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 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})