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 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 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 new_order(sender_comp_id, target_comp_id, symbol, quantity, price, side,
order_type):
if side.lower() == "buy":
side = fix.Side_BUY
else:
side = fix.Side_SELL
message = Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.2"))
header.setField(fix.SenderCompID(sender_comp_id))
header.setField(fix.TargetCompID(target_comp_id))
header.setField(fix.MsgType("D"))
ord_id = get_order_id(sender_comp_id, symbol)
message.setField(fix.ClOrdID(ord_id))
message.setField(fix.Symbol(symbol))
message.setField(fix.Side(side))
message.setField(fix.Price(float(price)))
if order_type.lower() == "market":
message.setField(fix.OrdType(fix.OrdType_MARKET))
else:
message.setField(fix.OrdType(fix.OrdType_LIMIT))
message.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION))
message.setField(fix.TransactTime())
message.setField(fix.OrderQty(float(quantity)))
message.setField(fix.Text(f"{side} {symbol} {quantity}@{price}"))
return message
def test_checkIsInMessage(self):
self.object.setVersion(fix.BeginString_FIX40)
self.object.addField(fix.BeginString().getTag())
self.object.addField(fix.BodyLength().getTag())
self.object.addField(fix.MsgType().getTag())
self.object.addField(fix.CheckSum().getTag())
self.object.addField(fix.TestReqID().getTag())
self.object.addField(fix.Symbol().getTag())
self.object.addMsgType(fix.MsgType_TestRequest)
self.object.addMsgField(fix.MsgType_TestRequest,
fix.TestReqID().getTag())
testReqID = fix.TestReqID("1")
message = fix40.TestRequest()
message.setField(testReqID)
try:
self.object.validate(message)
self.failUnless(1)
except fix.Exception as e:
self.failUnless(0)
message.setField(fix.Symbol("MSFT"))
try:
self.object.validate(message)
self.failUnless(0)
except fix.Exception as e:
self.failUnless(1)
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 securityDefinitionRequest(self):
msg = fix50.SecurityDefinitionRequest()
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"))
def fromAdmin(self, message, sessionID):
if SKIP_AUTHENTICATION:
print("Received the following admin message: %s" %
message.toString())
return
beginString = fix.BeginString()
msgType = fix.MsgType()
msgSeqNum = fix.MsgSeqNum()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
message.getHeader().getField(msgSeqNum)
if msgType.getString() == fix.MsgType_Logon:
try:
rawData = fix.RawData()
message.getField(rawData)
jsonStr = json.loads(rawData.getValue())
self.accessKey = jsonStr['AccessKey']
self.secretKey = jsonStr['SecretKey']
response = authenticateMe(self.accessKey, self.secretKey)
jResponse = json.loads(response)
if 'error' in jResponse and jResponse['error']:
raise fix.RejectLogon("wrong signature")
except KeyboardInterrupt:
return
except Exception as e:
print(e)
raise fix.RejectLogon(
"failed to authenticate on server. Please contact istox IT!"
)
print("Received the following admin message: %s" % message.toString())
return
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 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 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 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 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 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 fromApp(self, message, sessionID):
print('fromApp')
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
if msgType.getValue() == fix.MsgType_NewOrderSingle:
self.new_order(message, beginString, sessionID)
if msgType.getValue() == fix.MsgType_OrderCancelRequest:
self.cancel(message, sessionID)
def fromApp(self, message, sessionID):
print "FROM APP"
fixMsgType = quickfix.MsgType()
beginString = quickfix.BeginString()
message.getHeader().getField(beginString)
message.getHeader().getField(fixMsgType)
msgType = fixMsgType.getValue()
self.logger.info("FixSimApplication.fromApp: Message type %s",
str(msgType))
self.dispatchFromApp(msgType, message, beginString, 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 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 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 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 toAdmin(self, message, sessionID):
self.sessionID = sessionID
self.message = message
print("toAdmin - message: " + message.toString() + " sessionID:" + sessionID.toString())
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
if msgType.getValue() == 'A':
message.setField(fix.Username('sgmmDEMOSOMFXTRADESTR1'))
message.setField(fix.Password('Stater123'))
pass
def request_order(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString(fix.BeginString_FIX42))
header.setField(fix.MsgType(fix.MsgType_OrderStatusRequest)) #35=H
message.setField(fix.ClOrdID("*"))
message.setField(fix.OrderID("375"))
message.setField(fix.Side(fix.Side_BUY)) #54=1 Buy
message.setField(fix.Symbol("ABCD")) #55=ABCD
print(message.toString())
try:
fix.Session.sendToTarget(message, self.sessionID)
except (fix.ConfigError, fix.RuntimeError) as e:
print(e)
def sendOrderCancelRequest(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString("FIX.4.2"))
header.setField(fix.SenderCompID("CLIENT1"))
header.setField(fix.TargetCompID("EXECUTOR"))
header.setField(fix.MsgType("D"))
message.setField(fix.OrigClOrdID("123"))
message.setField(fix.ClOrdID("321"))
message.setField(fix.Symbol("LNUX"))
message.setField(fix.Side(fix.Side_BUY))
message.setField(fix.Text("Cancel My Order!"))
fix.Session.sendToTarget(message, self.sessionID)
def fromApp(self, message, sessionID): beginString = fix.BeginString() msgType = fix.MsgType() message.getHeader().getField( beginString ) message.getHeader().getField( msgType ) if msgType.getValue() == 'F': print 'Cancel Request' symbol = fix.Symbol() side = fix.Side() clOrdID = fix.ClOrdID() origClOrdID = fix.OrigClOrdID() orderQty = fix.OrderQty() message.getField( orderQty ) message.getField( clOrdID ) message.getField( origClOrdID ) message.getField( symbol ) message.getField( side ) executionReport = fix.Message() executionReport.getHeader().setField( beginString ) executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) ) executionReport.setField( symbol ) executionReport.setField( side ) executionReport.setField( clOrdID ) executionReport.setField( origClOrdID ) executionReport.setField( fix.ExecID(self.genExecID()) ) executionReport.setField( fix.OrderID(self.genOrderID()) ) executionReport.setField( fix.AvgPx(0)) executionReport.setField( fix.LastShares(0)) executionReport.setField( fix.CumQty(0)) if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42: executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) ) executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) ) if beginString.getValue() >= fix.BeginString_FIX41: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) else: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) try: print executionReport fix.Session.sendToTarget( executionReport, sessionID ) except SessionNotFound, e: return
def test_isEmpty(self):
message = fix.Message()
self.assertTrue( message.isEmpty() )
message.getHeader().setField( fix.BeginString("FIX.4.2") )
self.assertTrue( message.isEmpty() == 0 )
message.clear()
self.assertTrue( message.isEmpty() )
message.setField( fix.Symbol("MSFT") )
self.assertTrue( message.isEmpty() == 0 )
message.clear()
self.assertTrue( message.isEmpty() )
message.getTrailer().setField( fix.CheckSum(10) )
self.assertTrue( message.isEmpty() == 0 )
message.clear()
self.assertTrue( message.isEmpty() )
def fromApp(self, message, sessionID):
msg = message.toString().replace(__SOH__, "|")
log.info('fromApp sessionID:{}, message:{}'.format(sessionID, msg))
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
if msgType.getValue() == fix.MsgType_NewOrderSingle:
log.info("********** fromApp [NewOrderSingle] MsgType **********")
self.new_order(message, beginString, sessionID)
if msgType.getValue() == fix.MsgType_OrderCancelRequest:
log.info(
"********** fromApp [OrderCancelRequest] MsgType **********")
self.cancel(message, sessionID)
