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 _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 parse_security_list(m: simplefix.FixMessage) -> dict:
security_count = int(m.get(146))
securities = {}
for i in range(1, security_count):
# Required fields
symbol = m.get(simplefix.TAG_SYMBOL, i).decode('utf-8')
securities[symbol] = {
"Product":
m.get(460, i).decode('utf-8'),
"MinPriceIncrement":
float(m.get(969, i).decode('utf-8')),
"SecurityDesc":
m.get(simplefix.TAG_SECURITYDESC, i).decode('utf-8'),
"Currency":
m.get(simplefix.TAG_CURRENCY, i).decode('utf-8')
}
# Optional fields
min_trade_vol = m.get(562, i)
if min_trade_vol:
securities[symbol]["MinTradeVol"] = float(
min_trade_vol.decode('utf-8'))
max_trade_vol = m.get(1140, i)
if max_trade_vol:
securities[symbol]["MaxTradeVol"] = float(
max_trade_vol.decode('utf-8'))
round_lot = m.get(561, i)
if round_lot:
securities[symbol]["RoundLot"] = float(
round_lot.decode('utf-8'))
return securities
def test_get_repeating(self):
pkt = FixMessage()
pkt.append_pair(42, "a")
pkt.append_pair(42, "b")
pkt.append_pair(42, "c")
self.assertEqual("a", pkt.get(42))
self.assertEqual("b", pkt.get(42, 2))
self.assertEqual("c", pkt.get(42, 3))
self.assertEqual("a", pkt.get(42, 1))
self.assertIsNone(pkt.get(42, 4))
return
def test_get_repeating(self):
"""Test retrieval of repeating field's value"""
pkt = FixMessage()
pkt.append_pair(42, "a")
pkt.append_pair(42, "b")
pkt.append_pair(42, "c")
self.assertEqual(fix_str("a"), pkt.get(42))
self.assertEqual(fix_str("b"), pkt.get(42, 2))
self.assertEqual(fix_str("c"), pkt.get(42, 3))
self.assertEqual(fix_str("a"), pkt.get(42, 1))
self.assertIsNone(pkt.get(42, 4))
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 send(self, values: dict) -> None:
with self._send_lock:
msg = FixMessage()
msg.append_pair(simplefix.TAG_BEGINSTRING, 'FIX.4.2')
msg.append_pair(simplefix.TAG_SENDER_COMPID, self._sender_id)
msg.append_pair(simplefix.TAG_TARGET_COMPID, self._target_id)
msg.append_pair(simplefix.TAG_MSGSEQNUM, self._next_send_seq_num)
for key, value in values.items():
if isinstance(value, datetime):
msg.append_utc_timestamp(key, value)
else:
msg.append_pair(key, value)
if not msg.get(simplefix.TAG_SENDING_TIME):
msg.append_utc_timestamp(simplefix.TAG_SENDING_TIME)
encoded = msg.encode()
self._last_send_time = time.time()
self._next_send_seq_num += 1
try:
print('send', encoded.replace(b'\x01', b'|'))
self._sock.sendall(encoded)
except OSError:
self.close(clean=False)
return
if msg.message_type == simplefix.MSGTYPE_LOGON:
self._has_session = True
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_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_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_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_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_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 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_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_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 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 simplefix_init():
msg = FixMessage()
msg.append_string("8=FIX.4.2")
msg.append_string("35=O")
mohamed = users[0]
schema = UserSchema()
print(msg.get("35"))
return jsonify(schema.dump(mohamed))
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_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_time_localtime(self):
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, utc=False)
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))
self.assertEqual(s, msg.get(52))
return
def _handle_session_message(self, message: simplefix.FixMessage) -> bool:
assert isinstance(message, simplefix.FixMessage)
is_session_message = False
if message.get(simplefix.TAG_MSGTYPE) == simplefix.MSGTYPE_LOGON:
is_session_message = True
self.connection_state = FixConnectionState.LOGGED_IN
elif message.get(simplefix.TAG_MSGTYPE) == simplefix.MSGTYPE_TEST_REQUEST:
is_session_message = True
m = self.create_message(simplefix.MSGTYPE_HEARTBEAT)
m.append_pair(simplefix.TAG_TESTREQID, message.get(simplefix.TAG_TESTREQID))
self.write(m)
if message.get(simplefix.TAG_RESETSEQNUMFLAG) == simplefix.RESETSEQNUMFLAG_YES:
logging.info("resetting sequence number to 1")
self.sequenceNum = 1
return is_session_message
def test_time_localtime(self):
"""Test non-UTC supplied time values"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, utc=False)
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))
self.assertEqual(fix_str(s), msg.get(52))
def test_remove_nth(self):
"""Test removal of nth field."""
msg = FixMessage()
msg.append_pair(99999, 1)
msg.append_pair(99999, 99999)
msg.append_pair(99999, 2)
self.assertEqual(3, msg.count())
result = msg.remove(99999, 2)
self.assertEqual(b'99999', result)
self.assertEqual(2, msg.count())
self.assertEqual(b'1', msg.get(99999, 1))
self.assertEqual(b'2', msg.get(99999, 2))
def reject_message(self,
msg: FixMessage,
reason: str,
*,
tag_id: Optional[Union[bytes, int]] = None,
error_code: Union[bytes, int]) -> None:
params = {
simplefix.TAG_MSGTYPE: simplefix.MSGTYPE_REJECT,
simplefix.TAG_REFSEQNUM: msg.get(simplefix.TAG_MSGSEQNUM),
372: msg.message_type,
simplefix.TAG_TEXT: reason,
simplefix.TAG_SESSIONREJECTREASON: error_code,
}
if tag_id is not None:
params[371] = tag_id
self.send(params)
