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 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 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 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 onMessage(self, message, sessionID):
msg_type = get_header_value(message, fix.MsgType())
if msg_type == fix.MsgType_MarketDataRequest:
group = fix44.MarketDataRequest.NoRelatedSym()
group_count = get_field_value(message, fix.NoRelatedSym())
for group_idx in range(1, group_count + 1):
message.getGroup(group_idx, group)
symbol = get_field_value(group, fix.Symbol())
if not sessionID.getTargetCompID().getString() in self.marketSubscribers[symbol]:
self.marketSubscribers[symbol].append(sessionID.getTargetCompID().getString())
def __remove_client(self, message, sessionID):
no_of_symbols = fix.NoRelatedSym()
no_related_symbols = fix44.MarketDataRequest.NoRelatedSym()
message.getField(no_of_symbols)
symbol = fix.Symbol()
for i in range(no_of_symbols):
message.getGroup(i + 1, no_related_symbols)
no_related_symbols.getField(symbol)
sym = symbol.getValue()
if sym in self.clients:
self.clients[sym].remove(sessionID)
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 __add_client(self, message, sessionID):
no_of_symbols = fix.NoRelatedSym()
no_related_symbols = fix44.MarketDataRequest().NoRelatedSym()
message.getField(no_of_symbols)
symbol = fix.Symbol()
for i in range(no_of_symbols.getValue()):
message.getGroup(i + 1, no_related_symbols)
no_related_symbols.getField(symbol)
sym = symbol.getValue()
self.logger.debug(
f"Got request for symbol {sym} from {sessionID}.")
if sym in self.clients:
self.clients[sym].append(sessionID)
else:
self.clients[sym] = [sessionID]
def GetMarketData(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.MsgType(fix.MsgType_MarketDataRequest))
noRelatedSym = fix44.MarketDataRequest().NoRelatedSym()
noRelatedSym.setField(fix.Symbol('XBTCNY'))
message.addGroup(noRelatedSym)
message.setField(fix.NoRelatedSym(1))
message.setField(fix.MDReqID('1'))
message.setField(fix.SubscriptionRequestType('0'))
message.setField(fix.MarketDepth(10))
group = fix44.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType('0'))
message.addGroup(group)
group.setField(fix.MDEntryType('1'))
message.addGroup(group)
group.setField(fix.MDEntryType('2'))
message.addGroup(group)
group.setField(fix.MDEntryType('3'))
message.addGroup(group)
group.setField(fix.MDEntryType('4'))
message.addGroup(group)
group.setField(fix.MDEntryType('5'))
message.addGroup(group)
group.setField(fix.MDEntryType('6'))
message.addGroup(group)
group.setField(fix.MDEntryType('7'))
message.addGroup(group)
group.setField(fix.MDEntryType('8'))
message.addGroup(group)
group.setField(fix.MDEntryType('9'))
message.addGroup(group)
group.setField(fix.MDEntryType('A'))
message.addGroup(group)
group.setField(fix.MDEntryType('B'))
message.addGroup(group)
group.setField(fix.MDEntryType('C'))
message.addGroup(group)
fix.Session.sendToTarget(message, self.sessionID)
def marketDataRequest(self):
# pag 63
msg = fix50.MarketDataRequest()
header = msg.getHeader()
# header.setField(fix.BeginString(fix.BeginString_FIXT11))
# header.setField(fix.MsgType(msgType))
header.setField(fix.SenderCompID("pjseoane232"))
header.setField(fix.TargetCompID("ROFX"))
# msg = self.buildMsgHeader("V")
msg.setField(fix.MDReqID("ListaMktData2"))
msg.setField(fix.SubscriptionRequestType('2'))
msg.setField(fix.MarketDepth(1))
msg.setField(fix.MDUpdateType(0))
msg.setField(fix.AggregatedBook(True))
# msg.setField(fix.NoMDEntryTypes(2))
# ---- define Group
group = fix50.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType('0'))
msg.addGroup(group)
# group = fix50.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType('1'))
msg.addGroup(group)
# group3 = fix50.MarketDataRequest().NoMDEntryTypes()
# group3.setField(fix.MDEntryType('2'))
# msg.addGroup(group3)
# -----------------------------------------
msg.setField(fix.NoRelatedSym(1))
group = fix50.MarketDataRequest().NoRelatedSym()
group.setField(fix.Symbol("RFX20Sep19"))
msg.addGroup(group)
fix.Session.sendToTarget(msg)
