def get_quote(self, message, sessionID, security):
print "OnMessage %s" % message
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if (msgType.getValue() == "X"):
print "MarketDataIncrementalRefresh %s" % message
noMDEntries = fix.NoMDEntries()
message.getField(noMDEntries)
if (noMDEntries.getValue() != 1):
print "NoMDEntries in MarketDataIncrementalRefresh is not 1!"
return
group = fix44.MarketDataIncrementalRefresh.NoMDEntries()
message.getGroup(1, group)
entryID = fix.MDEntryID()
def onMessage(self, message, sessionID):
print("OnMessage %s" % message)
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if (msgType.getValue() == "X"):
print("MarketDataIncrementalRefresh %s" % message)
noMDEntries = fix.NoMDEntries()
message.getField(noMDEntries)
if (noMDEntries.getValue() != 1):
print("NoMDEntries in MarketDataIncrementalRefresh is not 1!")
return
group = fix44.MarketDataIncrementalRefresh.NoMDEntries()
message.getGroup(1, group)
entryID = fix.MDEntryID()
group.getField(entryID)
action = fix.MDUpdateAction()
group.getField(action)
actionvalue = action.getValue() # 0=New, 1=Update, 2=Delete)
if (actionvalue == '2'): # delete
if entryID.getValue() in securities:
del securities[entryID.getValue()]
return
security = SECURITY()
security.MDEntryID = entryID.getValue()
security.MDUpdateAction = action.getValue()
symbol = fix.Symbol()
if (group.isSetField(symbol)):
group.getField(symbol)
security.Symbol = symbol.getValue()
entryType = fix.MDEntryType()
if (group.isSetField(entryType)):
group.getField(entryType)
security.MDEntryType = entryType.getValue()
price = fix.MDEntryPx()
if (group.isSetField(price)):
group.getField(price)
security.MDEntryPx = price.getValue()
size = fix.MDEntrySize()
if (group.isSetField(size)):
group.getField(size)
security.MDEntrySize = size.getValue()
qty = fix.MinQty()
if (group.isSetField(qty)):
group.getField(qty)
security.MinQty = qty.getValue()
inc = MinInc()
if (message.isSetField(inc)):
message.getField(inc)
security.MinInc = inc.getValue()
br = MinBr()
if (message.isSetField(br)):
message.getField(br)
security.MinBR = br.getValue()
ytm = YTM()
if (message.isSetField(ytm)):
message.getField(ytm)
security.YTM = ytm.getValue()
ytw = YTW()
if (message.isSetField(ytw)):
message.getField(ytw)
security.YTW = ytw.getValue()
print(security)
securities[entryID.getValue()] = security
def onMessage(self, message, sessionID):
# print("OnMessage %s" % message)
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if msgType.getValue() == "X":
# print("MarketDataIncrementalRefresh %s" % message)
noMDEntries = fix.NoMDEntries()
message.getField(noMDEntries)
if (noMDEntries.getValue() != 1):
# print("NoMDEntries in MarketDataIncrementalRefresh is not 1!")
return
group = fix44.MarketDataIncrementalRefresh.NoMDEntries()
message.getGroup(1, group)
entryID = fix.MDEntryID()
group.getField(entryID)
action = fix.MDUpdateAction()
group.getField(action)
security = LAST_TRADE()
security.MDEntryID = entryID.getValue()
security.MDUpdateAction = action.getValue()
symbol = fix.Symbol()
if (group.isSetField(symbol)):
group.getField(symbol)
security.Symbol = symbol.getValue()
entryType = fix.MDEntryType()
if (group.isSetField(entryType)):
group.getField(entryType)
security.MDEntryType = entryType.getValue()
price = fix.MDEntryPx()
if (group.isSetField(price)):
group.getField(price)
security.MDEntryPx = price.getValue()
size = fix.MDEntrySize()
if (group.isSetField(size)):
group.getField(size)
security.MDEntrySize = size.getValue()
qty = fix.MinQty()
if (group.isSetField(qty)):
group.getField(qty)
security.MinQty = qty.getValue()
fire(self.callback, "OnTradeUpdated", **{"trade": security})
if msgType.getValue() == 'W':
book = BOOK()
Symbol = fix.Symbol()
message.getField(Symbol)
book.symbol = Symbol.getValue()
noMDEntries = fix.NoMDEntries()
message.getField(noMDEntries)
group = fix44.MarketDataSnapshotFullRefresh.NoMDEntries()
MDEntryType = fix.MDEntryType()
MDEntryPx = fix.MDEntryPx()
MDEntrySize = fix.MDEntrySize()
for i in range(1, noMDEntries.getValue()):
message.getGroup(i, group)
group.getField(MDEntryType)
group.getField(MDEntryPx)
group.getField(MDEntrySize)
if MDEntryType.getValue() == '0':
book.bid.append(MDEntryPx.getValue())
book.bid_size.append(MDEntrySize.getValue())
if MDEntryType.getValue() == '1':
book.ask.append(MDEntryPx.getValue())
book.ask_size.append(MDEntrySize.getValue())
fire(self.callback, "OnBookUpdated", **{"book": book})