def queryTimeInForce(self):
print("1) Day\n2) IOC\n3) OPG\n4) GTC\n5) GTX")
value = input("TimeInForce: ")
if value == '1':
return fix.TimeInForce(fix.TimeInForce_DAY)
elif value == '2':
return fix.TimeInForce(fix.TimeInForce_IMMEDIATE_OR_CANCEL)
elif value == '3':
return fix.TimeInForce(fix.TimeInForce_AT_THE_OPENING)
elif value == '4':
return fix.TimeInForce(fix.TimeInForce_GOOD_TILL_CANCEL)
elif value == '5':
return fix.TimeInForce(fix.TimeInForce_GOOD_TILL_CROSSING)
def makeOrder(self, snapshot):
self.logger.info("FIXSIM-CLIENT Snapshot received %s", str(snapshot))
quote = snapshot.getRandomQuote()
self.logger.info("FIXSIM-CLIENT make order for quote %s", str(quote))
order = self.fixVersion.NewOrderSingle()
order.setField(
quickfix.HandlInst(
quickfix.
HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK
))
order.setField(
quickfix.SecurityType(
quickfix.SecurityType_FOREIGN_EXCHANGE_CONTRACT))
order.setField(quickfix.OrdType(quickfix.OrdType_PREVIOUSLY_QUOTED))
order.setField(quickfix.ClOrdID(self.idGen.orderID()))
order.setField(quickfix.QuoteID(quote.id))
order.setField(quickfix.SecurityDesc("SPOT"))
order.setField(quickfix.Symbol(snapshot.symbol))
order.setField(quickfix.Currency(quote.currency))
order.setField(quickfix.Side(quote.side))
order.setField(quickfix.OrderQty(quote.size))
order.setField(quickfix.FutSettDate("SP"))
order.setField(quickfix.Price(quote.price))
order.setField(quickfix.TransactTime())
order.setField(
quickfix.TimeInForce(quickfix.TimeInForce_IMMEDIATE_OR_CANCEL))
self.sendToTarget(order, self.orderSession)
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 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 send_replace(self, order):
order.status = OrdStatus.PENDING_REPLACE
message = fix.Message()
message.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelReplaceRequest))
message.setField(fix.Symbol(order.symbol))
message.setField(fix.Side(order.side))
message.setField(fix.OrderQty(order.qty))
if order.type is not OrderType.MARKET:
message.setField(fix.Price(order.price))
message.setField(fix.OrdType(order.type))
message.setField(fix.TimeInForce(order.time_in_force))
cl_ord_id = self.order_store.generate_next_cl_ord_id(order.order_id)
message.setField(fix.ClOrdID(cl_ord_id))
self.order_store.update_order_maps(cl_ord_id, order)
self._send_message(message)
def send_new(self, order):
order.status = OrdStatus.PENDING_NEW
message = fix.Message()
message.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle))
message.setField(fix.Symbol(order.symbol))
message.setField(fix.Side(order.side))
message.setField(fix.OrderQty(order.qty))
if order.type is not OrderType.MARKET:
message.setField(fix.Price(order.price))
message.setField(fix.Currency(order.currency))
message.setField(fix.OrdType(order.type))
message.setField(fix.TimeInForce(order.time_in_force))
cl_ord_id = self.order_store.generate_new_cl_ord_id(order.order_id)
message.setField(fix.ClOrdID(cl_ord_id))
self.order_store.update_order_maps(cl_ord_id, order)
self._send_message(message)
def put_new_order(self):
"""Request sample new order single"""
message = fix.Message()
header = message.getHeader()
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle)) #39 = D
message.setField(fix.ClOrdID(
self.genExecID())) #11 = Unique Sequence Number
message.setField(fix.Side(fix.Side_BUY)) #43 = 1 BUY
message.setField(fix.Symbol("MSFT")) #55 = MSFT
message.setField(fix.OrderQty(10000)) #38 = 1000
message.setField(fix.Price(100))
message.setField(fix.OrdType(fix.OrdType_LIMIT)) #40=2 Limit Order
message.setField(
fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION)) #21 = 3
message.setField(fix.TimeInForce('0'))
message.setField(fix.Text("NewOrderSingle"))
trstime = fix.TransactTime()
trstime.setString(
datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")[:-3])
message.setField(trstime)
fix.Session.sendToTarget(message, self.sessionID)
class Application(fix.Application):
orderID = 0
execID = 0
bids = {}
asks = {}
#creates empty dictionaries
loc = ("C:\\Bloomberg\\SampleMarketData.xlsx")
wb = xlrd.open_workbook(loc)
sheetMSFT = wb.sheet_by_index(0)
sheetNFLX = wb.sheet_by_index(1)
sheetNames = wb.sheet_names()
xl_sheet1 = wb.sheet_by_index(0)
xl_sheet2 = wb.sheet_by_index(1)
sheet1Name = xl_sheet1.name.encode("utf-8")
sheet2Name = xl_sheet2.name.encode("utf-8")
excelbids = {}
excelbids['BATS'] = {}
excelbids['BATS'][sheet1Name] = {}
excelbids['BATS'][sheet2Name] = {}
excelbids['NASD'] = {}
excelbids['NASD'][sheet1Name] = {}
excelbids['NASD'][sheet2Name] = {}
excelasks = {}
excelasks['BATS'] = {}
excelasks['BATS'][sheet1Name] = {}
excelasks['BATS'][sheet2Name] = {}
excelasks['NASD'] = {}
excelasks['NASD'][sheet1Name] = {}
excelasks['NASD'][sheet2Name] = {}
for i in range (2, 7):
for j in range (0, 1):
excelbids['NASD'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (2, 7):
for j in range (2, 3):
excelasks['NASD'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (9, 14):
for j in range (0, 1):
excelbids['BATS'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (9, 14):
for j in range (2, 3):
excelasks['BATS'][sheet1Name][sheetMSFT.cell_value(i, j)] = sheetMSFT.cell_value(i, j+1)
for i in range (2, 7):
for j in range (0, 1):
excelbids['NASD'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (2, 7):
for j in range (2, 3):
excelasks['NASD'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (9, 14):
for j in range (0, 1):
excelbids['BATS'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
for i in range (9, 14):
for j in range (2, 3):
excelasks['BATS'][sheet2Name][sheetNFLX.cell_value(i, j)] = sheetNFLX.cell_value(i, j+1)
#reads excel files, inputs data into nested dictionaries
@echo
def onCreate(self, sessionID): return
@echo
def onLogon(self, sessionID): return
@echo
def onLogout(self, sessionID): return
@echo
def toAdmin(self, sessionID, message): return
@echo
def fromAdmin(self, sessionID, message): return
@echo
def toApp(self, sessionID, message): return
@echo
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
if msgType.getValue() == 'D':
print 'New Order Single'
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
timeInForce = fix.TimeInForce()
clOrdID = fix.ClOrdID()
message.getField( ordType )
print message
if ordType.getValue() == fix.OrdType_LIMIT:
message.getField( price )
price = round(float(price.getValue()),2)
message.getField( symbol )
message.getField( side )
message.getField( orderQty )
message.getField( clOrdID )
message.getField( timeInForce )
executionReport = fix.Message()
executionReport.getHeader().setField( beginString )
executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) )
availableQty = 0
if side.getValue() == '2':
#check the bids
sym = symbol.getValue()
mergedDict = sorted(set(self.excelbids['BATS'][sym].keys()) | set(self.excelbids['NASD'][sym].keys()), reverse = True)
orderMergedDict = OrderedDict()
for pricelevel in mergedDict:
orderMergedDict[pricelevel] = OrderedDict()
if pricelevel in self.excelbids['BATS'][sym].keys():
orderMergedDict[pricelevel]['BATS'] = self.excelbids['BATS'][sym][pricelevel]
if pricelevel in self.excelbids['NASD'][sym].keys():
orderMergedDict[pricelevel]['NASD'] = self.excelbids['NASD'][sym][pricelevel]
print '-------------Sell Order - Checking available Bids-------------'
qty = orderQty.getValue()
orderToSend = {}
for bid_price, exch in orderMergedDict.iteritems():
if price <= bid_price or ordType.getValue() == fix.OrdType_MARKET :
for exchange,bid_qty in exch.iteritems():
if exchange not in orderToSend:
orderToSend[exchange] = {}
if bid_qty >= qty and qty > 0:
orderToSend[exchange][bid_price] = qty
qty = 0
elif qty > 0:
orderToSend[exchange][bid_price] = bid_qty
qty = qty - bid_qty
availableQty += bid_qty
else:
#check the asks
sym = symbol.getValue()
mergedDict = sorted(set(self.excelasks['BATS'][sym].keys()) | set(self.excelasks['NASD'][sym].keys()))
orderMergedDict = OrderedDict()
for pricelevel in mergedDict:
orderMergedDict[pricelevel] = OrderedDict()
if pricelevel in self.excelasks['BATS'][sym].keys():
orderMergedDict[pricelevel]['BATS'] = self.excelasks['BATS'][sym][pricelevel]
if pricelevel in self.excelasks['NASD'][sym].keys():
orderMergedDict[pricelevel]['NASD'] = self.excelasks['NASD'][sym][pricelevel]
print '--------------Buy Order - Checking available Asks-------------'
qty = orderQty.getValue()
orderToSend = {}
for ask_price, exch in orderMergedDict.iteritems():
#if ask_price <= round(float(price.getValue()),2):
if ask_price <= price or ordType.getValue() == fix.OrdType_MARKET:
for exchange,ask_qty in exch.iteritems():
if exchange not in orderToSend:
orderToSend[exchange] = {}
if ask_qty >= qty and qty > 0:
orderToSend[exchange][ask_price] = qty
qty = 0
elif qty > 0:
orderToSend[exchange][ask_price] = ask_qty
qty = qty - ask_qty
availableQty += ask_qty
filledQty = 0
if len(orderToSend) > 0:
for exchange, detailsOfOrders in orderToSend.iteritems():
for price, qty in detailsOfOrders.iteritems():
filledQty = filledQty + qty
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.ExecID(self.genExecID()) )
if filledQty >= orderQty.getValue():
executionReport.setField( fix.OrdStatus(fix.OrdStatus_FILLED) )
else:
executionReport.setField( fix.OrdStatus(fix.OrdStatus_PARTIALLY_FILLED) )
executionReport.setField( symbol )
executionReport.setField( side )
executionReport.setField( fix.CumQty(filledQty))
executionReport.setField( fix.AvgPx(price )) # to do - need to properly calculate average price
executionReport.setField( fix.LastShares(qty))
executionReport.setField( fix.LastPx(price))
executionReport.setField( clOrdID )
executionReport.setField( orderQty )
executionReport.setField( fix.LastMkt(exchange))
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:
if filledQty >=0 :
executionReport.setField( fix.ExecType(fix.ExecType_FILL) )
executionReport.setField( fix.LeavesQty(0) )
else:
executionReport.setField( fix.ExecType(fix.ExecType_PARTIAL_FILL) )
executionReport.setField( fix.LeavesQty(orderQty.getValue() - filledQty) )
try:
print executionReport
fix.Session.sendToTarget( executionReport, sessionID )
except SessionNotFound, e:
return
if timeInForce.getValue() == fix.TimeInForce_IMMEDIATE_OR_CANCEL:
print "TimeInForce is IOC - need to cancel the remaining balance"
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( fix.ExecID(self.genExecID()) )
executionReport.setField( fix.OrderID(self.genOrderID()) )
executionReport.setField( fix.AvgPx(price))
executionReport.setField( fix.LastShares(0))
executionReport.setField( fix.CumQty(filledQty))
executionReport.setField( fix.LastPx(price))
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_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