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 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 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 scrip_msg(scrip_element: Scrip):
scrip_subscription = fix.Message()
# 8, BeginString
scrip_subscription.getHeader().setField(fix.BeginString(fix.BeginString_FIXT11))
# 35, Message Type
scrip_subscription.getHeader().setField(fix.MsgType(fix.MsgType_MarketDataRequest))
# 49, SenderCompId
scrip_subscription.getHeader().setField(fix.SenderCompID(sender_id))
# 56, TargetCompId
scrip_subscription.getHeader().setField(fix.TargetCompID(target_id))
# 34, Message SeqNumber
scrip_subscription.setField(fix.MsgSeqNum(1))
# 50, SenderSubID
scrip_subscription.setField(fix.SenderSubID(scrip_element.exchange))
# 924, UserRequestType
scrip_subscription.setField(fix.UserRequestType(1))
# 115 ,doubtful, but may be gateway id according to examples
# NSECM = 2, NSEFO = 1
scrip_subscription.setField(115, "%s" % scrip_element.gatewayID)
# 55, Symbol
scrip_subscription.setField(fix.Symbol(scrip_element.symbol))
# 1775, price divisor
scrip_subscription.setField(1775, "0")
# 167, Instrument
scrip_subscription.setField(167, scrip_element.instrument)
# 48, Token No.
scrip_subscription.setField(48, "%s" % scrip_element.token_no)
# 263, Broadcast type
scrip_subscription.setField(263, "0")
scrip_subscription = bytes(scrip_subscription.toString(), encoding="UTF-8")
return scrip_subscription
def 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 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 queryNewOrderSingle42(self):
ordType = fix.OrdType()
message = fix.Message()
message.setField(self.queryClOrdID())
message.setField(fix.HandlInst('1'))
message.setField(self.querySymbol())
message.setField(self.querySide())
message.setField(fix.TransactTime())
ordType = self.queryOrdType()
message.setField(ordType)
message.setField(self.queryOrderQty())
message.setField(self.queryTimeInForce())
if abc.getValue() == fix.OrdType_LIMIT or abc.getValue(
) == fix.OrdType_STOP_LIMIT:
message.setField(self.queryPrice())
if abc.getValue() == fix.OrdType_STOP or abc.getValue(
) == fix.OrdType_STOP_LIMIT:
message.setField(self.queryStopPx())
header = message.getHeader()
self.queryHeader(header)
newOrderSingle = fix42.NewOrderSingle(message)
return newOrderSingle
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 toAdmin(self, m: fix.Message, session_id: fix.SessionID):
if self.username and self.password:
if m.getHeader().getField(
fix.MsgType().getTag()) == fix.MsgType_Logon:
m.setField(fix.Username(self.username))
m.setField(fix.Password(self.password))
if self.autofix_sequence_numbers:
text_tag = fix.Text().getTag()
is_seqnum_too_low = (
m.getHeader().getField(fix.MsgType().getTag())
== fix.MsgType_Logout and m.isSetField(text_tag)
and m.getField(text_tag).startswith("MsgSeqNum too low"))
if is_seqnum_too_low:
needed_seqnum = int(
re.match(
"MsgSeqNum too low, expecting (\d+) but received (\d+)",
m.getField(text_tag))[2])
self.log_message("toAdmin", m, session_id, levelize=False)
logger.warning(
f"Resetting MsgSeqNum to {needed_seqnum} as needed. Wait for reconnect..."
)
self.session.setNextTargetMsgSeqNum(needed_seqnum)
return
self.log_message("toAdmin", m, session_id)
self.outgoing_messages.put(fix.Message(m))
async def read_broadcast_msg(broadcast_message: str):
global residue
if broadcast_message.__contains__(begin_string_str):
broadcast_message = broadcast_message.replace(
begin_string_str, splitter + begin_string_str)
msgs = broadcast_message.split(splitter)
if residue is not None:
msgs[0] = residue + msgs[0]
# _parser_logger.debug("Residue and first of next: %s" % msgs[0])
residue = None
try:
if len(msgs) == 1:
_parser_logger.info(msgs[0])
meghdoot.ramadhir(read_msg(msgs[0]))
elif len(msgs) > 1:
for cmpl_msg in msgs:
if cmpl_msg == '':
pass
else:
try:
# _parser_logger.debug("Created: %s" % cmpl_msg)
fix.Message(cmpl_msg, dd, False)
meghdoot.ramadhir(read_msg(cmpl_msg))
except fix.InvalidMessage:
residue = cmpl_msg
except fix.InvalidMessage:
_parser_logger.warning("Invalid Message")
else:
_parser_logger.debug("residue is not none: %s" % broadcast_message)
if residue is not None:
residue += residue
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 buildMsgHeader(self, msgType):
self.msg = msg = fix.Message()
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"))
return self.msg
def fromApp(self, message, sessionID):
print("Received the following message: %s" % message.toString())
beginString = fix.BeginString()
msgType = fix.MsgType()
msgSeqNum = fix.MsgSeqNum()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
message.getHeader().getField(msgSeqNum)
print("Message type = %s" % msgType.getString())
if msgType.getString() == fix.MsgType_NewOrderSingle:
print("New Order received")
if SKIP_AUTHENTICATION:
executionReport = self.getExecutionReportForNewOrder(message)
else:
executionReport = self.getExecutionReportForNewOrder2(message)
print("Execution report to send: %s" % executionReport.toString())
self.sendReport(executionReport, sessionID)
elif msgType.getString() == fix.MsgType_OrderCancelRequest:
print("Cancel Order received")
if SKIP_AUTHENTICATION:
executionReport = self.getExecutionReportForCancelOrder(
message)
# use below 3 lines and comment out above 3 if you want to send order cancel reject message
# orderCancelReject = self.getOrderCancelReject(message)
# print("Order cancel reject to send: %s" % orderCancelReject.toString())
# self.sendReport(orderCancelReject, sessionID)
else:
executionReport = self.getExecutionReportForCancelOrder2(
message)
print("Execution report to send: %s" % executionReport.toString())
self.sendReport(executionReport, sessionID)
elif msgType.getString() == fix.MsgType_OrderStatusRequest:
print("Order status request received")
if SKIP_AUTHENTICATION:
executionReport = self.getExecutionReportForStatusRequest(
message)
else:
executionReport = self.getExecutionReportForStatusRequest2(
message)
print("Execution report to send: %s" % executionReport.toString())
self.sendReport(executionReport, sessionID)
else:
print("Unsupported MsgType")
reject = fix.Message()
reject.getHeader().setField(beginString)
reject.getHeader().setField(fix.MsgType(fix.MsgType_Reject))
reject.setField(fix.RefMsgType(msgType.getString()))
reject.setField(fix.RefSeqNum(
msgSeqNum.getValue())) #45 = RefSeqNum
reject.setField(
fix.SessionRejectReason(fix.SessionRejectReason_INVALID_MSGTYPE
)) #373 = 11 INVALID_MSGTYPE
reject.setField(
fix.Text("iSTOX FIX API does not support this message type"))
self.sendReport(reject, sessionID)
def GetAccountInfo(self, accessKey, secretKey):
message = fix.Message()
header = message.getHeader()
header.setField(fix.MsgType('U1000'))
account = GenAccountString(accessKey, secretKey).getAccountString()
message.setField(fix.Account(account))
accReqID = str(uuid.uuid1())
message.setField(myfix.AccReqID(accReqID))
fix.Session.sendToTarget(message, self.sessionID)
def buildMsgHeader(self, msgType):
self.msg = msg = fix.Message()
header = msg.getHeader()
header.setField(fix.BeginString(fix.BeginString_FIXT11))
header.setField(fix.ApplVerID(fix.ApplVerID_FIX50SP2))
header.setField(fix.MsgType(msgType))
header.setField(fix.SenderCompID(self.usrId))
header.setField(fix.TargetCompID("ROFX"))
return self.msg
def test_req(self):
print("Creating testing message... ")
test_message = fix.Message()
test_message.getHeader().setField(fix.MsgType('1'))
test_message.setField(fix.TestReqID('test'))
print('sending Test message...')
print (f'test message: {test_message.toString()}')
# print(f'session ID: {self.sessionID}')
fix.Session.sendToTarget(test_message, self.sessionID)
print('test message sent!')
def get_quoterequest(quotereq_id):
"""
Retorna QuoteRequest (message) e QuoteRequest (fix).
"""
quoterequest_fix = fix.Message()
quoterequest_msg, _ = get_transaction(messages.QuoteRequest.getMsgType(), quotereq_id)
if quoterequest_msg is None:
raise RuntimeError(f"Failed to retrieve QuoteRequest {quotereq_id} from databus")
quoterequest_fix.setString(quoterequest_msg.OriginalStr) # NOTE: ñ está utilizando dicionário.
return quoterequest_msg, quoterequest_fix
def get_newordersingle(clorder_id):
"""
Retorna NewOrderSingle (message) e NewOrderSingle (fix).
"""
newordersingle_fix = fix.Message()
newordersingle_msg, _ = get_transaction(messages.NewOrderSingle.getMsgType(), clorder_id)
if newordersingle_msg is None:
raise RuntimeError(f"Failed to retrieve NewOrderSingle {clorder_id} from databus")
newordersingle_fix.setString(newordersingle_msg.OriginalStr) # NOTE: ñ está utilizando dicionário.
return newordersingle_msg, newordersingle_fix
def start_new_message(self, msg_type):
new_message = fix.Message()
message_fields = [
fix.BeginString(fix.BeginString_FIX44),
fix.MsgType(msg_type),
fix.TransactTime()
]
for field in message_fields:
new_message.getHeader().setField(field)
return new_message
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 read_msg(message):
try:
rec = fix.Message(message, dd, False)
if rec.isAdmin():
return read_admin_msg(rec)
elif rec.isApp():
return read_app_msg(rec)
except fix.InvalidMessage as e:
_parser_logger.warning("Error %s" % e)
_parser_logger.info("Error while reading message: %s" % message)
return None
def buildMsgHeader(self, msgType):
"""
Message Header Builder
"""
self.msg = msg = fix.Message()
header = msg.getHeader()
header.setField(fix.BeginString(fix.BeginString_FIXT11))
header.setField(fix.MsgType(msgType))
header.setField(fix.SenderCompID(self.usrID))
header.setField(fix.TargetCompID(self.targetCompID))
return self.msg
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 logout_msg(sender_comp_id, target_comp_id, username_client, ):
global ntwk_id
logout_req = fix.Message()
logout_req.getHeader().setField(fix.BeginString(fix.BeginString_FIXT11))
logout_req.getHeader().setField(fix.MsgType(fix.MsgType_Logout))
logout_req.setField(fix.SenderCompID(sender_comp_id))
logout_req.setField(fix.TargetCompID(target_comp_id))
logout_req.setField(fix.MsgSeqNum(5))
logout_req.setField(fix.Username(username_client))
logout_req.setField(fix.NetworkResponseID("%s" % ntwk_id))
logout_req = bytes(logout_req.toString(), encoding="UTF-8")
return logout_req
def process_line(line_num, line):
# within each line we are looking for a start and end:
# start should be '8=FIX'...
# end should be last SOH character separator '\x01'
msg = line[line.find('8=FIX'):line.rfind('\x01') + 1]
if not msg:
return False
msg_bars = msg.replace('\x01', '|')
print('\nFound FIX message at line {}: {}\n'.format(line_num, msg_bars))
msg = fix.Message(msg, dd)
print_msg(msg, dd)
return True
def derivativeSecurityListRequest(self):
msg = fix.Message()
header = msg.getHeader()
header.setField(fix.BeginString(fix.BeginString_FIXT11))
header.setField(fix.MsgType("z"))
header.setField(fix.SenderCompID("pjseoane232"))
header.setField(fix.TargetCompID("ROFX"))
msg.setField(fix.SecurityReqID(self.ListaContratos))
msg.setField(fix.SecurityListRequestType(4))
#msg.setField(fix.MarketID("ROFX"))
#msg.setField(fix.MarketSegmentID("DDF"))
fix.Session.sendToTarget(msg)
def new_message(msg_type: int) -> fix.Message:
""""""
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.2"))
header.setField(fix.MsgType(msg_type))
utc_now = datetime.utcnow()
utc_timestamp = utc_now.strftime("%Y%m%d-%H:%M:%S")
message.setField(60, utc_timestamp)
return message
def get_quote(self,curr):
print("\nSubscribe {} Quote:".format(curr))
quote = fix.Message()
quote.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
quote.getHeader().setField(fix.MsgType(fix.MsgType_QuoteRequest))
quote.setField(fix.MsgType(fix.MsgType_QuoteRequest))
quote.setField(fix.Symbol(curr))
quote.setField(fix.QuoteReqID(curr))
quote.setField(fix.QuoteRequestType(True))
fix.Session.sendToTarget(quote, self.sessionID)
def fromApp(self, message, sessionID): msgType = fix.MsgType() message.getHeader().getField( msgType ) if( msgType.getValue() == fix.MsgType_NewOrderSingle ): echo = fix.Message( message ) possResend = fix.PossResend( 0 ) if( message.getHeader().isSetField( possResend ) ): message.getHeader().getField( possResend ) clOrdID = fix.ClOrdID() message.getField( clOrdID ) if( possResend.getValue() ): if( self.orderIDs.has_key(clOrdID.getString()) ): return self.orderIDs[clOrdID.getString()] = clOrdID.getString() fix.Session.sendToTarget( echo, sessionID ) elif( msgType.getValue() == fix.MsgType_SecurityDefinition ): echo = fix.Message( message ) fix.Session.sendToTarget( echo, sessionID ) else: raise fix.UnsupportedMessageType()
