def run(self):
logon = fix44.Logon()
#Keep sending a sample set of messages to server, where the second message
while (1):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.4"))
header.setField(fix.SenderCompID("COEPUSER"))
header.setField(fix.TargetCompID("COEPEXCH"))
header.setField(fix.MsgType("D"))
message.setField(fix.ClOrdID("3"))
message.setField(fix.Symbol("amzn"))
message.setField(fix.Side(Side_BUY))
message.setField(58, "Buy shares")
message.setField(fix.Price(87))
message.setField(fix.OrderQty(2))
transact_time = datetime.utcnow()
message.setField(60, transact_time.strftime("%Y%m%d-22:29:00.000"))
message.setField(fix.Account("EXECLINKS"))
message.setField(40, "2")
status = fix.Session.sendToTarget(message, self.sessionID)
print("Status: ", status)
print(message)
time.sleep(5)
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.4"))
header.setField(fix.SenderCompID("COEPUSER"))
header.setField(fix.TargetCompID("COEPEXCH"))
header.setField(fix.MsgType("D"))
message.setField(fix.ClOrdID("3"))
message.setField(fix.Symbol("amzn"))
message.setField(fix.Side(Side_SELL))
message.setField(58, "Sell shares")
message.setField(fix.Price(87))
message.setField(fix.OrderQty(2))
transact_time = datetime.utcnow()
message.setField(60, transact_time.strftime("%Y%m%d-22:29:00.000"))
message.setField(fix.Account("EXECLINKS"))
message.setField(40, "2")
status = fix.Session.sendToTarget(message, self.sessionID)
print("Status: ", status)
print(message)
time.sleep(100)
def newOrderSingle(self):
try:
LOG_EVENT("New Order Single")
orderMsg = fix.Message()
orderMsg.getHeader().setField(self.sessionID.getBeginString())
orderMsg.getHeader().setField(
fix.MsgType(fix.MsgType_NewOrderSingle))
orderMsg.getHeader().setField(self.sessionID.getSenderCompID())
orderMsg.getHeader().setField(self.sessionID.getTargetCompID())
orderMsg.getHeader().setField(fix.MsgSeqNum(self.genOrderID()))
sendingTime = fix.SendingTime()
sendingTime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f"))
orderMsg.getHeader().setField(sendingTime)
orderMsg.setField(fix.Account("17018382"))
orderMsg.setField(fix.ClOrdID(self.genExecID()))
orderMsg.setField(fix.OrderQty(100))
orderMsg.setField(fix.OrdType(fix.TriggerOrderType_LIMIT))
orderMsg.setField(fix.Price(1.216))
orderMsg.setField(fix.Symbol("X.US.OREURUSD"))
orderMsg.setField(fix.Side(fix.Side_BUY))
tranactionTime = fix.TransactTime()
tranactionTime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f"))
orderMsg.setField(tranactionTime)
orderMsg.setField(fix.OpenClose(fix.OpenClose_OPEN))
LOG_PACKET(orderMsg.toString())
fix.Session.sendToTarget(orderMsg, self.sessionID)
except Exception as e:
print(e)
def send(self, order):
orderId = self.SocketInitiator.application.genOrderID()
account = self.SocketInitiator.application.Settings.get().getString(
'Account')
trade = fix44.NewOrderSingle()
trade.setField(fix.Account(account))
trade.setField(fix.ClOrdID(orderId))
trade.setField(order.CFICode)
trade.setField(order.TransactionTime)
trade.setField(order.Quantity)
trade.setField(order.OrdType)
trade.setField(order.Side)
trade.setField(order.Symbol)
trade.setField(order.Maturity)
if isinstance(order, FutureLimitOrder):
trade.setField(order.Price)
self.SocketInitiator.application.send(trade)
ordType = OrderType.Limit if isinstance(
order, FutureLimitOrder) else OrderType.Market
ordSide = OrderSide.Buy if isinstance(order,
BuyOrder) else OrderSide.Sell
price = order.Price.getValue() if isinstance(
order, FutureLimitOrder) else None
return Trade(orderId, order.Symbol.getString(),
order.Maturity.getString(), order.Quantity.getValue(),
ordType, ordSide, price)
def GetAccountInfo(self, accessKey, secretKey):
message = fix.Message()
header = message.getHeader()
header.setField(fix.MsgType('U1000'))
account = GenAccountString(accessKey, secretKey).getAccountString()
message.setField(fix.Account(account))
accReqID = str(uuid.uuid1())
message.setField(myfix.AccReqID(accReqID))
fix.Session.sendToTarget(message, self.sessionID)
def make_single_order(self, order_id, symbol, qty):
account = "YIZHE0"
order = fix44.NewOrderSingle()
order.setField(fix.Account(account))
order.setField(fix.ClOrdID(order_id))
order.setField(fix.Symbol(symbol))
order.setField(fix.Side("1"))
order.setField(fix.OrdType("U"))
order.setField(fix.OrderQty(qty))
order.setField(fix.Price(49))
return order
def collateralInquiry(self):
inqId = self.SocketInitiator.application.genInquiryID()
account = self.SocketInitiator.application.Settings.get().getString(
'Account')
message = fix44.CollateralInquiry()
message.setField(fix.Account(account))
message.setField(fix.CollInquiryID(inqId))
self.SocketInitiator.application.send(message)
return inqId
def msgtofix_quote(quote_msg):
"""
Converte Quote (message) para Quote (fix).
"""
quoterequest_msg, quoterequest_fix = get_quoterequest(quote_msg.QuoteReqID)
quote = fix44.Quote()
quote.reverseRoute(quoterequest_fix.getHeader())
if quoterequest_msg.SecurityType == messages.EnumSecurityType.SPOT:
set_field(quote, fix.SecurityType, "FXSPOT")
elif quoterequest_msg.SecurityType == messages.EnumSecurityType.NDF:
set_field(quote, fix.SecurityType, "FXNDF")
set_field(quote, fix.QuoteReqID, quote_msg.QuoteReqID)
set_field(quote, fix.QuoteID, quote_msg.QuoteID)
set_field(quote, fix.OfferPx, quote_msg.OfferPx)
set_field(quote, fix.OfferSpotRate, quote_msg.OfferSpotRate)
set_field(quote, fix.BidPx, quote_msg.BidPx)
set_field(quote, fix.BidSpotRate, quote_msg.BidSpotRate)
set_field(quote, fix.QuoteCondition, "A")
quote.setField(5082, "2")
set_field(quote, fix.Symbol, quoterequest_fix.getField(fix.Symbol().getField()))
set_field(quote, fix.Account, quoterequest_fix.getField(fix.Account().getField()))
copy_field(quoterequest_fix, quote, fix.FutSettDate)
copy_field(quoterequest_fix, quote, fix.FutSettDate2)
copy_field(quoterequest_fix, quote, 6215)
copy_field(quoterequest_fix, quote, 6216)
transact_time = fix.TransactTime()
time_str = get_utc_time().strftime("%Y%m%d-%H:%M:%S.%f")[:-3]
transact_time.setString(time_str)
quote.setField(transact_time)
quote_msg.TransactTime = time_str
if quoterequest_msg.SecurityType == messages.EnumSecurityType.NDF:
copy_field(quoterequest_fix, quote, fix.OrdType)
copy_field(quoterequest_fix, quote, fix.TradeDate)
copy_field(quoterequest_fix, quote, fix.SettlCurrency)
copy_field(quoterequest_fix, quote, 5974) # FixingSource
copy_field(quoterequest_fix, quote, 6203) # FixingDate
taker_side = str(quoterequest_fix.getField(fix.Side().getField()))
if taker_side == '1':
set_field(quote, fix.OfferForwardPoints, quote_msg.Details.get('forward_points'))
elif taker_side == '2':
set_field(quote, fix.BidForwardPoints, quote_msg.Details.get('forward_points'))
return quote
def requestForPositions(self):
clrDate = datetime.now().strftime("%Y%m%d")
inqId = self.SocketInitiator.application.genInquiryID()
account = self.SocketInitiator.application.Settings.get().getString(
'Account')
message = fix44.RequestForPositions()
message.setField(fix.Account(account))
message.setField(fix.TransactTime())
message.setField(
fix.AccountType(
fix.AccountType_ACCOUNT_IS_CARRIED_ON_CUSTOMER_SIDE_OF_BOOKS))
message.setField(fix.ClearingBusinessDate(clrDate))
message.setField(fix.PosReqType(fix.PosReqType_POSITIONS))
message.setField(fix.PosReqID(inqId))
self.SocketInitiator.application.send(message)
return inqId
def order_cancel_request(self,account,symbol,side,quantity):
print("Creating order_cancel_request message... ")
cancel_request_message = fix.Message()
cancel_request_message.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
cancel_request_message.getHeader().setField(fix.MsgType('F')) #39=D
cancel_request_message.getHeader().setField(fix.SendingTime(1))
cancel_request_message.setField(fix.Account(str(account))) #1
cancel_request_message.setField(fix.ClOrdID(str('order_cancel_request'+self.genOrderID()))) #11
cancel_request_message.setField(fix.OrigClOrdID(str(self.orders[0]))) #41
cancel_request_message.setField(fix.Symbol(str(symbol))) #55
cancel_request_message.setField(fix.Side(str(side))) #54
cancel_request_message.setField(fix.OrderQty(quantity)) #38
print('sending order_cancel_request message...')
print(f'order_cancel_request message: {cancel_request_message.toString()}')
fix.Session.sendToTarget(cancel_request_message, self.sessionID)
print('order_cancel_request message sent!')
def cancel(self, trade):
orderId = self.SocketInitiator.application.genOrderID()
account = self.SocketInitiator.application.Settings.get().getString(
'Account')
cancel = fix44.OrderCancelRequest()
cancel.setField(fix.Account(account))
cancel.setField(fix.ClOrdID(orderId))
cancel.setField(fix.OrigClOrdID(trade.OrderId))
cancel.setField(trade.CFICode)
cancel.setField(fix.TransactTime())
cancel.setField(fix.OrderQty(trade.Quantity))
cancel.setField(
fix.Side(fix.Side_BUY if trade.OrderSide ==
OrderSide.Buy else fix.Side_SELL))
cancel.setField(fix.Symbol(trade.Symbol))
cancel.setField(fix.MaturityMonthYear(trade.Maturity))
self.SocketInitiator.application.send(cancel)
def order_cancel_replace(self,account,symbol,side,quantity,order_type,price):
print("Creating order_cancel_replace message... ")
cancel_replace_message = fix.Message()
cancel_replace_message.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
cancel_replace_message.getHeader().setField(fix.MsgType('G')) #39=D
cancel_replace_message.getHeader().setField(fix.SendingTime(1))
cancel_replace_message.setField(fix.Account(str(account))) #1
cancel_replace_message.setField(fix.HandlInst(fix.HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)) #21=3 (Manual order), 21=2 automated execution only supported value
cancel_replace_message.setField(fix.ClOrdID(str('order_cancel_replace'+self.genOrderID()))) #11
cancel_replace_message.setField(fix.OrigClOrdID(str(self.orders[0]))) #41
cancel_replace_message.setField(fix.Symbol(str(symbol))) #55
cancel_replace_message.setField(fix.Side(str(side))) #54
cancel_replace_message.setField(fix.OrderQty(quantity)) #38
cancel_replace_message.setField(fix.OrdType(str(order_type))) #40
cancel_replace_message.setField(fix.Price(price)) #44
print('sending order_cancel_replace message...')
print(f'order_cancel_replace message: {cancel_replace_message.toString()}')
fix.Session.sendToTarget(cancel_replace_message, self.sessionID)
print('order_cancel_replace message sent!')
def checkAccountData(self):
try:
LOG_EVENT("Check Account Data")
orderMsg = fix.Message()
orderMsg.getHeader().setField(self.sessionID.getBeginString())
orderMsg.getHeader().setField(fix.MsgType("UAR"))
orderMsg.getHeader().setField(self.sessionID.getSenderCompID())
orderMsg.getHeader().setField(self.sessionID.getTargetCompID())
orderMsg.getHeader().setField(fix.MsgSeqNum(self.genOrderID()))
sendingTime = fix.SendingTime()
sendingTime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f"))
orderMsg.getHeader().setField(sendingTime)
orderMsg.setField(fix.Account("17018382"))
orderMsg.setField(20003, self.genExecID())
LOG_PACKET(orderMsg.toString())
fix.Session.sendToTarget(orderMsg, self.sessionID)
except Exception as e:
print(e)
def onNOS(self, message):
trade = fix.Message()
header = trade.getHeader()
header.setField(fix.BeginString("FIX.4.4"))
header.setField(fix.SenderCompID("COEPUSER"))
header.setField(fix.TargetCompID("COEPEXCH"))
header.setField(fix.MsgType("D"))
trade.setField(fix.ClOrdID(message['order_id']))
trade.setField(fix.Symbol(message['symbol']))
if message['side'] == 'sell':
trade.setField(fix.Side(Side_SELL))
trade.setField(58, "Sell shares")
else:
trade.setField(fix.Side(Side_BUY))
trade.setField(58, "Buy shares")
trade.setField(40, "2")
trade.setField(fix.Price(message['ask_price']))
trade.setField(fix.OrderQty(message['total_qty']))
transact_time = datetime.utcnow()
trade.setField(60, transact_time.strftime("%Y%m%d-22:29:00.000"))
trade.setField(fix.Account("EXECLINKS"))
fix.Session_sendToTarget(trade, self.sessionID)
return
def put_order(self,security_type,symbol,currency,quantity,side,order_type,account,time_id,price=None):
if quantity != 0 :
trade = fix.Message()
'''
STANDARD MESSAGE HEADER
Required Tags: 8(BeginString) - 9(BodyLength) - 35(MsgType) - 49(SenderCompID) - 56(TargetCompID) - 34(MsgSeqNum) - 52(SendingTime)
'''
trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
trade.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle)) #39=D
trade.getHeader().setField(fix.SendingTime(1))
# unique_order_id = self.genExecID()
# print(f'Unique Order ID: {unique_order_id}')
# trade.setField(fix.ClOrdID(unique_order_id)) #11=Unique order
trade.setField(fix.HandlInst(fix.HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)) #21=3 (Manual order), 21=2 automated execution only supported value
trade.setField(fix.Symbol(str(symbol))) #55
trade.setField(fix.Currency(str(currency))) #15
trade.setField(fix.SecurityType(str(security_type))) #167
trade.setField(fix.Side(str(side))) #54=1 Buy
trade.setField(fix.OrdType(str(order_type))) #40=2 Limit order, 40=1 Market
trade.setField(fix.OrderQty(quantity)) #38
if order_type != 1: #not market
trade.setField(fix.Price(price)) # if market, this tag should be absent
else:
price = None
trade.setField(fix.Account(str(account)))
trade.setField(fix.ExDestination('IDEALPRO'))
trade.setField(fix.CustomerOrFirm(0))
trade.setField(fix.ClOrdID(time_id+trade.getField(55)+trade.getField(15)+trade.getField(54))) #11=
# trade.setField(fix.ClOrdID(datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S')+trade.getField(55)+trade.getField(15)+trade.getField(54))) #11=
# dnow = datetime.utcnow().strftime('%Y%m%d-%H:%M:%S')
# tag = fix.TransactTime() #default = current time, SendingTime does the same thing
# tag.setString(dnow.strftime('%Y%m%d-%H:%M:%S'))
# trade.setField(tag)
print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)
self.orders_dict[trade.getField(11)] = {#'id':trade.getField(11),
#'datetime': trade.getField(11)[:12],
'account':trade.getField(1),
'symbol':trade.getField(55)+'.' + trade.getField(15),
'qty':trade.getField(38),
'ord_type':trade.getField(40),
'side':trade.getField(54),
'price':price,
'status':'sent'
}
else:
print(f'QUANTITY IS 0!\nCHECK FOR STATUS OF LAST ORDER')
if os.path.exists(f'{self.write_path}fix_orders.csv'):
temp_orders = pd.read_csv(f'{self.write_path}fix_orders.csv',index_col=0)
symbol_entries = temp_orders[temp_orders['symbol'] == symbol]
last_symbol_entry = symbol_entries.iloc[-1]
new_entry = last_symbol_entry
new_id = time_id + last_symbol_entry.name[6:]
new_entry.name = new_id
temp_orders = temp_orders.append(last_symbol_entry,ignore_index=False)
temp_orders.to_csv(f'{self.write_path}fix_orders.csv',)
self.order_status_request(cl_ord_id=last_symbol_entry)
# self.order_status_request(cl_ord_id=temp_orders.index[-1])
else:
print(f'QUANTITY IS 0!\n FIX ORDERS FIRST RUN')
time.sleep(100)
def queryAccount(self):
value = input('Account: ')
return fix.Account(value)
def __unpackMessage(self, message):
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if msgType.getValue() == fix.MsgType_RequestForPositionsAck:
account = fix.Account()
message.getField(account)
posId = fix.PosReqID()
message.getField(posId)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
PosReqID=posId.getValue(),
Symbol=None,
Maturity=None,
NoPositions=0,
LongQty=0,
ShortQty=0,
PosAmt=0,
SettlPrice=0,
NoPosAmt=0,
ClearingBusinessDate=None,
AccountInquiry=AccountInquiry.RequestForPositions)
elif msgType.getValue() == fix.MsgType_PositionReport:
account = fix.Account()
message.getField(account)
posId = fix.PosReqID()
message.getField(posId)
symbol = fix.Symbol()
message.getField(symbol)
maturity = fix.MaturityMonthYear()
message.getField(maturity)
noPositions = fix.NoPositions()
message.getField(noPositions)
longQty = fix.LongQty()
message.getField(longQty)
shortQty = fix.ShortQty()
message.getField(shortQty)
posAmt = fix.PosAmt()
message.getField(posAmt)
cBusDate = fix.ClearingBusinessDate()
message.getField(cBusDate)
settlePrice = fix.SettlPrice()
message.getField(settlePrice)
noPosAmt = fix.NoPosAmt()
message.getField(noPosAmt)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
PosReqID=posId.getValue(),
Symbol=symbol.getValue(),
Maturity=maturity.getValue(),
NoPositions=noPositions.getValue(),
LongQty=longQty.getValue(),
ShortQty=shortQty.getValue(),
PosAmt=posAmt.getValue(),
SettlPrice=settlePrice.getValue(),
NoPosAmt=noPosAmt.getValue(),
ClearingBusinessDate=cBusDate.getValue(),
AccountInquiry=AccountInquiry.RequestForPositions)
elif msgType.getValue() == fix.MsgType_CollateralReport:
account = fix.Account()
message.getField(account)
ccy = fix.Currency()
message.getField(ccy)
csh = fix.CashOutstanding()
message.getField(csh)
colId = fix.CollInquiryID()
message.getField(colId)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
Currency=ccy.getValue(),
Balance=csh.getValue(),
CollInquiryID=colId.getValue(),
AccountInquiry=AccountInquiry.CollateralInquiry)
elif msgType.getValue() == fix.MsgType_OrderCancelReject:
cId = fix.ClOrdID()
message.getField(cId)
origClOrdID = fix.OrigClOrdID()
message.getField(origClOrdID)
self.Notifier.notifyMsgHandlers(Notify.Order,
ClientOrderId=cId.getValue(),
Symbol=None,
AvgPx=None,
Quantity=None,
Side=None,
Status=OrderStatus.CancelRejected,
OrigClOrdID=origClOrdID.getValue(),
Sender=self.FixClientRef)
elif msgType.getValue() == fix.MsgType_ExecutionReport:
cId = fix.ClOrdID()
message.getField(cId)
fixStatus = fix.OrdStatus()
message.getField(fixStatus)
price = fix.AvgPx()
message.getField(price)
qty = fix.OrderQty()
message.getField(qty)
side = fix.Side()
message.getField(side)
symbol = fix.Symbol()
message.getField(symbol)
orderSide = None
origOrderId = None
if side.getValue() == fix.Side_BUY:
orderSide = OrderSide.Buy
elif side.getValue() == fix.Side_SELL:
orderSide = OrderSide.Sell
status = None
if fixStatus.getValue() == fix.OrdStatus_NEW:
status = OrderStatus.New
elif fixStatus.getValue() == fix.OrdStatus_CANCELED:
status = OrderStatus.Cancelled
origClOrdID = fix.OrigClOrdID()
message.getField(origClOrdID)
origOrderId = origClOrdID.getValue()
elif fixStatus.getValue() == fix.OrdStatus_FILLED:
status = OrderStatus.Filled
elif fixStatus.getValue() == fix.OrdStatus_REJECTED:
status = OrderStatus.Rejected
if status is not None:
self.Notifier.notifyMsgHandlers(Notify.Order,
ClientOrderId=cId.getValue(),
Symbol=symbol.getValue(),
AvgPx=price.getValue(),
Quantity=qty.getValue(),
Side=orderSide,
Status=status,
OrigClOrdID=origOrderId,
Sender=self.FixClientRef)
def send_NewOrderSingle(self, order):
if order.error:
print(
'[ERROR] The order cannot be sent because it contains errors.')
return
if order.ClOrdID is None:
order.ClOrdID = self.app.next_ClOrdID()
elif order.ClOrdID in self.Open_Orders.keys():
print(
'[ERROR] Order not sent. There is already an open order with the same ID. Please use a different one or just leave it empty.'
)
return
message = fix.Message()
header = message.getHeader()
# Set message type to NewOrderSingle (35=D)
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle))
# Tag 11 - Unique ID to assign to this trade.
message.setField(fix.ClOrdID(str(order.ClOrdID)))
# Tag 1 - Account ID as provided by FIX administrator
message.setField(fix.Account(self.account))
# Tag 55
message.setField(fix.Symbol(str(order.symbol)))
# Tag 54 (1 == buy, 2 == sell)
message.setField(fix.Side(str(order.side)))
# Tag 38
message.setField(fix.OrderQty(int(order.quantity)))
# Tag 40 (1 == market, 2 == limit)
message.setField(fix.OrdType(str(order.type)))
# Tag 44: not needed for market orders.
if order.price is not None:
message.setField(fix.Price(order.price))
# Tag 10000 - TTL in milliseconds for open trade expiration.
message.setField(fix.IntField(10000, order.ttl))
# Tag 10001 (deviation: maximum allowed slippage)
# Double value. Accepted deviation from the price submitted in tag 44. Only applicable if 40=2.
# Defaults to 0.0. Setting this value to 0.00002 for a sell EURUSD limit order would allow for
# execution on prices as low as 0.2 pips below the specified price. The preferred mode of operation
# for limit orders is to set tag 44 at current market price and use tag 10001 to define a specific
# slippage acceptance.
if str(order.type) == '2':
message.setField(fix.DoubleField(10001, order.deviation))
# Tag 60 (current time in UTC). 3 means 3 digits (milliseconds)
message.setField(fix.TransactTime(3))
if self.sessionID_Trade is not None:
# Add trade to local open orders:
self.app.add_order(order)
fix.Session.sendToTarget(message, self.sessionID_Trade)
else:
print(
'[ERROR] send_NewOrderSingle() failed. sessionID_Trade is None!'
)
