Add script to download historical tick data from Sierra Chart's DTC server

download_historical_tick_data.py

@@ -0,0 +1,120 @@
+############################################################################################################
+# Not using this as it turns out you can't download historical tick data from CME Group exchanges via DTC. #
+#          Reference: https://www.sierrachart.com/index.php?page=doc/DTCServer.php#Restrictions            #
+############################################################################################################
+
+import socket
+import json
+
+from dotenv import load_dotenv
+from os import getenv
+
+load_dotenv()
+
+# DTC Protocol Constants
+ENCODING_REQUEST = 6
+HISTORICAL_PRICE_DATA_REQUEST = 800
+INTERVAL_TICK = 0
+LOGON_REQUEST = 1
+LOGON_RESPONSE = 2
+LOGON_SUCCESS = 1
+
+NULL_TERMINATOR = b'\x00'
+
+class EncodingRequest:
+    def __init__(self):
+        self.Type = ENCODING_REQUEST
+        self.ProtocolVersion = 8  # Set desired DTC Protocol version.
+        self.Encoding = 2  # Set desired encoding (JSON).
+        self.ProtocolType = 'DTC'
+
+    def to_json(self):
+        return json.dumps(self.__dict__)
+
+class LogonRequest:
+    def __init__(self, username, password):
+        self.Type = LOGON_REQUEST
+        self.ProtocolVersion = 8  # Set desired DTC Protocol version.
+        self.Username = username
+        self.Password = password
+        self.HeartbeatIntervalInSeconds = 30
+        self.ClientName = 'Python DTC Client'
+
+    def to_json(self):
+        return json.dumps(self.__dict__)
+
+def authenticate_with_sierra_chart(client, username, password):
+    print('Sending Encoding Request')
+    encoding_request = EncodingRequest()
+    encoded_request = encoding_request.to_json().encode() + NULL_TERMINATOR
+    client.sendall(encoded_request)
+
+    encoding_response = client.recv(4096).decode().rstrip(NULL_TERMINATOR)
+    print('Encoding Response: ', encoding_response)
+
+    print('Sending Logon Request')
+    logon_request = LogonRequest(username, password)
+    encoded_request = logon_request.to_json().encode('ascii') + NULL_TERMINATOR
+    client.sendall(encoded_request)
+
+    response = client.recv(4096).decode().rstrip(NULL_TERMINATOR)
+    print('Logon Response: ', response)
+    data = json.loads(response)
+    return data['Type'] == LOGON_RESPONSE and data.get('Result', -1) == LOGON_SUCCESS
+
+class HistoricalPriceDataRequest:
+    def __init__(self, symbol, exchange, start_date, end_date):
+        self.Type = HISTORICAL_PRICE_DATA_REQUEST
+        self.RequestID = 1
+        self.Symbol = symbol
+        self.Exchange = exchange
+        self.RecordInterval = INTERVAL_TICK
+        self.StartDateTime = start_date
+        self.EndDateTime = end_date
+        self.MaxDaysToReturn = 0
+        self.UseZLibCompression = 1
+        self.RequestDividendAdjustedStockData = 0
+
+    def to_json(self):
+        return json.dumps(self.__dict__)
+
+def listen_for_messages(client):
+    messages = []
+    while True:
+        response = client.recv(4096).decode().rstrip(NULL_TERMINATOR)
+        if not response:
+            break
+        data = json.loads(response)
+        messages.append(data)
+        if data['Type'] != 701:  # "Waiting" message.
+            break
+    return messages
+
+def request_data_from_sierra_chart(host, port, symbol, exchange, start_date, end_date):
+    client = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
+    client.connect((host, port))
+
+    if not authenticate_with_sierra_chart(client, getenv('SIERRA_CHART_USERNAME'), getenv('SIERRA_CHART_PASSWORD')):
+        print('Authentication failed.')
+        client.close()
+        return
+
+    request = HistoricalPriceDataRequest(symbol, exchange, start_date, end_date)
+    encoded_request = request.to_json().encode() + NULL_TERMINATOR
+    client.sendall(encoded_request)
+
+    messages = listen_for_messages(client)
+    for message in messages:
+        print(message)  # Store this data or process it as needed.
+
+    client.close()
+
+if __name__ == '__main__':
+    HOST = '127.0.0.1'
+    PORT = 11098  # Default DTC Protocol port for historical data.
+    SYMBOL = 'MYMZ22-CBOT'
+    EXCHANGE = 'CBOT'
+    START_DATE = 20221001000000  # YYYYMMDDHHMMSS
+    END_DATE = 20221001235959
+
+    request_data_from_sierra_chart(HOST, PORT, SYMBOL, EXCHANGE, START_DATE, END_DATE)