py_example.py

#!/usr/bin/env python

class BidAskParseError(Exception): pass

import datetime
from twisted.internet import reactor
from twisted.protocols.basic import LineReceiver
from twisted.internet.protocol import ClientFactory

class ExampleClient(LineReceiver):
    def __init__(self):
        self.delimiter = '\n'
        self.symbols   = [ 'SPY', 'BAC', 'XOM' ]

    def lineReceived(self, line):
        fields = line.split(',')
        if len(fields) > 0:
            if fields[0] == 'Q':
                    self.processQuote(fields)
            elif fields[0] == 'S':
                if fields[1] == 'CUST':
                    self.subscribe()

    def subscribe(self):
        for sym in self.symbols:
            self.sendLine('w' + sym)

    def processQuote(self, fields):
        self.now = datetime.datetime.now()

        try:
            #sym      = fields[1]
            #bid      = float(fields[10])
            #ask      = float(fields[11])
            #bid_size = int(fields[12])
            #ask_size = int(fields[13])
            #mid      = (bid + ask) / 2.0
            #spread   = ask - bid

            #if bid == 0.0 or ask == 0.0:
            #    raise BidAskParseError()

            print str(self.now) + ' -- quote: ' + str(fields)
        except BidAskParseError:
            pass
            #print str(self.now) + ' -- Unable to parse bid or ask for ' + sym + ': ' + str(fields)


class ExampleClientFactory(ClientFactory):
    protocol = ExampleClient

    def clientConnectionFailed(self, connector, reason):
        print 'connection failed:', reason.getErrorMessage()
        reactor.stop()

    def clientConnectionLost(self, connector, reason):
        print 'connection lost:', reason.getErrorMessage()
        reactor.stop()


def main():
    factory = ExampleClientFactory()
    reactor.connectTCP('localhost', 5009, factory)
    reactor.run()

if __name__ == '__main__':
    main()