Using Python with TT .NET SDK Client Side

To support integrating Python with TT .NET SDK Client Side applications, one option is to use the IronPython implementation of the Python programming language. IronPython supports the ability to import and utilize any .NET DLL.

To begin using Python with TT .NET SDK Client Side, use the following procedure:

1. Navigate to https://ironpython.net/download/ and download the latest version of IronPython.

2. Download the TT .NET SDK Client Side DLL from NuGet via Visual Studio or download the DLL manually. For more information, refer to the section called Referencing the DLL.

3. Import the TT .NET Client Side DLL into your Python code using the following import command:

import clr
clr.AddReferenceToFileAndPath("tt-net-api.dll")
from tt_net_sdk import *

The sample code snippet below shows how to simply call the TT .NET SDK Client Side functionality inside a Python script. The sample submits an order that follows the bid.

from System import Action

import sys
import clr

clr.AddReferenceToFileAndPath(r"tt-net-api.dll")
from tt_net_sdk import *


m_api = None
m_instrument = None
m_ts = None
m_isOrderBookDownloaded = 0
m_orderKey = None



def m_ts_OrderBookDownload(sender, e):
    print ("OrderBookDownload complete...")
    global m_isOrderBookDownloaded
    m_isOrderBookDownloaded = 1


def m_ts_OrderAdded(sender, e):
    print ("Order added: " + e.ToString())


def m_ts_OrderDeleted(sender, e):
    print ("Order deleted: " + e.ToString())
    sys.exit()


def m_ts_OrderFilled(sender, e):
    print ("Order filled: " + e.ToString())


def m_ts_OrderRejected(sender, e):
    print ("Order rejected: " + e.ToString())
    sys.exit()


def m_ts_OrderUpdated(sender, e):
    print ("Order updated: " + e.ToString())


def m_ts_OrderStatusUnknown(sender, e):
    print ("Order status unknown: " + e.ToString())
    sys.exit()


def m_ts_OrderTimeout(sender, e):
    print ("Order timed out: " + e.ToString())
    sys.exit()


def m_priceSubscription_FieldsUpdated(sender, e):
    global m_orderKey
    global m_isOrderBookDownloaded
    global m_ts
    if e.Error is None:
                if e.Fields.GetBestBidPriceField().Value != None and m_isOrderBookDownloaded == 1:
                    if m_orderKey == None:
                        op = OrderProfile(m_instrument)
                        op.Account = m_api.DefaultAccount
                        op.BuySell = BuySell.Buy
                        op.OrderType = OrderType.Limit
                        op.OrderQuantity = Quantity.FromDecimal(m_instrument, 10)
                        op.LimitPrice = e.Fields.GetBestBidPriceField().Value

                        if m_ts.SendOrder(op) == False:
                            print ("Send new order Failed!!")
                            sys.exit()
                        else:
                            m_orderKey = op.SiteOrderKey
                            print ("Sent new order key = " + op.SiteOrderKey)
                    elif m_ts.Orders.ContainsKey(m_orderKey) and m_ts.Orders[m_orderKey].LimitPrice != e.Fields.GetBestBidPriceField().Value:
                        op = m_ts.Orders[m_orderKey].GetOrderProfile()
                        op.LimitPrice = e.Fields.GetBestBidPriceField().Value
                        op.Action = OrderAction.Change

                        if m_ts.SendOrder(op) == False:
                            print ("Sent order update failed!!")
                        else:
                            print ("Send change order succeeded.")


def m_api_TTAPIStatusUpdate(sender, e):
    if e.IsReady :
       print ("Ready...")
       print ("Look up instrument...")
       m_instrLookupRequest = InstrumentLookup(Dispatcher.Current, MarketId.CME, ProductType.Future,"CL","CL Dec19")
       e2 = m_instrLookupRequest.Get()

    if e2 == ProductDataEvent.Found:
        global m_instrument
        m_instrument = m_instrLookupRequest.Instrument
        print ("Instrument found...")

        global m_ts
        m_ts = TradeSubscription(Dispatcher.Current)
        m_ts.OrderBookDownload += m_ts_OrderBookDownload
        m_ts.OrderAdded += m_ts_OrderAdded
        m_ts.OrderDeleted += m_ts_OrderDeleted
        m_ts.OrderFilled += m_ts_OrderFilled
        m_ts.OrderUpdated += m_ts_OrderUpdated
        m_ts.OrderUpdated += m_ts_OrderStatusUnknown
        m_ts.OrderUpdated += m_ts_OrderTimeout
        m_ts.Start()

        m_priceSubsciption = PriceSubscription(m_instrLookupRequest.Instrument, Dispatcher.Current)
        m_priceSubsciption.Settings = PriceSubscriptionSettings(PriceSubscriptionType.MarketDepth)
        m_priceSubsciption.FieldsUpdated += m_priceSubscription_FieldsUpdated
        m_priceSubsciption.Start()
    else:
        print ("Cannot find instrument: " + e.ToString())


def ttNetApiInitHandler(api, ex):
        if ex is None:
            global m_api
            m_api = api
            api.TTAPIStatusUpdate += m_api_TTAPIStatusUpdate
            api.Start()
        else:
            print ("TT.NET SDK Initialization Failed: " + ex.Message)


def Init():
    opt = TTAPIOptions(ServiceEnvironment.UatCert,"7601b8a0-dd23-2a8a-ee52-3712c53841d4:9ad4a302-5577-45c3-11db-6138b2757cca",5000)
    apiInitializeHandler = ApiInitializeHandler(ttNetApiInitHandler)
    TTAPI.CreateTTAPI(Dispatcher.Current, opt, apiInitializeHandler)


m_disp = Dispatcher.AttachWorkerDispatcher()
m_disp.DispatchAction(Action(Init))
m_disp.Run()

For more information on the various commands and syntax, refer to the IronPython Documentation.

Note: TT does not provide support for specific Python implementations.