Read symbol from SubscriptionResponse message. Fixes no callbacks for subscriptions like: ES*0, ESM21, etc.

Author: mvberg

build.sh

@@ -1,7 +1,7 @@
 # build.sh
 tmp_dir=$(mktemp -d -t ci-XXXXXXXXXX)
 
-git clone git@github.com:openfeed-org/proto $tmp_dir
+git clone https://github.com/openfeed-org/proto.git $tmp_dir
 mv $tmp_dir/*.proto protos -f
 
 rm -rf $temp

openfeed/__init__.py

@@ -8,4 +8,4 @@
 
 from .openfeed_client import OpenfeedClient
 
-VERSION = '1.1.5'
+VERSION = '1.1.6'

openfeed/generated/openfeed_api_pb2.py

@@ -27,6 +27,7 @@ def __init__(self, username, password, server="openfeed.aws.barchart.com", debug
 
         self.instrument_definitions = {}
         self.instruments_by_symbol = {}
+        self.subscription_symbol_by_marketid = {}
         self.snapshots = {}
 
         self.symbol_handlers = {}
@@ -275,6 +276,7 @@ def handleSubscriptionResponse(msg):
                 raise Exception("Subscription has failed: ", msg)
 
             if len(msg.subscriptionResponse.symbol) > 0:
+                self.subscription_symbol_by_marketid[msg.subscriptionResponse.marketId] = msg.subscriptionResponse.symbol
                 self.__notify_symbol_listeners(
                     self.__create_instrument(msg.subscriptionResponse.symbol), msg)
             else:
@@ -382,21 +384,26 @@ def on_open(ws):
 
     def __notify_symbol_listeners(self, instrument, msg):
 
-        # TODO review symbology handling, subbing by one and keying off the other can create unexpected results
-        # for example subscribing to "ZCYAIA40.CM" will come back with OF symbol (less the suffix) in `instrument.symbol`
-        # given the below, if the instrument contains duplicate `instrument.symbols`, the listeners will get duplicate callbacks
+        symbol_key = ""
+
+        if instrument.marketId in self.subscription_symbol_by_marketid:
+            symbol_key = self.subscription_symbol_by_marketid[instrument.marketId]
 
         for s in instrument.symbols:
             if s.symbol not in self.symbol_handlers or s.vendor != "Barchart":
                 continue
+            symbol_key = s.symbol
 
-            for cb in self.symbol_handlers[s.symbol]:
+        if symbol_key != "":
+            for cb in self.symbol_handlers[symbol_key]:
                 try:
                     cb.callback(msg)
                 except Exception as e:
                     if self.debug:
-                        print("Failed to notify `symbol` callback:", s, e)
+                        print("Failed to notify `symbol` callback:", symbol_key, e)
                     self.__callback(self.on_error, e)
+        else:
+            print("got a message but have no handlers", instrument, msg)
 
     def __notify_exchange_listeners(self, exchange, msg):
         if exchange not in self.exchange_handlers:

openfeed/generated/openfeed_instrument_pb2.py

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "openfeed"
-version = "1.1.5"
+version = "1.1.6"
 description = "Python SDK for Openfeed"
 authors = ["Barchart <[email protected]>"]
 license = "MIT"

openfeed/generated/openfeed_pb2.py

@@ -17,7 +17,7 @@
 
 setup(
     name='openfeed',
-    version='1.1.5',
+    version='1.1.6',
     author='Barchart',
     author_email='[email protected]',
     license='MIT',