def publishMarketData(self):
self.logger.info("FixServer: publishMarketData %s", self.subscriptions)
for subscription in self.subscriptions:
if not subscription.hasSessions():
self.logger.info(
"FixServer:No session subscribed, skip publish symbol %s",
subscription.symbol)
continue
message = self.fixVersion.MarketDataSnapshotFullRefresh()
message.setField(quickfix.Symbol(subscription.symbol))
message.setField(quickfix.MDReqID(self.idGen.reqID()))
group = self.fixVersion.MarketDataSnapshotFullRefresh(
).NoMDEntries()
subscription.createOrderBook()
for quote in subscription.orderbook:
self.logger.info('FixServer:add quote to fix message %s',
str(quote))
group.setField(quickfix.MDEntryType(quote.side))
group.setField(quickfix.MDEntryPx(quote.price))
group.setField(quickfix.MDEntrySize(quote.size))
group.setField(quickfix.QuoteEntryID(quote.id))
group.setField(quickfix.Currency(subscription.currency))
group.setField(
quickfix.QuoteCondition(
quickfix.QuoteCondition_OPEN_ACTIVE))
message.addGroup(group)
for sessionID in subscription:
self.sendToTarget(message, sessionID)
def parse_MassQuote(self, message, sending_time):
if self.verbose:
print(self._server_str + ' MassQuote!')
#################################
# Enter Tick Storage Logic here.
# we could have multiple QuoteSets for multiple symbols
num_sets = extract_message_field_value(fix.NoQuoteSets(), message,
'int') # 296
# print('num_sets:', num_sets)
for i in range(num_sets):
NoQuoteSets_Group = fix44.MassQuote.NoQuoteSets()
# Groups have indexes in FIX messages starting at 1
message.getGroup(i + 1, NoQuoteSets_Group)
reqid = extract_message_field_value(fix.QuoteSetID(),
NoQuoteSets_Group)
# print(self._id_to_symbol)
_symbol = self._id_to_symbol[reqid]
# Bid/Offer data is inside NoQuoteEntries group, inside _NoQuoteSets group.
# num_sets = extract_message_field_value(fix.NoQuoteEntries(), message, 'int') # 295, should always be 1.
NoQuoteEntries_Group = fix44.MassQuote.NoQuoteSets.NoQuoteEntries()
NoQuoteSets_Group.getGroup(1, NoQuoteEntries_Group)
depth = extract_message_field_value(fix.QuoteEntryID(),
NoQuoteEntries_Group,
'int') # 299
bid = extract_message_field_value(fix.BidSpotRate(),
NoQuoteEntries_Group,
'float') # 188
ask = extract_message_field_value(fix.OfferSpotRate(),
NoQuoteEntries_Group,
'float') # 190
bid_size = extract_message_field_value(fix.BidSize(),
NoQuoteEntries_Group,
'int') # 134
ask_size = extract_message_field_value(fix.OfferSize(),
NoQuoteEntries_Group,
'int') # 135
self.update_asset(sending_time, _symbol, depth, bid, ask, bid_size,
ask_size)
#################################
# If QuoteID is set the client has to respond immediately with a MassQuoteAcknowledgement.
if message.isSetField(fix.QuoteID()):
self.sender.send_MassQuoteAcknowledgement(message)
def parse_MarketDataSnapshotFullRefresh(self, message, sending_time):
if self.verbose:
print(self._server_str + ' {MD} Full refresh!')
symbol = extract_message_field_value(fix.Symbol(), message)
if symbol in self.history_dict:
num_entries = extract_message_field_value(fix.NoMDEntries(),
message, 'int') # 268
# MarketDataSnapshotFullRefresh message contains multiple NoQuoteSets group
# Groups have indexes in FIX messages starting at 1
NoMDEntries_Group = fix44.MarketDataSnapshotFullRefresh.NoMDEntries(
)
# NoMDEntries_Group = fix44.MarketDataIncrementalRefresh.NoMDEntries()
for i in range(num_entries):
message.getGroup(i + 1, NoMDEntries_Group)
bid, ask, bid_size, ask_size = None, None, None, None
_type = extract_message_field_value(
fix.MDEntryType(), NoMDEntries_Group,
'str') # 269 (0: bid, 1: ask)
price = extract_message_field_value(fix.MDEntryPx(),
NoMDEntries_Group,
'float') # 270
size = extract_message_field_value(fix.MDEntrySize(),
NoMDEntries_Group,
'float') # 271
depth = extract_message_field_value(fix.QuoteEntryID(),
NoMDEntries_Group,
'int') # 299
if _type == '0':
bid = price
bid_size = size
elif _type == '1':
ask = price
ask_size = size
if self.verbose:
print(
f'symbol: {symbol} | bid: {bid} | ask: {ask} | bid_size: {bid_size} | ask_size: {ask_size}'
)
self.update_asset(sending_time, symbol, depth, bid, ask,
bid_size, ask_size)
def onMarketDataSnapshotFullRefresh(self, message, sessionID):
skip_chance = random.choice(range(1, 101))
if self.skipSnapshotChance > skip_chance:
self.logger.info(
"FIXSIM-CLIENT onMarketDataSnapshotFullRefresh skip making trade with random choice %d",
skip_chance)
return
fix_symbol = quickfix.Symbol()
message.getField(fix_symbol)
symbol = fix_symbol.getValue()
snapshot = Snapshot(symbol)
group = self.fixVersion.MarketDataSnapshotFullRefresh.NoMDEntries()
fix_no_entries = quickfix.NoMDEntries()
message.getField(fix_no_entries)
no_entries = fix_no_entries.getValue()
for i in range(1, no_entries + 1):
message.getGroup(i, group)
price = quickfix.MDEntryPx()
size = quickfix.MDEntrySize()
currency = quickfix.Currency()
quote_id = quickfix.QuoteEntryID()
group.getField(quote_id)
group.getField(currency)
group.getField(price)
group.getField(size)
quote = Quote()
quote.price = price.getValue()
quote.size = size.getValue()
quote.currency = currency.getValue()
quote.id = quote_id.getValue()
fix_entry_type = quickfix.MDEntryType()
group.getField(fix_entry_type)
entry_type = fix_entry_type.getValue()
if entry_type == quickfix.MDEntryType_BID:
snapshot.addBid(quote)
elif entry_type == quickfix.MDEntryType_OFFER:
snapshot.addAsk(quote)
else:
raise RuntimeError("Unknown entry type %s" % str(entry_type))
self.makeOrder(snapshot)