class AuctionSummaryMessage(BasicMessageType):
name = 'Auction Summary Message'
timestamp = Field(name='Timestamp',
offset=0,
length=8,
data_type=Numeric(length=8))
message_type = Field(name='Message Type',
offset=8,
length=1,
data_type=SingleCharacter(character='J'))
stock_symbol = Field(name='Stock Symbol',
offset=9,
length=8,
data_type=Alpha(length=8))
auction_type = Field(name='Auction Type',
offset=17,
length=1,
data_type=Alpha(length=1))
price = Field(name='Price',
offset=18,
length=10,
data_type=Numeric(length=10))
shares = Field(name='Shares',
offset=28,
length=10,
data_type=Numeric(length=10))
fields = [
timestamp, message_type, stock_symbol, auction_type, price, shares
]
def test_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='E'),
},
{
self.OFFSET: 9,
self.LENGTH: 12,
self.DATA_TYPE: Base36Numeric(length=12),
},
{
self.OFFSET: 21,
self.LENGTH: 6,
self.DATA_TYPE: Numeric(length=6),
},
{
self.OFFSET: 27,
self.LENGTH: 12,
self.DATA_TYPE: Base36Numeric(length=12),
},
]
self._test_message_type(OrderExecutedMessage, descriptions)
class CharacterTest(DataTypesTestCase, TestCase):
def setUp(self):
self.c = SingleCharacter(character='C')
def test_valid_character(self):
self.assertTrue(self.c.is_valid('C'))
def test_invalid_character_wrong_base_set(self):
self.assertFalse(self.c.is_valid(' '))
self.assertFalse(self.c.is_valid('0'))
self.assertFalse(self.c.is_valid('c'))
def test_invalid_character_wrong_length(self):
self._test_invalid_length(valid_length=self.c.length,
valid_char='C',
data_type=self.c)
def test_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='J'),
},
{
self.OFFSET: 9,
self.LENGTH: 8,
self.DATA_TYPE: Alpha(length=8),
},
{
self.OFFSET: 17,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
{
self.OFFSET: 18,
self.LENGTH: 10,
self.DATA_TYPE: Numeric(length=10),
},
{
self.OFFSET: 28,
self.LENGTH: 10,
self.DATA_TYPE: Numeric(length=10),
},
]
self._test_message_type(AuctionSummaryMessage, descriptions)
class TradeStatusMessage(BasicMessageType):
name = 'Trade Status Message'
timestamp = Field(name='Timestamp',
offset=0,
length=8,
data_type=Numeric(length=8))
message_type = Field(name='Message Type',
offset=8,
length=1,
data_type=SingleCharacter(character='H'))
stock_symbol = Field(name='Stock Symbol',
offset=9,
length=8,
data_type=Alpha(length=8))
halt_status = Field(name='Halt Status',
offset=17,
length=1,
data_type=Alpha(length=1))
reg_sho_action = Field(name='Reg SHO Action',
offset=18,
length=1,
data_type=Numeric(length=1))
reserved_1 = Field(name='Reserved1',
offset=19,
length=1,
data_type=Alpha(length=1))
reserved_2 = Field(name='Reserved2',
offset=20,
length=1,
data_type=Alpha(length=1))
fields = [
timestamp, message_type, stock_symbol, halt_status, reg_sho_action,
reserved_1, reserved_2
]
def test_symbol_clear_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='d'),
},
{
self.OFFSET: 9,
self.LENGTH: 12,
self.DATA_TYPE: Base36Numeric(length=12),
},
{
self.OFFSET: 21,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
{
self.OFFSET: 22,
self.LENGTH: 6,
self.DATA_TYPE: Numeric(length=6),
},
{
self.OFFSET: 28,
self.LENGTH: 8,
self.DATA_TYPE: Alpha(length=8),
},
{
self.OFFSET: 36,
self.LENGTH: 10,
self.DATA_TYPE: Numeric(length=10),
},
{
self.OFFSET: 46,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
{
self.OFFSET: 47,
self.LENGTH: 4,
self.DATA_TYPE: Alpha(length=4),
},
]
self._test_message_type(AddOrderMessageLong, descriptions)
class TradeBreakMessage(BasicMessageType):
name = 'Trade Break Message'
timestamp = Field(name='Timestamp',
offset=0,
length=8,
data_type=Numeric(length=8))
message_type = Field(name='Message Type',
offset=8,
length=1,
data_type=SingleCharacter(character='B'))
execution_id = Field(name='Execution ID',
offset=9,
length=12,
data_type=Base36Numeric(length=12))
fields = [timestamp, message_type, execution_id]
def test_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='P'),
},
{
self.OFFSET: 9,
self.LENGTH: 12,
self.DATA_TYPE: Base36Numeric(length=12),
},
{
self.OFFSET: 21,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
{
self.OFFSET: 22,
self.LENGTH: 6,
self.DATA_TYPE: Numeric(length=6),
},
{
self.OFFSET: 28,
self.LENGTH: 6,
self.DATA_TYPE: Alpha(length=6),
},
{
self.OFFSET: 34,
self.LENGTH: 10,
self.DATA_TYPE: Numeric(length=10),
},
{
self.OFFSET: 44,
self.LENGTH: 12,
self.DATA_TYPE: Base36Numeric(length=12),
},
]
self._test_message_type(TradeMessage, descriptions)
def test_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='B'),
},
{
self.OFFSET: 9,
self.LENGTH: 12,
self.DATA_TYPE: Base36Numeric(length=12),
},
]
self._test_message_type(TradeBreakMessage, descriptions)
class AuctionUpdateMessage(BasicMessageType):
name = 'Auction Update Message'
timestamp = Field(name='Timestamp',
offset=0,
length=8,
data_type=Numeric(length=8))
message_type = Field(name='Message Type',
offset=8,
length=1,
data_type=SingleCharacter(character='I'))
stock_symbol = Field(name='Stock Symbol',
offset=9,
length=8,
data_type=Alpha(length=8))
auction_type = Field(name='Auction Type',
offset=17,
length=1,
data_type=Alpha(length=1))
reference_price = Field(name='Reference Price',
offset=18,
length=10,
data_type=Numeric(length=10))
buy_shares = Field(name='Buy Shares',
offset=28,
length=10,
data_type=Numeric(length=10))
sell_shares = Field(name='Sell Shares',
offset=38,
length=10,
data_type=Numeric(length=10))
indicative_price = Field(name='Indicative Price',
offset=48,
length=10,
data_type=Numeric(length=10))
auction_only_price = Field(name='Auction Only Price',
offset=58,
length=10,
data_type=Numeric(length=10))
fields = [
timestamp, message_type, stock_symbol, auction_type, reference_price,
buy_shares, sell_shares, indicative_price, auction_only_price
]
class TradeMessage(BasicMessageType):
name = 'Trade Message'
timestamp = Field(name='Timestamp',
offset=0,
length=8,
data_type=Numeric(length=8))
message_type = Field(name='Message Type',
offset=8,
length=1,
data_type=SingleCharacter(character='P'))
order_id = Field(name='Order ID',
offset=9,
length=12,
data_type=Base36Numeric(length=12))
side_indicator = Field(name='Side Indicator',
offset=21,
length=1,
data_type=Alpha(length=1))
shares = Field(name='Shares',
offset=22,
length=6,
data_type=Numeric(length=6))
stock_symbol = Field(name='Stock Symbol',
offset=28,
length=6,
data_type=Alpha(length=6))
price = Field(name='Price',
offset=34,
length=10,
data_type=Numeric(length=10))
execution_id = Field(name='Execution ID',
offset=44,
length=12,
data_type=Base36Numeric(length=12))
fields = [timestamp,
message_type,
order_id,
side_indicator,
shares,
stock_symbol,
price,
execution_id]
def test_symbol_clear_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='s'),
},
{
self.OFFSET: 9,
self.LENGTH: 8,
self.DATA_TYPE: Alpha(length=8),
},
]
self._test_message_type(SymbolClearMessage, descriptions)
class RetailPriceImprovementMessage(BasicMessageType):
name = 'Retail Price Improvement Message'
timestamp = Field(name='Timestamp',
offset=0,
length=8,
data_type=Numeric(length=8))
message_type = Field(name='Message Type',
offset=8,
length=1,
data_type=SingleCharacter(character='R'))
stock_symbol = Field(name='Stock Symbol',
offset=9,
length=8,
data_type=Alpha(length=8))
retail_price_improvement = Field(name='Retail Price Improvement',
offset=17,
length=1,
data_type=Alpha(length=1))
fields = [timestamp, message_type, stock_symbol, retail_price_improvement]
def test_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='H'),
},
{
self.OFFSET: 9,
self.LENGTH: 8,
self.DATA_TYPE: Alpha(length=8),
},
{
self.OFFSET: 17,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
{
self.OFFSET: 18,
self.LENGTH: 1,
self.DATA_TYPE: Numeric(length=1),
},
{
self.OFFSET: 19,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
{
self.OFFSET: 20,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
]
self._test_message_type(TradeStatusMessage, descriptions)
class OrderExecutedMessage(BasicMessageType):
name = 'Order Executed Message'
timestamp = Field(name='Timestamp',
offset=0,
length=8,
data_type=Numeric(length=8))
message_type = Field(name='Message Type',
offset=8,
length=1,
data_type=SingleCharacter(character='E'))
order_id = Field(name='Order ID',
offset=9,
length=12,
data_type=Base36Numeric(length=12))
executed_shares = Field(name='Executed Shares',
offset=21,
length=6,
data_type=Numeric(length=6))
execution_id = Field(name='Execution ID',
offset=27,
length=12,
data_type=Base36Numeric(length=12))
fields = [timestamp, message_type, order_id, executed_shares, execution_id]
def test_message(self):
descriptions = [
{
self.OFFSET: 0,
self.LENGTH: 8,
self.DATA_TYPE: Numeric(length=8),
},
{
self.OFFSET: 8,
self.LENGTH: 1,
self.DATA_TYPE: SingleCharacter(character='R'),
},
{
self.OFFSET: 9,
self.LENGTH: 8,
self.DATA_TYPE: Alpha(length=8),
},
{
self.OFFSET: 17,
self.LENGTH: 1,
self.DATA_TYPE: Alpha(length=1),
},
]
self._test_message_type(RetailPriceImprovementMessage, descriptions)
def setUp(self):
self.c = SingleCharacter(character='C')