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 getOrderCancelReject(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
clOrdID = fix.ClOrdID()
orderID = fix.OrderID()
origClOrdID = fix.OrigClOrdID()
message.getField(clOrdID)
message.getField(orderID)
message.getField(origClOrdID)
orderCancelReject = fix.Message()
orderCancelReject.getHeader().setField(beginString)
orderCancelReject.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelReject))
orderCancelReject.setField(clOrdID)
orderCancelReject.setField(orderID)
orderCancelReject.setField(origClOrdID)
orderCancelReject.setField(fix.OrdStatus(
fix.OrdStatus_FILLED)) #39 = 2 FILLED
orderCancelReject.setField(
fix.CxlRejReason(0)) #102=0 TOO_LATE_TO_CANCEL
orderCancelReject.setField(
fix.CxlRejResponseTo(1)) #434=1 ORDER_CANCEL_REQUEST
return orderCancelReject
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 new_order(self, message, beginString, sessionID):
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price(50)
clOrdID = fix.ClOrdID()
message.getField(ordType)
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
log.info("new_order:\nordType:{},symbol:{},side:{},orderQty:{},price:{},clOrdID:{} -----"\
.format(ordType, symbol, side, orderQty, price, clOrdID))
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.TransactTime())
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_NEW))
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.ExecType(fix.ExecType_NEW))
executionReport.setField(fix.LeavesQty(orderQty.getValue()))
try:
fix.Session.sendToTarget(executionReport, sessionID)
time.sleep(1)
if ordType.getValue() == fix.OrdType_MARKET:
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(fix.ExecType(fix.ExecType_TRADE))
fix.Session.sendToTarget(executionReport, sessionID)
except fix.SessionNotFound as e:
return
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 sendFill(self, orderID, quantity):
message = self.startFIXString(orderID)
if self.orders[orderID]['leaves'] <= quantity:
message.setField(quickfix.OrdStatus(quickfix.OrdStatus_FILLED))
message.setField(quickfix.ExecType(quickfix.ExecType_FILL))
else:
message.setField(quickfix.OrdStatus(quickfix.OrdStatus_PARTIALLY_FILLED))
message.setField(quickfix.ExecType(quickfix.ExecType_PARTIAL_FILL))
message.setField(quickfix.LastShares(quantity))
if 'price' in self.orders[orderID]:
message.setField(quickfix.LastPx(self.orders[orderID]['price']))
else:
message.setField(quickfix.LastPx(1.00))
quickfix.Session.sendToTarget(message, self.orders[orderID]['session'])
self.orders[orderID]['leaves'] -= quantity
if self.orders[orderID]['leaves'] < 1:
self.orders[orderID]['state'] = 'Filled'
def fromApp(self, message, sessionID):
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
clOrdID = fix.ClOrdID()
message.getField(ordType)
print(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)
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))
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(fix.ExecType_FILL))
executionReport.setField(fix.LeavesQty(0))
try:
fix.Session.sendToTarget(executionReport, sessionID)
except (SessionNotFound, e):
return
def _create_execution_report(
self,
symbol,
side,
client_order_id,
price=None,
quantity=None,
order_status=fix.OrdStatus_NEW,
exec_trans_type=fix.ExecTransType_NEW,
exec_type=fix.ExecType_NEW,
text=None,
reject_reason=None,
orig_client_order_id=None,
):
# defaults
execution_report = Message()
execution_report.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
execution_report.setField(
fix.OrderID(self.generate_order_id(symbol.getValue())))
execution_report.setField(
fix.ExecID(self.generate_execution_id(symbol.getValue())))
execution_report.setField(fix.OrdStatus(order_status))
execution_report.setField(symbol)
execution_report.setField(side)
execution_report.setField(client_order_id)
execution_report.setField(fix.ExecTransType(exec_trans_type))
execution_report.setField(fix.ExecType(exec_type))
execution_report.setField(fix.LeavesQty(0))
if price:
execution_report.setField(fix.AvgPx(price.getValue()))
execution_report.setField(fix.LastPx(price.getValue()))
if quantity:
execution_report.setField(fix.CumQty(quantity.getValue()))
execution_report.setField(fix.LastShares(quantity.getValue()))
execution_report.setField(quantity)
if orig_client_order_id:
execution_report.setField(
fix.OrigClOrdID(orig_client_order_id.getValue()))
if text:
execution_report.setField(fix.Text(text))
if exec_type == fix.ExecType_REJECTED:
execution_report.setField(fix.OrdRejReason(reject_reason))
self.logger.debug(
f"Created execution report {execution_report.__str__()}")
return execution_report
def fromApp(self, message, sessionID): beginString = fix.BeginString() msgType = fix.MsgType() message.getHeader().getField( beginString ) message.getHeader().getField( msgType ) if msgType.getValue() == 'F': print 'Cancel Request' symbol = fix.Symbol() side = fix.Side() clOrdID = fix.ClOrdID() origClOrdID = fix.OrigClOrdID() orderQty = fix.OrderQty() message.getField( orderQty ) message.getField( clOrdID ) message.getField( origClOrdID ) message.getField( symbol ) message.getField( side ) executionReport = fix.Message() executionReport.getHeader().setField( beginString ) executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) ) executionReport.setField( symbol ) executionReport.setField( side ) executionReport.setField( clOrdID ) executionReport.setField( origClOrdID ) executionReport.setField( fix.ExecID(self.genExecID()) ) executionReport.setField( fix.OrderID(self.genOrderID()) ) executionReport.setField( fix.AvgPx(0)) executionReport.setField( fix.LastShares(0)) executionReport.setField( fix.CumQty(0)) if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42: executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) ) executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) ) if beginString.getValue() >= fix.BeginString_FIX41: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) else: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) try: print executionReport fix.Session.sendToTarget( executionReport, sessionID ) except SessionNotFound, e: return
def getExecutionReportForCancelOrder(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
symbol = fix.Symbol()
side = fix.Side()
clOrdID = fix.ClOrdID()
message.getField(symbol)
message.getField(side)
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.OrdType(
fix.OrdType_LIMIT)) #40=2 Limit order
executionReport.setField(fix.OrderQty(100)) #38=100
executionReport.setField(fix.Price(10)) #44=10
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.AvgPx(10)) #6=10
executionReport.setField(fix.CumQty(100)) #14=100
executionReport.setField(clOrdID)
executionReport.setField(fix.Text("Order cancelled!"))
# Since FIX 4.3, ExecTransType 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_CANCEL))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(
fix.ExecType_CANCELED)) #150=4 CANCELED
executionReport.setField(fix.LeavesQty(0)) #151=0
return executionReport
def getExecutionReportForStatusRequest(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
clOrdID = fix.ClOrdID()
message.getField(clOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.Symbol("ABCD"))
executionReport.setField(fix.Side(fix.Side_BUY)) #43=1 Buy
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdType(
fix.OrdType_LIMIT)) #40=2 Limit order
executionReport.setField(fix.OrderQty(100)) #38=100
executionReport.setField(fix.Price(10)) #44=10
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(fix.AvgPx(10)) #6=10
executionReport.setField(fix.CumQty(100)) #14=100
executionReport.setField(clOrdID)
executionReport.setField(fix.Text("Order status retrieved!"))
# Since FIX 4.3, ExecTransType 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_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))
return executionReport
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 handle_execution_report(self, message):
order_id = TradingClass.FIXHandlerUtils.get_field_value(fix.OrderID(), message)
cl_ord_id = TradingClass.FIXHandlerUtils.get_field_value(fix.ClOrdID(), message)
orig_cl_ord_id = TradingClass.FIXHandlerUtils.get_field_value(fix.OrigClOrdID(), message)
exec_id = TradingClass.FIXHandlerUtils.get_field_value(fix.ExecID(), message)
exec_trans_type = TradingClass.FIXHandlerUtils.get_field_value(fix.ExecTransType(), message)
exec_type = TradingClass.FIXHandlerUtils.get_field_value(fix.ExecType(), message)
ord_status = TradingClass.FIXHandlerUtils.get_field_value(fix.OrdStatus(), message)
symbol = TradingClass.FIXHandlerUtils.get_field_value(fix.Symbol(), message)
side = TradingClass.FIXHandlerUtils.get_field_value(fix.Side(), message)
leaves_qty = TradingClass.FIXHandlerUtils.get_field_value(fix.LeavesQty(), message)
price = TradingClass.FIXHandlerUtils.get_field_value(fix.Price(), message)
cum_qty = TradingClass.FIXHandlerUtils.get_field_value(fix.CumQty(), message)
avg_px = TradingClass.FIXHandlerUtils.get_field_value(fix.AvgPx(), message)
order_execution = TradingClass.ExecutionReport(order_id, cl_ord_id, exec_id, exec_trans_type, exec_type,
ord_status, symbol, side, leaves_qty, cum_qty, avg_px, price, orig_cl_ord_id)
self.client_logic.process_order_execution_respond(order_execution)
return
def on_parent_order(self, message: fix.Message):
""""""
parent_orderid = get_field_value(message, fix.ClOrdID())
# Get parent orderid of cancel request
if parent_orderid.startswith("Cancel"):
parent_orderid = get_field_value(message, fix.OrigClOrdID())
# If this parent order is from previous session
if parent_orderid not in self.algo_settings:
# Cancel it to avoid future update
self.cancel_parent_order(parent_orderid)
return
tradeid = get_field_value(message, fix.ExecID())
status = get_field_value(message, fix.OrdStatus())
side = get_field_value(message, fix.Side())
genus_symbol = get_field_value(message, fix.Symbol())
order_traded = get_field_value(message, fix.CumQty())
text = get_field_value(message, fix.Text())
algo_type = get_field_value(message, fix.StringField(847))
variables = {"推送编号": tradeid, "已成交": order_traded, "算法信息": text}
self.algo_settings[parent_orderid] = {
"symbol": genus_symbol,
"side": side,
"algo_type": algo_type
}
# Add algo active status
if status in {"0", "1", "5", "6", "A", "D", "E"}:
variables["active"] = True
else:
variables["active"] = False
if status == "C":
self.client.write_log("执行时间已结束，停止算法", parent_orderid)
self.client.put_variables_event(parent_orderid, variables)
def fromApp(self, message, sessionID):
logger.info("fromApp:" + message.__str__())
#print "fromApp...", sessionID, message
msgType = fix.MsgType()
clOrdID = fix.ClOrdID()
orderStatus = fix.OrdStatus()
message.getHeader().getField(msgType)
if (msgType.getValue() == fix.MsgType_ExecutionReport):
echo = fix.Message(message)
message.getField(orderStatus)
if (orderStatus.getString() == "8"):
print "reject"
elif (orderStatus.getString() == "0"):
print "new"
elif (msgType.getValue() == "UAP"):
PosReqType = fix.PosReqType()
message.getField(PosReqType)
logger.info("PosReqType.getValue():" + PosReqType.getString())
if (PosReqType.getValue() == 0):
self.OnNoPositions(message)
elif (PosReqType.getValue() == 9):
self.OnNoPosAmt(message)
def cancel_child_order(self, message: fix.Message):
""""""
cl_ord_id = get_field_value(message, fix.OrigClOrdID())
vt_orderid = self.genus_vt_map.get(cl_ord_id, "")
if vt_orderid:
child_order = self.child_orders[vt_orderid]
if child_order.ord_status not in {"2", "8", "4"}:
self.client.cancel_order(vt_orderid)
return
# Reject cancel request
self.exec_id += 1
message = new_message(fix.MsgType_OrderCancelReject)
message.setField(fix.ClOrdID(cl_ord_id))
message.setField(fix.OrigClOrdID(cl_ord_id))
message.setField(fix.OrdStatus("8"))
message.setField(fix.ExecID(str(self.exec_id)))
message.setField(434, "1")
fix.Session.sendToTarget(message, self.session_id)
def onNewOrderSingle(self, message, beginString, sessionID):
symbol = quickfix.Symbol()
side = quickfix.Side()
ordType = quickfix.OrdType()
orderQty = quickfix.OrderQty()
price = quickfix.Price()
clOrdID = quickfix.ClOrdID()
quoteID = quickfix.QuoteID()
currency = quickfix.Currency()
message.getField(ordType)
if ordType.getValue() != quickfix.OrdType_PREVIOUSLY_QUOTED:
raise quickfix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
message.getField(quoteID)
message.getField(currency)
executionReport = quickfix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
quickfix.MsgType(quickfix.MsgType_ExecutionReport))
executionReport.setField(quickfix.OrderID(self.idGen.orderID()))
executionReport.setField(quickfix.ExecID(self.idGen.execID()))
try:
reject_chance = random.choice(range(1, 101))
if self.rejectRate > reject_chance:
raise FixSimError("Rejected by cruel destiny %s" % str(
(reject_chance, self.rejectRate)))
subscription = self.subscriptions.get(symbol.getValue())
quote = subscription.orderbook.get(quoteID.getValue())
execPrice = price.getValue()
execSize = orderQty.getValue()
if execSize > quote.size:
raise FixSimError("size to large for quote")
if abs(execPrice - quote.price) > 0.0000001:
raise FixSimError("Trade price not equal to quote")
executionReport.setField(
quickfix.SettlDate(self.getSettlementDate()))
executionReport.setField(quickfix.Currency(subscription.currency))
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(price.getValue()))
executionReport.setField(quickfix.AvgPx(execPrice))
executionReport.setField(quickfix.LastPx(execPrice))
executionReport.setField(quickfix.LastShares(execSize))
executionReport.setField(quickfix.CumQty(execSize))
executionReport.setField(quickfix.OrderQty(execSize))
executionReport.setField(quickfix.ExecType(quickfix.ExecType_FILL))
executionReport.setField(quickfix.LeavesQty(0))
except Exception as e:
self.logger.exception("FixServer:Close order error")
executionReport.setField(quickfix.SettlDate(''))
executionReport.setField(currency)
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_REJECTED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(0))
executionReport.setField(quickfix.AvgPx(0))
executionReport.setField(quickfix.LastPx(0))
executionReport.setField(quickfix.LastShares(0))
executionReport.setField(quickfix.CumQty(0))
executionReport.setField(quickfix.OrderQty(0))
executionReport.setField(
quickfix.ExecType(quickfix.ExecType_REJECTED))
executionReport.setField(quickfix.LeavesQty(0))
self.sendToTarget(executionReport, sessionID)
def __unpackMessage(self, message):
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if msgType.getValue() == fix.MsgType_RequestForPositionsAck:
account = fix.Account()
message.getField(account)
posId = fix.PosReqID()
message.getField(posId)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
PosReqID=posId.getValue(),
Symbol=None,
Maturity=None,
NoPositions=0,
LongQty=0,
ShortQty=0,
PosAmt=0,
SettlPrice=0,
NoPosAmt=0,
ClearingBusinessDate=None,
AccountInquiry=AccountInquiry.RequestForPositions)
elif msgType.getValue() == fix.MsgType_PositionReport:
account = fix.Account()
message.getField(account)
posId = fix.PosReqID()
message.getField(posId)
symbol = fix.Symbol()
message.getField(symbol)
maturity = fix.MaturityMonthYear()
message.getField(maturity)
noPositions = fix.NoPositions()
message.getField(noPositions)
longQty = fix.LongQty()
message.getField(longQty)
shortQty = fix.ShortQty()
message.getField(shortQty)
posAmt = fix.PosAmt()
message.getField(posAmt)
cBusDate = fix.ClearingBusinessDate()
message.getField(cBusDate)
settlePrice = fix.SettlPrice()
message.getField(settlePrice)
noPosAmt = fix.NoPosAmt()
message.getField(noPosAmt)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
PosReqID=posId.getValue(),
Symbol=symbol.getValue(),
Maturity=maturity.getValue(),
NoPositions=noPositions.getValue(),
LongQty=longQty.getValue(),
ShortQty=shortQty.getValue(),
PosAmt=posAmt.getValue(),
SettlPrice=settlePrice.getValue(),
NoPosAmt=noPosAmt.getValue(),
ClearingBusinessDate=cBusDate.getValue(),
AccountInquiry=AccountInquiry.RequestForPositions)
elif msgType.getValue() == fix.MsgType_CollateralReport:
account = fix.Account()
message.getField(account)
ccy = fix.Currency()
message.getField(ccy)
csh = fix.CashOutstanding()
message.getField(csh)
colId = fix.CollInquiryID()
message.getField(colId)
self.Notifier.notifyMsgHandlers(
Notify.Account,
Account=account.getValue(),
Currency=ccy.getValue(),
Balance=csh.getValue(),
CollInquiryID=colId.getValue(),
AccountInquiry=AccountInquiry.CollateralInquiry)
elif msgType.getValue() == fix.MsgType_OrderCancelReject:
cId = fix.ClOrdID()
message.getField(cId)
origClOrdID = fix.OrigClOrdID()
message.getField(origClOrdID)
self.Notifier.notifyMsgHandlers(Notify.Order,
ClientOrderId=cId.getValue(),
Symbol=None,
AvgPx=None,
Quantity=None,
Side=None,
Status=OrderStatus.CancelRejected,
OrigClOrdID=origClOrdID.getValue(),
Sender=self.FixClientRef)
elif msgType.getValue() == fix.MsgType_ExecutionReport:
cId = fix.ClOrdID()
message.getField(cId)
fixStatus = fix.OrdStatus()
message.getField(fixStatus)
price = fix.AvgPx()
message.getField(price)
qty = fix.OrderQty()
message.getField(qty)
side = fix.Side()
message.getField(side)
symbol = fix.Symbol()
message.getField(symbol)
orderSide = None
origOrderId = None
if side.getValue() == fix.Side_BUY:
orderSide = OrderSide.Buy
elif side.getValue() == fix.Side_SELL:
orderSide = OrderSide.Sell
status = None
if fixStatus.getValue() == fix.OrdStatus_NEW:
status = OrderStatus.New
elif fixStatus.getValue() == fix.OrdStatus_CANCELED:
status = OrderStatus.Cancelled
origClOrdID = fix.OrigClOrdID()
message.getField(origClOrdID)
origOrderId = origClOrdID.getValue()
elif fixStatus.getValue() == fix.OrdStatus_FILLED:
status = OrderStatus.Filled
elif fixStatus.getValue() == fix.OrdStatus_REJECTED:
status = OrderStatus.Rejected
if status is not None:
self.Notifier.notifyMsgHandlers(Notify.Order,
ClientOrderId=cId.getValue(),
Symbol=symbol.getValue(),
AvgPx=price.getValue(),
Quantity=qty.getValue(),
Side=orderSide,
Status=status,
OrigClOrdID=origOrderId,
Sender=self.FixClientRef)
def parse_ExecutionReport(self, message, sending_time):
# Extract fields from the message here and pass to an upper layer
if self.verbose:
print('[fromApp] Execution Report received!')
print(f'[fromApp] {read_FIX_message(message)}')
# Tag 11 (client order ID, the one we sent)
# must be the same type (int) as in open_orders.
ClOrdID = extract_message_field_value(fix.ClOrdID(), message, 'int')
# print('ClOrdID:', ClOrdID)
# Tag 15
# _Currency = extract_message_field_value(fix.Currency(), message)
# print('_Currency:', _Currency)
# Tag 17
# _ExecID = extract_message_field_value(fix.ExecID(), message)
# print('_ExecID:', _ExecID)
# Tag 37
# _OrderID = extract_message_field_value(fix.OrderID(), message)
# print('_OrderID:', _OrderID)
# Tag 39 OrderStatus: 0 = New, 1 = Partially filled, 2 = Filled, 3 = Done for day, 4 = Canceled,
# 6 = Pending Cancel (e.g. result of Order Cancel Request <F>), 7 = Stopped,
# 8 = Rejected, 9 = Suspended, A = Pending New, B = Calculated, C = Expired,
# D = Accepted for bidding, E = Pending Replace (e.g. result of Order Cancel/Replace Request <G>)
# maybe also check 3=Done for day, 7=Stopped, 9=Suspended, B=Calculated and C=Expired, but it seems that Stopped means it can still be filled?
# https://www.onixs.biz/fix-dictionary/4.4/tagNum_39.html
ordStatus = extract_message_field_value(fix.OrdStatus(), message,
'str')
# print('ordStatus:', ordStatus)
# Tag 150 Execution type
# 0 = New, 4 = Canceled, F = Trade (partial fill or fill), I = Order Status, ...
_ExecType = extract_message_field_value(fix.ExecType(), message)
# print('_ExecType:', _ExecType)
# if the exection report is a response to an OrderStatusRequest,
# fields other than OrdStatus might not be set.
if _ExecType == 'I':
if ClOrdID in self.open_orders.keys():
self.open_orders[ClOrdID].status = ordStatus
else:
print(f'Order {ClOrdID} not found! Order status: {ordStatus}')
return
# Tag 40 OrderType: 1 = Market, 2 = Limit, 3 = Stop
ordType = extract_message_field_value(fix.OrdType(), message, 'str')
# print('ordType:', ordType)
# Tag 44
price = extract_message_field_value(fix.Price(), message, 'float')
# print('price:', price)
# Tag 54
side = extract_message_field_value(fix.Side(), message, 'str')
# print('side:', side)
# Tag 55
symbol = extract_message_field_value(fix.Symbol(), message, 'str')
# print('symbol:', symbol)
# canceled or rejected: here a few fields are not defined, which would
# prevent further parsing of the message. therefore, exiting earlier.
# https://www.onixs.biz/fix-dictionary/4.4/tagNum_39.html
# tags not defined: 60, 18, 100
# [fromApp] 8=FIX.4.4, 9=164, 35=8, 34=33, 49=XCD17, 52=20201020-10:04:25.518,
# 56=T008, 11=51515, 14=0.0, 17=0, 37=0, 38=1000, 39=8, 40=2, 44=1.17, 54=1,
# 55=EUR/USD, 58=reject: duplicate clOrdID, 150=8, 151=0.0, 10=073
if ordStatus == '4' or ordStatus == '6' or ordStatus == '8':
action = 'canceled'
if ordStatus == '8':
action = 'rejected'
if ClOrdID in self.open_orders.keys(
): # the report might be sent after restarting the FIX algo.
if ordStatus == '4' or ordStatus == '6':
if self.verbose:
print(f'Order {action}: {self.open_orders[ClOrdID]}')
if ordStatus == '8':
if self.verbose:
print(f'Order {action}: {self.open_orders[ClOrdID]}')
del self.open_orders[ClOrdID]
elif self.verbose:
print(f'Order {action}, but not found in open_orders.')
report = execution_report(ClOrdID, symbol, side, price, ordType,
ordStatus, 0, 0, 0, 0)
self.execution_history.append(report)
if self.verbose:
print(report)
transactTime = datetime_to_str(datetime.datetime.utcnow())
log(
self.execution_logger,
'{},{},{},{},{},{},{},{},{},{},{}'.format(
transactTime, ClOrdID, symbol, side, price, ordType,
ordStatus, 0, 0, 0, 0))
if self.read_positions_from_file:
self.save_positions_to_file()
self.lock.acquire()
self.tick_processor.on_execution_report(report, self)
self.lock.release()
return
# Tag 60 (how to make it a datetime object?)
# here without extract_message_field_value() because we want to call getString() and not getValue().
transactTime = fix.TransactTime()
message.getField(transactTime)
transactTime = transactTime.getString()
# print('transactTime:', transactTime)
# Tag 18
orderQty = extract_message_field_value(fix.OrderQty(), message, 'int')
# print('orderQty:', orderQty)
# Tag 110
minQty = extract_message_field_value(fix.MinQty(), message, 'int')
# print('minQty:', minQty)
# Tag 14 CumQty: Total quantity filled.
cumQty = extract_message_field_value(fix.CumQty(), message, 'int')
# print('cumQty:', cumQty)
# Tag 151 LeavesQty: Quantity open for further execution. 0 if 'Canceled', 'DoneForTheDay',
# 'Expired', 'Calculated', or' Rejected', else LeavesQty <151> = OrderQty <38> - CumQty <14>.
leavesQty = extract_message_field_value(fix.LeavesQty(), message,
'int')
# print('leavesQty:', leavesQty)
if not ClOrdID in self.open_orders.keys():
log(self.execution_logger,
f'[ERROR] ClOrdID {ClOrdID} not found in open_orders:', True)
for o in self.open_orders:
log(self.execution_logger, o)
report = execution_report(ClOrdID, symbol, side, price, ordType,
ordStatus, orderQty, minQty, cumQty,
leavesQty)
self.execution_history.append(report)
print(report)
# maybe better exit if the ID was not found?
# but it could happen on the start of a session with PersistMessages=Y.
return
self.open_orders[ClOrdID].status = ordStatus
if ordStatus == '0': # new
self.open_orders[ClOrdID].openTime = transactTime
elif ordStatus == '1' and leavesQty > 0: # partially filled
if leavesQty == 0:
if ClOrdID in self.open_orders.keys():
del self.open_orders[ClOrdID]
else:
self.open_orders[ClOrdID].leaves_quantity = leavesQty
# orderQty is the ordered quantity, cumQty the one filled.
self.add_position(symbol, side, cumQty)
# for consistency check. canceled quantity is orderQty-cumQty.
self.add_canceled_quantity(symbol, side, orderQty - cumQty)
elif ordStatus == '2': # filled
if ClOrdID in self.open_orders.keys():
del self.open_orders[ClOrdID]
self.add_position(symbol, side, cumQty)
# if there was a partial fill before, a following canceled order can have a non-zero cumQty.
elif ordStatus == '3':
if ClOrdID in self.open_orders.keys():
del self.open_orders[ClOrdID]
report = execution_report(ClOrdID, symbol, side, price, ordType,
ordStatus, orderQty, minQty, cumQty,
leavesQty)
self.execution_history.append(report)
if self.verbose:
print(report)
log(
self.execution_logger, '{},{},{},{},{},{},{},{},{},{},{}'.format(
transactTime, ClOrdID, symbol, side, price, ordType, ordStatus,
orderQty, minQty, cumQty, leavesQty))
if self.read_positions_from_file:
self.save_positions_to_file()
self.lock.acquire()
self.tick_processor.on_execution_report(report, self)
self.lock.release()
def process_execution_report(self, message):
order_status_field = quickfix.OrdStatus()
message.getField(order_status_field)
return order_status_field
def getExecutionReportForStatusRequest2(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
clOrdID = fix.ClOrdID()
orderID = fix.OrderID()
message.getField(clOrdID)
message.getField(orderID)
response = getOrder(self.accessKey, self.secretKey, orderID.getValue())
jResponse = json.loads(response)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.ExecID(self.genExecID()))
# todo get client order id
executionReport.setField(clOrdID)
if 'error' in jResponse and jResponse['error']:
executionReport.setField(fix.OrderID(orderID.getValue()))
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_ORDER))
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.Side(fix.Side_BUY if jResponse['side'] ==
'buy' else fix.Side_SELL))
executionReport.setField(
fix.OrdType(
fix.OrdType_LIMIT if jResponse['ord_type'] ==
'limit' else fix.OrdType_MARKET)) #40=2 Limit order
executionReport.setField(fix.Symbol(jResponse['market']))
executionReport.setField(fix.Price(float(jResponse['price']))) #44
executionReport.setField(fix.OrderQty(float(
jResponse['volume']))) #38
executionReport.setField(
fix.CumQty(float(jResponse['executed_volume']))) #14=100
executionReport.setField(fix.AvgPx(float(
jResponse['avg_price']))) #6
executionReport.setField(fix.Text('Order status retrieved!'))
# Since FIX 4.3, ExecTransType 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_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))
return executionReport
def getExecutionReportForCancelOrder2(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
symbol = fix.Symbol()
side = fix.Side()
clOrdID = fix.ClOrdID()
orderID = fix.OrderID()
origClOrdID = fix.OrigClOrdID()
message.getField(symbol)
message.getField(side)
message.getField(clOrdID)
message.getField(orderID)
message.getField(origClOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
data = {}
data['id'] = orderID.getValue()
response = cancelOrder(self.accessKey, self.secretKey,
orderID.getValue())
jResponse = json.loads(response)
executionReport.setField(fix.OrderID(orderID.getValue()))
# todo get client order id
executionReport.setField(clOrdID)
executionReport.setField(fix.ExecID(self.genExecID()))
if 'error' in jResponse and jResponse['error']:
orderCancelReject = fix.Message()
orderCancelReject.getHeader().setField(beginString)
orderCancelReject.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelReject))
orderCancelReject.setField(clOrdID)
orderCancelReject.setField(orderID)
orderCancelReject.setField(origClOrdID)
# todo reject reason
orderCancelReject.setField(fix.OrdStatus(
fix.OrdStatus_FILLED)) #39 = 2 FILLED
orderCancelReject.setField(
fix.CxlRejReason(0)) #102=0 TOO_LATE_TO_CANCEL
orderCancelReject.setField(
fix.CxlRejResponseTo(1)) #434=1 ORDER_CANCEL_REQUEST
orderCancelReject.setField(fix.Text(jResponse['error']['message']))
return orderCancelReject
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_CANCELED))
executionReport.setField(
fix.Side(fix.Side_BUY if jResponse['side'] ==
'buy' else fix.Side_SELL))
executionReport.setField(
fix.OrdType(
fix.OrdType_LIMIT if jResponse['ord_type'] ==
'limit' else fix.OrdType_MARKET)) #40=2 Limit order
executionReport.setField(fix.Symbol(jResponse['market']))
executionReport.setField(fix.Price(float(jResponse['price']))) #44
executionReport.setField(fix.OrderQty(float(
jResponse['volume']))) #38
executionReport.setField(
fix.CumQty(float(jResponse['executed_volume']))) #14=100
executionReport.setField(fix.AvgPx(float(
jResponse['avg_price']))) #6
executionReport.setField(fix.Text("Order cancelled!"))
# Since FIX 4.3, ExecTransType 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_CANCEL))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(
fix.ExecType_CANCELED)) #150=4 CANCELED
executionReport.setField(fix.LeavesQty(0)) #151=0
return executionReport
class Application(fix.Application):
orderID = 0
execID = 0
bids = {}
asks = {}
#creates empty dictionaries
loc = ("C:\\Bloomberg\\SampleMarketData.xlsx")
wb = xlrd.open_workbook(loc)
sheetMSFT = wb.sheet_by_index(0)
sheetNFLX = wb.sheet_by_index(1)
sheetNames = wb.sheet_names()
xl_sheet1 = wb.sheet_by_index(0)
xl_sheet2 = wb.sheet_by_index(1)
sheet1Name = xl_sheet1.name.encode("utf-8")
sheet2Name = xl_sheet2.name.encode("utf-8")
excelbids = {}
excelbids['BATS'] = {}
excelbids['BATS'][sheet1Name] = {}
excelbids['BATS'][sheet2Name] = {}
excelbids['NASD'] = {}
excelbids['NASD'][sheet1Name] = {}
excelbids['NASD'][sheet2Name] = {}
excelasks = {}
excelasks['BATS'] = {}
excelasks['BATS'][sheet1Name] = {}
excelasks['BATS'][sheet2Name] = {}
excelasks['NASD'] = {}
excelasks['NASD'][sheet1Name] = {}
excelasks['NASD'][sheet2Name] = {}
for i in range (2, 7):
for j in range (0, 1):
excelbids['NASD'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (2, 7):
for j in range (2, 3):
excelasks['NASD'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (9, 14):
for j in range (0, 1):
excelbids['BATS'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (9, 14):
for j in range (2, 3):
excelasks['BATS'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (2, 7):
for j in range (0, 1):
excelbids['NASD'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (2, 7):
for j in range (2, 3):
excelasks['NASD'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (9, 14):
for j in range (0, 1):
excelbids['BATS'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (9, 14):
for j in range (2, 3):
excelasks['BATS'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
#reads excel files, inputs data into nested dictionaries
@echo
def onCreate(self, sessionID): return
@echo
def onLogon(self, sessionID): return
@echo
def onLogout(self, sessionID): return
@echo
def toAdmin(self, sessionID, message): return
@echo
def fromAdmin(self, sessionID, message): return
@echo
def toApp(self, sessionID, message): return
@echo
def fromApp(self, message, sessionID):
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField( beginString )
message.getHeader().getField( msgType )
if msgType.getValue() == 'F':
print 'Cancel Request'
symbol = fix.Symbol()
side = fix.Side()
clOrdID = fix.ClOrdID()
origClOrdID = fix.OrigClOrdID()
orderQty = fix.OrderQty()
message.getField( orderQty )
message.getField( clOrdID )
message.getField( origClOrdID )
message.getField( symbol )
message.getField( side )
executionReport = fix.Message()
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( clOrdID )
executionReport.setField( origClOrdID )
executionReport.setField( fix.ExecID(self.genExecID()) )
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.AvgPx(0))
executionReport.setField( fix.LastShares(0))
executionReport.setField( fix.CumQty(0))
if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42:
executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) )
executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) )
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
else:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
try:
print executionReport
fix.Session.sendToTarget( executionReport, sessionID )
except SessionNotFound, e:
return
if msgType.getValue() == 'D':
print 'New Order Single'
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
timeInForce = fix.TimeInForce()
clOrdID = fix.ClOrdID()
message.getField( ordType )
print message
if ordType.getValue() == fix.OrdType_LIMIT:
message.getField( price )
price = round(float(price.getValue()),2)
message.getField( symbol )
message.getField( side )
message.getField( orderQty )
message.getField( clOrdID )
message.getField( timeInForce )
executionReport = fix.Message()
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) )
availableQty = 0
if side.getValue() == '2':
#check the bids
sym = symbol.getValue()
mergedDict = sorted(set(self.excelbids['BATS'][sym].keys()) | set(self.excelbids['NASD'][sym].keys()), reverse = True)
orderMergedDict = OrderedDict()
for pricelevel in mergedDict:
orderMergedDict[pricelevel] = OrderedDict()
if pricelevel in self.excelbids['BATS'][sym].keys():
orderMergedDict[pricelevel]['BATS'] = self.excelbids['BATS'][sym][pricelevel]
if pricelevel in self.excelbids['NASD'][sym].keys():
orderMergedDict[pricelevel]['NASD'] = self.excelbids['NASD'][sym][pricelevel]
print '-------------Sell Order - Checking available Bids-------------'
qty = orderQty.getValue()
orderToSend = {}
for bid_price, exch in orderMergedDict.iteritems():
if price <= bid_price or ordType.getValue() == fix.OrdType_MARKET :
for exchange,bid_qty in exch.iteritems():
if exchange not in orderToSend:
orderToSend[exchange] = {}
if bid_qty >= qty and qty > 0:
orderToSend[exchange][bid_price] = qty
qty = 0
elif qty > 0:
orderToSend[exchange][bid_price] = bid_qty
qty = qty - bid_qty
availableQty += bid_qty
else:
#check the asks
sym = symbol.getValue()
mergedDict = sorted(set(self.excelasks['BATS'][sym].keys()) | set(self.excelasks['NASD'][sym].keys()))
orderMergedDict = OrderedDict()
for pricelevel in mergedDict:
orderMergedDict[pricelevel] = OrderedDict()
if pricelevel in self.excelasks['BATS'][sym].keys():
orderMergedDict[pricelevel]['BATS'] = self.excelasks['BATS'][sym][pricelevel]
if pricelevel in self.excelasks['NASD'][sym].keys():
orderMergedDict[pricelevel]['NASD'] = self.excelasks['NASD'][sym][pricelevel]
print '--------------Buy Order - Checking available Asks-------------'
qty = orderQty.getValue()
orderToSend = {}
for ask_price, exch in orderMergedDict.iteritems():
#if ask_price <= round(float(price.getValue()),2):
if ask_price <= price or ordType.getValue() == fix.OrdType_MARKET:
for exchange,ask_qty in exch.iteritems():
if exchange not in orderToSend:
orderToSend[exchange] = {}
if ask_qty >= qty and qty > 0:
orderToSend[exchange][ask_price] = qty
qty = 0
elif qty > 0:
orderToSend[exchange][ask_price] = ask_qty
qty = qty - ask_qty
availableQty += ask_qty
filledQty = 0
if len(orderToSend) > 0:
for exchange, detailsOfOrders in orderToSend.iteritems():
for price, qty in detailsOfOrders.iteritems():
filledQty = filledQty + qty
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.ExecID(self.genExecID()) )
if filledQty >= orderQty.getValue():
executionReport.setField( fix.OrdStatus(fix.OrdStatus_FILLED) )
else:
executionReport.setField( fix.OrdStatus(fix.OrdStatus_PARTIALLY_FILLED) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( fix.CumQty(filledQty))
executionReport.setField( fix.AvgPx(price )) # to do - need to properly calculate average price
executionReport.setField( fix.LastShares(qty))
executionReport.setField( fix.LastPx(price))
executionReport.setField( clOrdID )
executionReport.setField( orderQty )
executionReport.setField( fix.LastMkt(exchange))
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) )
if beginString.getValue() >= fix.BeginString_FIX41:
if filledQty >=0 :
executionReport.setField( fix.ExecType(fix.ExecType_FILL) )
executionReport.setField( fix.LeavesQty(0) )
else:
executionReport.setField( fix.ExecType(fix.ExecType_PARTIAL_FILL) )
executionReport.setField( fix.LeavesQty(orderQty.getValue() - filledQty) )
try:
print executionReport
fix.Session.sendToTarget( executionReport, sessionID )
except SessionNotFound, e:
return
if timeInForce.getValue() == fix.TimeInForce_IMMEDIATE_OR_CANCEL:
print "TimeInForce is IOC - need to cancel the remaining balance"
executionReport = fix.Message()
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( clOrdID )
executionReport.setField( fix.ExecID(self.genExecID()) )
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.AvgPx(price))
executionReport.setField( fix.LastShares(0))
executionReport.setField( fix.CumQty(filledQty))
executionReport.setField( fix.LastPx(price))
executionReport.setField( orderQty )
if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42:
executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) )
executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) )
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
else:
executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) )
executionReport.setField( fix.LeavesQty(0) )
try:
print executionReport
fix.Session.sendToTarget( executionReport, sessionID )
except SessionNotFound, e:
return
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
