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 quote_request(self,symbol,currency,quantity,side,order_type,price=None):
#HEADER
trade = fix50sp2.QuoteRequest()
trade.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
trade.getHeader().setField(fix.StringField(35,'R'))#MessageType
trade.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
trade.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
trade.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
trade.getHeader().setField(fix.StringField(128,'DOR'))
trade.getHeader().setField(fix.SendingTime(1))#52
trade.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
trade.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
#BODY
trade.setField(fix.QuoteReqID(datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S') + symbol + 'RFQ' + str(side))) # 131
group_146 = fix50sp2.QuoteRequest().NoRelatedSym()
# group_146 = fix.Group(146,1)
if '/' not in symbol:
group_146.setField(fix.StringField(55,str(symbol[:3]+'/'+symbol[3:])))
else:
group_146.setField(fix.StringField(55, str(symbol)))
group_146.setField(fix.StringField(167,'FXSPOT'))
group_146.setField(fix.IntField(460,4))
group_146.setField(fix.SettlType('0'))#SettlType
# group_146.setField(fix.StringField(63,'0'))#SettlType
settl_date = datetime.datetime.utcnow()+BDay(n=2)
group_146.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#SettlDate
group_146.setField(fix.OrderQty(quantity))#38 - Qty
group_146.setField(fix.StringField(15,str(currency)))#Currency
group_146.setField(fix.StringField(54,str(side)))
# trade.setField(fix.NoPartyIDs(4))#453 - NumberOfParties
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
# group_453 = fix.Group(453,1)
group_453.setField(fix.StringField(448,'7613723'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(11))#452 - PartyRole
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'BGD1'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'DOR1'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'DOR2'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
trade.addGroup(group_146)
trade.setField(fix.StringField(1300,'XOFF'))#market segment id
# trade.setField(fix.StringField(21,'z'))#HandlInst
if order_type == '2': # limit
trade.setField(fix.Price(float(price))) # if market, this tag should be absent
else:
price = None
print(f'CREATING THE FOLLOWING ORDER:\n ')
# print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)
def fromApp(self, message, sessionID):
print(f'<-APP: {message.toString()}')
msg_type = message.getHeader().getField(35)
# global offer_prices
# global bid_prices
#Quotes message
if msg_type == 'S': #QUOTES
#decompose Quotes message
dealer_no = 0
parties_no = int(message.getField(453))
quote_req_id = message.getField(131)
side = quote_req_id[-1]
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
quote_id = message.getField(117)
symbol = message.getField(55)
product = message.getField(460)
quantity = int(message.getField(38))
currency = message.getField(15)
#get prices from providers
#PartyRole (452) == 1
for party_id in range(1, parties_no + 1):
message.getGroup(party_id, group_453)
if group_453.getField(452) == '1': # dealer
dealer_no += 1
dealer_id = group_453.getField(448)
# print(f'Dealer ID : {dealer_id} and Party ID {party_id}')
if message.isSetField(188):
self.quotes[symbol]['bid_prices'][dealer_id] = float(message.getField(188))
# bid_px = float(message.getField(188))
elif message.isSetField(132):
self.quotes[symbol]['bid_prices'][dealer_id] = float(message.getField(132))
# bid_px = float(message.getField(132))
else:
self.quotes[symbol]['bid_prices'][dealer_id] = 999
# bid_px = 999
# self.bid_prices[dealer_id] = bid_px
# self.quotes[symbol]['bid_prices'][dealer_id] = bid_px
if message.isSetField(190):
self.quotes[symbol]['offer_prices'][dealer_id] = float(message.getField(190))
# offer_px = float(message.getField(190))
elif message.isSetField(133):
self.quotes[symbol]['offer_prices'][dealer_id] = float(message.getField(133))
# offer_px = float(message.getField(133))
else:
self.quotes[symbol]['offer_prices'][dealer_id] = 999
# offer_px = 999
# self.offer_prices[dealer_id] = offer_px
# self.quotes[symbol]['offer_prices'][dealer_id] = offer_px
print(f'QUOTES FROM DEALER: {dealer_id}')
print(f'BID:{self.quotes[symbol]["bid_prices"][dealer_id]} - OFFER:{self.quotes[symbol]["offer_prices"][dealer_id]}')
if (len(self.quotes[symbol]['offer_prices']) == DEALERS_NO or len(self.quotes[symbol]['offer_prices']) == DEALERS_NO):
# if (len(self.offer_prices) == DEALERS_NO or len(self.bid_prices) == DEALERS_NO):
# #sort offer and bid quotes by best price
# self.offer_prices = sorted(self.offer_prices.items(), key=lambda kv: kv[1], reverse=False)
# self.bid_prices = sorted(self.bid_prices.items(), key=lambda kv: kv[1], reverse=True)
# print(f'Offer Prices:{self.offer_prices}, Bid Prices:{self.bid_prices}')
# print(f'Requesting Limit Price :{self.limit_price}')
# print(f'Position for {symbol} is {self.symbol_positions[symbol]["position"]}')
self.quotes[symbol]['offer_prices'] = sorted(self.quotes[symbol]['offer_prices'].items(), key=lambda kv: kv[1], reverse=False)
self.quotes[symbol]['bid_prices'] = sorted(self.quotes[symbol]['bid_prices'].items(), key=lambda kv: kv[1], reverse=True)
print(f'{symbol} - Offer Prices:{self.quotes[symbol]["offer_prices"]}, Bid Prices:{self.quotes[symbol]["bid_prices"]}')
print(f'{symbol} - Requesting Limit Price :{self.limit_price[symbol]}')
print(f'Position for {symbol} is {self.symbol_positions[symbol]["position"]}')
#case where trade in base currency
if symbol[:3] == currency:
#choose action -hit/pass
if side == '1': # long - sort offer prices ascending
# offer_px = self.offer_prices[0][1]
# dealer_id = self.offer_prices[0][0]
# self.offer_prices = {}
# self.bid_prices = {}
if self.no_trade[symbol]:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
symbol=symbol, product=product, side=side, dealer_id=self.quotes[symbol]['offer_prices'][0][0])
print(f'PASSED QUOTES BECAUSE "NO TRADE" ')
# time.sleep(1)
# continue
else:
if np.logical_or(self.quotes[symbol]['offer_prices'][0][1] <= self.limit_price[symbol], self.limit_price[symbol] is None):
# if np.logical_or(offer_px <= self.limit_price, self.limit_price is None):
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side=side, dealer_id=self.quotes[symbol]['offer_prices'][0][0],
price=self.quotes[symbol]['offer_prices'][0][1],currency=currency,quantity=quantity)
print(f'BUY at {self.quotes[symbol]["offer_prices"][0][1]} from {self.quotes[symbol]["offer_prices"][0][0]}')
# continue
self.quotes[symbol]['offer_prices'] = {}
self.quotes[symbol]['bid_prices'] = {}
elif side == '2': # short
# bid_px = self.bid_prices[0][1]
# dealer_id = self.bid_prices[0][0]
# self.offer_prices = {}
# self.bid_prices = {}
if self.no_trade[symbol]:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
symbol=symbol, product=product, side=side, dealer_id=self.quotes[symbol]['bid_prices'][0][0])
print(f'PASSED QUOTES BECAUSE "NO TRADE" ')
# time.sleep(10)
# continue
else:
if np.logical_or(self.quotes[symbol]['bid_prices'][0][1] >= self.limit_price[symbol], self.limit_price[symbol] is None):
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side=side, dealer_id=self.quotes[symbol]['bid_prices'][0][0],
price=self.quotes[symbol]['bid_prices'][0][1],currency=currency,quantity=quantity)
print(f'SELL at {self.quotes[symbol]["bid_prices"][0][1]} from {self.quotes[symbol]["bid_prices"][0][0]}')
# continue
self.quotes[symbol]['offer_prices'] = {}
self.quotes[symbol]['bid_prices'] = {}
elif side == '0':
offer_px = self.offer_prices[0][1]
best_offer_dealer_id = self.offer_prices[0][0]
self.offer_prices = {}
bid_px = self.bid_prices[0][1]
best_bid_dealer_id = self.bid_prices[0][0]
self.bid_prices = {}
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side='1', dealer_id=best_offer_dealer_id,
price=offer_px, currency=currency, quantity=quantity)
print(f'BUY at {offer_px} from {best_offer_dealer_id} - RANDOM TWO WAY QUOTES')
continue
# time.sleep(1)
#case where trade in secondary currency
elif symbol[-3:] == currency:
print('TRADING WITH SECONDARY CURRENCY')
#change side because Quotes and opposite to RFQ to take decision
if side == '1':
side = '2'
elif side == '2':
side = '1'
#choose action (hit/pass) - set side according to RFQ
if side == '1': # long - sort offer prices ascending
# offer_px = self.offer_prices[0][1]
# dealer_id = self.offer_prices[0][0]
# self.offer_prices = {}
# self.bid_prices = {}
if self.no_trade[symbol]:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
symbol=symbol, product=product, side='2', dealer_id=self.quotes[symbol]['offer_prices'][0][0])
print(f'PASSED QUOTES BECAUSE "NO TRADE" ')
# time.sleep(1)
# continue
else:
if np.logical_or(self.quotes[symbol]['offer_prices'][0][1] <= self.limit_price[symbol], self.limit_price[symbol] is None):
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side='2', dealer_id=self.quotes[symbol]['offer_prices'][0][0],
price=self.quotes[symbol]['offer_prices'][0][1], currency=currency, quantity=quantity)
print(f'BUY at {self.quotes[symbol]["offer_prices"][0][1]} from {self.quotes[symbol]["offer_prices"][0][0]}')
# continue
self.quotes[symbol]['offer_prices'] = {}
self.quotes[symbol]['bid_prices'] = {}
elif side == '2': # short
# bid_px = self.bid_prices[0][1]
# dealer_id = self.bid_prices[0][0]
# self.offer_prices = {}
# self.bid_prices = {}
if self.no_trade[symbol]:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
symbol=symbol, product=product, side='1', dealer_id=self.quotes[symbol]['bid_prices'][0][0])
print(f'PASSED QUOTES BECAUSE "NO TRADE" ')
# time.sleep(10)
# continue
else:
if np.logical_or(self.quotes[symbol]['bid_prices'][0][1] >= self.limit_price[symbol], self.limit_price[symbol] is None):
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side='1', dealer_id=self.quotes[symbol]['bid_prices'][0][0],
price=self.quotes[symbol]['bid_prices'][0][1], currency=currency, quantity=quantity)
print(f'SELL at {self.quotes[symbol]["bid_prices"][0][1]} from {self.quotes[symbol]["bid_prices"][0][0]}')
# continue
self.quotes[symbol]['offer_prices'] = {}
self.quotes[symbol]['bid_prices'] = {}
elif side == '0':
offer_px = self.offer_prices[0][1]
best_offer_dealer_id = self.offer_prices[0][0]
self.offer_prices = {}
bid_px = self.bid_prices[0][1]
best_bid_dealer_id = self.bid_prices[0][0]
self.bid_prices = {}
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side='1', dealer_id=best_offer_dealer_id,
price=offer_px, currency=currency, quantity=quantity)
print(f'BUY at {offer_px} from {best_offer_dealer_id} - RANDOM TWO WAY QUOTES')
continue
# time.sleep(1)
#QuoteStatusReport message
if msg_type == 'AI':
quote_status = message.getField(297)
if quote_status == str(101):
print(f'RECEIVED QuoteStatusReport - CANCELLED BY CLIENT ')
if quote_status == str(11):
print(f'RECEIVED QuoteStatusReport - DEALER REJECTS LAST LOOK ')
if quote_status == str(100):
print(f'RECEIVED QuoteStatusReport - LP TIMEOUT ')
if quote_status == str(4):
print(f'RECEIVED QuoteStatusReport - LP CANCEL ALL QUOTES ')
if quote_status == str(5):
print(f'RECEIVED QuoteStatusReport - TRADE REQUEST REJECTION ')
# print (message.getField(58))
# contract = message.getField(55)
# self.no_trade[f'{contract[:3]}/{contract[3:]}'] = 1
#QuoteRequestReject
if msg_type == 'AG':
self.warnings[message.getField(131)] = message.getField(58)
with open('warnings.pickle','wb') as f:
pickle.dump(self.warnings, f, pickle.HIGHEST_PROTOCOL)
print('RECEIVED QuoteRequestReject - LPs REJECTED QUOTE REQUEST')
#Execution report
if msg_type == '8':
print(f'RECEIVED EXECUTION REPORT')
#decompose message
ord_status = message.getField(39) #0->NEW,1->PARTIALLY FILLED,2->FILLED,8->REJECTED
quantity = message.getField(14)
avg_px = message.getField(6)
order_id = message.getField(17)
side = message.getField(54)
symbol = message.getField(55)
exec_time = message.getField(60)
exec_time = exec_time[:17].replace('-','').replace(':','')
# exec_time = message.getField(11)
side = message.getField(54)
#update symbols_position_dict for keeping track of orders
if ord_status == fix.OrdStatus_FILLED:
#update current position and save to symbol_positions_dict
if side == '1':
self.symbol_positions[symbol]['position'] = int(quantity) + self.symbol_positions[symbol]['position']
elif side == '2':
self.symbol_positions[symbol]['position'] = -int(quantity) + self.symbol_positions[symbol]['position']
if len(self.symbol_positions[symbol]['trades']) == 0:
pnl = 100000
else:
previous_pnl = self.symbol_positions[symbol]['trades'][-1]['pnl']
price_diff = (float(avg_px) - float(self.symbol_positions[symbol]['trades'][-1]['price'])) *\
float(self.symbol_positions[symbol]['trades'][-1]['quantity'])
if 'JPY' in symbol:
price_diff = (float(avg_px) - float(self.symbol_positions[symbol]['trades'][-1]['price'])) * \
float(self.symbol_positions[symbol]['trades'][-1]['quantity']/100)
pnl = round(price_diff + previous_pnl, 2)
order_dict = dict(price=avg_px,quantity=self.symbol_positions[symbol]['position'],side=side,
order_id=order_id,time=exec_time, pnl=pnl)
# order_dict = dict(price=avg_px,quantity=self.symbol_positions[symbol]['position'],side=side,
# order_id=order_id,time=exec_time[3:17],pnl=pnl)
self.symbol_positions[symbol]['trades'].append(order_dict)
#save updated symbol_positions_dict
with open('positions.pickle', 'wb') as f:
pickle.dump(self.symbol_positions, f, pickle.HIGHEST_PROTOCOL)
with open('positions.pickle', 'rb') as f:
now = datetime.datetime.now().strftime('%Y%m%d')
tmp_orders = pickle.load(f)
tmp_orders = pd.DataFrame.from_dict(tmp_orders[symbol]['trades'], dtype=str)
tmp_orders.to_csv(f'{WRITE_PATH}/FIXtrades{now}{symbol.replace("/","")}.csv')
# if os.path.exists(f'd:/fix_bloomberg/FIXtrades{now}{symbol.replace("/","")}.csv'):
# tmp_csv = pd.read_csv(f'd:/fix_bloomberg/FIXtrades{now}{symbol.replace("/","")}.csv')
# tmp_csv = pd.concat([tmp_csv,tmp_orders],axis=0,ignore_index=True)
# tmp_csv.to_csv(f'd:/fix_bloomberg/FIXtrades{now}{symbol.replace("/","")}.csv')
# else:
# tmp_orders.to_csv(f'd:/fix_bloomberg/FIXtrades{now}{symbol.replace("/","")}.csv')
print(f'New position of {symbol} is {self.symbol_positions[symbol]["position"]}')
return
def fromApp(self, message, sessionID):
print(f'<-APP: {message.toString()}')
msg_type = message.getHeader().getField(35)
global prices
if msg_type == 'S': #QUOTES
dealer_no = 0
hit = False
parties_no = int(message.getField(453))
quote_req_id = message.getField(131)
side = quote_req_id[-1]
print(f'REQUESTING LIMIT PRICE :{self.limit_price} - {side} ')
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
quote_id = message.getField(117)
symbol = message.getField(55)
product = message.getField(460)
quantity = int(message.getField(38))
currency = message.getField(15)
for party_id in range(1, parties_no + 1):
message.getGroup(party_id, group_453)
if group_453.getField(452) == '1': # dealer
dealer_no += 1
dealer_id = group_453.getField(448)
print(f'Dealer ID : {dealer_id} and Party ID {party_id}')
try:
bid_px = float(message.getField(132))
except:
bid_px = 999
try:
offer_px = float(message.getField(133))
except:
offer_px = 999
# if hit:
# self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
# symbol=symbol, product=product, side=side, dealer_id=dealer_id)
# print(f'PRICE FILLED FROM PREVIOUS DEALER - PASS QUOTES FROM {dealer_id}')
# continue
print(f'CHECKING QUOTES FROM DEALER: {dealer_id}')
print(f'BID PX:{bid_px} - OFFER PX:{offer_px}')
prices.append(offer_px)
if len(prices)==dealers_no:
print(prices)
offer_px = prices[0]
prices=[]
if side == '1': # long
if offer_px <= self.limit_price:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side=side, dealer_id=dealer_id,
price=offer_px,currency=currency,quantity=quantity)
print(f'BUY at {offer_px} from {dealer_id} - PASS QUOTES FROM OTHER DEALERS')
hit = True
# time.sleep(10)
continue
else:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
symbol=symbol, product=product, side=side, dealer_id=dealer_id)
print(f'PASSED QUOTES FROM {dealer_id} ')
time.sleep(1)
continue
# if party_id == parties_no:
# self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
# symbol=symbol, product=product, side=side, dealer_id=dealer_id) #check other dealers
# print(f'CURRENT QuoteRequestPassed - REQUEST NEW QUOTES')
# self.quote_request(symbol=symbol,currency=currency,quantity=quantity,side=side,order_type=1)
#
# else: #pass current request - send new
# continue
# # self.quote_request(symbol=symbol,currency=currency,quantity=quantity,side=side,order_type=1,)
if side == '2': # long
if bid_px >= self.limit_price:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=1,
symbol=symbol, product=product, side=side, dealer_id=dealer_id,
price=self.limit_price,currency=currency,quantity=quantity)
print(f'SELL at {bid_px} from {dealer_id} - PASS QUOTES FROM OTHER DEALERS')
hit = True
continue
else:
self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
symbol=symbol, product=product, side=side, dealer_id=dealer_id)
print(f'PASSED QUOTES FROM {dealer_id} ')
# time.sleep(10)
continue
# if party_id == parties_no:
# self.quote_response(quote_req_id=quote_req_id, quote_id=quote_id, quote_resp_type=6,
# symbol=symbol, product=product, side=side, dealer_id=dealer_id) #check other dealers
# print(f'CURRENT QuoteRequestPassed - REQUEST NEW QUOTES')
# self.quote_request(symbol=symbol,currency=currency,quantity=quantity,side=side,order_type=1)
#
# else: #pass current request - send new
# continue
# # self.quote_request(symbol=symbol,currency=currency,quantity=quantity,side=side,order_type=1,)
# if (not hit) and party_id == parties_no: # checked all and did not get the price - send again request
# self.quote_request(symbol=symbol, currency=currency, quantity=quantity, side=side, order_type=1)
# print(f'COULD NOT GET PRICE FROM {dealer_no} DEALERS - SEND NEW QUOTE REQUEST ')
# bid_spot_rate = message.getField(188)
# offer_spot_rate = message.getField(190)
# self.quote_response(quote_req_id=quote_req_id,quote_id=quote_id,quote_resp_type=1,symbol=symbol,
# product=product,dealer_id=dealer_id,side=side)
time.sleep(1)
else:
continue
# print(f'PRICE : {prices}')
if msg_type == 'AI':
print(f'RECEIVED AI message')
if msg_type == '8':
print(f'RECEIVED EXECUTION REPORT')
ord_status = message.getField(39) #0->NEW,1->PARTIALLY FILLED,2->FILLED,8->REJECTED
quantity = message.getField(14)
avg_px = message.getField(6)
return
def quote_request(self,symbol,currency,quantity,side,order_type,dealers_dict):
'''
send QuoteRequest message to Liquidity Providers
build the message according to ORP_v1.5_QuickFIX
'''
#HEADER
trade = fix50sp2.QuoteRequest()
trade.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
trade.getHeader().setField(fix.StringField(35,'R'))#MessageType
trade.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
trade.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
trade.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
trade.getHeader().setField(fix.StringField(128,'DOR'))
trade.getHeader().setField(fix.SendingTime(1))#52
trade.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
trade.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
#BODY
#QuoteReqID (131) --> RFQ+datetime+symbol+side
quote_request_id = 'RFQ' + datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S') + symbol + str(side)
trade.setField(fix.QuoteReqID(quote_request_id)) # 131
group_146 = fix50sp2.QuoteRequest().NoRelatedSym()
if '/' not in symbol:
group_146.setField(fix.StringField(55,str(symbol[:3]+'/'+symbol[3:6])))
else:
group_146.setField(fix.StringField(55, str(symbol)))
group_146.setField(fix.StringField(167,'FXSPOT'))
group_146.setField(fix.IntField(460,4))
group_146.setField(fix.SettlType('0'))#SettlType
# settl_date = datetime.datetime.utcnow()+BDay(n=2)
if ((datetime.datetime.utcnow() - datetime.timedelta(hours = 4)).hour < 17) or ((datetime.datetime.utcnow() - datetime.timedelta(hours = 4)).weekday() == 6):
settl_date = datetime.datetime.utcnow()+BDay(n=2)
else:
settl_date = datetime.datetime.utcnow() + BDay(n=3)
while (settl_date.strftime('%Y%m%d') in HOLIDAYS_DICT[symbol[:3]]) or (settl_date.strftime('%Y%m%d') in HOLIDAYS_DICT[symbol[-3:]]):
settl_date += BDay(n=1)
group_146.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#SettlDate
group_146.setField(fix.OrderQty(quantity))#38 - Qty
group_146.setField(fix.StringField(15,str(currency)))#Currency
#if side == 0, get two way quotes (omit tag 54)
if side != 0:
group_146.setField(fix.StringField(54,str(side)))
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
for dealer, party_role in dealers_dict.items():
group_453.setField(fix.StringField(448,dealer))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(party_role))#452 - PartyRole.
group_146.addGroup(group_453)
trade.addGroup(group_146)
trade.setField(fix.StringField(1300,'XOFF'))#market segment id
# trade.setField(fix.StringField(21,'z'))#HandlInst
if order_type == '2': # limit
trade.setField(fix.Price(float(self.limit_price))) # if market, this tag should be absent
print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)