def test_encode_no_8(self):
msg = FixMessage()
msg.append_pair(35, "D")
try:
buf = msg.encode()
except ValueError:
pass
def test_time_float(self):
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t)
self.assertEqual("2017-01-16-15:51:12.933", msg.get(52))
return
def test_encode_no_35(self):
msg = FixMessage()
msg.append_pair(8, "FIX.4.2")
try:
buf = msg.encode()
except ValueError:
pass
def test_tzto_parts_15_51_12_270(self):
"""Test TZTimeOnly with hour, minute and second components,
partial hour offset."""
msg = FixMessage()
msg.append_tz_time_only_parts(1, 15, 51, 12, offset=-270)
self.assertEqual(fix_str("15:51:12-04:30"), msg.get(1))
return
def parse_order_book(message: simplefix.FixMessage) -> dict:
order_count = int(message.get(268))
buy_orders = []
sell_orders = []
orders = {}
for i in range(1, order_count):
side = 'SELL' if message.get(
simplefix.TAG_SYMBOL).decode('utf-8') == '1' else 'BUY'
order = {
'time':
int(time.time()), # No timestamp available
'side':
side,
'contract_symbol':
message.get(simplefix.TAG_SYMBOL).decode('utf-8'),
'qty':
message.get(271).decode('utf-8'),
'price':
message.get(270).decode('utf-8')
}
if side == 'SELL':
sell_orders.append(order)
else:
buy_orders.append(order)
buy_orders.sort(key=lambda o: float(o['price']))
sell_orders.sort(key=lambda o: float(o['price']))
orders['buy'] = buy_orders
orders['sell'] = sell_orders
return orders
def test_utcto_bad_precision(self):
"""Test UTCTimeOnly bad time precision values"""
msg = FixMessage()
t = 1484581872.933458
with self.assertRaises(ValueError):
msg.append_utc_time_only(273, t, 9)
return
def test_tzts_seconds_only(self):
"""Test formatting of TZTimestamp values with seconds only"""
msg = FixMessage()
t = 1484581872.933458
msg.append_tz_timestamp(1253, t, 0)
test = time.localtime(t)
s = "%04u%02u%02u-%02u:%02u:%02u" % \
(test.tm_year, test.tm_mon, test.tm_mday,
test.tm_hour, test.tm_min, test.tm_sec)
offset = int(
(datetime.datetime.fromtimestamp(t) -
datetime.datetime.utcfromtimestamp(t)).total_seconds() / 60)
if offset == 0:
s += "Z"
else:
offset_hours = abs(offset) / 60
offset_mins = abs(offset) % 60
s += "%c%02u" % ("+" if offset > 0 else "-", offset_hours)
if offset_mins > 0:
s += ":%02u" % offset_mins
self.assertEqual(fix_str(s), msg.get(1253))
return
def test_time_bad_precision(self):
msg = FixMessage()
t = 1484581872.933458
with self.assertRaises(ValueError):
msg.append_time(52, t, 9)
return
def test_empty_message(self):
try:
msg = FixMessage()
buf = msg.encode()
except Exception as e:
self.assertEqual(ValueError, type(e))
return
def test_append_tzts_datetime(self):
msg = FixMessage()
t = 1484581872.933458
local = datetime.datetime.fromtimestamp(t)
msg.append_tz_timestamp(1132, local)
test = time.localtime(t)
s = "%04u%02u%02u-%02u:%02u:%02u.%03u" % \
(test.tm_year, test.tm_mon, test.tm_mday,
test.tm_hour, test.tm_min, test.tm_sec,
int((t - int(t)) * 1000))
offset = int((datetime.datetime.fromtimestamp(t) -
datetime.datetime.utcfromtimestamp(t)).total_seconds()
/ 60)
if offset == 0:
s += "Z"
else:
offset_hours = abs(offset) / 60
offset_mins = abs(offset) % 60
s += "%c%02u" % ("+" if offset > 0 else "-", offset_hours)
if offset_mins > 0:
s += ":%02u" % offset_mins
self.assertEqual(fix_str(s), msg.get(1132))
return
def test_utcto_seconds_only(self):
"""Test UTCTimeOnly formatting of seconds only"""
msg = FixMessage()
t = 1484581872.933458
msg.append_utc_time_only(273, t, 0)
self.assertEqual(fix_str("15:51:12"), msg.get(273))
return
def _handle_application_message(self, message: simplefix.FixMessage):
"""
If application message is an order processing message,
add it to the order_book keyed by the messages client_order_id.
Otherwise, add marketdata messages to application_messages queue.
"""
assert isinstance(message, simplefix.FixMessage)
# handle ORDER MASS STATUS REQUEST messages
if message.get(b'584') != None:
self.application_messages.put(message)
return
order_processing_types = [simplefix.MSGTYPE_EXECUTION_REPORT, simplefix.MSGTYPE_ORDER_CANCEL_REJECT]
# handle order processing messages
if message.get(simplefix.TAG_MSGTYPE) in order_processing_types:
# ensure the correct client id is used, depending on order execution type
use_origclordid_types = [simplefix.EXECTYPE_CANCELED, simplefix.EXECTYPE_REPLACE, simplefix.EXECTYPE_PENDING_CANCEL, simplefix.EXECTYPE_PENDING_REPLACE]
if message.get(simplefix.TAG_EXECTYPE) in use_origclordid_types:
client_order_id = f"{message.get(simplefix.TAG_ORIGCLORDID).decode('utf-8')}"
else:
client_order_id = f"{message.get(simplefix.TAG_CLORDID).decode('utf-8')}"
if client_order_id not in self.order_book:
self.order_book[client_order_id] = queue.Queue()
self.order_book[client_order_id].put(message)
# keep marketdata messages in application queue
else:
self.application_messages.put(message)
def test_utcto_float(self):
"""Test UTCTimeOnly with floating point value"""
msg = FixMessage()
t = 1484581872.933458
msg.append_utc_time_only(273, t)
self.assertEqual(fix_str("15:51:12.933"), msg.get(273))
return
def test_tzto_parts_15_51_240(self):
"""Test TZTimeOnly with hour and minute components,
full hour offset"""
msg = FixMessage()
msg.append_tz_time_only_parts(1, 15, 51, offset=-240)
self.assertEqual(fix_str("15:51-04"), msg.get(1))
return
def test_time_microseconds(self):
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, 6)
self.assertEqual("2017-01-16-15:51:12.933458", msg.get(52))
return
def test_tzto_parts_15_51_12_933_458_150(self):
"""Test TZTimeOnly with h, m, s, ms, and us components,
partial hour offset."""
msg = FixMessage()
msg.append_tz_time_only_parts(1, 15, 51, 12, 933, 458, offset=150)
self.assertEqual(fix_str("15:51:12.933458+02:30"), msg.get(1))
return
def test_utcto_datetime(self):
"""Test UTCTimeOnly with datetime timestamp values"""
msg = FixMessage()
t = 1484581872.933458
dt = datetime.datetime.utcfromtimestamp(t)
msg.append_utc_time_only(273, dt)
self.assertEqual(fix_str("15:51:12.933"), msg.get(273))
def test_utcts_datetime(self):
"""Test UTCTimestamp with datetime timestamp values"""
msg = FixMessage()
t = 1484581872.933458
dt = datetime.datetime.utcfromtimestamp(t)
msg.append_utc_timestamp(52, dt)
self.assertEqual(fix_str("20170116-15:51:12.933"), msg.get(52))
def test_time_datetime(self):
"""Test use of built-in datetime timestamp values"""
msg = FixMessage()
t = 1484581872.933458
dt = datetime.datetime.utcfromtimestamp(t)
msg.append_time(52, dt)
self.assertEqual(fix_str("20170116-15:51:12.933"), msg.get(52))
def test_none_value(self):
"""Test encoding of None value"""
if VERSION == 26:
return
msg = FixMessage()
msg.append_pair(99999, None)
self.assertNotIn(b'99999', msg)
def test_utcts_seconds_only(self):
"""Test UTCTimestamp formatting of seconds only"""
msg = FixMessage()
t = 1484581872.933458
msg.append_utc_timestamp(52, t, 0)
self.assertEqual(fix_str("20170116-15:51:12"), msg.get(52))
return
def test_utcts_float(self):
"""Test UTCTimestamp with floating point value"""
msg = FixMessage()
t = 1484581872.933458
msg.append_utc_timestamp(52, t)
self.assertEqual(fix_str("20170116-15:51:12.933"), msg.get(52))
return
def test_time_seconds_only(self):
"""Test formatting of time values with no decimal component"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, 0)
self.assertEqual(fix_str("20170116-15:51:12"), msg.get(52))
return
def test_time_microseconds(self):
"""Test formatting of time values with microseconds"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, 6)
self.assertEqual(fix_str("20170116-15:51:12.933458"), msg.get(52))
return
def test_time_float(self):
"""Test floating point timestamp values"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t)
self.assertEqual(fix_str("20170116-15:51:12.933"), msg.get(52))
return
def test_empty_message(self):
"""Test encoding of empty message"""
if VERSION == 26:
return
msg = FixMessage()
with self.assertRaises(ValueError):
msg.encode()
def test_string_without_equals(self):
"""Test field set with string not containing equals sign"""
if VERSION == 26:
return
msg = FixMessage()
with self.assertRaises(ValueError):
msg.append_string("FIX.4.2")
def test_time_datetime(self):
msg = FixMessage()
t = 1484581872.933458
dt = datetime.datetime.utcfromtimestamp(t)
msg.append_time(52, dt)
self.assertEqual("2017-01-16-15:51:12.933", msg.get(52))
return
def test_string_with_bad_tag(self):
"""Test field set with bad tag in tag=value string"""
if VERSION == 26:
return
msg = FixMessage()
with self.assertRaises(ValueError):
msg.append_string("foo=bar")
def test_contains(self):
"""Test use of 'in' and 'not in' operators"""
msg = FixMessage()
msg.append_strings(["8=FIX.4.4", "35=0"])
self.assertIn(8, msg)
self.assertIn(35, msg)
self.assertNotIn(9, msg)
self.assertNotIn(10, msg)
return
