def __init__(self):
Message.__init__(self)
self.getHeader().setField(fix.MsgType("4"))
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 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 test_isAdmin(self):
self.failUnless( self.object.isAdmin() == 0 )
self.object.getHeader().setField( fix.MsgType("A") )
assert( self.object.isAdmin() )
self.object.getHeader().setField( fix.MsgType("D") )
assert( self.object.isAdmin() == 0 )
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
def toAdmin(self, message, session_id):
msg_type = message.getHeader().getField(fix.MsgType())
if msg_type.getString() == fix.MsgType_Logon:
self.client_fix_handler.handle_to_be_sent_logon_request(message)
def toApp(self, message, sessionID):
print('Application - toApp', sessionID)
print('message', message, '\n',
self.get_header_value(message, fix.MsgType()))
return
def __unpackMessage(self, message):
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if msgType.getValue() == fix.MsgType_RequestForPositionsAck:
account = fix.Account()
message.getField(account)
posId = fix.PosReqID()
message.getField(posId)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
PosReqID=posId.getValue(),
Symbol=None,
Maturity=None,
NoPositions=0,
LongQty=0,
ShortQty=0,
PosAmt=0,
SettlPrice=0,
NoPosAmt=0,
ClearingBusinessDate=None,
AccountInquiry=AccountInquiry.RequestForPositions)
elif msgType.getValue() == fix.MsgType_PositionReport:
account = fix.Account()
message.getField(account)
posId = fix.PosReqID()
message.getField(posId)
symbol = fix.Symbol()
message.getField(symbol)
maturity = fix.MaturityMonthYear()
message.getField(maturity)
noPositions = fix.NoPositions()
message.getField(noPositions)
longQty = fix.LongQty()
message.getField(longQty)
shortQty = fix.ShortQty()
message.getField(shortQty)
posAmt = fix.PosAmt()
message.getField(posAmt)
cBusDate = fix.ClearingBusinessDate()
message.getField(cBusDate)
settlePrice = fix.SettlPrice()
message.getField(settlePrice)
noPosAmt = fix.NoPosAmt()
message.getField(noPosAmt)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
PosReqID=posId.getValue(),
Symbol=symbol.getValue(),
Maturity=maturity.getValue(),
NoPositions=noPositions.getValue(),
LongQty=longQty.getValue(),
ShortQty=shortQty.getValue(),
PosAmt=posAmt.getValue(),
SettlPrice=settlePrice.getValue(),
NoPosAmt=noPosAmt.getValue(),
ClearingBusinessDate=cBusDate.getValue(),
AccountInquiry=AccountInquiry.RequestForPositions)
elif msgType.getValue() == fix.MsgType_CollateralReport:
account = fix.Account()
message.getField(account)
ccy = fix.Currency()
message.getField(ccy)
csh = fix.CashOutstanding()
message.getField(csh)
colId = fix.CollInquiryID()
message.getField(colId)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
Currency=ccy.getValue(),
Balance=csh.getValue(),
CollInquiryID=colId.getValue(),
AccountInquiry=AccountInquiry.CollateralInquiry)
elif msgType.getValue() == fix.MsgType_OrderCancelReject:
cId = fix.ClOrdID()
message.getField(cId)
origClOrdID = fix.OrigClOrdID()
message.getField(origClOrdID)
self.Notifier.notifyMsgHandlers(Notify.Order,
ClientOrderId=cId.getValue(),
Symbol=None,
AvgPx=None,
Quantity=None,
Side=None,
Status=OrderStatus.CancelRejected,
OrigClOrdID=origClOrdID.getValue(),
Sender=self.FixClientRef)
elif msgType.getValue() == fix.MsgType_ExecutionReport:
cId = fix.ClOrdID()
message.getField(cId)
fixStatus = fix.OrdStatus()
message.getField(fixStatus)
price = fix.AvgPx()
message.getField(price)
qty = fix.OrderQty()
message.getField(qty)
side = fix.Side()
message.getField(side)
symbol = fix.Symbol()
message.getField(symbol)
orderSide = None
origOrderId = None
if side.getValue() == fix.Side_BUY:
orderSide = OrderSide.Buy
elif side.getValue() == fix.Side_SELL:
orderSide = OrderSide.Sell
status = None
if fixStatus.getValue() == fix.OrdStatus_NEW:
status = OrderStatus.New
elif fixStatus.getValue() == fix.OrdStatus_CANCELED:
status = OrderStatus.Cancelled
origClOrdID = fix.OrigClOrdID()
message.getField(origClOrdID)
origOrderId = origClOrdID.getValue()
elif fixStatus.getValue() == fix.OrdStatus_FILLED:
status = OrderStatus.Filled
elif fixStatus.getValue() == fix.OrdStatus_REJECTED:
status = OrderStatus.Rejected
if status is not None:
self.Notifier.notifyMsgHandlers(Notify.Order,
ClientOrderId=cId.getValue(),
Symbol=symbol.getValue(),
AvgPx=price.getValue(),
Quantity=qty.getValue(),
Side=orderSide,
Status=status,
OrigClOrdID=origOrderId,
Sender=self.FixClientRef)
def fromApp(self, message, session):
clientOrderID = self.getValue(message, quickfix.ClOrdID())
targetCompID = session.getTargetCompID().getValue()
details = {'session' : session,
'clOrdID' : clientOrderID,
'target' : targetCompID,
'symbol' : self.getValue(message, quickfix.Symbol()),
'side' : self.getValue(message, quickfix.Side()),
'sideStr' : self.getSide(self.getValue(message, quickfix.Side())),
'quantity' : self.getValue(message, quickfix.OrderQty()),
'leaves' : self.getValue(message, quickfix.OrderQty())}
if self.getHeaderValue(message, quickfix.MsgType()) == quickfix.MsgType_NewOrderSingle:
## Received new order from client
orderID = self.getNextOrderID()
print "\nNewOrder {} received\n--> ".format(orderID),
details['ordType'] = self.getValue(message, quickfix.OrdType())
details['state'] = 'PendingAck'
if (self.getValue(message, quickfix.OrdType()) == quickfix.OrdType_LIMIT or
self.getValue(message, quickfix.OrdType()) == quickfix.OrdType_LIMIT_ON_CLOSE):
# Limit orders will have a price, Market order will not.
details['price'] = self.getValue(message, quickfix.Price())
self.orders[orderID] = details
self.sessions[targetCompID][clientOrderID] = orderID
if self.getHeaderValue(message, quickfix.MsgType()) == quickfix.MsgType_OrderCancelRequest:
origClientOrderID = self.getValue(message, quickfix.OrigClOrdID())
details['origClOrdID'] = origClientOrderID
details['cxlClOrdID'] = clientOrderID
if origClientOrderID not in self.sessions[targetCompID]:
# A cancel request has come in for an order we don't have in the book
# So let's create that order in the book based on what we know
orderID = self.getNextOrderID()
self.orders[orderID] = details
self.sessions[targetCompID][origClientOrderID] = orderID
else:
## We have the order in the book
orderID = self.sessions[targetCompID][origClientOrderID]
self.orders[orderID]['cxlClOrdID'] = clientOrderID
self.orders[orderID]['state'] = 'PendingCancel'
print "\nCancelRequest for OrderID {} received\n--> ".format(orderID),
if self.getHeaderValue(message, quickfix.MsgType()) == quickfix.MsgType_OrderCancelReplaceRequest:
origClientOrderID = self.getValue(message, quickfix.OrigClOrdID())
if origClientOrderID not in self.sessions[targetCompID]:
## A replace request has come in for an order we don't have in the book
orderID = self.getNextOrderID()
self.orders[orderID] = details
self.sessions[targetCompID][origClientOrderID] = orderID
else:
## We have the original order in the book
orderID = self.sessions[targetCompID][origClientOrderID]
self.orders[orderID]['rplClOrdID'] = clientOrderID
self.orders[orderID]['state'] = 'PendingReplace'
newOrderID = self.getNextOrderID()
self.orders[newOrderID] = details
self.orders[newOrderID]['origClOrdID'] = origClientOrderID
self.orders[newOrderID]['origOrdID'] = orderID
self.orders[newOrderID]['state'] = 'PendingNew'
print "OrderID {} to replace OrderID {} received\n--> ".format(newOrderID, orderID),
def send_NewOrderSingle(self, order):
if order.error:
print(
'[ERROR] The order cannot be sent because it contains errors.')
return
if order.ClOrdID is None:
order.ClOrdID = self.app.next_ClOrdID()
elif order.ClOrdID in self.Open_Orders.keys():
print(
'[ERROR] Order not sent. There is already an open order with the same ID. Please use a different one or just leave it empty.'
)
return
message = fix.Message()
header = message.getHeader()
# Set message type to NewOrderSingle (35=D)
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle))
# Tag 11 - Unique ID to assign to this trade.
message.setField(fix.ClOrdID(str(order.ClOrdID)))
# Tag 1 - Account ID as provided by FIX administrator
message.setField(fix.Account(self.account))
# Tag 55
message.setField(fix.Symbol(str(order.symbol)))
# Tag 54 (1 == buy, 2 == sell)
message.setField(fix.Side(str(order.side)))
# Tag 38
message.setField(fix.OrderQty(int(order.quantity)))
# Tag 40 (1 == market, 2 == limit)
message.setField(fix.OrdType(str(order.type)))
# Tag 44: not needed for market orders.
if order.price is not None:
message.setField(fix.Price(order.price))
# Tag 10000 - TTL in milliseconds for open trade expiration.
message.setField(fix.IntField(10000, order.ttl))
# Tag 10001 (deviation: maximum allowed slippage)
# Double value. Accepted deviation from the price submitted in tag 44. Only applicable if 40=2.
# Defaults to 0.0. Setting this value to 0.00002 for a sell EURUSD limit order would allow for
# execution on prices as low as 0.2 pips below the specified price. The preferred mode of operation
# for limit orders is to set tag 44 at current market price and use tag 10001 to define a specific
# slippage acceptance.
if str(order.type) == '2':
message.setField(fix.DoubleField(10001, order.deviation))
# Tag 60 (current time in UTC). 3 means 3 digits (milliseconds)
message.setField(fix.TransactTime(3))
if self.sessionID_Trade is not None:
# Add trade to local open orders:
self.app.add_order(order)
fix.Session.sendToTarget(message, self.sessionID_Trade)
else:
print(
'[ERROR] send_NewOrderSingle() failed. sessionID_Trade is None!'
)
def heartbeat(self):
message = fix.Message()
message.getHeader().setField(fix.MsgType(fix.MsgType_Heartbeat))
self.SocketInitiator.application.send(message)
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
def put_order(self,security_type,symbol,currency,quantity,side,order_type,account,time_id,price=None):
if quantity != 0 :
trade = fix.Message()
'''
STANDARD MESSAGE HEADER
Required Tags: 8(BeginString) - 9(BodyLength) - 35(MsgType) - 49(SenderCompID) - 56(TargetCompID) - 34(MsgSeqNum) - 52(SendingTime)
'''
trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
trade.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle)) #39=D
trade.getHeader().setField(fix.SendingTime(1))
# unique_order_id = self.genExecID()
# print(f'Unique Order ID: {unique_order_id}')
# trade.setField(fix.ClOrdID(unique_order_id)) #11=Unique order
trade.setField(fix.HandlInst(fix.HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)) #21=3 (Manual order), 21=2 automated execution only supported value
trade.setField(fix.Symbol(str(symbol))) #55
trade.setField(fix.Currency(str(currency))) #15
trade.setField(fix.SecurityType(str(security_type))) #167
trade.setField(fix.Side(str(side))) #54=1 Buy
trade.setField(fix.OrdType(str(order_type))) #40=2 Limit order, 40=1 Market
trade.setField(fix.OrderQty(quantity)) #38
if order_type != 1: #not market
trade.setField(fix.Price(price)) # if market, this tag should be absent
else:
price = None
trade.setField(fix.Account(str(account)))
trade.setField(fix.ExDestination('IDEALPRO'))
trade.setField(fix.CustomerOrFirm(0))
trade.setField(fix.ClOrdID(time_id+trade.getField(55)+trade.getField(15)+trade.getField(54))) #11=
# trade.setField(fix.ClOrdID(datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S')+trade.getField(55)+trade.getField(15)+trade.getField(54))) #11=
# dnow = datetime.utcnow().strftime('%Y%m%d-%H:%M:%S')
# tag = fix.TransactTime() #default = current time, SendingTime does the same thing
# tag.setString(dnow.strftime('%Y%m%d-%H:%M:%S'))
# trade.setField(tag)
print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)
self.orders_dict[trade.getField(11)] = {#'id':trade.getField(11),
#'datetime': trade.getField(11)[:12],
'account':trade.getField(1),
'symbol':trade.getField(55)+'.' + trade.getField(15),
'qty':trade.getField(38),
'ord_type':trade.getField(40),
'side':trade.getField(54),
'price':price,
'status':'sent'
}
else:
print(f'QUANTITY IS 0!\nCHECK FOR STATUS OF LAST ORDER')
if os.path.exists(f'{self.write_path}fix_orders.csv'):
temp_orders = pd.read_csv(f'{self.write_path}fix_orders.csv',index_col=0)
symbol_entries = temp_orders[temp_orders['symbol'] == symbol]
last_symbol_entry = symbol_entries.iloc[-1]
new_entry = last_symbol_entry
new_id = time_id + last_symbol_entry.name[6:]
new_entry.name = new_id
temp_orders = temp_orders.append(last_symbol_entry,ignore_index=False)
temp_orders.to_csv(f'{self.write_path}fix_orders.csv',)
self.order_status_request(cl_ord_id=last_symbol_entry)
# self.order_status_request(cl_ord_id=temp_orders.index[-1])
else:
print(f'QUANTITY IS 0!\n FIX ORDERS FIRST RUN')
time.sleep(100)
def onMessage(self, message, sessionID):
# print("OnMessage %s" % message)
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if msgType.getValue() == "X":
# print("MarketDataIncrementalRefresh %s" % message)
noMDEntries = fix.NoMDEntries()
message.getField(noMDEntries)
if (noMDEntries.getValue() != 1):
# print("NoMDEntries in MarketDataIncrementalRefresh is not 1!")
return
group = fix44.MarketDataIncrementalRefresh.NoMDEntries()
message.getGroup(1, group)
entryID = fix.MDEntryID()
group.getField(entryID)
action = fix.MDUpdateAction()
group.getField(action)
security = LAST_TRADE()
security.MDEntryID = entryID.getValue()
security.MDUpdateAction = action.getValue()
symbol = fix.Symbol()
if (group.isSetField(symbol)):
group.getField(symbol)
security.Symbol = symbol.getValue()
entryType = fix.MDEntryType()
if (group.isSetField(entryType)):
group.getField(entryType)
security.MDEntryType = entryType.getValue()
price = fix.MDEntryPx()
if (group.isSetField(price)):
group.getField(price)
security.MDEntryPx = price.getValue()
size = fix.MDEntrySize()
if (group.isSetField(size)):
group.getField(size)
security.MDEntrySize = size.getValue()
qty = fix.MinQty()
if (group.isSetField(qty)):
group.getField(qty)
security.MinQty = qty.getValue()
fire(self.callback, "OnTradeUpdated", **{"trade": security})
if msgType.getValue() == 'W':
book = BOOK()
Symbol = fix.Symbol()
message.getField(Symbol)
book.symbol = Symbol.getValue()
noMDEntries = fix.NoMDEntries()
message.getField(noMDEntries)
group = fix44.MarketDataSnapshotFullRefresh.NoMDEntries()
MDEntryType = fix.MDEntryType()
MDEntryPx = fix.MDEntryPx()
MDEntrySize = fix.MDEntrySize()
for i in range(1, noMDEntries.getValue()):
message.getGroup(i, group)
group.getField(MDEntryType)
group.getField(MDEntryPx)
group.getField(MDEntrySize)
if MDEntryType.getValue() == '0':
book.bid.append(MDEntryPx.getValue())
book.bid_size.append(MDEntrySize.getValue())
if MDEntryType.getValue() == '1':
book.ask.append(MDEntryPx.getValue())
book.ask_size.append(MDEntrySize.getValue())
fire(self.callback, "OnBookUpdated", **{"book": book})
def onMessage(self, message, sessionID):
print "OnMessage %s" % message
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if (msgType.getValue() == "X"):
print "MarketDataIncrementalRefresh %s" % message
noMDEntries = fix.NoMDEntries()
message.getField(noMDEntries)
if (noMDEntries.getValue() != 1):
print "NoMDEntries in MarketDataIncrementalRefresh is not 1!"
return
group = fix44.MarketDataIncrementalRefresh.NoMDEntries()
message.getGroup(1, group)
entryID = fix.MDEntryID()
group.getField(entryID)
action = fix.MDUpdateAction()
group.getField(action)
actionvalue = action.getValue() #0=New, 1=Update, 2=Delete)
if (actionvalue == '2'): #delete
if entryID.getValue() in securities:
del securities[entryID.getValue()]
return
security = SECURITY()
security.MDEntryID = entryID.getValue()
security.MDUpdateAction = action.getValue()
symbol = fix.Symbol()
if (group.isSetField(symbol)):
group.getField(symbol)
security.Symbol = symbol.getValue()
entryType = fix.MDEntryType()
if (group.isSetField(entryType)):
group.getField(entryType)
security.MDEntryType = entryType.getValue()
price = fix.MDEntryPx()
if (group.isSetField(price)):
group.getField(price)
security.MDEntryPx = price.getValue()
size = fix.MDEntrySize()
if (group.isSetField(size)):
group.getField(size)
security.MDEntrySize = size.getValue()
qty = fix.MinQty()
if (group.isSetField(qty)):
group.getField(qty)
security.MinQty = qty.getValue()
inc = MinInc()
if (message.isSetField(inc)):
message.getField(inc)
security.MinInc = inc.getValue()
br = MinBr()
if (message.isSetField(br)):
message.getField(br)
security.MinBR = br.getValue()
ytm = YTM()
if (message.isSetField(ytm)):
message.getField(ytm)
security.YTM = ytm.getValue()
ytw = YTW()
if (message.isSetField(ytw)):
message.getField(ytw)
security.YTW = ytw.getValue()
print security
securities[entryID.getValue()] = security
def fromApp(self, message, sessionID):
self.pretty_print('fromApp', sessionID)
print('Message:\n', message)
print('Message type:', self.get_header_value(message, fix.MsgType()))
