def quote_response(self,quote_req_id,quote_id,quote_resp_type,symbol,product,side,dealer_id,price=None,currency = None,quantity = None):
#HEADER
quote_resp = fix50sp2.QuoteRequest()
quote_resp.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
quote_resp.getHeader().setField(fix.StringField(35,'AJ'))#MessageType
quote_resp.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
quote_resp.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
quote_resp.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
quote_resp.getHeader().setField(fix.StringField(128,'DOR'))
quote_resp.getHeader().setField(fix.SendingTime(1))#52
quote_resp.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
quote_resp.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
quote_resp.getHeader().setField(fix.SendingTime(1))
#BODY
quote_resp.setField(fix.QuoteRespID(quote_req_id[:-4] + 'RESP' + self.genOrderID()))#693
quote_resp.setField(fix.QuoteReqID(quote_req_id)) #131
quote_resp.setField(fix.QuoteRespType(quote_resp_type))#694
quote_resp.setField(fix.Symbol(symbol))#55
quote_resp.setField(fix.Product(int(product)))#460
quote_resp.setField(fix.Side(side))#54
quote_resp.setField(fix.StringField(167,'FXSPOT'))
print(datetime.datetime.utcnow().strftime('%Y%m%d-%H:%M:%S'))
quote_resp.setField(fix.StringField(60,datetime.datetime.utcnow().strftime('%Y%m%d-%H:%M:%S')))#60
# quote_resp.setField(fix.TransactTime(1))#60
quote_resp.setField(fix.SettlType('0'))#63
settl_date = datetime.datetime.utcnow()+BDay(n=2)
quote_resp.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#64
if quote_resp_type == 1:
# quote_resp.setField(fix.Price(float(price)))
quote_resp.setField(fix.OfferPx(float(price)))
quote_resp.setField(fix.OfferSpotRate(float(price)))
quote_resp.setField(fix.StringField(15, str(currency))) # Currency
# quote_resp.setField(fix.BidPx(float(price)))
quote_resp.setField(fix.QuoteID(quote_id)) # 117
quote_resp.setField(fix.OrderQty(quantity)) #38
quote_resp.setField(fix.ClOrdID(quote_resp.getField(693)+self.genOrderID())) # 11
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
group_453.setField(fix.StringField(448,'7613723'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(11))#452 - PartyRole
quote_resp.addGroup(group_453)
group_453.setField(fix.StringField(448,dealer_id))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
quote_resp.addGroup(group_453)
quote_resp.setField(fix.StringField(1300,'XOFF'))#market segment id
print(f'SENDING QUOTE RESPONSE MESSAGE:\n ')
# print(f'SENDING QUOTE RESPONSE MESSAGE:\n {quote_resp.toString()}')
fix.Session.sendToTarget(quote_resp, self.sessionID)
def onNewOrderSingle(self, message, beginString, sessionID):
symbol = quickfix.Symbol()
side = quickfix.Side()
ordType = quickfix.OrdType()
orderQty = quickfix.OrderQty()
price = quickfix.Price()
clOrdID = quickfix.ClOrdID()
quoteID = quickfix.QuoteID()
currency = quickfix.Currency()
message.getField(ordType)
if ordType.getValue() != quickfix.OrdType_PREVIOUSLY_QUOTED:
raise quickfix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
message.getField(quoteID)
message.getField(currency)
executionReport = quickfix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
quickfix.MsgType(quickfix.MsgType_ExecutionReport))
executionReport.setField(quickfix.OrderID(self.idGen.orderID()))
executionReport.setField(quickfix.ExecID(self.idGen.execID()))
try:
reject_chance = random.choice(range(1, 101))
if self.rejectRate > reject_chance:
raise FixSimError("Rejected by cruel destiny %s" % str(
(reject_chance, self.rejectRate)))
subscription = self.subscriptions.get(symbol.getValue())
quote = subscription.orderbook.get(quoteID.getValue())
execPrice = price.getValue()
execSize = orderQty.getValue()
if execSize > quote.size:
raise FixSimError("size to large for quote")
if abs(execPrice - quote.price) > 0.0000001:
raise FixSimError("Trade price not equal to quote")
executionReport.setField(
quickfix.SettlDate(self.getSettlementDate()))
executionReport.setField(quickfix.Currency(subscription.currency))
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(price.getValue()))
executionReport.setField(quickfix.AvgPx(execPrice))
executionReport.setField(quickfix.LastPx(execPrice))
executionReport.setField(quickfix.LastShares(execSize))
executionReport.setField(quickfix.CumQty(execSize))
executionReport.setField(quickfix.OrderQty(execSize))
executionReport.setField(quickfix.ExecType(quickfix.ExecType_FILL))
executionReport.setField(quickfix.LeavesQty(0))
except Exception as e:
self.logger.exception("FixServer:Close order error")
executionReport.setField(quickfix.SettlDate(''))
executionReport.setField(currency)
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_REJECTED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(0))
executionReport.setField(quickfix.AvgPx(0))
executionReport.setField(quickfix.LastPx(0))
executionReport.setField(quickfix.LastShares(0))
executionReport.setField(quickfix.CumQty(0))
executionReport.setField(quickfix.OrderQty(0))
executionReport.setField(
quickfix.ExecType(quickfix.ExecType_REJECTED))
executionReport.setField(quickfix.LeavesQty(0))
self.sendToTarget(executionReport, sessionID)
def quote_request(self,symbol,currency,quantity,side,order_type,price=None):
#HEADER
trade = fix50sp2.QuoteRequest()
trade.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
trade.getHeader().setField(fix.StringField(35,'R'))#MessageType
trade.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
trade.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
trade.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
trade.getHeader().setField(fix.StringField(128,'DOR'))
trade.getHeader().setField(fix.SendingTime(1))#52
trade.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
trade.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
#BODY
trade.setField(fix.QuoteReqID(datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S') + symbol + 'RFQ' + str(side))) # 131
group_146 = fix50sp2.QuoteRequest().NoRelatedSym()
# group_146 = fix.Group(146,1)
if '/' not in symbol:
group_146.setField(fix.StringField(55,str(symbol[:3]+'/'+symbol[3:])))
else:
group_146.setField(fix.StringField(55, str(symbol)))
group_146.setField(fix.StringField(167,'FXSPOT'))
group_146.setField(fix.IntField(460,4))
group_146.setField(fix.SettlType('0'))#SettlType
# group_146.setField(fix.StringField(63,'0'))#SettlType
settl_date = datetime.datetime.utcnow()+BDay(n=2)
group_146.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#SettlDate
group_146.setField(fix.OrderQty(quantity))#38 - Qty
group_146.setField(fix.StringField(15,str(currency)))#Currency
group_146.setField(fix.StringField(54,str(side)))
# trade.setField(fix.NoPartyIDs(4))#453 - NumberOfParties
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
# group_453 = fix.Group(453,1)
group_453.setField(fix.StringField(448,'7613723'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(11))#452 - PartyRole
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'BGD1'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'DOR1'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'DOR2'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
trade.addGroup(group_146)
trade.setField(fix.StringField(1300,'XOFF'))#market segment id
# trade.setField(fix.StringField(21,'z'))#HandlInst
if order_type == '2': # limit
trade.setField(fix.Price(float(price))) # if market, this tag should be absent
else:
price = None
print(f'CREATING THE FOLLOWING ORDER:\n ')
# print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)
def quote_request(self,symbol,currency,quantity,side,order_type,dealers_dict):
'''
send QuoteRequest message to Liquidity Providers
build the message according to ORP_v1.5_QuickFIX
'''
#HEADER
trade = fix50sp2.QuoteRequest()
trade.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
trade.getHeader().setField(fix.StringField(35,'R'))#MessageType
trade.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
trade.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
trade.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
trade.getHeader().setField(fix.StringField(128,'DOR'))
trade.getHeader().setField(fix.SendingTime(1))#52
trade.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
trade.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
#BODY
#QuoteReqID (131) --> RFQ+datetime+symbol+side
quote_request_id = 'RFQ' + datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S') + symbol + str(side)
trade.setField(fix.QuoteReqID(quote_request_id)) # 131
group_146 = fix50sp2.QuoteRequest().NoRelatedSym()
if '/' not in symbol:
group_146.setField(fix.StringField(55,str(symbol[:3]+'/'+symbol[3:6])))
else:
group_146.setField(fix.StringField(55, str(symbol)))
group_146.setField(fix.StringField(167,'FXSPOT'))
group_146.setField(fix.IntField(460,4))
group_146.setField(fix.SettlType('0'))#SettlType
# settl_date = datetime.datetime.utcnow()+BDay(n=2)
if ((datetime.datetime.utcnow() - datetime.timedelta(hours = 4)).hour < 17) or ((datetime.datetime.utcnow() - datetime.timedelta(hours = 4)).weekday() == 6):
settl_date = datetime.datetime.utcnow()+BDay(n=2)
else:
settl_date = datetime.datetime.utcnow() + BDay(n=3)
while (settl_date.strftime('%Y%m%d') in HOLIDAYS_DICT[symbol[:3]]) or (settl_date.strftime('%Y%m%d') in HOLIDAYS_DICT[symbol[-3:]]):
settl_date += BDay(n=1)
group_146.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#SettlDate
group_146.setField(fix.OrderQty(quantity))#38 - Qty
group_146.setField(fix.StringField(15,str(currency)))#Currency
#if side == 0, get two way quotes (omit tag 54)
if side != 0:
group_146.setField(fix.StringField(54,str(side)))
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
for dealer, party_role in dealers_dict.items():
group_453.setField(fix.StringField(448,dealer))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(party_role))#452 - PartyRole.
group_146.addGroup(group_453)
trade.addGroup(group_146)
trade.setField(fix.StringField(1300,'XOFF'))#market segment id
# trade.setField(fix.StringField(21,'z'))#HandlInst
if order_type == '2': # limit
trade.setField(fix.Price(float(self.limit_price))) # if market, this tag should be absent
print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)