def get_message_handler(self, message: BaseMessage):
if message.get_type() is None:
self.logger.warn("Can't handle message: can't find message type")
return None
elif message.get_type() in self.handlers:
return self.handlers[message.get_type()]
else:
self.logger.warn("Can't handle message: handler {0} not registered".format(message.get_type()))
return None
def __init__(self, username, password, heartbeat=3, session=None):
BaseMessage.__init__(self, [
(Field.EncryptMethod, 0),
(Field.HeartBtInt, heartbeat),
(Field.ResetSeqNum, 'Y'),
(Field.Username, username),
(Field.Password, password)
], session)
self.msg_type = Message.Types.Logon
def __init__(self, order_id, symbol, side, size, session=None):
BaseMessage.__init__(self, [
(Field.ClOrdID, order_id),
(Field.Symbol, symbol),
(Field.Side, side),
(Field.TransactTime, get_time()),
(Field.OrderQty, size),
(Field.OrdType, 1),
(Field.TimeInForce, 3),
], session)
self.msg_type = Message.Types.NewOrder
def __init__(self, request_id, symbol, unsubscribe=False, refresh=False, session=None):
BaseMessage.__init__(self, [
(Field.MDReqID, request_id),
(Field.SubscriptionRequestType, 2 if unsubscribe else 1),
(Field.MarketDepth, 0 if refresh else 1),
(Field.MDUpdateType, 1),
(Field.NoRelatedSym, 1),
(Field.Symbol, symbol),
(Field.NoMDEntryTypes, 2),
(Field.MDEntryType, 0),
(Field.MDEntryType, 1),
], session)
self.msg_type = Message.Types.MarketDataRequest
def market_data_snapshot_handler(self, message: BaseMessage):
prices = message.get_group(Field.Groups.MDEntry_Snapshot)
if len(prices) < 2 or Field.MDEntryPx not in prices[0] or Field.MDEntryPx not in prices[1]:
self.logger.warn("No ask or bid in price update.")
return
ask_idx = 1 if prices[0][Field.MDEntryType] == '0' else 0
bid_idx = (ask_idx + 1) % 2
spread = calculate_spread(
prices[bid_idx][Field.MDEntryPx],
prices[ask_idx][Field.MDEntryPx],
self.session.symbol_table[int(message.get_field(Field.Symbol))]['pip_position']
)
name = self.session.symbol_table[int(message.get_field(Field.Symbol))]['name']
self.logger.info("Symbol: {0: <7}\tBID: {1: <10}\tASK: {2: <10}\tSPREAD: {3}\t\tBID_VOL: {4}\tASK_VOL: {5}".format(
name,
prices[bid_idx][Field.MDEntryPx],
prices[ask_idx][Field.MDEntryPx],
spread,
int(self.session.symbol_table[int(message.get_field(Field.Symbol))]['bid_volume'] / 1000000),
int(self.session.symbol_table[int(message.get_field(Field.Symbol))]['ask_volume'] / 1000000),
))
def market_data_refresh_handler(self, message: BaseMessage):
results = message.get_group(Field.Groups.MDEntry_Refresh)
actions = {'0': 'New', '2': 'Delete'}
types = {'0': 'BID', '1': 'ASK'}
message = "Price Update:"
for r in results:
if actions[r[Field.MDUpdateAction]] == 'New':
if Field.MDEntryPx in r:
name = self.session.symbol_table[int(r[Field.Symbol])]['name']
message += "\n\t\t\tSymbol: {0: <7}, Type: {1}, ID: {2}, Price: {3: <10}, Size: {4}, Action: {5}".format(
name, types[r[Field.MDEntryType]], r[Field.MDEntryID], r[Field.MDEntryPx], r[Field.MDEntrySize],
actions[r[Field.MDUpdateAction]]
)
else:
message += "\n\t\t\tSymbol: {0: <7}, ID: {1}, Action: {2}".format(
'none', r[Field.MDEntryID], actions[r[Field.MDUpdateAction]]
)
self.logger.info(message)
def __init__(self, text, session=None):
BaseMessage.__init__(self, [(Field.TestReqID, text)], session)
self.msg_type = Message.Types.Heartbeat
def __init__(self, session=None):
BaseMessage.__init__(self, [], session)
self.msg_type = Message.Types.Heartbeat
def logout_handler(self, message: BaseMessage):
self.logger.critical('Logout reason: {0}'.format(message.get_field(Field.Text)))
self.close()
def reject_handler(self, message: BaseMessage):
self.logger.warn("MESSAGE REJECTED: {0}".format(message.get_field(Field.Text)))
def test_request_handled(self, message: BaseMessage):
self.send(TestResponseMessage(message.get_field(Field.TestReqID), self.session))
def heartbeat_handler(self, message: BaseMessage):
self.logger.debug(
"Received heartbeat, sending it back. Server time: {0}.".format(message.get_field(Field.SendingTime))
)
self.send(HeartbeatMessage(self.session))
def logon_handler(self, message: BaseMessage):
self.authorized = True
self.logger.info("Logged in at {0} as {1}".format(message.get_field(Field.SendingTime), self.session.sender_id))