def __init__(self, instrument, size, spread):
# Define variables
self.instrument = instrument
self.comision = 0
self.initial_size = size
self.buy_size = size
self.sell_size = size
self.spread = spread
self.tick = 0.001
self.my_order = dict()
self.last_md = None
self.state = States.WAITING_MARKET_DATA
# Initialize the environment
pyRofex.initialize(user="******",
password="******",
account="XXXXXXX",
environment=pyRofex.Environment.REMARKET)
# Initialize Websocket Connection with the handler
pyRofex.init_websocket_connection(
market_data_handler=self.market_data_handler,
order_report_handler=self.order_report_handler)
# Subscribes for Market Data
pyRofex.market_data_subscription(tickers=[self.instrument],
entries=[
pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.OFFERS
])
# Subscribes to receive order report for the default account
pyRofex.order_report_subscription()
def error_handler(message):
print("Error Message Received: {0}".format(message))
def exception_handler(e):
print("Exception Occurred: {0}".format(e.message))
# 3-Initialize Websocket Connection with the handlers
pyRofex.init_websocket_connection(order_report_handler=order_report_handler,
error_handler=error_handler,
exception_handler=exception_handler)
# 4-Subscribes to receive order report for the default account
pyRofex.order_report_subscription()
# 5-Subscribes to an invalid account
pyRofex.order_report_subscription(account="InvalidAccount")
# 6-Send an order to check that order_report_handler is called
pyRofex.send_order(ticker="DODic19",
side=pyRofex.Side.BUY,
size=10,
order_type=pyRofex.OrderType.MARKET)
# 7-Wait 5 sec then close the connection
time.sleep(1)
pyRofex.close_websocket_connection()
def order_report_handler(message):
print("Order Report Message Received: {0}".format(message))
def error_handler(message):
print("Error Message Received: {0}".format(message))
def exception_handler(e):
print("Exception Occurred: {0}".format(e.message))
# Initiate Websocket Connection
pyRofex.init_websocket_connection(market_data_handler=market_data_handler,
error_handler=error_handler,
exception_handler=exception_handler)
# Instruments list to subscribe
instruments = ["RFX20Sep20", "I.RFX20"]
# Uses the MarketDataEntry enum to define the entries we want to subscribe to
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST
]
# Subscribes to receive market data messages **
pyRofex.market_data_subscription(tickers=instruments, entries=entries)
# Subscribes to receive order report messages (default account will be used) **
pyRofex.order_report_subscription()