def contractQuery(self):
self._cf.read(self._cf_path)
msg = fix42.Message()
for name, value in self._cf.items(self._contract_query_section):
if name == '35' or name == '115':
msg.getHeader().setField(fix.StringField(int(name), value))
else:
msg.setField(fix.StringField(int(name), value))
fix.Session.sendToTarget(msg, self._session)
def orderRequest(self):
self._cf.read(self._cf_path)
msg = fix42.Message()
for name, value in self._cf.items(self._order_section):
if name == '35' or name == '115':
msg.getHeader().setField(fix.StringField(int(name), value))
else:
msg.setField(fix.StringField(int(name), value))
msg.setField(fix.StringField(60, dt.datetime.utcnow().strftime("%Y%m%d-%H:%M:%S")))
fix.Session.sendToTarget(msg, self._session)
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 getValue(fix_message, tag):
field = fix.StringField(tag)
if(fix_message.isSetField(field)):
return (str(fix_message.getField(tag)))
elif(fix_message.getHeader().isSetField(field)):
return (str(fix_message.getHeader().getField(tag)))
elif(fix_message.getTrailer().isSetField(field)):
return (str(fix_message.getTrailer().getField(tag)))
else:
return None
def marketDataRequest(self):
self._cf.read(self._cf_path)
msg = fix42.Message()
for name, value in self._cf.items(self._market_section):
if name == '35' or name == '115':
msg.getHeader().setField(fix.StringField(int(name), value))
elif name.isdigit():
msg.setField(fix.StringField(int(name), value))
elif name == 'entrytypes':
type_group = fix42.MarketDataRequest().NoMDEntryTypes()
for entry in value.split(';'):
type_group.setField(fix.MDEntryType(entry))
msg.addGroup(type_group)
elif name == 'symbols':
sym_group = fix42.MarketDataRequest().NoRelatedSym()
for sym in value.split(';'):
sym_group.setField(fix.Symbol(sym))
msg.addGroup(sym_group)
fix.Session.sendToTarget(msg, self._session)
def list_cancel_request(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString(fix.BeginString_FIX42))
header.setField(fix.MsgType(fix.MsgType_ListCancelRequest)) #35=K
message.setField(fix.ListID("List123Test"))
message.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
print(message.toString())
try:
fix.Session.sendToTarget(message, self.sessionID)
except (fix.ConfigError, fix.RuntimeError) as e:
print(e)
def toAdmin(self, message, sessionID):
try:
msgType = fix.MsgType()
message.getHeader().getField(msgType)
if msgType.getValue() == fix.MsgType_Logon:
uuid = self.Settings.get().getString('Username')
password = self.Settings.get().getString('Password')
message.getHeader().setField(fix.Password(password))
message.getHeader().setField(fix.StringField(12003, uuid))
self.Logger.info(
"Sending Admin message to server. Session: %s. Message: %s" %
(sessionID, message))
self.__messageStore.addRequest(message)
except fix.RuntimeError as e:
self.Logger.error('Error in toAdmin', e)
return
def on_parent_order(self, message: fix.Message):
""""""
parent_orderid = get_field_value(message, fix.ClOrdID())
# Get parent orderid of cancel request
if parent_orderid.startswith("Cancel"):
parent_orderid = get_field_value(message, fix.OrigClOrdID())
# If this parent order is from previous session
if parent_orderid not in self.algo_settings:
# Cancel it to avoid future update
self.cancel_parent_order(parent_orderid)
return
tradeid = get_field_value(message, fix.ExecID())
status = get_field_value(message, fix.OrdStatus())
side = get_field_value(message, fix.Side())
genus_symbol = get_field_value(message, fix.Symbol())
order_traded = get_field_value(message, fix.CumQty())
text = get_field_value(message, fix.Text())
algo_type = get_field_value(message, fix.StringField(847))
variables = {"推送编号": tradeid, "已成交": order_traded, "算法信息": text}
self.algo_settings[parent_orderid] = {
"symbol": genus_symbol,
"side": side,
"algo_type": algo_type
}
# Add algo active status
if status in {"0", "1", "5", "6", "A", "D", "E"}:
variables["active"] = True
else:
variables["active"] = False
if status == "C":
self.client.write_log("执行时间已结束，停止算法", parent_orderid)
self.client.put_variables_event(parent_orderid, variables)
def cancel_order(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.BeginString(fix.BeginString_FIX42))
header.setField(fix.MsgType(fix.MsgType_OrderCancelRequest)) #35=F
originalOrderId = str(int(self.genOrderID()) - 1)
message.setField(fix.OrigClOrdID(originalOrderId))
message.setField(fix.ClOrdID(str(int(originalOrderId) +
1))) #11=Unique order id
message.setField(fix.OrderID("375"))
message.setField(fix.Symbol("ABCD")) #55=ABCD
message.setField(fix.Side(fix.Side_BUY)) #54=1 Buy
message.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
message.setField(fix.Text("Cancel my Order")) #58 text
print(message.toString())
try:
fix.Session.sendToTarget(message, self.sessionID)
except (fix.ConfigError, fix.RuntimeError) as e:
print(e)
def new_child_order(self, message: fix.Message):
""""""
child_order = GenusChildOrder(
cl_ord_id=get_field_value(message, fix.ClOrdID()),
symbol=get_field_value(message, fix.Symbol()),
side=get_field_value(message, fix.Side()),
order_qty=get_field_value(message, fix.OrderQty()),
price=get_field_value(message, fix.Price()),
order_type=get_field_value(message, fix.OrdType()),
ord_status="A",
parent_orderid=get_field_value(message, fix.StringField(526)))
# If parent offset not exist, then this child order should be ignored
offset = self.client.get_parent_offset(child_order.parent_orderid)
if not offset:
return
symbol, genus_exchange = child_order.symbol.split(".")
exchange = EXCHANGE_GNS2VT[genus_exchange]
direction = DIRECTION_GNS2VT[child_order.side]
order_type = ORDERTYPE_GNS2VT[child_order.order_type]
vt_symbol = generate_vt_symbol(symbol, exchange)
child_order.order_id = self.client.send_order(
vt_symbol,
direction,
offset,
order_type,
child_order.price,
child_order.order_qty,
)
self.child_orders[child_order.order_id] = child_order
self.genus_vt_map[child_order.cl_ord_id] = child_order.order_id
msg = f"委托{direction.value}{vt_symbol}：{child_order.order_qty}@{child_order.price}"
self.client.write_log(msg, algo_name=child_order.parent_orderid)
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_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 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)