def sendOrderAck(self, orderID):
message = self.startFIXString(orderID)
message.setField(quickfix.ExecType(quickfix.ExecType_NEW))
message.setField(quickfix.ExecTransType(quickfix.ExecTransType_NEW))
quickfix.Session.sendToTarget(message, self.orders[orderID]['session'])
self.orders[orderID]['state'] = 'New'
def getExecutionReportForNewOrder(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
clOrdID = fix.ClOrdID()
message.getField(ordType)
if ordType.getValue() != fix.OrdType_LIMIT:
raise fix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.CumQty(orderQty.getValue()))
executionReport.setField(fix.AvgPx(price.getValue()))
executionReport.setField(fix.LastShares(orderQty.getValue()))
executionReport.setField(fix.LastPx(price.getValue()))
executionReport.setField(clOrdID)
executionReport.setField(orderQty)
executionReport.setField(fix.Text("New order accepted!"))
# Since FIX 4.3, ExecTransType is killed and the values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(fix.ExecTransType(fix.ExecTransType_NEW))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
if beginString.getValue() <= fix.BeginString_FIX42:
executionReport.setField(fix.ExecType(
fix.ExecType_FILL)) #150=2 FILL (or 1 PARTIAL_FILL)
else:
# FILL and PARTIAL_FILL are removed and replaced by TRADE (F) since FIX 4.3 as these info can be retrieved from OrdStatus field
executionReport.setField(fix.ExecType(
fix.ExecType_TRADE)) #150=F TRADE
executionReport.setField(fix.LeavesQty(0))
return executionReport
def fromApp(self, message, sessionID):
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
clOrdID = fix.ClOrdID()
message.getField(ordType)
print(ordType)
if ordType.getValue() != fix.OrdType_LIMIT:
raise fix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.CumQty(orderQty.getValue()))
executionReport.setField(fix.AvgPx(price.getValue()))
executionReport.setField(fix.LastShares(orderQty.getValue()))
executionReport.setField(fix.LastPx(price.getValue()))
executionReport.setField(clOrdID)
executionReport.setField(orderQty)
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(fix.ExecTransType(fix.ExecTransType_NEW))
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(fix.ExecType_FILL))
executionReport.setField(fix.LeavesQty(0))
try:
fix.Session.sendToTarget(executionReport, sessionID)
except (SessionNotFound, e):
return
def _create_execution_report(
self,
symbol,
side,
client_order_id,
price=None,
quantity=None,
order_status=fix.OrdStatus_NEW,
exec_trans_type=fix.ExecTransType_NEW,
exec_type=fix.ExecType_NEW,
text=None,
reject_reason=None,
orig_client_order_id=None,
):
# defaults
execution_report = Message()
execution_report.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
execution_report.setField(
fix.OrderID(self.generate_order_id(symbol.getValue())))
execution_report.setField(
fix.ExecID(self.generate_execution_id(symbol.getValue())))
execution_report.setField(fix.OrdStatus(order_status))
execution_report.setField(symbol)
execution_report.setField(side)
execution_report.setField(client_order_id)
execution_report.setField(fix.ExecTransType(exec_trans_type))
execution_report.setField(fix.ExecType(exec_type))
execution_report.setField(fix.LeavesQty(0))
if price:
execution_report.setField(fix.AvgPx(price.getValue()))
execution_report.setField(fix.LastPx(price.getValue()))
if quantity:
execution_report.setField(fix.CumQty(quantity.getValue()))
execution_report.setField(fix.LastShares(quantity.getValue()))
execution_report.setField(quantity)
if orig_client_order_id:
execution_report.setField(
fix.OrigClOrdID(orig_client_order_id.getValue()))
if text:
execution_report.setField(fix.Text(text))
if exec_type == fix.ExecType_REJECTED:
execution_report.setField(fix.OrdRejReason(reject_reason))
self.logger.debug(
f"Created execution report {execution_report.__str__()}")
return execution_report
def sendReplaceAck(self, orderID):
origOrdID = self.orders[orderID]['origOrdID']
origClientOrderID = self.orders[orderID]['origClOrdID']
message = self.startFIXString(orderID)
message.setField(quickfix.OrderQty(self.orders[orderID]['quantity']))
message.setField(quickfix.ExecType(quickfix.ExecType_REPLACED))
message.setField(quickfix.ExecTransType(quickfix.ExecTransType_NEW))
message.setField(quickfix.OrigClOrdID(origClientOrderID))
quickfix.Session.sendToTarget(message, self.orders[orderID]['session'])
self.orders[orderID]['state'] = 'New'
self.orders[origOrdID]['state'] = 'Replaced'
def fromApp(self, message, sessionID): beginString = fix.BeginString() msgType = fix.MsgType() message.getHeader().getField( beginString ) message.getHeader().getField( msgType ) if msgType.getValue() == 'F': print 'Cancel Request' symbol = fix.Symbol() side = fix.Side() clOrdID = fix.ClOrdID() origClOrdID = fix.OrigClOrdID() orderQty = fix.OrderQty() message.getField( orderQty ) message.getField( clOrdID ) message.getField( origClOrdID ) message.getField( symbol ) message.getField( side ) executionReport = fix.Message() executionReport.getHeader().setField( beginString ) executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) ) executionReport.setField( symbol ) executionReport.setField( side ) executionReport.setField( clOrdID ) executionReport.setField( origClOrdID ) executionReport.setField( fix.ExecID(self.genExecID()) ) executionReport.setField( fix.OrderID(self.genOrderID()) ) executionReport.setField( fix.AvgPx(0)) executionReport.setField( fix.LastShares(0)) executionReport.setField( fix.CumQty(0)) if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42: executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) ) executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) ) if beginString.getValue() >= fix.BeginString_FIX41: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) else: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) try: print executionReport fix.Session.sendToTarget( executionReport, sessionID ) except SessionNotFound, e: return
def getExecutionReportForStatusRequest(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
clOrdID = fix.ClOrdID()
message.getField(clOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.Symbol("ABCD"))
executionReport.setField(fix.Side(fix.Side_BUY)) #43=1 Buy
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdType(
fix.OrdType_LIMIT)) #40=2 Limit order
executionReport.setField(fix.OrderQty(100)) #38=100
executionReport.setField(fix.Price(10)) #44=10
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(fix.AvgPx(10)) #6=10
executionReport.setField(fix.CumQty(100)) #14=100
executionReport.setField(clOrdID)
executionReport.setField(fix.Text("Order status retrieved!"))
# Since FIX 4.3, ExecTransType values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(
fix.ExecTransType(fix.ExecTransType_STATUS))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
if beginString.getValue() <= fix.BeginString_FIX42:
executionReport.setField(fix.ExecType(
fix.ExecType_FILL)) #150=2 FILL (or 1 PARTIAL_FILL)
else:
# FILL and PARTIAL_FILL are removed and replaced by TRADE (F) since FIX 4.3 as these info can be retrieved from OrdStatus field
executionReport.setField(fix.ExecType(
fix.ExecType_TRADE)) #150=F TRADE
executionReport.setField(fix.LeavesQty(0))
return executionReport
def getExecutionReportForCancelOrder(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
symbol = fix.Symbol()
side = fix.Side()
clOrdID = fix.ClOrdID()
message.getField(symbol)
message.getField(side)
message.getField(clOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdType(
fix.OrdType_LIMIT)) #40=2 Limit order
executionReport.setField(fix.OrderQty(100)) #38=100
executionReport.setField(fix.Price(10)) #44=10
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.AvgPx(10)) #6=10
executionReport.setField(fix.CumQty(100)) #14=100
executionReport.setField(clOrdID)
executionReport.setField(fix.Text("Order cancelled!"))
# Since FIX 4.3, ExecTransType values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(
fix.ExecTransType(fix.ExecTransType_CANCEL))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(
fix.ExecType_CANCELED)) #150=4 CANCELED
executionReport.setField(fix.LeavesQty(0)) #151=0
return executionReport
def handle_execution_report(self, message):
order_id = TradingClass.FIXHandlerUtils.get_field_value(fix.OrderID(), message)
cl_ord_id = TradingClass.FIXHandlerUtils.get_field_value(fix.ClOrdID(), message)
orig_cl_ord_id = TradingClass.FIXHandlerUtils.get_field_value(fix.OrigClOrdID(), message)
exec_id = TradingClass.FIXHandlerUtils.get_field_value(fix.ExecID(), message)
exec_trans_type = TradingClass.FIXHandlerUtils.get_field_value(fix.ExecTransType(), message)
exec_type = TradingClass.FIXHandlerUtils.get_field_value(fix.ExecType(), message)
ord_status = TradingClass.FIXHandlerUtils.get_field_value(fix.OrdStatus(), message)
symbol = TradingClass.FIXHandlerUtils.get_field_value(fix.Symbol(), message)
side = TradingClass.FIXHandlerUtils.get_field_value(fix.Side(), message)
leaves_qty = TradingClass.FIXHandlerUtils.get_field_value(fix.LeavesQty(), message)
price = TradingClass.FIXHandlerUtils.get_field_value(fix.Price(), message)
cum_qty = TradingClass.FIXHandlerUtils.get_field_value(fix.CumQty(), message)
avg_px = TradingClass.FIXHandlerUtils.get_field_value(fix.AvgPx(), message)
order_execution = TradingClass.ExecutionReport(order_id, cl_ord_id, exec_id, exec_trans_type, exec_type,
ord_status, symbol, side, leaves_qty, cum_qty, avg_px, price, orig_cl_ord_id)
self.client_logic.process_order_execution_respond(order_execution)
return
def getExecutionReportForStatusRequest2(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
clOrdID = fix.ClOrdID()
orderID = fix.OrderID()
message.getField(clOrdID)
message.getField(orderID)
response = getOrder(self.accessKey, self.secretKey, orderID.getValue())
jResponse = json.loads(response)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.ExecID(self.genExecID()))
# todo get client order id
executionReport.setField(clOrdID)
if 'error' in jResponse and jResponse['error']:
executionReport.setField(fix.OrderID(orderID.getValue()))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_REJECTED))
executionReport.setField(fix.Text(jResponse['error']['message']))
# todo Reject reason for each case
executionReport.setField(
fix.OrdRejReason(fix.OrdRejReason_UNKNOWN_ORDER))
else:
executionReport.setField(fix.OrderID(str(jResponse['id'])))
# todo check trades_count from json response and set FILL status?
executionReport.setField(fix.OrdStatus(fix.OrdStatus_NEW))
executionReport.setField(
fix.Side(fix.Side_BUY if jResponse['side'] ==
'buy' else fix.Side_SELL))
executionReport.setField(
fix.OrdType(
fix.OrdType_LIMIT if jResponse['ord_type'] ==
'limit' else fix.OrdType_MARKET)) #40=2 Limit order
executionReport.setField(fix.Symbol(jResponse['market']))
executionReport.setField(fix.Price(float(jResponse['price']))) #44
executionReport.setField(fix.OrderQty(float(
jResponse['volume']))) #38
executionReport.setField(
fix.CumQty(float(jResponse['executed_volume']))) #14=100
executionReport.setField(fix.AvgPx(float(
jResponse['avg_price']))) #6
executionReport.setField(fix.Text('Order status retrieved!'))
# Since FIX 4.3, ExecTransType values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(
fix.ExecTransType(fix.ExecTransType_STATUS))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
if beginString.getValue() <= fix.BeginString_FIX42:
executionReport.setField(fix.ExecType(
fix.ExecType_FILL)) #150=2 FILL (or 1 PARTIAL_FILL)
else:
# FILL and PARTIAL_FILL are removed and replaced by TRADE (F) since FIX 4.3 as these info can be retrieved from OrdStatus field
executionReport.setField(fix.ExecType(
fix.ExecType_TRADE)) #150=F TRADE
executionReport.setField(fix.LeavesQty(0))
return executionReport
def getExecutionReportForCancelOrder2(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
symbol = fix.Symbol()
side = fix.Side()
clOrdID = fix.ClOrdID()
orderID = fix.OrderID()
origClOrdID = fix.OrigClOrdID()
message.getField(symbol)
message.getField(side)
message.getField(clOrdID)
message.getField(orderID)
message.getField(origClOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
data = {}
data['id'] = orderID.getValue()
response = cancelOrder(self.accessKey, self.secretKey,
orderID.getValue())
jResponse = json.loads(response)
executionReport.setField(fix.OrderID(orderID.getValue()))
# todo get client order id
executionReport.setField(clOrdID)
executionReport.setField(fix.ExecID(self.genExecID()))
if 'error' in jResponse and jResponse['error']:
orderCancelReject = fix.Message()
orderCancelReject.getHeader().setField(beginString)
orderCancelReject.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelReject))
orderCancelReject.setField(clOrdID)
orderCancelReject.setField(orderID)
orderCancelReject.setField(origClOrdID)
# todo reject reason
orderCancelReject.setField(fix.OrdStatus(
fix.OrdStatus_FILLED)) #39 = 2 FILLED
orderCancelReject.setField(
fix.CxlRejReason(0)) #102=0 TOO_LATE_TO_CANCEL
orderCancelReject.setField(
fix.CxlRejResponseTo(1)) #434=1 ORDER_CANCEL_REQUEST
orderCancelReject.setField(fix.Text(jResponse['error']['message']))
return orderCancelReject
else:
executionReport.setField(fix.OrderID(str(jResponse['id'])))
# todo check trades_count from json response and set FILL status?
executionReport.setField(fix.OrdStatus(fix.OrdStatus_CANCELED))
executionReport.setField(
fix.Side(fix.Side_BUY if jResponse['side'] ==
'buy' else fix.Side_SELL))
executionReport.setField(
fix.OrdType(
fix.OrdType_LIMIT if jResponse['ord_type'] ==
'limit' else fix.OrdType_MARKET)) #40=2 Limit order
executionReport.setField(fix.Symbol(jResponse['market']))
executionReport.setField(fix.Price(float(jResponse['price']))) #44
executionReport.setField(fix.OrderQty(float(
jResponse['volume']))) #38
executionReport.setField(
fix.CumQty(float(jResponse['executed_volume']))) #14=100
executionReport.setField(fix.AvgPx(float(
jResponse['avg_price']))) #6
executionReport.setField(fix.Text("Order cancelled!"))
# Since FIX 4.3, ExecTransType values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(
fix.ExecTransType(fix.ExecTransType_CANCEL))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(
fix.ExecType_CANCELED)) #150=4 CANCELED
executionReport.setField(fix.LeavesQty(0)) #151=0
return executionReport
def getExecutionReportForNewOrder2(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
msgSeqNum = fix.MsgSeqNum()
message.getHeader().getField(msgSeqNum)
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
clOrdID = fix.ClOrdID()
message.getField(ordType)
# todo handle market order
if ordType.getValue() != fix.OrdType_LIMIT:
raise fix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
data = {}
data['market'] = symbol.getValue()
data['price'] = price.getValue()
data['side'] = 'buy' if side.getValue() == fix.Side_BUY else 'sell'
data['volume'] = orderQty.getValue()
response = createOrder(self.accessKey, self.secretKey, data)
jResponse = json.loads(response)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
# todo exec id?
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.CumQty(orderQty.getValue()))
executionReport.setField(fix.AvgPx(price.getValue()))
executionReport.setField(fix.LastShares(orderQty.getValue()))
executionReport.setField(fix.LastPx(price.getValue()))
# todo save Client order id to DB?
executionReport.setField(clOrdID)
executionReport.setField(orderQty)
if 'error' in jResponse and jResponse['error']:
executionReport.setField(fix.OrderID("nil"))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_REJECTED))
executionReport.setField(fix.Text(jResponse['error']['message']))
# todo Reject reason for each case
executionReport.setField(
fix.OrdRejReason(fix.OrdRejReason_UNKNOWN_SYMBOL))
else:
executionReport.setField(fix.OrderID(str(jResponse['id'])))
# todo check trades_count from json response and set FILL status?
executionReport.setField(fix.OrdStatus(fix.OrdStatus_NEW))
executionReport.setField(fix.Text('New order accpeted!'))
# Since FIX 4.3, ExecTransType is killed and the values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(fix.ExecTransType(fix.ExecTransType_NEW))
# todo check trades_count from json response and set FILL status?
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
if beginString.getValue() <= fix.BeginString_FIX42:
executionReport.setField(fix.ExecType(
fix.ExecType_FILL)) #150=2 FILL (or 1 PARTIAL_FILL)
else:
# FILL and PARTIAL_FILL are removed and replaced by TRADE (F) since FIX 4.3 as these info can be retrieved from OrdStatus field
executionReport.setField(fix.ExecType(
fix.ExecType_TRADE)) #150=F TRADE
executionReport.setField(fix.LeavesQty(0))
"""if 'error' in jResponse and jResponse['error']:
reject = fix.Message()
reject.getHeader().setField(beginString)
reject.getHeader().setField(fix.MsgType(fix.MsgType_Reject))
reject.setField(fix.RefMsgType(fix.MsgType_NewOrderSingle))
reject.setField(fix.RefSeqNum(msgSeqNum.getValue())) #45 = RefSeqNum
reject.setField(fix.SessionRejectReason(fix.SessionRejectReason_OTHER)) #373 = 99 OTHER
reject.setField(fix.Text(jResponse['message']))
return reject """
return executionReport
class Application(fix.Application):
orderID = 0
execID = 0
bids = {}
asks = {}
#creates empty dictionaries
loc = ("C:\\Bloomberg\\SampleMarketData.xlsx")
wb = xlrd.open_workbook(loc)
sheetMSFT = wb.sheet_by_index(0)
sheetNFLX = wb.sheet_by_index(1)
sheetNames = wb.sheet_names()
xl_sheet1 = wb.sheet_by_index(0)
xl_sheet2 = wb.sheet_by_index(1)
sheet1Name = xl_sheet1.name.encode("utf-8")
sheet2Name = xl_sheet2.name.encode("utf-8")
excelbids = {}
excelbids['BATS'] = {}
excelbids['BATS'][sheet1Name] = {}
excelbids['BATS'][sheet2Name] = {}
excelbids['NASD'] = {}
excelbids['NASD'][sheet1Name] = {}
excelbids['NASD'][sheet2Name] = {}
excelasks = {}
excelasks['BATS'] = {}
excelasks['BATS'][sheet1Name] = {}
excelasks['BATS'][sheet2Name] = {}
excelasks['NASD'] = {}
excelasks['NASD'][sheet1Name] = {}
excelasks['NASD'][sheet2Name] = {}
for i in range (2, 7):
for j in range (0, 1):
excelbids['NASD'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (2, 7):
for j in range (2, 3):
excelasks['NASD'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (9, 14):
for j in range (0, 1):
excelbids['BATS'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (9, 14):
for j in range (2, 3):
excelasks['BATS'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (2, 7):
for j in range (0, 1):
excelbids['NASD'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (2, 7):
for j in range (2, 3):
excelasks['NASD'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (9, 14):
for j in range (0, 1):
excelbids['BATS'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (9, 14):
for j in range (2, 3):
excelasks['BATS'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
#reads excel files, inputs data into nested dictionaries
@echo
def onCreate(self, sessionID): return
@echo
def onLogon(self, sessionID): return
@echo
def onLogout(self, sessionID): return
@echo
def toAdmin(self, sessionID, message): return
@echo
def fromAdmin(self, sessionID, message): return
@echo
def toApp(self, sessionID, message): return
@echo
def fromApp(self, message, sessionID):
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField( beginString )
message.getHeader().getField( msgType )
if msgType.getValue() == 'F':
print 'Cancel Request'
symbol = fix.Symbol()
side = fix.Side()
clOrdID = fix.ClOrdID()
origClOrdID = fix.OrigClOrdID()
orderQty = fix.OrderQty()
message.getField( orderQty )
message.getField( clOrdID )
message.getField( origClOrdID )
message.getField( symbol )
message.getField( side )
executionReport = fix.Message()
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( clOrdID )
executionReport.setField( origClOrdID )
executionReport.setField( fix.ExecID(self.genExecID()) )
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.AvgPx(0))
executionReport.setField( fix.LastShares(0))
executionReport.setField( fix.CumQty(0))
if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42:
executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) )
executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) )
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
else:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
try:
print executionReport
fix.Session.sendToTarget( executionReport, sessionID )
except SessionNotFound, e:
return
if msgType.getValue() == 'D':
print 'New Order Single'
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
timeInForce = fix.TimeInForce()
clOrdID = fix.ClOrdID()
message.getField( ordType )
print message
if ordType.getValue() == fix.OrdType_LIMIT:
message.getField( price )
price = round(float(price.getValue()),2)
message.getField( symbol )
message.getField( side )
message.getField( orderQty )
message.getField( clOrdID )
message.getField( timeInForce )
executionReport = fix.Message()
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) )
availableQty = 0
if side.getValue() == '2':
#check the bids
sym = symbol.getValue()
mergedDict = sorted(set(self.excelbids['BATS'][sym].keys()) | set(self.excelbids['NASD'][sym].keys()), reverse = True)
orderMergedDict = OrderedDict()
for pricelevel in mergedDict:
orderMergedDict[pricelevel] = OrderedDict()
if pricelevel in self.excelbids['BATS'][sym].keys():
orderMergedDict[pricelevel]['BATS'] = self.excelbids['BATS'][sym][pricelevel]
if pricelevel in self.excelbids['NASD'][sym].keys():
orderMergedDict[pricelevel]['NASD'] = self.excelbids['NASD'][sym][pricelevel]
print '-------------Sell Order - Checking available Bids-------------'
qty = orderQty.getValue()
orderToSend = {}
for bid_price, exch in orderMergedDict.iteritems():
if price <= bid_price or ordType.getValue() == fix.OrdType_MARKET :
for exchange,bid_qty in exch.iteritems():
if exchange not in orderToSend:
orderToSend[exchange] = {}
if bid_qty >= qty and qty > 0:
orderToSend[exchange][bid_price] = qty
qty = 0
elif qty > 0:
orderToSend[exchange][bid_price] = bid_qty
qty = qty - bid_qty
availableQty += bid_qty
else:
#check the asks
sym = symbol.getValue()
mergedDict = sorted(set(self.excelasks['BATS'][sym].keys()) | set(self.excelasks['NASD'][sym].keys()))
orderMergedDict = OrderedDict()
for pricelevel in mergedDict:
orderMergedDict[pricelevel] = OrderedDict()
if pricelevel in self.excelasks['BATS'][sym].keys():
orderMergedDict[pricelevel]['BATS'] = self.excelasks['BATS'][sym][pricelevel]
if pricelevel in self.excelasks['NASD'][sym].keys():
orderMergedDict[pricelevel]['NASD'] = self.excelasks['NASD'][sym][pricelevel]
print '--------------Buy Order - Checking available Asks-------------'
qty = orderQty.getValue()
orderToSend = {}
for ask_price, exch in orderMergedDict.iteritems():
#if ask_price <= round(float(price.getValue()),2):
if ask_price <= price or ordType.getValue() == fix.OrdType_MARKET:
for exchange,ask_qty in exch.iteritems():
if exchange not in orderToSend:
orderToSend[exchange] = {}
if ask_qty >= qty and qty > 0:
orderToSend[exchange][ask_price] = qty
qty = 0
elif qty > 0:
orderToSend[exchange][ask_price] = ask_qty
qty = qty - ask_qty
availableQty += ask_qty
filledQty = 0
if len(orderToSend) > 0:
for exchange, detailsOfOrders in orderToSend.iteritems():
for price, qty in detailsOfOrders.iteritems():
filledQty = filledQty + qty
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.ExecID(self.genExecID()) )
if filledQty >= orderQty.getValue():
executionReport.setField( fix.OrdStatus(fix.OrdStatus_FILLED) )
else:
executionReport.setField( fix.OrdStatus(fix.OrdStatus_PARTIALLY_FILLED) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( fix.CumQty(filledQty))
executionReport.setField( fix.AvgPx(price )) # to do - need to properly calculate average price
executionReport.setField( fix.LastShares(qty))
executionReport.setField( fix.LastPx(price))
executionReport.setField( clOrdID )
executionReport.setField( orderQty )
executionReport.setField( fix.LastMkt(exchange))
if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42:
executionReport.setField( fix.ExecTransType(fix.ExecTransType_NEW) )
if beginString.getValue() >= fix.BeginString_FIX41:
if filledQty >=0 :
executionReport.setField( fix.ExecType(fix.ExecType_FILL) )
executionReport.setField( fix.LeavesQty(0) )
else:
executionReport.setField( fix.ExecType(fix.ExecType_PARTIAL_FILL) )
executionReport.setField( fix.LeavesQty(orderQty.getValue() - filledQty) )
try:
print executionReport
fix.Session.sendToTarget( executionReport, sessionID )
except SessionNotFound, e:
return
if timeInForce.getValue() == fix.TimeInForce_IMMEDIATE_OR_CANCEL:
print "TimeInForce is IOC - need to cancel the remaining balance"
executionReport = fix.Message()
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( clOrdID )
executionReport.setField( fix.ExecID(self.genExecID()) )
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.AvgPx(price))
executionReport.setField( fix.LastShares(0))
executionReport.setField( fix.CumQty(filledQty))
executionReport.setField( fix.LastPx(price))
executionReport.setField( orderQty )
if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42:
executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) )
executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) )
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
else:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
try:
print executionReport
fix.Session.sendToTarget( executionReport, sessionID )
except SessionNotFound, e:
return
