def order_status_request(self,cl_ord_id=None):
if cl_ord_id is None:
fix_orders = pd.read_csv(f'{self.write_path}/fix_orders.csv',index_col=0)
for idx in fix_orders.index:
ord_status_request = fix.Message()
ord_status_request.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
ord_status_request.getHeader().setField(fix.MsgType('H')) #39=D
ord_status_request.getHeader().setField(fix.SendingTime(1))
# ord_status_request.setField(fix.Symbol('EUR')) #55
# ord_status_request.setField(fix.Account('U01049'))
# ord_status_request.setField(fix.SecurityReqID('1'))
ord_status_request.setField(fix.ClOrdID(str(idx))) #11=
# ord_status_request.setField(fix.ClOrdID(str('*'))) #11=
# ord_status_request.setField(fix.ClOrdID(datetime.utcnow().strftime('%Y%m%d%H%M%S')+ 'statReq' + self.genExecID())) #11=
# ord_status_request.setField(fix.OrderID(datetime.utcnow().strftime('%Y%m%d%H%M%S')+ 'statReq' + self.genExecID()))
# ord_status_request.setField(fix.OrderID('*'))
# ord_status_request.setField(fix.SecurityType('CASH')) #167
# ord_status_request.setField(fix.Side(fix.Side_SELL))
print(f'Order status message \n {ord_status_request}')
fix.Session.sendToTarget(ord_status_request,self.sessionID)
print('order status request for open orders sent!')
else:
ord_status_request = fix.Message()
ord_status_request.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
ord_status_request.getHeader().setField(fix.MsgType('H')) # 39=D
ord_status_request.getHeader().setField(fix.SendingTime(1))
ord_status_request.setField(fix.ClOrdID(str(cl_ord_id))) # 11=
print(f'ORDER STATUS MESSAGE \n {ord_status_request}')
fix.Session.sendToTarget(ord_status_request, self.sessionID)
print(f'ORDER STATUS REQUEST FOR {cl_ord_id} SENT!')
def run(self):
logon = fix44.Logon()
#Keep sending a sample set of messages to server, where the second message
while (1):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.4"))
header.setField(fix.SenderCompID("COEPUSER"))
header.setField(fix.TargetCompID("COEPEXCH"))
header.setField(fix.MsgType("D"))
message.setField(fix.ClOrdID("3"))
message.setField(fix.Symbol("amzn"))
message.setField(fix.Side(Side_BUY))
message.setField(58, "Buy shares")
message.setField(fix.Price(87))
message.setField(fix.OrderQty(2))
transact_time = datetime.utcnow()
message.setField(60, transact_time.strftime("%Y%m%d-22:29:00.000"))
message.setField(fix.Account("EXECLINKS"))
message.setField(40, "2")
status = fix.Session.sendToTarget(message, self.sessionID)
print("Status: ", status)
print(message)
time.sleep(5)
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.4"))
header.setField(fix.SenderCompID("COEPUSER"))
header.setField(fix.TargetCompID("COEPEXCH"))
header.setField(fix.MsgType("D"))
message.setField(fix.ClOrdID("3"))
message.setField(fix.Symbol("amzn"))
message.setField(fix.Side(Side_SELL))
message.setField(58, "Sell shares")
message.setField(fix.Price(87))
message.setField(fix.OrderQty(2))
transact_time = datetime.utcnow()
message.setField(60, transact_time.strftime("%Y%m%d-22:29:00.000"))
message.setField(fix.Account("EXECLINKS"))
message.setField(40, "2")
status = fix.Session.sendToTarget(message, self.sessionID)
print("Status: ", status)
print(message)
time.sleep(100)
def new_order(self):
print("Creating the following order: ")
trade = fix.Message()
trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
trade.getHeader().setField(fix.MsgType(
fix.MsgType_NewOrderSingle)) #35=D
trade.setField(fix.ClOrdID(self.genOrderID())) #11=Unique order id
trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION)
) #21=3 (Manual order, best executiona)
trade.setField(fix.Symbol("ethbtc")) #55=ethbtc
trade.setField(fix.Side(fix.Side_BUY)) #54=1 Buy
trade.setField(fix.OrdType(fix.OrdType_LIMIT)) #40=2 Limit order
trade.setField(fix.OrderQty(9)) #38=9
trade.setField(fix.Price(1.5)) #44=1.5
trade.setField(
fix.StringField(
60, (datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f"))[:-3])
) #60 TransactTime, not supported in python, so use tag number
trade.setField(fix.Text("New Order")) #58 text
print(trade.toString())
try:
fix.Session.sendToTarget(trade, self.sessionID)
except (fix.ConfigError, fix.RuntimeError) as e:
print(e)
def send(self, order):
orderId = self.SocketInitiator.application.genOrderID()
account = self.SocketInitiator.application.Settings.get().getString(
'Account')
trade = fix44.NewOrderSingle()
trade.setField(fix.Account(account))
trade.setField(fix.ClOrdID(orderId))
trade.setField(order.CFICode)
trade.setField(order.TransactionTime)
trade.setField(order.Quantity)
trade.setField(order.OrdType)
trade.setField(order.Side)
trade.setField(order.Symbol)
trade.setField(order.Maturity)
if isinstance(order, FutureLimitOrder):
trade.setField(order.Price)
self.SocketInitiator.application.send(trade)
ordType = OrderType.Limit if isinstance(
order, FutureLimitOrder) else OrderType.Market
ordSide = OrderSide.Buy if isinstance(order,
BuyOrder) else OrderSide.Sell
price = order.Price.getValue() if isinstance(
order, FutureLimitOrder) else None
return Trade(orderId, order.Symbol.getString(),
order.Maturity.getString(), order.Quantity.getValue(),
ordType, ordSide, price)
def put_new_order(self, instrument, side, price, size):
"""Request sample new order single"""
message = quickfix44.NewOrderSingle()
header = message.getHeader()
print("Executing : " + str(instrument) + ":" + str(side) + ":" +
str(price) + ":" + str(size))
message.setField(quickfix.ClOrdID(self.genExecID()))
message.setField(quickfix.Side(side))
message.setField(quickfix.Symbol(instrument.symbol))
message.setField(quickfix.SecurityExchange(instrument.exchange))
message.setField(quickfix.OrderQty(size))
message.setField(quickfix.Price(int(price)))
message.setField(quickfix.OrdType(quickfix.OrdType_LIMIT))
message.setField(quickfix.TimeInForce('0'))
message.setField(quickfix.Text("NewOrderSingle"))
trstime = quickfix.TransactTime()
trstime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")[:-3])
message.setField(trstime)
msg = message.toString().replace(__SOH__, "|")
print("New Order Single: " + msg)
quickfix.Session.sendToTarget(message, self.sessionID)
def cancel_order(self, execution_report):
message = quickfix44.OrderCancelRequest()
orig_cl_ord_id = quickfix.OrigClOrdID()
order_id = quickfix.OrderID()
symbol_field = quickfix.Symbol()
security_exchange_field = quickfix.SecurityExchange()
execution_report.getField(symbol_field)
execution_report.getField(security_exchange_field)
execution_report.getField(order_id)
orig_cl_ord_id.setValue(order_id.getValue())
message.setField(symbol_field)
message.setField(security_exchange_field)
message.setField(orig_cl_ord_id)
message.setField(quickfix.ClOrdID(self.genExecID()))
side = quickfix.Side()
execution_report.getField(side)
message.setField(side)
trstime = quickfix.TransactTime()
trstime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")[:-3])
message.setField(trstime)
quickfix.Session.sendToTarget(message, self.sessionID)
def new_order(sender_comp_id, target_comp_id, symbol, quantity, price, side,
order_type):
if side.lower() == "buy":
side = fix.Side_BUY
else:
side = fix.Side_SELL
message = Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.2"))
header.setField(fix.SenderCompID(sender_comp_id))
header.setField(fix.TargetCompID(target_comp_id))
header.setField(fix.MsgType("D"))
ord_id = get_order_id(sender_comp_id, symbol)
message.setField(fix.ClOrdID(ord_id))
message.setField(fix.Symbol(symbol))
message.setField(fix.Side(side))
message.setField(fix.Price(float(price)))
if order_type.lower() == "market":
message.setField(fix.OrdType(fix.OrdType_MARKET))
else:
message.setField(fix.OrdType(fix.OrdType_LIMIT))
message.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION))
message.setField(fix.TransactTime())
message.setField(fix.OrderQty(float(quantity)))
message.setField(fix.Text(f"{side} {symbol} {quantity}@{price}"))
return message
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 _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 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 sendOrder(self, ticker, side, type, px, qty):
nos = fix.Message()
nos.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
nos.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle))
symbol = fix.Symbol(ticker)
nos.setField(symbol)
if side == "BUY":
side = fix.Side(fix.Side_BUY)
if side == "SELL":
side = fix.Side(fix.Side_SELL)
nos.setField(side)
if type == "MARKET":
ordType = fix.OrdType(fix.OrdType_MARKET)
px = fix.Price(0)
if type == "LIMIT":
ordType = fix.OrdType(fix.OrdType_MARKET)
px = fix.Price(px)
nos.setField(ordType)
nos.setField(px)
orderQty = fix.OrderQty(qty)
clOrdID = fix.ClOrdID(self.genOrderID())
nos.setField(orderQty)
nos.setField(clOrdID)
TimeInForce = fix.TimeInForce(fix.TimeInForce_GOOD_TILL_CANCEL)
TransactTime = fix.TransactTime()
nos.setField(TimeInForce)
nos.setField(TransactTime)
fix.Session.sendToTarget(nos, self.sessionID)
def makeOrder(self, snapshot):
self.logger.info("FIXSIM-CLIENT Snapshot received %s", str(snapshot))
quote = snapshot.getRandomQuote()
self.logger.info("FIXSIM-CLIENT make order for quote %s", str(quote))
order = self.fixVersion.NewOrderSingle()
order.setField(
quickfix.HandlInst(
quickfix.
HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK
))
order.setField(
quickfix.SecurityType(
quickfix.SecurityType_FOREIGN_EXCHANGE_CONTRACT))
order.setField(quickfix.OrdType(quickfix.OrdType_PREVIOUSLY_QUOTED))
order.setField(quickfix.ClOrdID(self.idGen.orderID()))
order.setField(quickfix.QuoteID(quote.id))
order.setField(quickfix.SecurityDesc("SPOT"))
order.setField(quickfix.Symbol(snapshot.symbol))
order.setField(quickfix.Currency(quote.currency))
order.setField(quickfix.Side(quote.side))
order.setField(quickfix.OrderQty(quote.size))
order.setField(quickfix.FutSettDate("SP"))
order.setField(quickfix.Price(quote.price))
order.setField(quickfix.TransactTime())
order.setField(
quickfix.TimeInForce(quickfix.TimeInForce_IMMEDIATE_OR_CANCEL))
self.sendToTarget(order, self.orderSession)
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 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 fromApp(self, message, sessionID):
if self.verbose:
print(f'[fromApp] {sessionID} | {read_FIX_message(message)}')
log(self.logger,
f'[fromApp] {sessionID} | {read_FIX_message(message)}')
# Get incoming message Type
msgType = fix.MsgType()
message.getHeader().getField(msgType)
msgType = msgType.getValue()
# Get timestamp (tag 52)
sending_time = extract_message_field_value(fix.SendingTime(), message,
'datetime')
# print('sending_time:', sending_time)
########## Quote messages ##########
if msgType == fix.MsgType_MassQuote:
self.parse_MassQuote(message, sending_time)
elif msgType == fix.MsgType_MarketDataSnapshotFullRefresh:
self.parse_MarketDataSnapshotFullRefresh(message, sending_time)
# 3) Process MarketDataSnapshot_IncrementalRefresh message
elif msgType == fix.MsgType_MarketDataIncrementalRefresh:
print(self._server_str + ' {MD} INCREMENTAL REFRESH!')
########## Trade messages ##########
elif msgType == fix.MsgType_ExecutionReport:
self.parse_ExecutionReport(message, sending_time)
elif msgType == fix.MsgType_OrderCancelReject:
# An OrderCancelReject will be sent as an answer to an OrderCancelRequest, which cannot be executed.
# Not much to do here as our order dict would stay the same.
# If it was canceled successfully, we should get an execution report.
ClOrdID = extract_message_field_value(fix.ClOrdID(), message,
'int')
print(
f'[fromApp] Order Cancel Request Rejected for order: {ClOrdID}'
)
elif msgType == fix.MsgType_MarketDataRequestReject:
text = extract_message_field_value(fix.Text(), message, 'str')
print(f'[fromApp] Market Data Request Reject with message: {text}')
elif self.verbose:
print(f'[fromApp] {sessionID} | {read_FIX_message(message)}')
print('unknown message type: ', msgType)
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 test_replaceGroup(self):
self.object.setField( fix.ListID( "1" ) )
self.object.setField( fix.BidType( 0 ) )
self.object.setField( fix.TotNoOrders( 3 ) )
group = fix42.NewOrderList.NoOrders()
group.setField( fix.ClOrdID( "A" ) )
group.setField( fix.ListSeqNo( 1 ) )
group.setField( fix.Symbol( "DELL" ) )
group.setField( fix.Side( '1' ) )
self.object.addGroup( group )
group.setField( fix.ClOrdID( "B" ) )
group.setField( fix.ListSeqNo( 2 ) )
group.setField( fix.Symbol( "LNUX" ) )
group.setField( fix.Side( '2' ) )
self.object.addGroup( group );
group.setField( fix.ClOrdID( "C" ) )
group.setField( fix.ListSeqNo( 3 ) )
group.setField( fix.Symbol( "RHAT" ) )
group.setField( fix.Side( '3' ) )
self.object.addGroup( group );
group.setField( fix.ClOrdID( "D" ) )
group.setField( fix.ListSeqNo( 4 ) )
group.setField( fix.Symbol( "AAPL" ) )
group.setField( fix.Side( '4' ) )
self.object.replaceGroup( 2, group );
noOrders = fix.NoOrders()
assert( self.object.hasGroup(1, group) )
assert( self.object.hasGroup(2, group) )
assert( self.object.hasGroup(3, group) )
self.assertEqual( 3, self.object.groupCount(fix.NoOrders().getTag()) )
self.object.getField( noOrders )
self.assertEqual( 3, noOrders.getValue() )
clOrdID = fix.ClOrdID()
self.object.getGroup( 1, group )
self.assertEqual( "A", group.getField(clOrdID).getString() )
self.object.getGroup( 2, group )
self.assertEqual( "D", group.getField(clOrdID).getString() )
self.object.getGroup( 3, group )
self.assertEqual( "C", group.getField(clOrdID).getString() )
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 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 make_single_order(self, order_id, symbol, qty):
account = "YIZHE0"
order = fix44.NewOrderSingle()
order.setField(fix.Account(account))
order.setField(fix.ClOrdID(order_id))
order.setField(fix.Symbol(symbol))
order.setField(fix.Side("1"))
order.setField(fix.OrdType("U"))
order.setField(fix.OrderQty(qty))
order.setField(fix.Price(49))
return order
def put_order(self):
print("Creating the following order: ")
trade = fix.Message()
trade.setField(fix.ClOrdID(self.genExecID())) # 11=Unique order
trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION))
trade.setField(fix.Symbol('SMBL'))
trade.setField(fix.Side(fix.Side_BUY))
trade.setField(fix.OrdType(fix.OrdType_LIMIT))
trade.setField(fix.OrderQty(100))
trade.setField(fix.Price(10))
print trade.toString()
fix.Session.sendToTarget(trade, self.sessionID)
def sendCancelAck(self, orderID):
message = self.startFIXString(orderID)
message.setField(quickfix.OrderQty(self.orders[orderID]['leaves']))
message.setField(quickfix.ExecType(quickfix.ExecType_CANCELED))
if 'cxlClOrdID' in self.orders[orderID]:
message.setField(quickfix.ClOrdID(self.orders[orderID]['cxlClOrdID']))
if 'origClOrdID' in self.orders[orderID]:
message.setField(quickfix.OrigClOrdID(self.orders[orderID]['origClOrdID']))
else:
message.setField(quickfix.OrigClOrdID(self.orders[orderID]['clOrdID']))
quickfix.Session.sendToTarget(message, self.orders[orderID]['session'])
self.orders[orderID]['state'] = 'Canceled'
def send_execution_report(self, orderID, orderStatus, execType, details):
report = self.start_new_message(fix.MsgType_ExecutionReport)
# required fields FIX4.4
report_fields = [
{
fix.ExecID: self.gen_execID(),
fix.OrderID: orderID,
fix.ExecType: execType,
fix.OrdStatus: orderStatus,
},
{
fix.Symbol: 'symbol',
fix.Side: 'side',
fix.LeavesQty: 'leaves_qty',
fix.CumQty: 'cum_qty',
fix.AvgPx: 'avg_px',
},
]
# additional fields
order_specific_fields = {
fix.ExecType_NEW: {
fix.OrderQty: 'quantity',
fix.Price: 'price',
fix.OrdType: 'type',
},
fix.ExecType_TRADE: {
fix.LastPx: 'last_px',
fix.LastQty: 'last_qty',
},
fix.ExecType_CANCELED: {
fix.OrigClOrdID: 'original_orderID',
fix.OrderQty: 'quantity',
},
fix.ExecType_REPLACE: {
fix.OrigClOrdID: 'original_orderID',
fix.OrderQty: 'quantity',
},
fix.ExecType_REJECTED: {
fix.OrdRejReason: 'reject_reason',
},
}
for i in range(len(report_fields)):
for k, v in report_fields[i].items():
if i == 0:
report.setField(k(v))
else:
report.setField(k(details[v]))
report.setField(fix.ClOrdID(details['client_orderID']))
for k, v in order_specific_fields[execType].items():
report.setField(k(details[v]))
fix.Session.sendToTarget(report, self.sessionID)
return report
def request_order(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString(fix.BeginString_FIX42))
header.setField(fix.MsgType(fix.MsgType_OrderStatusRequest)) #35=H
message.setField(fix.ClOrdID("*"))
message.setField(fix.OrderID("375"))
message.setField(fix.Side(fix.Side_BUY)) #54=1 Buy
message.setField(fix.Symbol("ABCD")) #55=ABCD
print(message.toString())
try:
fix.Session.sendToTarget(message, self.sessionID)
except (fix.ConfigError, fix.RuntimeError) as e:
print(e)
def sendOrderCancelRequest(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.2"))
header.setField(fix.SenderCompID("CLIENT1"))
header.setField(fix.TargetCompID("EXECUTOR"))
header.setField(fix.MsgType("D"))
message.setField(fix.OrigClOrdID("123"))
message.setField(fix.ClOrdID("321"))
message.setField(fix.Symbol("LNUX"))
message.setField(fix.Side(fix.Side_BUY))
message.setField(fix.Text("Cancel My Order!"))
fix.Session.sendToTarget(message, self.sessionID)
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 startFIXString(self, orderID):
message = quickfix.Message()
message.getHeader().setField(quickfix.BeginString(quickfix.BeginString_FIX42))
message.getHeader().setField(quickfix.MsgType(quickfix.MsgType_ExecutionReport))
message.getHeader().setField(quickfix.SendingTime())
message.getHeader().setField(quickfix.TransactTime())
message.setField(quickfix.ClOrdID(self.orders[orderID]['clOrdID']))
message.setField(quickfix.OrderQty(self.orders[orderID]['quantity']))
message.setField(quickfix.Symbol(self.orders[orderID]['symbol']))
message.setField(quickfix.Side(self.orders[orderID]['side']))
message.setField(quickfix.ExecID(str(self.getNextExecID(self.orders[orderID]['target']))))
if 'exchangeID' not in self.orders[orderID]:
self.orders[orderID]['exchangeID'] = self.getNextExchangeID(self.orders[orderID]['target'])
message.setField(quickfix.OrderID(str(self.orders[orderID]['exchangeID'])))
return message
def send_cancel(self, order):
order.status = OrdStatus.PENDING_CANCEL
message = fix.Message()
message.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelRequest))
message.setField(fix.Symbol(order.symbol))
message.setField(fix.Side(order.side))
message.setField(fix.OrderQty(order.qty))
cl_ord_id = self.order_store.generate_next_cl_ord_id(order.order_id)
message.setField(fix.ClOrdID(cl_ord_id))
self.order_store.update_order_maps(cl_ord_id, order)
self._send_message(message)
def __get_attributes(self, message):
price = fix.Price()
quantity = fix.OrderQty()
symbol = fix.Symbol()
side = fix.Side()
order_type = fix.OrdType()
client_order_id = fix.ClOrdID()
message.getField(client_order_id)
message.getField(side)
message.getField(order_type)
message.getField(symbol)
message.getField(price)
message.getField(quantity)
return (symbol, price, quantity, side, order_type, client_order_id)
def sendHelloWorldMessage(sessionID):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.1"))
header.setField(fix.SenderCompID("HELLOWORLD_TRADER"))
header.setField(fix.TargetCompID("HELLOWORLD_EXCHANGE"))
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle))
message.setField(fix.ClOrdID('1'))
message.setField(fix.HandlInst('1'))
message.setField(fix.Symbol('BMLL'))
message.setField(fix.Side(fix.Side_BUY))
message.setField(fix.OrdType(fix.OrdType_MARKET))
message.setField(fix.Text("Hello Exchange! How are you?"))
fix.Session.sendToTarget(message, sessionID)
