def sendOrder(self, ticker, side, type, px, qty):
nos = fix.Message()
nos.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
nos.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle))
symbol = fix.Symbol(ticker)
nos.setField(symbol)
if side == "BUY":
side = fix.Side(fix.Side_BUY)
if side == "SELL":
side = fix.Side(fix.Side_SELL)
nos.setField(side)
if type == "MARKET":
ordType = fix.OrdType(fix.OrdType_MARKET)
px = fix.Price(0)
if type == "LIMIT":
ordType = fix.OrdType(fix.OrdType_MARKET)
px = fix.Price(px)
nos.setField(ordType)
nos.setField(px)
orderQty = fix.OrderQty(qty)
clOrdID = fix.ClOrdID(self.genOrderID())
nos.setField(orderQty)
nos.setField(clOrdID)
TimeInForce = fix.TimeInForce(fix.TimeInForce_GOOD_TILL_CANCEL)
TransactTime = fix.TransactTime()
nos.setField(TimeInForce)
nos.setField(TransactTime)
fix.Session.sendToTarget(nos, self.sessionID)
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 put_new_order(self, instrument, side, price, size):
"""Request sample new order single"""
message = quickfix44.NewOrderSingle()
header = message.getHeader()
print("Executing : " + str(instrument) + ":" + str(side) + ":" +
str(price) + ":" + str(size))
message.setField(quickfix.ClOrdID(self.genExecID()))
message.setField(quickfix.Side(side))
message.setField(quickfix.Symbol(instrument.symbol))
message.setField(quickfix.SecurityExchange(instrument.exchange))
message.setField(quickfix.OrderQty(size))
message.setField(quickfix.Price(int(price)))
message.setField(quickfix.OrdType(quickfix.OrdType_LIMIT))
message.setField(quickfix.TimeInForce('0'))
message.setField(quickfix.Text("NewOrderSingle"))
trstime = quickfix.TransactTime()
trstime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")[:-3])
message.setField(trstime)
msg = message.toString().replace(__SOH__, "|")
print("New Order Single: " + msg)
quickfix.Session.sendToTarget(message, self.sessionID)
def new_order(sender_comp_id, target_comp_id, symbol, quantity, price, side,
order_type):
if side.lower() == "buy":
side = fix.Side_BUY
else:
side = fix.Side_SELL
message = Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.2"))
header.setField(fix.SenderCompID(sender_comp_id))
header.setField(fix.TargetCompID(target_comp_id))
header.setField(fix.MsgType("D"))
ord_id = get_order_id(sender_comp_id, symbol)
message.setField(fix.ClOrdID(ord_id))
message.setField(fix.Symbol(symbol))
message.setField(fix.Side(side))
message.setField(fix.Price(float(price)))
if order_type.lower() == "market":
message.setField(fix.OrdType(fix.OrdType_MARKET))
else:
message.setField(fix.OrdType(fix.OrdType_LIMIT))
message.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION))
message.setField(fix.TransactTime())
message.setField(fix.OrderQty(float(quantity)))
message.setField(fix.Text(f"{side} {symbol} {quantity}@{price}"))
return message
def makeOrder(self, snapshot):
self.logger.info("FIXSIM-CLIENT Snapshot received %s", str(snapshot))
quote = snapshot.getRandomQuote()
self.logger.info("FIXSIM-CLIENT make order for quote %s", str(quote))
order = self.fixVersion.NewOrderSingle()
order.setField(
quickfix.HandlInst(
quickfix.
HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK
))
order.setField(
quickfix.SecurityType(
quickfix.SecurityType_FOREIGN_EXCHANGE_CONTRACT))
order.setField(quickfix.OrdType(quickfix.OrdType_PREVIOUSLY_QUOTED))
order.setField(quickfix.ClOrdID(self.idGen.orderID()))
order.setField(quickfix.QuoteID(quote.id))
order.setField(quickfix.SecurityDesc("SPOT"))
order.setField(quickfix.Symbol(snapshot.symbol))
order.setField(quickfix.Currency(quote.currency))
order.setField(quickfix.Side(quote.side))
order.setField(quickfix.OrderQty(quote.size))
order.setField(quickfix.FutSettDate("SP"))
order.setField(quickfix.Price(quote.price))
order.setField(quickfix.TransactTime())
order.setField(
quickfix.TimeInForce(quickfix.TimeInForce_IMMEDIATE_OR_CANCEL))
self.sendToTarget(order, self.orderSession)
def _handle_trade(self, symbol, trade, sessionID):
self.logger.info("Trade(s) executed.")
# if trade.session.toString() != sessionID.toString():
if trade.session.toString() not in self.sessions:
self.logger.debug(
f"Trade session {trade.session} and sessionID {sessionID} "
f"do not match, skipping trade"
)
self.logger.debug(f"Dumping trade \n{trade}")
return
trade_side = "1" if trade.side == "b" else "2"
execution_report = self._create_execution_report(
symbol,
fix.Side(trade_side),
fix.ClOrdID(trade.order_id),
price=fix.Price(trade.price),
quantity=fix.LastQty(trade.quantity),
order_status=fix.OrdStatus_FILLED,
exec_type=fix.ExecType_FILL,
)
return execution_report
def new_order(self):
print("Creating the following order: ")
trade = fix.Message()
trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
trade.getHeader().setField(fix.MsgType(
fix.MsgType_NewOrderSingle)) #35=D
trade.setField(fix.ClOrdID(self.genOrderID())) #11=Unique order id
trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION)
) #21=3 (Manual order, best executiona)
trade.setField(fix.Symbol("ethbtc")) #55=ethbtc
trade.setField(fix.Side(fix.Side_BUY)) #54=1 Buy
trade.setField(fix.OrdType(fix.OrdType_LIMIT)) #40=2 Limit order
trade.setField(fix.OrderQty(9)) #38=9
trade.setField(fix.Price(1.5)) #44=1.5
trade.setField(
fix.StringField(
60, (datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f"))[:-3])
) #60 TransactTime, not supported in python, so use tag number
trade.setField(fix.Text("New Order")) #58 text
print(trade.toString())
try:
fix.Session.sendToTarget(trade, self.sessionID)
except (fix.ConfigError, fix.RuntimeError) as e:
print(e)
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 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 put_order(self):
print("Creating the following order: ")
trade = fix.Message()
trade.setField(fix.ClOrdID(self.genExecID())) # 11=Unique order
trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION))
trade.setField(fix.Symbol('SMBL'))
trade.setField(fix.Side(fix.Side_BUY))
trade.setField(fix.OrdType(fix.OrdType_LIMIT))
trade.setField(fix.OrderQty(100))
trade.setField(fix.Price(10))
print trade.toString()
fix.Session.sendToTarget(trade, self.sessionID)
def __get_attributes(self, message):
price = fix.Price()
quantity = fix.OrderQty()
symbol = fix.Symbol()
side = fix.Side()
order_type = fix.OrdType()
client_order_id = fix.ClOrdID()
message.getField(client_order_id)
message.getField(side)
message.getField(order_type)
message.getField(symbol)
message.getField(price)
message.getField(quantity)
return (symbol, price, quantity, side, order_type, client_order_id)
def new_order(self, message, beginString, sessionID):
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price(50)
clOrdID = fix.ClOrdID()
message.getField(ordType)
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
log.info("new_order:\nordType:{},symbol:{},side:{},orderQty:{},price:{},clOrdID:{} -----"\
.format(ordType, symbol, side, orderQty, price, clOrdID))
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.TransactTime())
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_NEW))
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.ExecType(fix.ExecType_NEW))
executionReport.setField(fix.LeavesQty(orderQty.getValue()))
try:
fix.Session.sendToTarget(executionReport, sessionID)
time.sleep(1)
if ordType.getValue() == fix.OrdType_MARKET:
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(fix.ExecType(fix.ExecType_TRADE))
fix.Session.sendToTarget(executionReport, sessionID)
except fix.SessionNotFound as 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 put_order(self):
print("Creating the following order: ")
trade = fix.Message()
trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX50)) #
trade.getHeader().setField(fix.MsgType(
fix.MsgType_NewOrderSingle)) #39=D
trade.setField(fix.ClOrdID(self.genExecID())) #11=Unique order
trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION)
) #21=3 (Manual order, best executiona)
trade.setField(fix.Symbol('SMBL')) #55=SMBL ?
trade.setField(fix.Side(fix.Side_BUY)) #43=1 Buy
trade.setField(fix.OrdType(fix.OrdType_LIMIT)) #40=2 Limit order
trade.setField(fix.OrderQty(100)) #38=100
trade.setField(fix.Price(10))
print trade.toString()
fix.Session.sendToTarget(trade, self.sessionID)
def generate_message_fields(self, message_type):
message_fields = {
'client_orderID': fix.ClOrdID(),
'symbol': fix.Symbol(),
'side': fix.Side(),
'quantity': fix.OrderQty(),
}
if message_type in ['new', 'replace']:
extra_message_fields = {
'type': fix.OrdType(),
'price': fix.Price(),
'handlInst': fix.HandlInst(),
}
message_fields.update(extra_message_fields)
if message_type == 'replace':
message_fields['original_orderID'] = fix.OrigClOrdID()
return message_fields
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 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 on_replace_request(self, message):
print('replace!')
message_fields = {
'client_orderID': fix.ClOrdID(),
'original_clientID': fix.OrigClOrdID(),
'symbol': fix.Symbol(),
'type': fix.OrdType(),
'side': fix.Side(),
'quantity': fix.OrderQty(),
'price': fix.Price(),
'handlInst': fix.HandlInst(),
}
message_details = {}
for k, v in message_fields.items():
message_details[k] = self.get_field_value(message, v)
orderID = self.gen_orderID()
self.orders[orderID] = message_details
# testing
self.test_replies(orderID, fix.OrdStatus_PENDING_REPLACE,
fix.ExecType_REPLACE, message_details)
def on_new_order(self, message):
print('New Order!')
message_fields = {
'client_orderID': fix.ClOrdID(),
'symbol': fix.Symbol(),
'type': fix.OrdType(),
'side': fix.Side(),
'quantity': fix.OrderQty(),
'price': fix.Price(),
'handlInst': fix.HandlInst(),
}
message_details = {}
for k, v in message_fields.items():
message_details[k] = self.get_field_value(message, v)
orderID = self.gen_orderID()
self.orders[orderID] = message_details
# add error checking here
# testing
self.test_replies(orderID, fix.OrdStatus_NEW, fix.ExecType_NEW,
message_details)
def send_replace(self, order):
order.status = OrdStatus.PENDING_REPLACE
message = fix.Message()
message.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelReplaceRequest))
message.setField(fix.Symbol(order.symbol))
message.setField(fix.Side(order.side))
message.setField(fix.OrderQty(order.qty))
if order.type is not OrderType.MARKET:
message.setField(fix.Price(order.price))
message.setField(fix.OrdType(order.type))
message.setField(fix.TimeInForce(order.time_in_force))
cl_ord_id = self.order_store.generate_next_cl_ord_id(order.order_id)
message.setField(fix.ClOrdID(cl_ord_id))
self.order_store.update_order_maps(cl_ord_id, order)
self._send_message(message)
def send_new(self, order):
order.status = OrdStatus.PENDING_NEW
message = fix.Message()
message.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle))
message.setField(fix.Symbol(order.symbol))
message.setField(fix.Side(order.side))
message.setField(fix.OrderQty(order.qty))
if order.type is not OrderType.MARKET:
message.setField(fix.Price(order.price))
message.setField(fix.Currency(order.currency))
message.setField(fix.OrdType(order.type))
message.setField(fix.TimeInForce(order.time_in_force))
cl_ord_id = self.order_store.generate_new_cl_ord_id(order.order_id)
message.setField(fix.ClOrdID(cl_ord_id))
self.order_store.update_order_maps(cl_ord_id, order)
self._send_message(message)
def replace_order(sender_comp_id, target_comp_id, quantity, price,
orig_client_order_id):
symbol = ORDERS[orig_client_order_id][0].getValue()
side = ORDERS[orig_client_order_id][3].getValue()
message = fix42.OrderCancelReplaceRequest()
header = message.getHeader()
header.setField(fix.SenderCompID(sender_comp_id))
header.setField(fix.TargetCompID(target_comp_id))
ord_id = get_order_id(sender_comp_id, symbol)
message.setField(fix.OrigClOrdID(orig_client_order_id))
message.setField(fix.ClOrdID(ord_id))
message.setField(fix.Symbol(symbol))
message.setField(fix.Side(side))
message.setField(fix.Price(float(price)))
message.setField(fix.OrdType(fix.OrdType_LIMIT))
message.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION))
message.setField(fix.TransactTime())
message.setField(fix.TransactTime())
message.setField(fix.OrderQty(float(quantity)))
message.setField(fix.Text(f"{side} {symbol} {quantity}@{price}"))
return message
def new_child_order(self, message: fix.Message):
""""""
child_order = GenusChildOrder(
cl_ord_id=get_field_value(message, fix.ClOrdID()),
symbol=get_field_value(message, fix.Symbol()),
side=get_field_value(message, fix.Side()),
order_qty=get_field_value(message, fix.OrderQty()),
price=get_field_value(message, fix.Price()),
order_type=get_field_value(message, fix.OrdType()),
ord_status="A",
parent_orderid=get_field_value(message, fix.StringField(526)))
# If parent offset not exist, then this child order should be ignored
offset = self.client.get_parent_offset(child_order.parent_orderid)
if not offset:
return
symbol, genus_exchange = child_order.symbol.split(".")
exchange = EXCHANGE_GNS2VT[genus_exchange]
direction = DIRECTION_GNS2VT[child_order.side]
order_type = ORDERTYPE_GNS2VT[child_order.order_type]
vt_symbol = generate_vt_symbol(symbol, exchange)
child_order.order_id = self.client.send_order(
vt_symbol,
direction,
offset,
order_type,
child_order.price,
child_order.order_qty,
)
self.child_orders[child_order.order_id] = child_order
self.genus_vt_map[child_order.cl_ord_id] = child_order.order_id
msg = f"委托{direction.value}{vt_symbol}：{child_order.order_qty}@{child_order.price}"
self.client.write_log(msg, algo_name=child_order.parent_orderid)
def put_new_order(self):
"""Request sample new order single"""
message = fix.Message()
header = message.getHeader()
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle)) #39 = D
message.setField(fix.ClOrdID(
self.genExecID())) #11 = Unique Sequence Number
message.setField(fix.Side(fix.Side_BUY)) #43 = 1 BUY
message.setField(fix.Symbol("MSFT")) #55 = MSFT
message.setField(fix.OrderQty(10000)) #38 = 1000
message.setField(fix.Price(100))
message.setField(fix.OrdType(fix.OrdType_LIMIT)) #40=2 Limit Order
message.setField(
fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION)) #21 = 3
message.setField(fix.TimeInForce('0'))
message.setField(fix.Text("NewOrderSingle"))
trstime = fix.TransactTime()
trstime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")[:-3])
message.setField(trstime)
fix.Session.sendToTarget(message, self.sessionID)
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
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle))
header.setField(fix.SendingTime())
header.setField(fix.SenderSubID("SG1"))
header.setField(fix.TargetSubID("BARCA"))
header.setField(fix.MsgSeqNum())
header.setField(fix.DefaultApplVerID(fix.ApplVerID_FIX42))
message.setField(fix.ClOrdID("ClOrdID"))
message.setField(
fix.AccountType(
fix.
AccountType_ACCOUNT_IS_CARRIED_ON_CUSTOMER_SIDE_OF_BOOKS))
message.setField(fix.Symbol("APPL"))
message.setField(
fix.HandlInst(
fix.
HandlInst_AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION
))
message.setField(fix.ReceivedDeptID("I"))
message.setField(fix.Side(fix.Side_BUY))
message.setField(fix.TransactTime())
message.setField(fix.OrderQty(1000))
message.setField(fix.OrdType(fix.OrdType_MARKET))
message.setField(fix.Price(2000))
trailer.setField(fix.CheckSum())
application.send(message)
message_flag = False
except (fix.ConfigError, fix.RuntimeError) as e:
print(e)
def onNewOrderSingle(self, message, beginString, sessionID):
symbol = quickfix.Symbol()
side = quickfix.Side()
ordType = quickfix.OrdType()
orderQty = quickfix.OrderQty()
price = quickfix.Price()
clOrdID = quickfix.ClOrdID()
quoteID = quickfix.QuoteID()
currency = quickfix.Currency()
message.getField(ordType)
if ordType.getValue() != quickfix.OrdType_PREVIOUSLY_QUOTED:
raise quickfix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
message.getField(quoteID)
message.getField(currency)
executionReport = quickfix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
quickfix.MsgType(quickfix.MsgType_ExecutionReport))
executionReport.setField(quickfix.OrderID(self.idGen.orderID()))
executionReport.setField(quickfix.ExecID(self.idGen.execID()))
try:
reject_chance = random.choice(range(1, 101))
if self.rejectRate > reject_chance:
raise FixSimError("Rejected by cruel destiny %s" % str(
(reject_chance, self.rejectRate)))
subscription = self.subscriptions.get(symbol.getValue())
quote = subscription.orderbook.get(quoteID.getValue())
execPrice = price.getValue()
execSize = orderQty.getValue()
if execSize > quote.size:
raise FixSimError("size to large for quote")
if abs(execPrice - quote.price) > 0.0000001:
raise FixSimError("Trade price not equal to quote")
executionReport.setField(
quickfix.SettlDate(self.getSettlementDate()))
executionReport.setField(quickfix.Currency(subscription.currency))
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(price.getValue()))
executionReport.setField(quickfix.AvgPx(execPrice))
executionReport.setField(quickfix.LastPx(execPrice))
executionReport.setField(quickfix.LastShares(execSize))
executionReport.setField(quickfix.CumQty(execSize))
executionReport.setField(quickfix.OrderQty(execSize))
executionReport.setField(quickfix.ExecType(quickfix.ExecType_FILL))
executionReport.setField(quickfix.LeavesQty(0))
except Exception as e:
self.logger.exception("FixServer:Close order error")
executionReport.setField(quickfix.SettlDate(''))
executionReport.setField(currency)
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_REJECTED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(0))
executionReport.setField(quickfix.AvgPx(0))
executionReport.setField(quickfix.LastPx(0))
executionReport.setField(quickfix.LastShares(0))
executionReport.setField(quickfix.CumQty(0))
executionReport.setField(quickfix.OrderQty(0))
executionReport.setField(
quickfix.ExecType(quickfix.ExecType_REJECTED))
executionReport.setField(quickfix.LeavesQty(0))
self.sendToTarget(executionReport, sessionID)
