def test_encode_no_8(self):
"""Test encoding without BeginString(8) field"""
msg = FixMessage()
msg.append_pair(35, "D")
with self.assertRaises(ValueError):
msg.encode()
return
def logon(n):
message = FixMessage()
message.append_pair(8, "FIX.4.4")
message.append_pair(35, "A")
message.append_pair(34, n)
message.append_pair(49, price_auth.SenderCompID)
message.append_utc_timestamp(52)
message.append_pair(56, price_auth.TargetCompID)
message.append_pair(98, "0")
message.append_pair(141, "Y")
message.append_pair(108, "30")
message.append_pair(553, price_auth.Username)
message.append_pair(554, price_auth.Password)
parser.append_buffer(message.encode())
sent = parser.get_message()
print("logon2 request ", sent)
s.sendall(message.encode())
response = s.recv(5201)
parser.append_buffer(response)
out = parser.get_message()
print("logon response2", out)
def test_encode_no_35(self):
"""Test encoding without MessageType(35) field"""
msg = FixMessage()
msg.append_pair(8, "FIX.4.2")
with self.assertRaises(ValueError):
msg.encode()
return
def test_empty_message(self):
"""Test encoding of empty message"""
if VERSION == 26:
return
msg = FixMessage()
with self.assertRaises(ValueError):
msg.encode()
def heartbeat_msg(n):
heartbeat = FixMessage()
heartbeat.append_pair(8, "FIX.4.4")
heartbeat.append_pair(35, "0")
heartbeat.append_pair(34, n)
heartbeat.append_pair(49, trade_auth.SenderCompID)
heartbeat.append_utc_timestamp(52)
heartbeat.append_pair(56, trade_auth.TargetCompID)
heartbeat.append_pair(57, "TRADES")
parser.append_buffer(heartbeat.encode())
s.sendall(heartbeat.encode())
def test_empty_message(self):
try:
msg = FixMessage()
buf = msg.encode()
except Exception as e:
self.assertEqual(ValueError, type(e))
return
def full_refresh(self, message, price, volume, side):
parser = Parser()
parser.append_buffer(message)
message_recv = parser.get_message()
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, int(message_recv.get(34)) + 1) # sequence no
msg.append_pair(35, 'W') # msgType = logon
msg.append_pair(49, message_recv.get(56))
msg.append_time(52) # timestamp
msg.append_pair(56, message_recv.get(49))
msg.append_pair(55, message_recv.get(55)) # subscribed ticker
msg.append_pair(268, 1)
# side
if str.lower(side) == 'bid':
msg.append_pair(269, '0') # order side
elif str.lower(side) == 'ask':
msg.append_pair(269, '1')
else:
print('[FIXMESSAGE]Unknown side..')
return
msg.append_pair(271, volume) #volume
msg.append_pair(270, price) #price
return msg.encode()
def test_raw_data_tags(self):
"""Test functions to add and remove raw data tags."""
raw = b"raw\x015000=1"
pkt = FixMessage()
pkt.append_pair(8, "FIX.4.2")
pkt.append_pair(35, "D")
pkt.append_data(5001, 5002, raw)
buf = pkt.encode()
parser = FixParser()
parser.add_raw(5001, 5002)
parser.append_buffer(buf)
msg = parser.get_message()
self.assertIsNotNone(msg)
self.assertEqual(b"FIX.4.2", msg.get(8))
self.assertEqual(b"D", msg.get(35))
self.assertEqual(len(raw), int(msg.get(5001)))
self.assertEqual(raw, msg.get(5002))
parser.reset()
parser.remove_raw(5001, 5002)
parser.append_buffer(buf)
msg = parser.get_message()
self.assertIsNotNone(msg)
self.assertEqual(b"FIX.4.2", msg.get(8))
self.assertEqual(b"D", msg.get(35))
self.assertEqual(len(raw), int(msg.get(5001)))
self.assertEqual(b"raw", msg.get(5002))
self.assertEqual(b"1", msg.get(5000))
return
def new_order(self, ticker, price, volume, order_type, side, sender,
target, seq_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, 'D') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
msg.append_pair(55, ticker) # subscribed ticker
msg.append_pair(38, volume)
msg.append_pair(21, '3')
msg.append_pair(44, price)
# side
if str.lower(side) == 'bid':
msg.append_pair(54, '0') # order side
else:
msg.append_pair(54, '1')
# order type
if str.lower(order_type) == 'market':
msg.append_pair(40, '1')
elif str.lower(order_type) == 'limit':
msg.append_pair(40, '2')
return msg.encode()
def execution_report(self, message, filled_qty, trasaction_type, order_id,
symbol):
parser = Parser()
parser.append_buffer(message)
message_recv = parser.get_message()
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, int(message_recv.get(34)) + 1) # sequence no
msg.append_pair(35, '8') # msgType = logon
msg.append_pair(49, message_recv.get(56))
msg.append_time(52) # timestamp
msg.append_pair(56, message_recv.get(49))
msg.append_pair(14, filled_qty)
msg.append_pair(31, message_recv.get(44))
msg.append_pair(32, message_recv.get(38))
msg.append_pair(54, message_recv.get(54))
msg.append_pair(37, order_id) # orderID
msg.append_pair(39, '0') # order status, now it's all filled
msg.append_pair(55, symbol) # subscribed ticker
if str.lower(trasaction_type) == 'new':
msg.append_pair(279, '0')
elif str.lower(trasaction_type) == 'cancel':
msg.append_pair(279, '2')
elif str.lower(trasaction_type) == 'amend':
msg.append_pair(279, '1')
return msg.encode()
def test_encode_no_8(self):
msg = FixMessage()
msg.append_pair(35, "D")
try:
buf = msg.encode()
except ValueError:
pass
def test_encode_no_35(self):
msg = FixMessage()
msg.append_pair(8, "FIX.4.2")
try:
buf = msg.encode()
except ValueError:
pass
def send(self, values: dict) -> None:
with self._send_lock:
msg = FixMessage()
msg.append_pair(simplefix.TAG_BEGINSTRING, 'FIX.4.2')
msg.append_pair(simplefix.TAG_SENDER_COMPID, self._sender_id)
msg.append_pair(simplefix.TAG_TARGET_COMPID, self._target_id)
msg.append_pair(simplefix.TAG_MSGSEQNUM, self._next_send_seq_num)
for key, value in values.items():
if isinstance(value, datetime):
msg.append_utc_timestamp(key, value)
else:
msg.append_pair(key, value)
if not msg.get(simplefix.TAG_SENDING_TIME):
msg.append_utc_timestamp(simplefix.TAG_SENDING_TIME)
encoded = msg.encode()
self._last_send_time = time.time()
self._next_send_seq_num += 1
try:
print('send', encoded.replace(b'\x01', b'|'))
self._sock.sendall(encoded)
except OSError:
self.close(clean=False)
return
if msg.message_type == simplefix.MSGTYPE_LOGON:
self._has_session = True
def test_strings(self):
"""Test adding fields from a sequence of tag=value strings"""
msg = FixMessage()
msg.append_strings(["8=FIX.4.4", "35=0"])
self.assertEqual(fix_str("8=FIX.4.4\x01"
"9=5\x01"
"35=0\x01"
"10=163\x01"),
msg.encode())
def test_set_session_version(self):
"""Test minimal message"""
pkt = FixMessage()
pkt.append_pair(8, "FIX.4.4")
pkt.append_pair(35, "0")
self.assertEqual(fix_str("8=FIX.4.4\x01"
"9=5\x01"
"35=0\x01"
"10=163\x01"),
pkt.encode())
def goodbye(self, sender, target, seq_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, '5') # msgType = logout
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
return msg.encode()
def test_header_field(self):
"""Test use of header flag"""
msg = FixMessage()
msg.append_pair(20000, "third")
msg.append_pair(20001, "first", header=True)
msg.append_pair(20002, "second", header=True)
self.assertEqual(fix_str("20001=first\x01"
"20002=second\x01"
"20000=third\x01"),
msg.encode(True))
async def _write_message(self, message: simplefix.FixMessage):
"""Sends a message to the server"""
await self.lock.acquire()
# This lock is needed for `logout` method, which writes synchronously rather than through write_queue
try:
self._append_sequence_number(message)
self.writer.write(message.encode())
logging.info(f"client sending message {fprint(message.encode())}")
await self.writer.drain()
self.last_msg_sent = datetime.now()
finally:
self.lock.release()
def heartbeat_msg(n):
heartbeat = FixMessage()
heartbeat.append_pair(8, "FIX.4.4")
heartbeat.append_pair(35, "0")
heartbeat.append_pair(34, n)
heartbeat.append_pair(49, price_auth.SenderCompID)
heartbeat.append_utc_timestamp(52)
heartbeat.append_pair(56, price_auth.TargetCompID)
heartbeat.append_pair(57, "QUOTE")
s.sendall(heartbeat.encode())
def aloha(self, sender, target, seq_no=1):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, 'A') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
msg.append_pair(98, 0) # encrypt type
msg.append_pair(108, 30) # heart beat
msg.append_pair(141, 'N') # reset sequence number
return msg.encode()
def cancel_order(self, order_id, sender, target, sequence_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, sequence_no) # sequence no
msg.append_pair(35, 'F') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
# cancel order by order_id
msg.append_pair(37, order_id) # orderID
return msg.encode()
def goodbye_back(self, message):
parser = Parser()
parser.append_buffer(message)
message_recv = parser.get_message()
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, int(message_recv.get(34)) + 1) # sequence no
msg.append_pair(35, '5') # msgType = logout
msg.append_pair(49, message_recv.get(56))
msg.append_time(52) # timestamp
msg.append_pair(56, message_recv.get(49))
return msg.encode()
def data_subscribe(n):
data = FixMessage()
data.append_pair(8, "FIX.4.4")
data.append_pair(35, "V")
data.append_pair(49, price_auth.SenderCompID)
data.append_pair(56, price_auth.TargetCompID)
data.append_pair(34, n)
data.append_utc_timestamp(52)
data.append_pair(262, "2")
data.append_pair(263, "1")
data.append_pair(264, "1")
data.append_pair(265, "0") #1
data.append_pair(146, "1")
data.append_pair(55, "EURUSD.spa")
data.append_pair(267, "2")
data.append_pair(269, "0")
data.append_pair(269, "1")
sent = data.encode()
print("data request ", sent)
s.sendall(data.encode())
print(s.recv(price_auth.SocketConnectPort))
def test_basic_fix_message(self):
"""Test parsing basic FIX message."""
pkt = FixMessage()
pkt.append_pair(8, "FIX.4.2")
pkt.append_pair(35, "D")
pkt.append_pair(29, "A")
buf = pkt.encode()
p = FixParser()
p.append_buffer(buf)
m = p.get_message()
self.assertIsNotNone(m)
self.assertEqual(b"FIX.4.2", m.get(8))
self.assertEqual(b"D", m.get(35))
self.assertEqual(b"A", m.get(29))
def subscribe(self, ticker, sender, target, seq_no=1, rep_seq=1):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, 'V') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
msg.append_pair(146, rep_seq) # repeating sequence
msg.append_pair(55, ticker) # subscribed ticker
msg.append_pair(262, 1)
msg.append_pair(263, 1)
msg.append_pair(264, 1)
msg.append_pair(265, 1)
msg.append_pair(267, 2)
msg.append_pair(269, 0)
return msg.encode()
def send_message(self, message: simplefix.FixMessage):
try:
print("send: ", message)
self.socket_lock.acquire()
self.socket_client.send(message.encode())
self.socket_lock.release()
# except socket.error as e:
# # A socket error
# pass
# print(e)
# except IOError as e:
# print(e)
# if e.errno == errno.EPIPE:
# # EPIPE error
# pass
# else:
# pass
# Other error
except Exception as e:
print(e)
def test_raw_data(self):
"""Test parsing of raw data fields."""
raw = b"raw\x01data"
pkt = FixMessage()
pkt.append_pair(8, "FIX.4.2")
pkt.append_pair(35, "D")
pkt.append_data(95, 96, raw)
buf = pkt.encode()
parser = FixParser()
parser.append_buffer(buf)
msg = parser.get_message()
self.assertIsNotNone(msg)
self.assertEqual(b"FIX.4.2", msg.get(8))
self.assertEqual(b"D", msg.get(35))
self.assertEqual(len(raw), int(msg.get(95)))
self.assertEqual(raw, msg.get(96))
return
def test_stop_tag(self):
"""Test termination using alternative tag number."""
pkt = FixMessage()
pkt.append_pair(8, "FIX.4.2")
pkt.append_pair(35, "D")
pkt.append_pair(29, "A")
pkt.append_pair(20000, "xxx")
pkt.append_pair(10, "000")
buf = pkt.encode()
p = FixParser(stop_tag=20000)
p.append_buffer(buf)
m = p.get_message()
self.assertIsNotNone(m)
self.assertEqual(b"FIX.4.2", m.get(8))
self.assertEqual(b"D", m.get(35))
self.assertEqual(b"A", m.get(29))
self.assertEqual(b"xxx", m.get(20000))
self.assertEqual(False, 10 in m)
def test_stop_tag_deprecated(self):
"""Test deprecated setting of stop tag."""
pkt = FixMessage()
pkt.append_pair(8, "FIX.4.2")
pkt.append_pair(35, "D")
pkt.append_pair(29, "A")
pkt.append_pair(20000, "xxx")
pkt.append_pair(10, "000")
buf = pkt.encode()
p = FixParser()
p.set_message_terminator(tag=20000)
p.append_buffer(buf)
m = p.get_message()
self.assertIsNotNone(m)
self.assertEqual(b"FIX.4.2", m.get(8))
self.assertEqual(b"D", m.get(35))
self.assertEqual(b"A", m.get(29))
self.assertEqual(b"xxx", m.get(20000))
self.assertEqual(False, 10 in m)
def amend_order(self, order_id, price, volume, order_type, sender, target,
sequence_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, sequence_no) # sequence no
msg.append_pair(35, 'G') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
# cancel order by order_id
msg.append_pair(37, order_id) # orderID
msg.append_pair(44, price)
msg.append_pair(38, volume)
# side
if str.lower(order_type) == 'market':
msg.append_pair(40, '1') # order side
else:
msg.append_pair(40, '2')
return msg.encode()
