def OnNoPositions(self, message):
logger.info("OnNoPositions")
symbol = fix.Symbol()
exch = fix.SecurityExchange()
message.getField(symbol)
message.getField(exch)
groupRead = UapGroup.NoPositions()
PosType = fix.PosType()
LongQty = fix.LongQty()
ShortQty = fix.ShortQty()
NoPos = fix.UapGroup()
message.getField(NoPos)
logger.info("NoPos:" + NoPos.getString() + symbol.getString() + "." +
exch.getString())
for i in range(NoPos.getValue()):
message.getGroup(i + 1, groupRead)
groupRead.getFieldIfSet(PosType)
groupRead.getFieldIfSet(LongQty)
groupRead.getFieldIfSet(ShortQty)
if (PosType.getString() == "SB"):
logger.info("股份余额:" + LongQty.getString())
elif (PosType.getString() == "SAV"):
logger.info("股份可用余额:" + LongQty.getString())
elif (PosType.getString() == "SQ"):
logger.info("当前拥股数:" + LongQty.getString())
elif (PosType.getString() == "LB"):
logger.info("昨日余额:" + LongQty.getString())
elif (PosType.getString() == "SBQ"):
logger.info("今日买入数量:" + LongQty.getString())
elif (PosType.getString() == "SS"):
logger.info("卖出冻结数:" + ShortQty.getString())
elif (PosType.getString() == "SF"):
logger.info("人工冻结数:" + ShortQty.getString())
def compose_market_data_request(self):
market_data_request = quickfix44.MarketDataRequest()
market_data_request.setField(quickfix.MDReqID('1'))
market_data_request.setField(quickfix.SubscriptionRequestType(quickfix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
market_data_request.setField(quickfix.MarketDepth(0))
market_data_request.setField(quickfix.NoMDEntryTypes(2))
market_data_request.setField(quickfix.MDUpdateType(quickfix.MDUpdateType_INCREMENTAL_REFRESH))
group = quickfix44.MarketDataRequest().NoMDEntryTypes()
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_BID))
market_data_request.addGroup(group)
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_OFFER))
market_data_request.addGroup(group)
market_data_request.setField(quickfix.NoRelatedSym(self.reference_data.get_count()))
symbol = quickfix44.MarketDataRequest().NoRelatedSym()
for instrument in self.reference_data.get_instruments():
symbol.setField(quickfix.SecurityExchange(instrument.exchange))
symbol.setField(quickfix.Symbol(instrument.symbol))
market_data_request.addGroup(symbol)
return market_data_request
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 process_security_list(self, security_list):
no_related_sym = quickfix.NoRelatedSym()
symbol_field = quickfix.Symbol()
security_list.getField(no_related_sym)
number_of_instruments = int(no_related_sym.getValue())
for i in range(number_of_instruments):
group = quickfix.Group(no_related_sym.getField(),
symbol_field.getField())
security_list.getGroup(i + 1, group)
group.getField(symbol_field)
security_exchange = quickfix.SecurityExchange()
group.getField(security_exchange)
exchange = security_exchange.getValue()
symbol = symbol_field.getValue()
instrument = self.reference_data.ins_instrument(exchange, symbol)
print("New Instrument : " + str(instrument))
text_field = quickfix.Text()
if group.isSetField(text_field):
group.getField(text_field)
text = str(text_field.getValue())
ref_data = json.loads(text)
self.reference_data.ins_reference_data(instrument, ref_data)
def __init__(self, reference_data, market_data):
self.reference_data = reference_data
self.market_data = market_data
self.symbol_field = quickfix.Symbol()
self.security_exchange_field = quickfix.SecurityExchange()
self.no_md_entries = quickfix.NoMDEntries()
self.md_entry_type = quickfix.MDEntryType()
self.md_entry_price = quickfix.MDEntryPx()
self.md_entry_size = quickfix.MDEntrySize()
def securityStatusRequest(self):
# pag 80
msg = self.buildMsgHeader("e")
msg.setField(fix.SecurityStatusReqID("securityR"))
msg.setField(fix.SubscriptionRequestType("1"))
# Block Instrument
# msg.setField(fix.NoRelatedSym(1))
msg.setField(fix.Symbol("RFX20Sep19"))
msg.setField((fix.SecurityExchange("ROFX")))
fix.Session.sendToTarget(msg)
def querySecurityExchange(self):
securityExchanges = [
'AGGREGATOR', 'ALGO', 'ASE', 'SX', 'B3', 'BitMEX', 'BrokerTec',
'CBOT', 'CFE', 'CME', 'Coinbase', 'CoinFLEX', 'CurveGlobal',
'CZCE', 'DCE', 'DGCX', 'EEX', 'Eurex', 'Euronext', 'Fenics', 'FEX',
'HKEX', 'ICE', 'ICE_L', 'IDEM', 'INE', 'KCG', 'LME', 'LSE', 'MEFF',
'MOEX', 'MX', 'MX', 'NDAQ_EU', 'NFI', 'NFX', 'OSE', 'SGX', 'TFX',
'TOCOM'
]
print('Possible values include: ')
print(', '.join(securityExchanges))
value = input('Option: ')
while value not in securityExchanges:
print('Invalid Value. Please try again')
value = input('Option: ')
return fix.SecurityExchange(value)
def securityListRequest(self):
#pag 73
msg = fix50.SecurityListRequest()
msg.setField(fix.SecurityReqID("listaXX"))
msg.setField(fix.SecurityListRequestType(0))
#group = fix50.SecurityListRequest()
#group.setField(fix.NoRelatedSym(1))
msg.setField(fix.Symbol('DOSep19'))
msg.setField(fix.SecurityExchange('ROFX'))
# msg.addGroup(group)
# msg.setField(fix.MarketSegmentID("DDF")) #1300
# msg.setField(fix.MarketID('ROFX')) #1301
# msg.setField(fix.Symbol("RFX20Sep19"))
# msg.setField(fix.SecurityExchange('ROFX'))
# msg.setField(fix.CFICode("FXXXSX"))
fix.Session.sendToTarget(msg, self.sessionID)
def onMessage_MarketDataSnapshotFullRefresh(self):
"""
onMessage - Market Data - Snapshot / Full Refresh
Message Type = 'W'.
The Market Data Snapshot/Full Refresh messages are sent as the response to a Market Data Request
message. The message refers to only one Market Data Request. It will contain the appropiate MDReqID
tag value to correlate the request with the response.
Fields:
- (35) MsgType = W
- (262) MDReqID = (string)
- Block Instrument:
- (55) Symbol = (string - Ticker)
- Block MDfullGrp:
- (268) NoMDEntries = (Int - number of Entries)
- (269) MDEntryType = 0 (Bid) / 1 (Offer) / 2 (Trade) / 4 (Opening price) / 5 (Closing Price) / 6 (Settlement Price) /
7 (Trading Session High Price) / 8 (Trading Session Low Price) / B (Trade Volume) / C (Open Interest) /
x (Nominal Volume) / w (Cash Volume)
- (270) MDEntryPx = (float - Conditional field when MDEntryType is 0-1-2-4-5-6-7-8-w)
- (271) MDEntrySize = (int - Conditional field when MDEntryType is 0-1-2-B-C-x)
- (290) MDEntryPositionNo = (int)
"""
data = {}
## Number of entries following (Bid, Offer, etc)
noMDEntries = self.getValue(fix.NoMDEntries())
symbol = self.getValue(fix.Symbol())
## Market ID (ROFX, BYMA)
marketId = self.getValue(fix.SecurityExchange())
instrumentId = {"symbol": symbol, "marketId": marketId}
data["instrumentId"] = instrumentId
data["marketData"] = {"BI": [], "OF": []}
group = fix50.MarketDataSnapshotFullRefresh().NoMDEntries()
MDEntryType = fix.MDEntryType(
) # Identifies the type of entry (Bid, Offer, etc)
MDEntryPx = fix.MDEntryPx()
MDEntrySize = fix.MDEntrySize()
MDEntryPositionNo = fix.MDEntryPositionNo(
) # Display position of a bid or offer, numbered from most competitive to least competitive
"""
table = texttable.Texttable()
table.set_deco(texttable.Texttable.BORDER|texttable.Texttable.HEADER)
table.header(['Ticker','Tipo','Precio','Size','Posicion'])
table.set_cols_width([12,20,8,8,8])
table.set_cols_align(['c','c','c','c','c'])
"""
for entry in range(1, int(noMDEntries) + 1):
try:
md = {}
price, size, position = None, None, None
self.message.getGroup(entry, group)
entry_type = group.getField(MDEntryType).getString()
if entry_type in list('01245678w'):
# campos que tienen precio
price = group.getField(MDEntryPx).getString()
md['price'] = float(price)
if entry_type in list('012BCx'):
# campos que tienen size
size = group.getField(MDEntrySize).getString()
md['size'] = int(size)
if entry_type in list('01'):
# campos que tienen orden
position = group.getField(MDEntryPositionNo).getString()
md['position'] = int(position)
if entry_type == '0':
data["marketData"]["BI"].append(md)
tipo = 'BID'
elif entry_type == '1':
data["marketData"]["OF"].append(md)
tipo = 'OFFER'
elif entry_type == 'B':
data["marketData"]["TV"] = md
tipo = 'TRADE VOLUME'
else:
tipo = entry_type
# table.add_row([symbol, tipo, price, size, position])
except:
pass
# Aca antes de devolver se puede mandar a una cola o algo
return data