def _handle_trade(self, symbol, trade, sessionID):
self.logger.info("Trade(s) executed.")
# if trade.session.toString() != sessionID.toString():
if trade.session.toString() not in self.sessions:
self.logger.debug(
f"Trade session {trade.session} and sessionID {sessionID} "
f"do not match, skipping trade"
)
self.logger.debug(f"Dumping trade \n{trade}")
return
trade_side = "1" if trade.side == "b" else "2"
execution_report = self._create_execution_report(
symbol,
fix.Side(trade_side),
fix.ClOrdID(trade.order_id),
price=fix.Price(trade.price),
quantity=fix.LastQty(trade.quantity),
order_status=fix.OrdStatus_FILLED,
exec_type=fix.ExecType_FILL,
)
return execution_report
def __get_attributes(self, message):
price = fix.LastPx()
quantity = fix.LastQty()
symbol = fix.Symbol()
side = fix.Side()
client_order_id = fix.ClOrdID()
exec_id = fix.ExecID()
order_status = fix.OrdStatus()
message.getField(client_order_id)
message.getField(side)
message.getField(symbol)
message.getField(price)
message.getField(quantity)
message.getField(order_status)
message.getField(exec_id)
return (symbol, price, quantity, side, client_order_id, exec_id, order_status)
def queryEnterOrder(self):
print("\nTradeCaptureReport (AE)\n")
trade = fix.Message()
trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
trade.getHeader().setField(fix.MsgType(fix.MsgType_TradeCaptureReport))
trade.setField(fix.TradeReportTransType(
fix.TradeReportTransType_NEW)) # 487
trade.setField(fix.TradeReportID(self.genTradeReportID())) # 571
trade.setField(fix.TrdSubType(4)) # 829
trade.setField(fix.SecondaryTrdType(2)) # 855
trade.setField(fix.Symbol("MYSYMBOL")) # 55
trade.setField(fix.LastQty(22)) # 32
trade.setField(fix.LastPx(21.12)) # 31
trade.setField(fix.TradeDate(
(datetime.now().strftime("%Y%m%d")))) # 75
trade.setField(
fix.TransactTime(
(datetime.now().strftime("%Y%m%d-%H:%M:%S.%f"))[:-3])) # 60
trade.setField(fix.PreviouslyReported(False)) # 570
group = fix44.TradeCaptureReport().NoSides()
group.setField(fix.Side(fix.Side_SELL)) # 54
group.setField(fix.OrderID(self.genOrderID())) # 37
group.setField(fix.NoPartyIDs(1)) # 453
group.setField(
fix.PartyIDSource(
fix.PartyIDSource_PROPRIETARY_CUSTOM_CODE)) # 447
group.setField(fix.PartyID("CLEARING")) # 448
group.setField(fix.PartyRole(fix.PartyRole_CLEARING_ACCOUNT)) # 452
trade.addGroup(group)
group.setField(fix.Side(fix.Side_BUY)) # 54
group.setField(fix.OrderID(self.genOrderID())) # 37
group.setField(fix.NoPartyIDs(1)) # 453
group.setField(
fix.PartyIDSource(
fix.PartyIDSource_PROPRIETARY_CUSTOM_CODE)) # 447
group.setField(fix.PartyID("CLEARING")) # 448
group.setField(fix.PartyRole(fix.PartyRole_CLEARING_ACCOUNT)) # 452
trade.addGroup(group)
fix.Session.sendToTarget(trade, self.sessionID)
def _process_execution_report(self, message):
cl_ord_id = self._extract_field(fix.ClOrdID(), message)
exec_type = self._extract_field(fix.ExecType(), message)
market_order_id = self._extract_optional_field(fix.OrderID(), message)
order = self.order_store.find_order(cl_ord_id, market_order_id)
# We only update the market order if it's changed
self.order_store.store_market_order_id(market_order_id, order.order_id)
order.order_id = self.order_store.find_order_id(cl_ord_id)
if exec_type == fix.ExecType_NEW:
order.status = OrdStatus.NEW
self.order_handler.on_new_ack(order)
elif exec_type == fix.ExecType_DONE_FOR_DAY:
pass
elif exec_type == fix.ExecType_CANCELED:
order.status = OrdStatus.CANCELED
self.order_handler.on_cancel_ack(order)
elif exec_type == fix.ExecType_REPLACE:
order.status = OrdStatus.REPLACED
self.order_handler.on_replace_ack(order)
elif exec_type == fix.ExecType_PENDING_CANCEL:
self.log.info(
'Received pending cancel for order [order id: {}]'.format(
order.order_id))
elif exec_type == fix.ExecType_STOPPED:
pass
elif exec_type == fix.ExecType_REJECTED:
ord_rej_reason = self._extract_field(fix.OrdRejReason(), message)
self.log.error('Submission rejected, ({}) {}'.format(
OrdRejReason[ord_rej_reason], ord_rej_reason))
order.status = OrdStatus.NEW_REJECT
self.order_handler.on_new_rej(order)
elif exec_type == fix.ExecType_SUSPENDED:
pass
elif exec_type == fix.ExecType_PENDING_NEW:
self.log.info(
'Received pending new for order [order id: {}]'.format(
order.order_id))
elif exec_type == fix.ExecType_CALCULATED:
pass
elif exec_type == fix.ExecType_EXPIRED:
pass
elif exec_type == fix.ExecType_RESTATED:
pass
elif exec_type == fix.ExecType_PENDING_REPLACE:
self.log.info(
'Received pending replace for order [order id: {}]'.format(
order.order_id))
elif exec_type == fix.ExecType_TRADE:
exec_id = self._extract_field(fix.ExecID(), message)
transact_time = self._extract_date_field(fix.TransactTime(),
message)
remaining_qty = self._extract_field(fix.LeavesQty(), message)
executed_qty = self._extract_field(fix.CumQty(), message)
last_qty = self._extract_field(fix.LastQty(), message)
last_px = self._extract_field(fix.LastPx(), message)
order.executed_qty = executed_qty
execution = Execution(order.order_id)
execution.exec_id = exec_id
execution.transact_time = transact_time
execution.last_price = last_px
execution.last_qty = last_qty
if remaining_qty == 0:
order.status = OrdStatus.FULLY_FILLED
else:
order.status = OrdStatus.PARTIALLY_FILLED
self.order_store.store_exec_id(exec_id, execution)
self.order_handler.on_execution(order, execution)
elif exec_type == fix.ExecType_TRADE_CORRECT:
pass
elif exec_type == fix.ExecType_TRADE_CANCEL:
pass
elif exec_type == fix.ExecType_ORDER_STATUS:
pass
else:
self.log.error('Unknown execType: {}'.format(exec_type))