def group(self, message: ReconMessage, attributes: tuple, *args, **kwargs):
message_type: str = message.proto_message.metadata.message_type
if message_type in ['NewOrderSingle', 'OrderCancelRequest', 'OrderCancelReplaceRequest']:
message.group_id = Group.REQUEST
elif message_type in ['ExecutionReport', 'OrderCancelReject']:
message.group_id = Group.RESPONSE
def group(self, message: ReconMessage, attributes: tuple, *args, **kwargs):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
direction = message.proto_message.metadata.id.direction
if session_alias not in ['demo-conn1', 'demo-conn2'] or \
message_type not in ['ExecutionReport']:
return
if message_type == 'ExecutionReport' and direction != Direction.FIRST:
return
if message_type == 'ExecutionReport' and message.proto_message.fields[
'ExecType'].simple_value != 'F':
return
if message_type == 'ExecutionReport' and \
message.proto_message.fields['TrdMatchID'].simple_value == "":
logger.info(
f"RULE '{self.get_name()}'. ER with empty TrdMatchID: {message.proto_message}."
)
return
if session_alias in [
'demo-conn1',
]:
message.group_id = 'ER_FIX01'
elif session_alias in ['demo-conn2']:
message.group_id = 'ER_FIX02'
def hash(self, message: ReconMessage, attributes: tuple):
cl_ord_id = message.proto_message.fields['SecondaryClOrdID'].simple_value
security_id = message.proto_message.fields['SecurityID'].simple_value
val = ''
for field_name in ['SecondaryClOrdID', 'SecurityID']:
if message.proto_message.fields[field_name].simple_value == '':
return
val += message.proto_message.fields[field_name].simple_value
message.hash = hash(val)
message.hash_info['SecondaryClOrdID'] = cl_ord_id
message.hash_info['SecurityID'] = security_id
def hash(self, message: ReconMessage, attributes: tuple, *args, **kwargs):
exec_type = message.proto_message.fields['ExecType'].simple_value
cl_ord_id = message.proto_message.fields['ClOrdID'].simple_value
exec_id = message.proto_message.fields['ExecID'].simple_value
val = ''
for field_name in ['ClOrdID', 'ExecType', 'ExecID']:
if message.proto_message.fields[field_name].simple_value == '':
return
val += message.proto_message.fields[field_name].simple_value
message.hash = hash(val)
message.hash_info['ClOrdID'] = cl_ord_id
message.hash_info['ExecType'] = exec_type
message.hash_info['ExecID'] = exec_id
def group(self, message: ReconMessage, attributes: tuple, *args, **kwargs):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
direction = message.proto_message.metadata.id.direction
if session_alias not in ['demo-conn1', 'demo-conn2', 'demo-dc1', 'demo-dc2'] or \
message_type not in ['ExecutionReport']:
return
if message_type == 'ExecutionReport' and direction != Direction.FIRST:
return
if session_alias in ['demo-conn1', 'demo-conn2']:
message.group_id = 'ER_FIX'
elif session_alias in ['demo-dc1', 'demo-dc2']:
message.group_id = 'ER_DC'
def group(self, message: ReconMessage, attributes: tuple):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
if message_type not in ['ExecutionReport', 'NewOrderSingle'] or \
session_alias not in ['arfq01fix04', 'arfq01dc04']:
return
message.group_id = message_type.translate({ord(c): '' for c in string.ascii_lowercase})
message.group_id += '_' + session_alias
message.group_info['session_alias'] = session_alias
if message_type == 'ExecutionReport':
exec_type = message.proto_message.fields['ExecType'].simple_value
message.group_id += '_' + exec_type
message.group_info['ExecType'] = exec_type
def group(self, message: ReconMessage, attributes: tuple):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
direction = message.proto_message.metadata.id.direction
if session_alias not in ['demo-conn1', 'demo-conn2', 'demo_log.txt'] or \
message_type not in ['NewOrderSingle']:
return
if message_type == 'NewOrderSingle' and \
message.proto_message.fields['SecondaryClOrdID'].simple_value == "":
logger.info(f"RULE '{self.get_name()}'. NOS with empty SecondaryClOrdID: {message.proto_message}.")
return
if session_alias in ['demo-conn1', 'demo-conn2']:
message.group_id = 'NOS_CONN'
elif session_alias in ['demo_log.txt']:
message.group_id = 'NOS_LOG'
def group(self, message: ReconMessage, attributes: tuple):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
direction = message.proto_message.metadata.id.direction
if session_alias not in ['demo-conn1', 'security_status.txt'] or \
message_type not in ['SecurityStatus']:
return
if message_type == 'SecurityStatus' and \
message.proto_message.fields['SecurityStatusReqID'].simple_value == "":
logger.info(
f"RULE '{self.get_name()}'. SS with empty SecurityStatusReqID: {message.proto_message}."
)
return
if session_alias in ['demo-conn1', 'demo-conn2']:
message.group_id = 'SS_CONN'
elif session_alias in ['security_status.txt']:
message.group_id = 'SS_LOG'
def group(self, message: ReconMessage, attributes: tuple):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
direction = message.proto_message.metadata.id.direction
if session_alias not in self.config.keys() or message_type not in [
'ExecutionReport'
]:
return
if message_type == 'ExecutionReport' and direction != Direction.FIRST:
return
message.group_id = self.config[session_alias]
def group(self, message: ReconMessage, attributes: tuple):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
direction = message.proto_message.metadata.id.direction
if session_alias not in self.config.keys() or message_type not in [
'NewOrderSingle'
]:
return
if message_type == 'NewOrderSingle' and \
message.proto_message.fields['SecondaryClOrdID'].simple_value == "":
logger.info(
f"RULE '{self.get_name()}'. NOS with empty SecondaryClOrdID: {message.proto_message}."
)
return
message.group_id = self.config[session_alias]
def group(self, message: ReconMessage, attributes: tuple):
message_type: str = message.proto_message.metadata.message_type
session_alias = message.proto_message.metadata.id.connection_id.session_alias
direction = message.proto_message.metadata.id.direction
if session_alias not in self.config.keys():
return
if message_type == 'ExecutionReport' and direction != Direction.FIRST \
and message.proto_message.fields['ExecType'].simple_value != 'F':
return
if message_type == 'ExecutionReport' and \
message.proto_message.fields['TrdMatchID'].simple_value == "":
logger.info(
f"RULE '{self.get_name()}'. ER with empty TrdMatchID: {message.proto_message}."
)
return
message.group_id = self.config[session_alias]
def submitGroupBatch(self, request, context):
try:
logger.debug(
f'submitGroupBatch request: {MessageToString(request, as_one_line=True)}'
)
messages = [
message.message for group in request.groups
for message in group.messages if message.HasField('message')
]
for proto_message in messages:
message = ReconMessage(proto_message=proto_message)
for rule in self._rules:
process_timer = rule.RULE_PROCESSING_TIME
start_time = time.time()
try:
rule.process((), message)
except Exception:
logger.exception(
f'Rule: {rule.get_name()}. '
f'An error occurred while processing the message. '
f'Message: {MessageToString(proto_message, as_one_line=True)}'
)
finally:
process_timer.observe(time.time() - start_time)
logger.debug(
f"Processed '{proto_message.metadata.message_type}' "
f"id='{MessageUtils.str_message_id(proto_message)}'")
return RequestStatus(status=RequestStatus.SUCCESS,
message='Successfully processed batch')
except Exception as e:
logger.exception('submitGroupBatch request failed')
return RequestStatus(status=RequestStatus.ERROR, message=str(e))
def handler(self, attributes: tuple, batch: MessageBatch):
try:
for proto_message in batch.messages:
message = ReconMessage(proto_message=proto_message)
process_timer = self._rule.RULE_PROCESSING_TIME
start_time = time.time()
self._rule.process(message, attributes)
process_timer.observe(time.time() - start_time)
logger.debug("Processed '%s' id='%s'",
proto_message.metadata.message_type,
MessageUtils.str_message_id(proto_message))
logger.debug("Cache size '%s': %s.", self._rule.get_name(),
self._rule.log_groups_size())
except Exception:
logger.exception(
f'Rule: {self._rule.get_name()}. '
f'An error occurred while processing the received message. '
f'Message: {MessageToString(batch, as_one_line=True)}')
def hash(self, message: ReconMessage, attributes: tuple, *args, **kwargs):
trd_match_id = message.proto_message.fields['TrdMatchID'].simple_value
message.hash = hash(
message.proto_message.fields['TrdMatchID'].simple_value)
message.hash_info['TrdMatchID'] = trd_match_id
def hash(self, message: ReconMessage, attributes: tuple):
trd_match_id = message.proto_message.fields[
'SecurityStatusReqID'].simple_value
message.hash = hash(
message.proto_message.fields['SecurityStatusReqID'].simple_value)
message.hash_info['SecurityStatusReqID'] = trd_match_id
def hash(self, message: ReconMessage, attributes: tuple):
cl_ord_id = message.proto_message.fields['ClOrdID'].simple_value
message.hash = hash(message.proto_message.fields['ClOrdID'].simple_value)
message.hash_info['ClOrdID'] = cl_ord_id