def test_checkIsInMessage(self):
self.object.setVersion(fix.BeginString_FIX40)
self.object.addField(fix.BeginString().getTag())
self.object.addField(fix.BodyLength().getTag())
self.object.addField(fix.MsgType().getTag())
self.object.addField(fix.CheckSum().getTag())
self.object.addField(fix.TestReqID().getTag())
self.object.addField(fix.Symbol().getTag())
self.object.addMsgType(fix.MsgType_TestRequest)
self.object.addMsgField(fix.MsgType_TestRequest,
fix.TestReqID().getTag())
testReqID = fix.TestReqID("1")
message = fix40.TestRequest()
message.setField(testReqID)
try:
self.object.validate(message)
self.failUnless(1)
except fix.Exception as e:
self.failUnless(0)
message.setField(fix.Symbol("MSFT"))
try:
self.object.validate(message)
self.failUnless(0)
except fix.Exception as e:
self.failUnless(1)
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 onMessage_SecurityList(self) -> dict:
group = fix50.SecurityList().NoRelatedSym()
# print(group)
mktSegmentID = self.getValue(fix.MarketSegmentID())
noRelatedSym = self.getValue(fix.NoRelatedSym())
mktSegment = {}
tickerData = {}
#allSecurities = {}
for tickers in range(1, noRelatedSym + 1):
self.message.getGroup(tickers, group)
aux = {
'symbol':
self.getValueGroup(group, fix.Symbol()),
'factor':
self.getValueGroup(group, fix.Factor()),
'securityDesc':
self.getValueGroup(group, fix.SecurityDesc()),
'cfiCode':
self.getValueGroup(group, fix.CFICode()),
'contractMultiplier':
self.getValueGroup(group, fix.ContractMultiplier()),
'minPriceIncrement':
self.getValueGroup(group, fix.MinPriceIncrement()),
'tickSize':
group.getField(5023),
'instrumentPricePrecision':
group.getField(5514),
'instrumentSizePrecision':
group.getField(7117),
'currency':
self.getValueGroup(group, fix.Currency()),
'maxTradeVol':
self.getValueGroup(group, fix.MaxTradeVol()),
'minTradeVol':
self.getValueGroup(group, fix.MinTradeVol()),
'lowLimitPrice':
self.getValueGroup(group, fix.LowLimitPrice()),
'highLimitPrice':
self.getValueGroup(group, fix.HighLimitPrice())
}
tickerData[self.getValueGroup(group, fix.Symbol())] = aux
mktSegment[mktSegmentID] = tickerData
# para unir todos los diccionarios en 1
#allSecurities[mktSegmentID] = mktSegment
return mktSegment
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 cancel(self, message, sessionID):
symbol = fix.Symbol()
side = fix.Side()
orderQty = fix.OrderQty()
clOrdID = fix.ClOrdID()
org = fix.OrigClOrdID()
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(clOrdID)
message.getField(org)
log.info("cancel:\nsymbol:{},side:{},orderQty:{},clOrdID:{},org:{} -----"\
.format(symbol, side, orderQty, clOrdID, org))
cancel = fix44.OrderCancelReject()
cancel.setField(clOrdID)
cancel.setField(fix.OrderID(self.genOrderID()))
cancel.setField(fix.OrdStatus(fix.OrdStatus_NEW))
cancel.setField(fix.OrigClOrdID(org.getValue()))
cancel.setField(fix.Text('order completed'))
cancel.setField(fix.TransactTime())
cancel.setField(fix.CxlRejReason(fix.CxlRejReason_BROKER))
cancel.setField(
fix.CxlRejResponseTo(fix.CxlRejResponseTo_ORDER_CANCEL_REQUEST))
fix.Session.sendToTarget(cancel, sessionID)
def market_data_request(self, sender_comp_id, target_comp_id, symbols):
md_types = [
fix.MDEntryType_BID, fix.MDEntryType_OFFER, fix.MDEntryType_TRADE
]
message = fix42.MarketDataRequest()
header = message.getHeader()
header.setField(fix.SenderCompID(sender_comp_id))
header.setField(fix.TargetCompID(target_comp_id))
message.setField(fix.MDReqID(self._generate_id()))
message.setField(
fix.SubscriptionRequestType(
fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
message.setField(fix.MarketDepth(10))
group = fix42.MarketDataRequest().NoMDEntryTypes()
for md_type in md_types:
group.setField(fix.MDEntryType(md_type))
message.addGroup(group)
group = fix42.MarketDataRequest().NoRelatedSym()
for symbol in symbols:
group.setField(fix.Symbol(symbol))
message.addGroup(group)
try:
fix.Session.sendToTarget(message)
except fix.SessionNotFound:
raise Exception(f"No session found {message}, exiting...")
def __init__(self, symbol, maturity, qty):
super(FutureOrder, self).__init__()
self.CFICode = fix.CFICode('FXXXXS')
self.Symbol = fix.Symbol(symbol)
self.Maturity = fix.MaturityMonthYear(maturity)
self.Quantity = fix.OrderQty(qty)
self.TransactionTime = fix.TransactTime()
def createOrderBookRequest(self):
orderBookRequest = fix44.MarketDataRequest()
noRelatedSym = fix44.MarketDataRequest.NoRelatedSym()
noRelatedSym.setField(fix.Symbol('BTC/CNY'))
orderBookRequest.addGroup(noRelatedSym)
orderBookRequest.setField(
fix.MDReqID("123")) # Unique ID assigned to this request
orderBookRequest.setField(
fix.SubscriptionRequestType('1')) # 0 = Snapshot
# 1 = Snapshot + Subscribe
# 2 Unsubscribe
orderBookRequest.setField(
fix.MDUpdateType(1)) # 0 = full refresh, 1: incremental refresh
orderBookRequest.setField(fix.MarketDepth(0)) # 0 = full book,
group1 = fix44.MarketDataRequest.NoMDEntryTypes()
group1.setField(fix.MDEntryType('0')) # bids
orderBookRequest.addGroup(group1)
group2 = fix44.MarketDataRequest.NoMDEntryTypes()
group2.setField(fix.MDEntryType('1')) # asks
orderBookRequest.addGroup(group2)
return orderBookRequest
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 cancel_order(self, execution_report):
message = quickfix44.OrderCancelRequest()
orig_cl_ord_id = quickfix.OrigClOrdID()
order_id = quickfix.OrderID()
symbol_field = quickfix.Symbol()
security_exchange_field = quickfix.SecurityExchange()
execution_report.getField(symbol_field)
execution_report.getField(security_exchange_field)
execution_report.getField(order_id)
orig_cl_ord_id.setValue(order_id.getValue())
message.setField(symbol_field)
message.setField(security_exchange_field)
message.setField(orig_cl_ord_id)
message.setField(quickfix.ClOrdID(self.genExecID()))
side = quickfix.Side()
execution_report.getField(side)
message.setField(side)
trstime = quickfix.TransactTime()
trstime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")[:-3])
message.setField(trstime)
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 send_mkt_data_req(self, symbol):
"""
:param symbol: str
"""
print("send_mkt_data_req: ", symbol)
message = fix44.MarketDataRequest()
message.setField(fix.MDReqID(self.next_id()))
message.setField(
fix.SubscriptionRequestType(
fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
message.setField(fix.MarketDepth(3))
message.setField(fix.MDUpdateType(
fix.MDUpdateType_INCREMENTAL_REFRESH))
symbol_group = fix44.MarketDataRequest.NoRelatedSym()
symbol_group.setField(fix.Symbol(symbol))
message.addGroup(symbol_group)
types = fix44.MarketDataRequest.NoMDEntryTypes()
types.setField(fix.MDEntryType(fix.MDEntryType_BID))
message.addGroup(types)
types = fix44.MarketDataRequest.NoMDEntryTypes()
types.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
message.addGroup(types)
fix.Session_sendToTarget(message, self.sessionID)
def process_security_list(self, security_list):
no_related_sym = quickfix.NoRelatedSym()
symbol_field = quickfix.Symbol()
security_list.getField(no_related_sym)
number_of_instruments = int(no_related_sym.getValue())
for i in range(number_of_instruments):
group = quickfix.Group(no_related_sym.getField(),
symbol_field.getField())
security_list.getGroup(i + 1, group)
group.getField(symbol_field)
security_exchange = quickfix.SecurityExchange()
group.getField(security_exchange)
exchange = security_exchange.getValue()
symbol = symbol_field.getValue()
instrument = self.reference_data.ins_instrument(exchange, symbol)
print("New Instrument : " + str(instrument))
text_field = quickfix.Text()
if group.isSetField(text_field):
group.getField(text_field)
text = str(text_field.getValue())
ref_data = json.loads(text)
self.reference_data.ins_reference_data(instrument, ref_data)
def scrip_msg(scrip_element: Scrip):
scrip_subscription = fix.Message()
# 8, BeginString
scrip_subscription.getHeader().setField(fix.BeginString(fix.BeginString_FIXT11))
# 35, Message Type
scrip_subscription.getHeader().setField(fix.MsgType(fix.MsgType_MarketDataRequest))
# 49, SenderCompId
scrip_subscription.getHeader().setField(fix.SenderCompID(sender_id))
# 56, TargetCompId
scrip_subscription.getHeader().setField(fix.TargetCompID(target_id))
# 34, Message SeqNumber
scrip_subscription.setField(fix.MsgSeqNum(1))
# 50, SenderSubID
scrip_subscription.setField(fix.SenderSubID(scrip_element.exchange))
# 924, UserRequestType
scrip_subscription.setField(fix.UserRequestType(1))
# 115 ,doubtful, but may be gateway id according to examples
# NSECM = 2, NSEFO = 1
scrip_subscription.setField(115, "%s" % scrip_element.gatewayID)
# 55, Symbol
scrip_subscription.setField(fix.Symbol(scrip_element.symbol))
# 1775, price divisor
scrip_subscription.setField(1775, "0")
# 167, Instrument
scrip_subscription.setField(167, scrip_element.instrument)
# 48, Token No.
scrip_subscription.setField(48, "%s" % scrip_element.token_no)
# 263, Broadcast type
scrip_subscription.setField(263, "0")
scrip_subscription = bytes(scrip_subscription.toString(), encoding="UTF-8")
return scrip_subscription
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 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 suscribeMD(self):
print(
"SUSCRIBE MD***************************************************************************"
)
if len(self.tickers) == 0 or len(self.entries) == 0:
return
allowed_entries = ['0', '1', '2', '4', '5', '6', '7', '8', 'B', 'C']
if not all(elem in allowed_entries for elem in self.entries):
return
msg = fix50.MarketDataRequest()
header = msg.getHeader()
header.setField(fix.SenderCompID(self.usrID))
header.setField(fix.TargetCompID(self.targetCompID))
# ---------------------
msg.setField(fix.MDReqID("ListaMktData"))
msg.setField(fix.SubscriptionRequestType('1'))
msg.setField(fix.MarketDepth(1))
msg.setField(fix.MDUpdateType(0))
msg.setField(fix.AggregatedBook(True))
# BlockMDReqGrp
group = fix50.MarketDataRequest().NoMDEntryTypes()
for field in self.entries:
group.setField(fix.MDEntryType(str(field)))
msg.addGroup(group)
# Symbols
norelatedsym = fix50.MarketDataRequest().NoRelatedSym()
for ticker in self.tickers:
norelatedsym.setField(fix.Symbol(ticker))
logfix.warning("--> Suscribe Ticker >> (%s)" % ticker)
msg.addGroup(norelatedsym)
fix.Session.sendToTarget(msg)
def publishMarketData(self):
self.logger.info("FixServer: publishMarketData %s", self.subscriptions)
for subscription in self.subscriptions:
if not subscription.hasSessions():
self.logger.info(
"FixServer:No session subscribed, skip publish symbol %s",
subscription.symbol)
continue
message = self.fixVersion.MarketDataSnapshotFullRefresh()
message.setField(quickfix.Symbol(subscription.symbol))
message.setField(quickfix.MDReqID(self.idGen.reqID()))
group = self.fixVersion.MarketDataSnapshotFullRefresh(
).NoMDEntries()
subscription.createOrderBook()
for quote in subscription.orderbook:
self.logger.info('FixServer:add quote to fix message %s',
str(quote))
group.setField(quickfix.MDEntryType(quote.side))
group.setField(quickfix.MDEntryPx(quote.price))
group.setField(quickfix.MDEntrySize(quote.size))
group.setField(quickfix.QuoteEntryID(quote.id))
group.setField(quickfix.Currency(subscription.currency))
group.setField(
quickfix.QuoteCondition(
quickfix.QuoteCondition_OPEN_ACTIVE))
message.addGroup(group)
for sessionID in subscription:
self.sendToTarget(message, sessionID)
def onLogon(self, sessionID):
self.sessionID = sessionID
print("onLogon - sessionID: " + sessionID.toString())
currency_pairs = ['GBP/USD', 'EUR/USD']
for ccy in currency_pairs:
mdr = fix.Message()
mdr.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
mdr.getHeader().setField(fix.MsgType(fix.MsgType_MarketDataRequest))
current_milli_time = lambda: int(round(time.time() * 1000))
mdr.setField(fix.MDReqID(str(current_milli_time()))) # a random string
mdr.setField(fix.SubscriptionRequestType(fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES)) # what stater required
mdr.setField(fix.MarketDepth(1)) # what stater required
mdr.setField(fix.AggregatedBook(True))
mdr.setField(fix.NoMDEntryTypes(1)) # what stater required
mdr.setField(fix.MDUpdateType(fix.MDUpdateType_INCREMENTAL_REFRESH)) # what stater required
group = fix44.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType(fix.MDEntryType_BID))
mdr.addGroup(group)
group.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
mdr.addGroup(group)
mdr.setField(fix.NoRelatedSym(1))
symbol = fix44.MarketDataRequest().NoRelatedSym()
symbol.setField(fix.Symbol(ccy))
mdr.addGroup(symbol)
fix.Session.sendToTarget(mdr, sessionID)
def OnNoPositions(self, message):
logger.info("OnNoPositions")
symbol = fix.Symbol()
exch = fix.SecurityExchange()
message.getField(symbol)
message.getField(exch)
groupRead = UapGroup.NoPositions()
PosType = fix.PosType()
LongQty = fix.LongQty()
ShortQty = fix.ShortQty()
NoPos = fix.UapGroup()
message.getField(NoPos)
logger.info("NoPos:" + NoPos.getString() + symbol.getString() + "." +
exch.getString())
for i in range(NoPos.getValue()):
message.getGroup(i + 1, groupRead)
groupRead.getFieldIfSet(PosType)
groupRead.getFieldIfSet(LongQty)
groupRead.getFieldIfSet(ShortQty)
if (PosType.getString() == "SB"):
logger.info("股份余额:" + LongQty.getString())
elif (PosType.getString() == "SAV"):
logger.info("股份可用余额:" + LongQty.getString())
elif (PosType.getString() == "SQ"):
logger.info("当前拥股数:" + LongQty.getString())
elif (PosType.getString() == "LB"):
logger.info("昨日余额:" + LongQty.getString())
elif (PosType.getString() == "SBQ"):
logger.info("今日买入数量:" + LongQty.getString())
elif (PosType.getString() == "SS"):
logger.info("卖出冻结数:" + ShortQty.getString())
elif (PosType.getString() == "SF"):
logger.info("人工冻结数:" + ShortQty.getString())
def compose_market_data_request(self):
market_data_request = quickfix44.MarketDataRequest()
market_data_request.setField(quickfix.MDReqID('1'))
market_data_request.setField(quickfix.SubscriptionRequestType(quickfix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
market_data_request.setField(quickfix.MarketDepth(0))
market_data_request.setField(quickfix.NoMDEntryTypes(2))
market_data_request.setField(quickfix.MDUpdateType(quickfix.MDUpdateType_INCREMENTAL_REFRESH))
group = quickfix44.MarketDataRequest().NoMDEntryTypes()
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_BID))
market_data_request.addGroup(group)
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_OFFER))
market_data_request.addGroup(group)
market_data_request.setField(quickfix.NoRelatedSym(self.reference_data.get_count()))
symbol = quickfix44.MarketDataRequest().NoRelatedSym()
for instrument in self.reference_data.get_instruments():
symbol.setField(quickfix.SecurityExchange(instrument.exchange))
symbol.setField(quickfix.Symbol(instrument.symbol))
market_data_request.addGroup(symbol)
return market_data_request
def report_child_order(self,
child_order: GenusChildOrder,
trade: TradeData = None):
""""""
self.exec_id += 1
message = new_message(fix.MsgType_ExecutionReport)
message.setField(fix.ClOrdID(child_order.cl_ord_id))
message.setField(fix.OrderID(child_order.order_id))
message.setField(fix.ExecID(str(self.exec_id)))
message.setField(fix.OrdStatus(child_order.ord_status))
message.setField(fix.ExecType(child_order.ord_status))
message.setField(fix.Symbol(child_order.symbol))
message.setField(fix.Side(child_order.side))
message.setField(fix.OrderQty(child_order.order_qty))
message.setField(fix.CumQty(child_order.cum_qty))
message.setField(
fix.LeavesQty(child_order.order_qty - child_order.cum_qty))
message.setField(fix.AvgPx(child_order.avg_px))
if trade:
message.setField(fix.LastShares(trade.volume))
message.setField(fix.LastPx(trade.price))
fix.Session.sendToTarget(message, self.session_id)
def on_market_data_request(self, message):
print('Market Data REQUEST!')
message_fields = {
'md_reqID': fix.MDReqID(),
'depth': fix.MarketDepth(),
'subscription_type': fix.SubscriptionRequestType(),
}
message_details = {}
for k, v in message_fields.items():
message_details[k] = self.get_field_value(message, v)
message_details['entry_types'] = {}
message_details['symbols'] = {}
n_entry_types = self.get_field_value(message, fix.NoMDEntryTypes())
group = fix44.MarketDataRequest().NoMDEntryTypes()
for i in range(n_entry_types):
message.getGroup(i + 1, group)
message_details['entry_types'][i] = self.get_field_value(
group, fix.MDEntryType())
n_symbols = self.get_field_value(message, fix.NoRelatedSym())
group = fix44.MarketDataRequest().NoRelatedSym()
for i in range(n_symbols):
message.getGroup(i + 1, group)
message_details['symbols'][i] = self.get_field_value(
group, fix.Symbol())
orderID = self.gen_orderID()
self.orders[orderID] = message_details
# testing
self.test_snaps(message_details, full=True)
self.test_snaps(message_details, full=False)
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 subscribe(self):
if self.marketSession is None:
self.logger.info(
"FIXSIM-CLIENT Market session is none, skip subscribing")
return
for subscription in self.subscriptions:
message = self.fixVersion.MarketDataRequest()
message.setField(quickfix.MDReqID(self.idGen.reqID()))
message.setField(
quickfix.SubscriptionRequestType(
quickfix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
message.setField(
quickfix.MDUpdateType(quickfix.MDUpdateType_FULL_REFRESH))
message.setField(quickfix.MarketDepth(0))
message.setField(quickfix.MDReqID(self.idGen.reqID()))
relatedSym = self.fixVersion.MarketDataRequest.NoRelatedSym()
relatedSym.setField(quickfix.Product(quickfix.Product_CURRENCY))
relatedSym.setField(
quickfix.SecurityType(
quickfix.SecurityType_FOREIGN_EXCHANGE_CONTRACT))
relatedSym.setField(quickfix.Symbol(subscription.symbol))
message.addGroup(relatedSym)
group = self.fixVersion.MarketDataRequest.NoMDEntryTypes()
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_BID))
message.addGroup(group)
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_BID))
message.addGroup(group)
self.sendToTarget(message, self.marketSession)
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 test_replaceGroup(self):
self.object.setField( fix.ListID( "1" ) )
self.object.setField( fix.BidType( 0 ) )
self.object.setField( fix.TotNoOrders( 3 ) )
group = fix42.NewOrderList.NoOrders()
group.setField( fix.ClOrdID( "A" ) )
group.setField( fix.ListSeqNo( 1 ) )
group.setField( fix.Symbol( "DELL" ) )
group.setField( fix.Side( '1' ) )
self.object.addGroup( group )
group.setField( fix.ClOrdID( "B" ) )
group.setField( fix.ListSeqNo( 2 ) )
group.setField( fix.Symbol( "LNUX" ) )
group.setField( fix.Side( '2' ) )
self.object.addGroup( group );
group.setField( fix.ClOrdID( "C" ) )
group.setField( fix.ListSeqNo( 3 ) )
group.setField( fix.Symbol( "RHAT" ) )
group.setField( fix.Side( '3' ) )
self.object.addGroup( group );
group.setField( fix.ClOrdID( "D" ) )
group.setField( fix.ListSeqNo( 4 ) )
group.setField( fix.Symbol( "AAPL" ) )
group.setField( fix.Side( '4' ) )
self.object.replaceGroup( 2, group );
noOrders = fix.NoOrders()
assert( self.object.hasGroup(1, group) )
assert( self.object.hasGroup(2, group) )
assert( self.object.hasGroup(3, group) )
self.assertEqual( 3, self.object.groupCount(fix.NoOrders().getTag()) )
self.object.getField( noOrders )
self.assertEqual( 3, noOrders.getValue() )
clOrdID = fix.ClOrdID()
self.object.getGroup( 1, group )
self.assertEqual( "A", group.getField(clOrdID).getString() )
self.object.getGroup( 2, group )
self.assertEqual( "D", group.getField(clOrdID).getString() )
self.object.getGroup( 3, group )
self.assertEqual( "C", group.getField(clOrdID).getString() )
def __init__(self, reference_data, market_data):
self.reference_data = reference_data
self.market_data = market_data
self.symbol_field = quickfix.Symbol()
self.security_exchange_field = quickfix.SecurityExchange()
self.no_md_entries = quickfix.NoMDEntries()
self.md_entry_type = quickfix.MDEntryType()
self.md_entry_price = quickfix.MDEntryPx()
self.md_entry_size = quickfix.MDEntrySize()
def quote_response(self,quote_req_id,quote_id,quote_resp_type,symbol,product,side,dealer_id,price=None,currency = None,quantity = None):
#HEADER
quote_resp = fix50sp2.QuoteRequest()
quote_resp.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
quote_resp.getHeader().setField(fix.StringField(35,'AJ'))#MessageType
quote_resp.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
quote_resp.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
quote_resp.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
quote_resp.getHeader().setField(fix.StringField(128,'DOR'))
quote_resp.getHeader().setField(fix.SendingTime(1))#52
quote_resp.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
quote_resp.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
quote_resp.getHeader().setField(fix.SendingTime(1))
#BODY
quote_resp.setField(fix.QuoteRespID(quote_req_id[:-4] + 'RESP' + self.genOrderID()))#693
quote_resp.setField(fix.QuoteReqID(quote_req_id)) #131
quote_resp.setField(fix.QuoteRespType(quote_resp_type))#694
quote_resp.setField(fix.Symbol(symbol))#55
quote_resp.setField(fix.Product(int(product)))#460
quote_resp.setField(fix.Side(side))#54
quote_resp.setField(fix.StringField(167,'FXSPOT'))
print(datetime.datetime.utcnow().strftime('%Y%m%d-%H:%M:%S'))
quote_resp.setField(fix.StringField(60,datetime.datetime.utcnow().strftime('%Y%m%d-%H:%M:%S')))#60
# quote_resp.setField(fix.TransactTime(1))#60
quote_resp.setField(fix.SettlType('0'))#63
settl_date = datetime.datetime.utcnow()+BDay(n=2)
quote_resp.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#64
if quote_resp_type == 1:
# quote_resp.setField(fix.Price(float(price)))
quote_resp.setField(fix.OfferPx(float(price)))
quote_resp.setField(fix.OfferSpotRate(float(price)))
quote_resp.setField(fix.StringField(15, str(currency))) # Currency
# quote_resp.setField(fix.BidPx(float(price)))
quote_resp.setField(fix.QuoteID(quote_id)) # 117
quote_resp.setField(fix.OrderQty(quantity)) #38
quote_resp.setField(fix.ClOrdID(quote_resp.getField(693)+self.genOrderID())) # 11
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
group_453.setField(fix.StringField(448,'7613723'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(11))#452 - PartyRole
quote_resp.addGroup(group_453)
group_453.setField(fix.StringField(448,dealer_id))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
quote_resp.addGroup(group_453)
quote_resp.setField(fix.StringField(1300,'XOFF'))#market segment id
print(f'SENDING QUOTE RESPONSE MESSAGE:\n ')
# print(f'SENDING QUOTE RESPONSE MESSAGE:\n {quote_resp.toString()}')
fix.Session.sendToTarget(quote_resp, self.sessionID)
def market_data_request(self, sender_comp_id, target_comp_id, symbols):
md_types = [
fix.MDEntryType_BID, fix.MDEntryType_OFFER, fix.MDEntryType_TRADE
]
message = fix44.MarketDataRequest()
header = message.getHeader()
header.setField(fix.SenderCompID(sender_comp_id))
header.setField(fix.TargetCompID(target_comp_id))
message.setField(fix.MDReqID(self._generate_id()))
message.setField(
fix.SubscriptionRequestType(
fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
# message.setField(
# fix.SubscriptionRequestType(
# fix.SubscriptionRequestType_SNAPSHOT
# )
# )
"""
Valid values:
0 = Full Book
1 = Top of Book
N>1 = Report best N price tiers of data
"""
message.setField(fix.MarketDepth(0))
"""
Valid values:
0 = Full Refresh
1 = Incremental Refresh
"""
message.setField(fix.MDUpdateType(
fix.MDUpdateType_INCREMENTAL_REFRESH))
group = fix44.MarketDataRequest().NoMDEntryTypes()
for md_type in md_types:
group.setField(fix.MDEntryType(md_type))
message.addGroup(group)
group = fix44.MarketDataRequest().NoRelatedSym()
for symbol in symbols:
group.setField(fix.Symbol(symbol))
message.addGroup(group)
try:
fix.Session.sendToTarget(message)
except fix.SessionNotFound:
raise Exception(f"No session found {message}, exiting...")