of type 'int32_t *' at 0x7fc50173fa20>

%module DTCProtocol

%include "stdint.i"

%{
#define SWIG_FILE_WITH_INIT
#include "DTCProtocol.h"
%}

%ignore s_MarketDepthFullUpdate20;
%ignore s_MarketDepthFullUpdate10;

%include "DTCProtocol.h"

>>> import DTCProtocol
>>> print(DTCProtocol.CURRENT_VERSION)
7

""" Data retrieval from SierraChart services """

import socket
import struct

from DTC import DTCProtocol_pb2 as Dtc


def construct_message(m, message_type):
""" Prepends message size and type, appends ProtocolType and packs it to binary

Args:
m (DTCProtocol): DTC protobuf message
message_type (int): DTC message type

Returns:
bytes: Binary string
"""
try:
# Try to set ProtocolVersion as most messages contain this field
m.ProtocolVersion = Dtc.CURRENT_VERSION
except AttributeError:
pass
m.ProtocolType = "DTC" # ProtocolType is always the same
total_len = 4 + m.ByteSize() # 2 bytes Size + 2 bytes Type
header = struct.pack('<HH', total_len, message_type) # Prepare 4-byte little-endian header
binary_message = m.SerializeToString()
print(binary_message) # <-- This print outputs b'\x08\x07\x1a\x03DTC', which is wrong
return header + binary_message

SC_INTRADAY = ("127.0.0.1", 11100)
SC_HISTORICAL = ("127.0.0.1", 11101)
ENCODING = Dtc.BINARY_ENCODING

# Create encoding request
message = Dtc.EncodingRequest()
message.Encoding = ENCODING
data = construct_message(message, Dtc.ENCODING_REQUEST)

# Connect
s = socket.socket()
s.connect(SC_INTRADAY)

# Send encoding request
s.send(data)
# Receive encoding response
response = s.recv(1024)
# 2 bytes with offset of 2 must indicate this is encoding response message type
assert struct.unpack_from('<H', response, 2)[0] == Dtc.ENCODING_RESPONSE
encoding_response = Dtc.EncodingResponse()
print(encoding_response.ParseFromString(response[4:]).Encoding)