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 fromAdmin(self, message, sessionID):
if SKIP_AUTHENTICATION:
print("Received the following admin message: %s" %
message.toString())
return
beginString = fix.BeginString()
msgType = fix.MsgType()
msgSeqNum = fix.MsgSeqNum()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
message.getHeader().getField(msgSeqNum)
if msgType.getString() == fix.MsgType_Logon:
try:
rawData = fix.RawData()
message.getField(rawData)
jsonStr = json.loads(rawData.getValue())
self.accessKey = jsonStr['AccessKey']
self.secretKey = jsonStr['SecretKey']
response = authenticateMe(self.accessKey, self.secretKey)
jResponse = json.loads(response)
if 'error' in jResponse and jResponse['error']:
raise fix.RejectLogon("wrong signature")
except KeyboardInterrupt:
return
except Exception as e:
print(e)
raise fix.RejectLogon(
"failed to authenticate on server. Please contact istox IT!"
)
print("Received the following admin message: %s" % message.toString())
return
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 fromApp(self, message, sessionID):
print("Received the following message: %s" % message.toString())
beginString = fix.BeginString()
msgType = fix.MsgType()
msgSeqNum = fix.MsgSeqNum()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
message.getHeader().getField(msgSeqNum)
print("Message type = %s" % msgType.getString())
if msgType.getString() == fix.MsgType_NewOrderSingle:
print("New Order received")
if SKIP_AUTHENTICATION:
executionReport = self.getExecutionReportForNewOrder(message)
else:
executionReport = self.getExecutionReportForNewOrder2(message)
print("Execution report to send: %s" % executionReport.toString())
self.sendReport(executionReport, sessionID)
elif msgType.getString() == fix.MsgType_OrderCancelRequest:
print("Cancel Order received")
if SKIP_AUTHENTICATION:
executionReport = self.getExecutionReportForCancelOrder(
message)
# use below 3 lines and comment out above 3 if you want to send order cancel reject message
# orderCancelReject = self.getOrderCancelReject(message)
# print("Order cancel reject to send: %s" % orderCancelReject.toString())
# self.sendReport(orderCancelReject, sessionID)
else:
executionReport = self.getExecutionReportForCancelOrder2(
message)
print("Execution report to send: %s" % executionReport.toString())
self.sendReport(executionReport, sessionID)
elif msgType.getString() == fix.MsgType_OrderStatusRequest:
print("Order status request received")
if SKIP_AUTHENTICATION:
executionReport = self.getExecutionReportForStatusRequest(
message)
else:
executionReport = self.getExecutionReportForStatusRequest2(
message)
print("Execution report to send: %s" % executionReport.toString())
self.sendReport(executionReport, sessionID)
else:
print("Unsupported MsgType")
reject = fix.Message()
reject.getHeader().setField(beginString)
reject.getHeader().setField(fix.MsgType(fix.MsgType_Reject))
reject.setField(fix.RefMsgType(msgType.getString()))
reject.setField(fix.RefSeqNum(
msgSeqNum.getValue())) #45 = RefSeqNum
reject.setField(
fix.SessionRejectReason(fix.SessionRejectReason_INVALID_MSGTYPE
)) #373 = 11 INVALID_MSGTYPE
reject.setField(
fix.Text("iSTOX FIX API does not support this message type"))
self.sendReport(reject, sessionID)
def logout_msg(sender_comp_id, target_comp_id, username_client, ):
global ntwk_id
logout_req = fix.Message()
logout_req.getHeader().setField(fix.BeginString(fix.BeginString_FIXT11))
logout_req.getHeader().setField(fix.MsgType(fix.MsgType_Logout))
logout_req.setField(fix.SenderCompID(sender_comp_id))
logout_req.setField(fix.TargetCompID(target_comp_id))
logout_req.setField(fix.MsgSeqNum(5))
logout_req.setField(fix.Username(username_client))
logout_req.setField(fix.NetworkResponseID("%s" % ntwk_id))
logout_req = bytes(logout_req.toString(), encoding="UTF-8")
return logout_req
def __uncorkKey(message):
"""
Return a value that can be used as a key based on a message type
:param message: FIX message
:return: key
"""
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if msgType.getValue() == fix.MsgType_Logon:
sequence = fix.MsgSeqNum()
message.getHeader().getField(sequence)
return '%s_%s' % (fix.MsgType_Logon, sequence.getValue())
if msgType.getValue() == fix.MsgType_Logout:
sequence = fix.MsgSeqNum()
message.getHeader().getField(sequence)
return '%s_%s' % (fix.MsgType_Logout, sequence.getValue())
if msgType.getValue() == fix.MsgType_Heartbeat:
sequence = fix.MsgSeqNum()
message.getHeader().getField(sequence)
return '%s_%s' % (fix.MsgType_Heartbeat, sequence.getValue())
if msgType.getValue() == fix.MsgType_NewOrderSingle or msgType.getValue() == fix.MsgType_ExecutionReport \
or msgType.getValue() == fix.MsgType_OrderCancelRequest \
or msgType.getValue() == fix.MsgType_OrderCancelReject:
cId = fix.ClOrdID()
message.getField(cId)
return cId.getValue()
if msgType.getValue(
) == fix.MsgType_CollateralInquiry or msgType.getValue(
) == fix.MsgType_CollateralReport:
colId = fix.CollInquiryID()
message.getField(colId)
return colId.getValue()
if msgType.getValue() == fix.MsgType_RequestForPositions or msgType.getValue() == fix.MsgType_PositionReport \
or msgType.getValue() == fix.MsgType_RequestForPositionsAck:
posId = fix.PosReqID()
message.getField(posId)
return posId.getValue()
return None
def test_heartbeat(self):
sequence = fix.MsgSeqNum(1)
requestTime = fix.SendingTime()
requestTime.setString('20170606-03:52:34.924')
request = fix44.Heartbeat()
request.getHeader().setField(requestTime)
request.getHeader().setField(sequence)
responseTime = fix.SendingTime()
responseTime.setString('20170606-03:52:14.824')
response = fix44.Heartbeat()
response.getHeader().setField(responseTime)
response.getHeader().setField(sequence)
currentLag = {}
def receive(event):
currentLag[0] = event.CurrentTimeLag
self.Store.addTimeLagListener(receive)
self.Store.addRequest(request)
self.Store.addResponse(response)
self.assertEqual(currentLag[0], 20.1)
def checkAccountData(self):
try:
LOG_EVENT("Check Account Data")
orderMsg = fix.Message()
orderMsg.getHeader().setField(self.sessionID.getBeginString())
orderMsg.getHeader().setField(fix.MsgType("UAR"))
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(20003, self.genExecID())
LOG_PACKET(orderMsg.toString())
fix.Session.sendToTarget(orderMsg, self.sessionID)
except Exception as e:
print(e)
def logon_msg(sender_comp_id, target_comp_id, username_client, response_id_network):
if response_id_network is None:
response_id_network = int((numpy.random.random()) * 100000)
global ntwk_id
ntwk_id = response_id_network
_message_logger.info("Logon with response id: %s" % response_id_network)
_message_logger.debug("Building logon message")
logon_req = fix.Message()
logon_req.getHeader().setField(fix.BeginString(fix.BeginString_FIXT11))
logon_req.getHeader().setField(fix.MsgType(fix.MsgType_Logon))
logon_req.setField(fix.SenderCompID(sender_comp_id))
logon_req.setField(fix.TargetCompID(target_comp_id))
logon_req.setField(fix.MsgSeqNum(1))
logon_req.setField(fix.UserRequestType(1))
logon_req.setField(fix.HeartBtInt(1))
logon_req.setField(fix.Username(username_client))
logon_req.setField(fix.NetworkResponseID("%s" % response_id_network))
logon_req.setField(fix.DefaultApplVerID(fix.ApplVerID_FIX50SP2))
logon_req.setField(1701, "1")
logon_req.getTrailer().setField(fix.MarketID("2"))
logon_req.setField(fix.DefaultApplVerID("FIX.5.0SP2"))
logon_req = bytes(logon_req.toString(), encoding="UTF-8")
_message_logger.debug("Logon message built")
return logon_req
initiator.start()
while 1:
time.sleep(1)
if message_flag is True:
message = fix.Message()
header = message.getHeader()
trailer = message.getTrailer()
header.setField(fix.BeginString(fix.BeginString_FIX42))
header.setField(fix.BodyLength())
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle))
header.setField(fix.SendingTime())
header.setField(fix.SenderSubID("SG1"))
header.setField(fix.TargetSubID("BARCA"))
header.setField(fix.MsgSeqNum())
header.setField(fix.DefaultApplVerID(fix.ApplVerID_FIX42))
message.setField(fix.ClOrdID("ClOrdID"))
message.setField(
fix.AccountType(
fix.
AccountType_ACCOUNT_IS_CARRIED_ON_CUSTOMER_SIDE_OF_BOOKS))
message.setField(fix.Symbol("APPL"))
message.setField(
fix.HandlInst(
fix.
HandlInst_AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION
))
message.setField(fix.ReceivedDeptID("I"))
message.setField(fix.Side(fix.Side_BUY))
backupCount=50)
fmt = logging.Formatter("%(asctime)s.%(msecs)03d %(message)s")
parser_handler.setFormatter(fmt)
parser_handler.setLevel(logging.DEBUG)
_parser_logger = logging.getLogger("mega_trader.mt_data_parser")
_parser_logger.propagate = False
_parser_logger.addHandler(parser_handler)
dd = fix.DataDictionary(definitions.FIX50SP02)
begin_string = fix.BeginString()
body_length = fix.BodyLength()
message_type = fix.MsgType()
sender_id = fix.SenderCompID()
target_id = fix.TargetCompID()
msg_seq = fix.MsgSeqNum()
sender_sub_id = fix.SenderSubID()
target_sub_id = fix.TargetSubID()
duplicate_flag = fix.PossDupFlag()
user_req_type = fix.UserRequestType()
gateway_id = fix.MarketID()
orig_sending_time = fix.OrigSendingTime()
sending_time = fix.SendingTime()
on_behalf_id = fix.OnBehalfOfCompID()
check_sum = fix.CheckSum()
TOKEN_NO = 48
LTP = 1835
LTQ = 1843
LTT = 1844
AVG_TP = 1845
def update_seq_num(self, message: fix.Message):
""""""
seq_num: int = get_field_value(message.getHeader(), fix.MsgSeqNum())
session: fix.Session = fix.Session.lookupSession(self.session_id)
session.setNextSenderMsgSeqNum(seq_num + 1)
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