Order Flow Analysis System

    ...    
        self.reqTickByTickData(1, contract, "AllLast", 0, True)
        self.reqTickByTickData(2, contract, "BidAsk", 0 , True)

def tickByTickAllLast(self, reqId, tickType, time, price, size, tickAttribLast : TickAttribLast, exchange, specialConditions):

        with self.lock:
            quote = self.quote_reqId_to_ticker[reqId]
            side  = classify_side(price, quote)

        self.trade_socket.send_multipart([])
        tick = msg.TradeTick(
            symbol            = self.allLast_reqId_to_ticker[reqId],
            ts                = time,
            ts_received       = python_time.time(),
            price             = price,
            size              = int(size),
            bid_price         = quote.bid,
            ask_price         = quote.ask,
            exchange          = exchange,
            pastLimit         = bool(tickAttribLast.pastLimit),
            side              = side,
            unreported        = bool(tickAttribLast.unreported),
            special_conditions = specialConditions,
        )

        print(tick)

        self.trade_socket.send_multipart([tick.symbol.encode('utf-8'), tick.SerializeToString()])
        print("TICK BY TICK ALL LAST")

    def tickByTickBidAsk(self, reqId: TickerId, time: TickerId, bidPrice: float, askPrice: float, bidSize: Decimal, askSize: Decimal, tickAttribBidAsk: TickAttribBidAsk):

        with self.lock:
            quote = self.quote_reqId_to_ticker[reqId]
            quote.bid      = bidPrice
            quote.ask      = askPrice
            quote.bid_size = bidSize
            quote.ask_size = askSize
            quote.ts       = time

    def error(self, reqId: TickerId, errorTime: TickerId, errorCode: TickerId, errorString: str, advancedOrderRejectJson=""):
        print(errorCode, errorString)
        # client not connected error
        if errorCode == 504 or errorCode == 502: 
            if not self.failed_to_connect:
                # UNEXPECTED RUNNING ERRORS ALSO HAPPEN HERE
                # self.pn.send_notif("@everyone ORDER MASTER ERROR: " + errorString)
                with self.lock:     
                    self.failed_to_connect = True
        # contract not found
        elif errorCode == 201: 
            # Order Rejected
            pass
        # Server Error
        elif errorCode == 321:
            if not self.server_error:
                self.pn.send_notif("@everyone server error:"+ errorString) 
            with self.lock:
                self.server_error = True
        elif errorCode in (2104, 2107, 2158):
            print(errorCode, errorString)
        else:
            self.pn.send_notif(str(errorCode) + " " + errorString)