async def _send(self, params): """helper method to encode a message and write to stream""" message = simplefix.FixMessage() # standard header message.append_pair(simplefix.TAG_BEGINSTRING, f"FIX.{self.fix_version}") message.append_pair(simplefix.TAG_SENDER_COMPID, self.sender_comp_id) message.append_pair(simplefix.TAG_TARGET_COMPID, self.target_comp_id) message.append_pair(simplefix.TAG_MSGSEQNUM, self.next_send_seq_num) if not message.get(simplefix.TAG_SENDING_TIME): message.append_utc_timestamp(simplefix.TAG_SENDING_TIME) # body for key, value in params.items(): if isinstance(value, datetime): header = key == simplefix.TAG_SENDING_TIME message.append_utc_timestamp(key, value, header=header) else: message.append_pair(key, value) self.next_send_seq_num += 1 # encode buffer = message.encode() # send print(f"Sending: {buffer}") self.writer.write(buffer) await self.writer.drain()
def main(): s = socket.socket(socket.AF_INET, socket.SOCK_STREAM) s.connect(("127.0.0.1", 10102)) p = simplefix.FixParser() # Logon m = simplefix.FixMessage() m.append_pair(8, "FIX.4.2") m.append_pair(35, "A") m.append_pair(49, "CLIENT") m.append_pair(56, "SERVER") m.append_pair(52, datetime.datetime.utcnow().isoformat('-')[:-3]) m.append_pair(98, 0) # No encrytion m.append_pair(108, 30) s.sendall(m.encode()) while True: data = s.recv(8192) p.append_buffer(data) r = p.get_message() if r: break print m.encode().replace(simplefix.SOH, "|")
def test_create_server(): proxy = fixtool.spawn_agent() assert proxy is not None s1 = proxy.create_server("s1") s1.listen(23456) c1 = proxy.create_client("c1") c1.connect('localhost', 23456) assert s1.pending_accept_count() == 1 cs1 = s1.accept("cs1") assert c1.is_connected() assert cs1.is_connected() fix_msg = simplefix.FixMessage() fix_msg.append_pair(8, "FIX.4.2") fix_msg.append_pair(35, 0) fix_msg.append_pair(34, 1) fix_msg.append_utc_timestamp(52) send_buf = fix_msg.encode() c1.send(send_buf) assert cs1.receive_queue_length() == 1 m1 = cs1.receive() c1.destroy() s1.destroy() proxy.shutdown() return
def baseSend(self, symbol, side, qty, ordType): ''' REQD: msg / header | 1 | 11 | 55 | 21 (handleInst)? |54 | 38 qty | 40 ordType Opt: 204 *? CustOrFirm Done | 100 + 15 *IF using SMART routing Extras: pkt.append_pair(21,'2')pkt.append_pair(49,'client 1') pkt.append_pair(204,'0') #SMART: pkt.append_pair(100,'SMART')pkt.append_pair(15,'USD') ''' pkt = simplefix.FixMessage() pkt.append_pair(8, self.FV) pkt.append_pair(1, self.acct_number) pkt.append_pair(35, 'D') #Always pkt.append_pair(56, self.TgtID) newID = self.getClOrdId() #cur_ord = ordId + 1 pkt.append_pair(11, newID) #self.getClOrdId) pkt.append_pair(55, symbol) pkt.append_pair(54, side) pkt.append_pair(38, qty) pkt.append_pair(40, ordType) buffer = pkt.encode() return buffer
def test_create_server(self): proxy = fixtool.spawn_agent() self.assertIsNotNone(proxy) s1 = proxy.create_server("s1") s1.listen(23456) c1 = proxy.create_client("c1") c1.connect('localhost', 23456) self.assertEqual(1, s1.pending_accept_count()) cs1 = s1.accept("cs1") self.assertTrue(c1.is_connected()) self.assertTrue(cs1.is_connected()) fix_msg = simplefix.FixMessage() fix_msg.append_pair(8, "FIX.4.2") fix_msg.append_pair(35, 0) fix_msg.append_pair(34, 1) fix_msg.append_utc_timestamp(52) send_buf = fix_msg.encode() c1.send(send_buf) self.assertEqual(1, cs1.receive_queue_length()) #m1 = cs1.receive() #self.assertEqual("hello", m1) c1.destroy() s1.destroy() proxy.shutdown() return
def __init__(self, seqObj): # Initialize the Fix message objects here self.seqObj = seqObj self.message = simplefix.FixMessage() self.resp_mesg = simplefix.FixParser() self.seqObj.updateReqSequence(sys.argv[1]) print(self.seqObj.getReqSequence()) return
async def _subscribe_security_status(self, exchange, symbol): message = simplefix.FixMessage() self.request_id = self.request_id + 1 message.append_pair(simplefix.TAG_MSGTYPE, simplefix.MSGTYPE_SECURITY_STATUS_REQUEST) message.append_pair(324, f"REQ:{self.request_id}") # SECURITY_STATUS_REQ_ID message.append_pair(simplefix.TAG_SYMBOL, symbol) # SYMBOL message.append_pair(207, exchange) # SECURITY_EXCHANGE await self.client.send(message)
def leanSS(self, symbol, qty): msg = simplefix.FixMessage() self.testID = self.testID + 1 newID = str(self.testID) FIX_str = '8=FIX.4.2|9=51|35=D|1=U123456|56=IB|11=' + newID + \ '|55=' + symbol + '|54=5|38=' + qty + '|40=0|10=1663' msg.append_string(FIX_str) msg.append_pair(35, '8') b = msg.encode() return b
def create_message(self, message_type: bytes) -> simplefix.FixMessage: """Boilerplates a new message which the caller may populate as desired.""" assert isinstance(message_type, bytes) assert 1 <= len(message_type) <= 2 m = simplefix.FixMessage() m.append_pair(simplefix.TAG_BEGINSTRING, self.fix_version) m.append_pair(simplefix.TAG_MSGTYPE, message_type) m.append_pair(simplefix.TAG_SENDER_COMPID, self.senderCompId, header=True) m.append_pair(simplefix.TAG_TARGET_COMPID, self.targetCompId, header=True) m.append_utc_timestamp(simplefix.TAG_SENDING_TIME, header=True) return m
async def send_test_request(self, test_req_id): """send a logout message""" now = datetime.now() message = simplefix.FixMessage() message.append_pair(simplefix.TAG_MSGTYPE, simplefix.MSGTYPE_TEST_REQUEST) message.append_pair(simplefix.TAG_TESTREQID, test_req_id) await self.send(message) self.next_test_request = now + timedelta(seconds=self.heart_bt_int) if self.remote_heartbeat_timeout is not None: logging.warning("Missed a heartbeat") self.remote_heartbeat_timeout = now + timedelta(seconds=10)
def header(self): # this is header message self.message.append_pair(8, "FIX.4.2") #update if you want to self.message.append_pair(49, "banzai") #update sender self.message.append_pair(56, "fiximulator") #update target self.message.append_pair(34, self.seqObj.getReqSequence()) # self.message.append_pair(52,"20200611-16:37:33.764") #faking the timestamp, self.message.append_utc_timestamp( 52, precision=3, header=True ) #comment it out, if you are commenting the above line to send fake time _message = self.message del self.message self.message = simplefix.FixMessage() self.seqObj.updateReqSequence() return _message
async def _subscribe_security_definition(self, exchange, symbol): message = simplefix.FixMessage() self.request_id = self.request_id + 1 message.append_pair(simplefix.TAG_MSGTYPE, simplefix.MSGTYPE_SECURITY_DEFINITION_REQUEST) message.append_pair(320, f"REQ:{self.request_id}") # SECURITY_STATUS_REQ_ID message.append_pair( 321, 1 ) # SECURITY_REQUEST_TYPE 1 = REQUEST_SECURITY_IDENTITY_FOR_THE_SPECIFICATION_PROVIDED message.append_pair(simplefix.TAG_SYMBOL, symbol) # SYMBOL message.append_pair(207, exchange) # SECURITY_EXCHANGE message.append_pair(263, 1) # SUBSCRIPTION_REQUEST_TYPE = SNAPSHOT + UPDATE await self.client.send(message)
def send_heartbeat(self, test_request_id=None): fix = simplefix.FixMessage() fix.set_message_type('0') # Heartbeat fix.append_pair(34, self.next_seq()) fix.append_pair(49, self._my_compid) fix.append_pair(56, self._peer_compid) fix.append_pair(52, self.get_fix_time()) if test_request_id: fix.append_pair(112, test_request_id) self._session.send(fix.encode()) logging.info("Sent FIX heartbeat" + " id = [%s]" % test_request_id if test_request_id else "") return
def basic_message(self): try: print("in", self.msg_seq_num_lock.locked()) self.msg_seq_num_lock.acquire() msg = simplefix.FixMessage() msg.append_pair(BeginString, self.BEGIN_STRING, header=True) msg.append_pair(SenderCompID, self.SENDER, header=True) msg.append_pair(TargetCompID, self.TARGET, header=True) msg.append_pair(MsgSeqNum, self.msg_seq_num) self.msg_seq_num = self.msg_seq_num + 1 return msg finally: self.msg_seq_num_lock.release() print("out", self.msg_seq_num_lock.locked())
async def _unsubscribe_top_of_book(self, md_req_id, exchange, symbol): message = simplefix.FixMessage() self.request_id = self.request_id + 1 message.append_pair(simplefix.TAG_MSGTYPE, simplefix.MSGTYPE_MARKET_DATA_REQUEST) message.append_pair(262, md_req_id) # MD_REQ_ID message.append_pair(263, 2) # SUBSCRIPTION_REQUEST_TYPE = SNAPSHOT + UPDATE message.append_pair(264, 0) # MARKET_DEPTH 1 = ToB message.append_pair(266, "Y") # AGGREGATED_BOOK true = ToB message.append_pair(267, 2) # NO_MD_ENTRY_TYPES message.append_pair(269, 0) # MD_ENTRY_TYPE 0 = BID message.append_pair(269, 1) # MD_ENTRY_TYPE 1 = OFFER message.append_pair(146, 1) # NO_RELATED_SYM message.append_pair(simplefix.TAG_SYMBOL, symbol) # SYMBOL message.append_pair(207, exchange) # SECURITY_EXCHANGE await self.client.send(message)
def logOff(self): '''If ISSUE STILL PRESENT (|'s) -- append_pair for ALL''' msg = simplefix.FixMessage() fix_str = '8=FIX.4.2' msg.append_pair(49, 'qafix67', header=True) msg.append_pair(56, 'IB', header=True) msg.append_pair(34, '30', header=True) msg.append_string(fix_str) #msg.append_pair(9,'54') #Was 65, duplicate msg.append_pair(35, 5) msg.append_utc_timestamp(52, precision=6, header=True) b = msg.encode() return b
def logOff(self): '''create logOff msg -- returns bytes''' msg = simplefix.FixMessage() fix_str = '8=FIX.4.2' msg.append_pair(49,'qafix67',header=True) msg.append_pair(56,'IB',header=True) msg.append_pair(34,'30',header=True) msg.append_string(fix_str) #msg.append_pair(9,'54') #duplicate msg.append_pair(35,5) msg.append_utc_timestamp(52, precision=6, header=True) b = msg.encode() return b
def heartBeat(self): '''If ISSUE STILL PRESENT (|'s) -- append_pair for ALL''' msg = simplefix.FixMessage() fix_str = '8=FIX.4.2' # 1=U01067 Moved out of header #New Addit (bc on works) msg.append_string(fix_str) msg.append_pair(49, 'qafix67', header=True) msg.append_pair(56, 'IB', header=True) msg.append_pair(34, 31, header=True) msg.append_utc_timestamp(52, precision=6, header=True) msg.append_pair(1, 'U01067') msg.append_pair(35, 0) b = msg.encode() return b
def baseBuy(self, symbol, qty): pkt = simplefix.FixMessage() pkt.append_pair(8, self.FV) pkt.append_pair(1, self.acct_number) pkt.append_pair(35, 'D') #Always pkt.append_pair(56, self.TgtID) newID = self.getClOrdId() pkt.append_pair(11, newID) pkt.append_pair(55, symbol) pkt.append_pair(54, 1) #buy pkt.append_pair(38, qty) pkt.append_pair(40, 1) #mkt buf = pkt.encode() return buf
def heartBeat(self): '''Create heartbeat msg -- returns bytes''' msg = simplefix.FixMessage() fix_str = '8=FIX.4.2' # 1=U01067 Moved out of header msg.append_string(fix_str) msg.append_pair(49,'qafix67',header=True) msg.append_pair(56,'IB',header=True) msg.append_pair(34,31,header=True) msg.append_utc_timestamp(52,precision=6,header=True) msg.append_pair(1,'U01067') msg.append_pair(35,0) b = msg.encode() return b
def logOn(self): '''create logOn msg -- returns bytes''' msg = simplefix.FixMessage() fix_str = '8=FIX.4.2' msg.append_pair(49,'qafix67',header=True) msg.append_pair(56,'IB',header=True) msg.append_pair(34,'30',header=True) msg.append_string(fix_str) msg.append_pair(35,'A') msg.append_pair(108,'30') msg.append_utc_timestamp(52, precision=6, header=True) msg.append_pair(98,0) b = msg.encode() return b
def logOn(self): '''If ISSUE STILL PRESENT (|'s) -- append_pair for ALL''' msg = simplefix.FixMessage() fix_str = '8=FIX.4.2' msg.append_pair(49, 'qafix67', header=True) msg.append_pair(56, 'IB', header=True) msg.append_pair(34, '30', header=True) msg.append_string(fix_str) msg.append_pair(35, 'A') msg.append_pair(108, '30') msg.append_utc_timestamp(52, precision=6, header=True) msg.append_pair(98, 0) b = msg.encode() return b
def createOrder(self, ticker, side, qty): '''Side: Buy = 1; SellShort = 5''' msg = simplefix.FixMessage() #fix_str = '8=FIX.4.2 1=U01067' msg.append_pair(8, 'FIX.4.2') #These may need header=True msg.append_pair(1, 'U01067') msg.append_pair(49, 'qafix67', header=True) msg.append_pair(56, 'IB', header=True) msg.append_pair(34, 31, header=True) msg.append_utc_timestamp(52, precision=6, header=True) msg.append_pair(35, 'D') msg.append_pair(55, ticker) msg.append_pair(54, side) #1 Buy, 5 = Sellshort msg.append_pair(38, qty) b = msg.encode() return b
def send_login_ack(self, message): # In FIX, login acknowledgement is sent with a Logon() # message. In addtion to confirming authentication, it also # returns the agree heartbeat timeout period. fix = simplefix.FixMessage() fix.append_pair(35, "A") fix.append_pair(34, self.next_seq()) fix.append_pair(49, self._my_comp_id) # Sender fix.append_pair(56, self._peer_comp_id) # Target fix.append_pair(52, self.get_fix_time()) fix.append_pair(98, 0) # No encryption fix.append_pair(108, self._heartbeat_interval) self._session.send(fix.encode()) # FIXME: set timer for heartbeats. #self._gateway.add_timeout(time.time() + self._heartbeat_interval, self.send_heartbeat) logging.info("Sent FIX logon (login_ack)") return
def header_msg(self, tag): """ Return standard FIX message header with MsgType = tag. """ # Build msg seq_nu from all messages sent to server. global seq_num msg = simplefix.FixMessage() seq_num[0] += 1 sendingTime = datetime.now().strftime('%Y%m%d-%H:%M:%S.%f')[:-3] msg.append_pair(8, protocol_type) # Protocol Type msg.append_pair(35, tag) # MsgType msg.append_pair(34, seq_num[0]) # MsgSeqNum msg.append_pair(49, "fedejbrun5018") # SenderCompID msg.append_pair(52, sendingTime) # SendingTime msg.append_pair(56, "ROFX") # TargetCompID msg.append_pair(115, User[0]) # OnBehalfOfCompID msg.append_pair(128, xchange_name[0]) # DeliverToCompID return msg
def main(): msg = simplefix.FixMessage() msg.append_pair(Field.BEGIN_STRING.value.get_number(), 'FIX.4.4') msg.append_pair(Field.MSG_TYPE.value.get_number(), MsgType.ORDER_SINGLE.value) msg.append_pair(Field.PRICE.value.get_number(), "%0.2f" % (random.random() * 2 + 10)) msg.append_pair(Field.ORDER_QTY.value.get_number(), int(random.random() * 100)) msg.append_pair(Field.SYMBOL.value.get_number(), "VOD.L") msg.append_pair(Field.SECURITY_ID.value.get_number(), "GB00BH4HKS39") msg.append_pair(Field.SECURITY_ID_SOURCE.value.get_number(), SecurityIDSource.ISIN_NUMBER.value) msg.append_pair(Field.ACCOUNT.value.get_number(), "TEST") msg.append_pair( Field.HANDL_INST.value.get_number(), HandlInst. AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION.value) msg.append_pair(Field.EX_DESTINATION.value.get_number(), "XLON") msg.append_pair(Field.SIDE.value.get_number(), Side.BUY.value) msg.append_pair(Field.CL_ORD_ID.value.get_number(), str(uuid.uuid1())) msg.append_pair(Field.CURRENCY.value.get_number(), "GBP") print(str(msg.encode()).replace('\\x01', '|'))
async def send_logon(self, heart_bt_int): """send a logon message""" message = simplefix.FixMessage() message.append_pair(simplefix.TAG_MSGTYPE, simplefix.MSGTYPE_LOGON) message.append_pair(simplefix.TAG_HEARTBTINT, heart_bt_int) await self.send(message)
async def send_heartbeat(self, test_req_id): """send a logout message""" message = simplefix.FixMessage() message.append_pair(simplefix.TAG_MSGTYPE, simplefix.MSGTYPE_HEARTBEAT) message.append_pair(simplefix.TAG_TESTREQID, test_req_id) await self.send(message)
async def send_logout(self, text): """send a logout message""" message = simplefix.FixMessage() message.append_pair(simplefix.TAG_MSGTYPE, simplefix.MSGTYPE_LOGOUT) message.append_pair(simplefix.TAG_TEXT, text) await self.send(message)
""" Created on Wed May 30 20:50:39 2018 @author: TRISHA """ import simplefix import datetime import sys import time import warnings from simplefix import * # message consists oof tag-value pairs msg = simplefix.FixMessage() # fix value for string def fix_val(value): if type(value) == bytes: return value if sys.version_info[0] == 2: return bytes(value) elif type(value) == str: return bytes(value, 'UTF-8') else: return bytes(str(value), 'ASCII') # fix value for tag