A pure python asyncio FIX engine.
This is work in progress.
The package can be installed from the pie store.
pip install jetblack-fixengineThis project provides a pure Python, asyncio implementation of a FIX engine, supporting both initiators and acceptors.
The engines use the
jetblack-fixparser
package to pass the FIX messages as plain Python objects. For example, a
LOGON message could be sent as follows:
await send_message(
'LOGON',
{
'EncryptMethod': "NONE",
'HeartBtInt': 30
}
)The send_message function adds the header fields for the session. The
received message might look as follows:
{
'MsgType': 'LOGON',
'MsgSeqNum': 42,
'SenderCompID': 'ME',
'TargetCompID': 'BANK OF SOMEWHERE',
'SendingTime': datetime(2000, 1, 1, 12, 35, 15, 734, timezone.utc),
'EncryptMethod': "NONE",
'HeartBtInt': 30
}The FIX protocol consists of admin and application messages. The admin messages are used for authentication and maintaining the session, and are generally of a well known structure. While the application messages are in the standard, they are often customized to include information not specified in the standard.
Because of this the protocols are provided by config files. Historically
XML was used. While this is supported, yaml is preferred and some
examples are provided in the
etc
folder.
Currently supported versions are 4.0, 4.1, 4.2, 4.3, 4.4.
An initiator is a class which inherits from FIXApplication, and implements a
few methods, and has access to send_message from the fix_engine. Here is an example.
import asyncio
import logging
from pathlib import Path
from typing import Mapping, Any
from jetblack_fixparser import load_yaml_protocol
from jetblack_fixengine import (
FileStore,
start_initiator,
InitiatorConfig,
FIXApplication,
FIXEngine
)
LOGGER = logging.getLogger(__name__)
class MyInitiator(FIXApplication):
"""An instance of the initiator"""
async def on_logon(
self,
message: Mapping[str, Any],
fix_engine: FIXEngine
) -> None:
LOGGER.info(
'on_logon[%s] %s/%s',
message['MsgSeqNum'],
message['SenderCompID'],
message['TargetCompID'],
)
async def on_logout(
self,
_message: Mapping[str, Any],
fix_engine: FIXEngine
) -> None:
LOGGER.info('on_logout')
async def on_application_message(
self,
_message: Mapping[str, Any],
fix_engine: FIXEngine
) -> None:
LOGGER.info('on_application_message')
app = MyInitiator()
config = InitiatorConfig(
'127.0.0.1',
9801,
load_yaml_protocol(Path('etc') / 'FIX44.yaml'),
'INITIATOR1',
'ACCEPTOR',
FileStore(Path('store'))
)
logging.basicConfig(level=logging.DEBUG)
asyncio.run(
start_initiator(app, config)
)The acceptor works in the same way as the initiator. Here is an example:
import asyncio
import logging
from pathlib import Path
from typing import Mapping, Any
from jetblack_fixparser import load_yaml_protocol
from jetblack_fixengine import (
FileStore,
start_acceptor,
AcceptorConfig,
FIXApplication,
FIXEngine
)
LOGGER = logging.getLogger(__name__)
class MyAcceptor(FIXApplication):
"""An instance of the acceptor"""
async def on_logon(
self,
_message: Mapping[str, Any],
_fix_engine: FIXEngine
) -> None:
LOGGER.info('on_logon')
async def on_logout(
self,
_message: Mapping[str, Any],
_fix_engine: FIXEngine
) -> None:
LOGGER.info('on_logout')
async def on_application_message(
self,
_message: Mapping[str, Any],
_fix_engine: FIXEngine
) -> None:
LOGGER.info('on_application_message')
logging.basicConfig(level=logging.DEBUG)
app = MyAcceptor()
config = AcceptorConfig(
'0.0.0.0',
9801,
load_yaml_protocol(Path('etc') / 'FIX44.yaml'),
'ACCEPTOR',
'INITIATOR1',
FileStore(Path("store"))
)
asyncio.run(
start_acceptor(
app,
config
)
)Note that throwing the exception LogonError from on_logon will reject
the logon request.
The engines need to store their state. Two stores are currently provided:
a file store (FileStore) and sqlite (SqlStore).
The engines are implemented as state machines. This means they can be tested without the need for IO.