How to use win32 broker API from python

1. How to make friends of
Python and Win32 API
Connecting the Python to a Win32 API
provided by a stock broker

2. What was expected

3. Terms

4. Real world
?

5. Issues
● COM to pure Python object conversion
● Flow (events, async methods) handling
● Multithreading support
● Extensibility

6. Envisioned solution

7. Or...

8. What I’ve found
● pywin32 package on sourceforge.net by Mark Hammond
● python interpreter builds: ActiveState, Anaconda, Canopy
with pywin32
● Python Programming On Win32 by Mark Hammond and
Andy Robinson
● no actual documentation on activestate.com

9. Pywin32 workflow
Make Handle
Events class
Make client object
with
DispatchWithEven
ts method
Use API
methods on
python object

10. Python client structure

11. Event class
class ClientEvents:
def OnAddBar(self, row, nrows, symbol,
interval, datetime, open, high, low, close,
volume, open_int):
pass # some logic
…

12. Client
clnt =
client.DispatchWithEvents('COM.Server.1',
ClientEvents)
…
clnt.GetBars('SBER', bar_interval,
date_time_object, 10)

13. Cool tool
Make folder
python_folderLibsite-packageswin32comgen_py
Run 'win32comclientmakepy.py' (eg, run it from the
command window, or double-click on it) and a list will be
presented. Select the Type Library.
It will generate python wrapper classes from COM Library
with all available methods.

14. Convert DateTime objects
def pytime_2_datetime(pythime):
return dt(year=pythime.year,
month=pythime.month, day=pythime.day,
hour=pythime.hour, minute=pythime.minute,
second=pythime.second)
def datetime_2_pytime(datetime):
return pywintypes.Time(time
.mktime(datetime.timetuple()))

15. Solution v. 0.1
● COM to pure
Python object
conversion
● Flow (events, async
methods) handling

16. Issues:
● Multithreading support
● Extensibility
● Not stable (?)

17. Manager

18. Workflow
Add event
queue
Create custom
Manager
Make proxy to
COM Object
Get pure python
Events queue
Use proxy and
queue from
other threads

19. Modify Event class, part 1
class ClientEvents:
def __init__(self):
self.event_queue = Manager().Queue()
def get_event_queue(self):
return self.event_queue
…

20. Modify Event class, part 2
class ClientEvents:
…
def OnAddBar(self, row, nrows, symbol,
interval, datetime, open, high, low, close,
volume, open_int):
self.event_queue.put_nowait(('AddBar',
row, nrows, symbol, interval,
pytime_2_datetime(datetime), open, high, low,
close, volume, open_int))

21. Use multiprocessing.Manager
class ComManager(BaseManager):
pass

22. Add client method
def get_com_server():
CoInitializeEx(COINIT_MULTITHREADED)
clnt =
client.DispatchWithEvents('COM.Server.1',
ClientEvents)
CoUninitialize()
return clnt

23. Register methods
ComManager.register('get_com_server',
callable=get_com_server,
exposed=('CancelBidAsks',
'CancelOrder',
'GetBars',
'GetMoneyAccount', …,
'get_event_queue'))

24. Fix DateTime bug, part 1
class ClientEvents:
def GetBarsSer(self, symbol, interval,
since, count):
self.GetBars(symbol, interval,
datetime_2_pytime(since), count)

25. Fix DateTime bug, part 2
ComManager.register('get_com_server',
callable=get_com_server,
exposed=('CancelBidAsks',
'CancelOrder',
'GetBars',
'GetMoneyAccount', …,
'get_event_queue',
'GetBarsSer'))

26. Connection server solution

27. Use as server, server code
if __name__ == '__main__':
freeze_support()
m = ComManager(address=('127.0.0.1', port,
authkey='authkey').get_server()
.serve_forever()

28. Use as server, client code
…
manager = ComManager(address='address', port,
authkey='authkey')
manager.connect()
com_server =manager.get_com_server()
com_event_queue =
com_server.get_event_queue()

29. Stand-alone

30. In code use
from package_mame import ComManager
if __name__ == '__main__':
freeze_support()
manager = ComManager()
manager.start()
com_server = manager.get_com_server()
com_event_queue =
com_server.get_event_queue()

31. Solution
v. 0.2

32. Contacts
Linkedin: https://linkedin.com/in/eugene-lopatkin
E-mail: eugenelopatkin@gmail.com
Thank you! Any questions?