def queryNewOrderSingle44(self):
ordType = fix.OrdType()
message = fix44.NewOrderSingle()
message.setField(self.queryClOrdID())
message.setField(fix.HandlInst('1'))
message.setField(self.querySymbol())
message.setField(self.querySide())
message.setField(fix.TransactTime())
ordType = self.queryOrdType()
message.setField(ordType)
message.setField(self.queryOrderQty())
message.setField(self.queryTimeInForce())
message.setField(self.querySecurityExchange())
message.setField(self.queryAccount())
if ordType.getValue() == fix.OrdType_LIMIT or ordType.getValue(
) == fix.OrdType_STOP_LIMIT:
message.setField(self.queryPrice())
if ordType.getValue() == fix.OrdType_STOP or ordType.getValue(
) == fix.OrdType_STOP_LIMIT:
message.setField(self.queryStopPx())
header = message.getHeader()
self.queryHeader(header)
return message
def send(self, order):
orderId = self.SocketInitiator.application.genOrderID()
account = self.SocketInitiator.application.Settings.get().getString(
'Account')
trade = fix44.NewOrderSingle()
trade.setField(fix.Account(account))
trade.setField(fix.ClOrdID(orderId))
trade.setField(order.CFICode)
trade.setField(order.TransactionTime)
trade.setField(order.Quantity)
trade.setField(order.OrdType)
trade.setField(order.Side)
trade.setField(order.Symbol)
trade.setField(order.Maturity)
if isinstance(order, FutureLimitOrder):
trade.setField(order.Price)
self.SocketInitiator.application.send(trade)
ordType = OrderType.Limit if isinstance(
order, FutureLimitOrder) else OrderType.Market
ordSide = OrderSide.Buy if isinstance(order,
BuyOrder) else OrderSide.Sell
price = order.Price.getValue() if isinstance(
order, FutureLimitOrder) else None
return Trade(orderId, order.Symbol.getString(),
order.Maturity.getString(), order.Quantity.getValue(),
ordType, ordSide, price)
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 make_single_order(self, order_id, symbol, qty):
account = "YIZHE0"
order = fix44.NewOrderSingle()
order.setField(fix.Account(account))
order.setField(fix.ClOrdID(order_id))
order.setField(fix.Symbol(symbol))
order.setField(fix.Side("1"))
order.setField(fix.OrdType("U"))
order.setField(fix.OrderQty(qty))
order.setField(fix.Price(49))
return order
def test_order(self):
cid = fix.ClOrdID('100')
requestTime = fix.TransactTime()
requestTime.setString('20170606-03:52:34.924')
request = fix44.NewOrderSingle()
request.setField(requestTime)
request.setField(cid)
responseTime = fix.TransactTime()
responseTime.setString('20170606-03:52:14.824')
response = fix44.ExecutionReport()
response.setField(responseTime)
response.setField(cid)
currentLag = {}
def receive(event):
currentLag[0] = event.CurrentTimeLag
self.Store.addTimeLagListener(receive)
self.Store.addRequest(request)
self.Store.addResponse(response)
self.assertEqual(currentLag[0], 20.1)
while not app.logged_on:
time.sleep(0.1)
print("Logged in!")
# Send message using normal Quickfix messages
m = fix44.SecurityListRequest()
m.setField(fix.SecurityReqID(str(uuid.uuid4())))
m.setField(
fix.SecurityListRequestType(
fix.SecurityListRequestType_ALL_SECURITIES))
fix.Session.sendToTarget(m, app.session_id)
# Send an order
m = fix44.NewOrderSingle()
m.setField(fix.ClOrdID(str(uuid.uuid4())))
m.setField(fix.SecurityID('25'))
m.setField(
fix.SecurityIDSource(
fix.SecurityIDSource_MARKETPLACE_ASSIGNED_IDENTIFIER))
m.setField(fix.Side(fix.Side_BUY))
m.setField(fix.OrderQty(0.01))
m.setField(fix.Price(123))
m.setField(fix.OrdType(fix.OrdType_LIMIT))
# Python QuickFIX UtcTimeStampField doesn't accept a `datetime` object, we
# provide an easy helper function for you
t = fix.TransactTime()
t.setString(easyfix.fix_utctimestamp(datetime.datetime.utcnow()))
m.setField(t)