def new_order_message(client, **kwargs):
""" Generates a new order message.
Arguments:
Returns:
Raises:
ValueError
"""
# Required parameters
for sym in ['symbol', 'side', 'order_type']:
if sym not in kwargs:
raise ValueError("{0} must have a value".format(sym))
# optional parameters
extra_tags = kwargs.get('extra_tags', [])
return FIXMessage(source=[
(35, FIX.NEWORDER_SINGLE),
(49, client.sender_compid),
(56, client.target_compid),
(11, client.get_next_orderid()),
(21, '1'), # handlInst
(55, kwargs['symbol']),
(54, kwargs['side']),
(60, format_time(datetime.datetime.now())),
(40, kwargs['order_type']),
] + extra_tags)
def prepare_send_message(self, message):
""" Sends a message via the transport.
"""
self._send_seqno += 1
send_time = datetime.datetime.now()
# update some of the required fields for sending
message[8] = self.link_config['protocol_version']
message[34] = self._send_seqno
message[52] = format_time(send_time)
# apply any common fields
if 'common_fields' in self.link_config:
for tag, value in self.link_config['common_fields']:
message[tag] = value
# verify required tags
for tag in self.link_config['required_fields']:
# these two tags are updated when generating the binary
if tag in {9, 10}:
continue
if tag not in message or len(str(message[tag])) == 0:
raise FIXDataError(tag, 'missing field: id:{0}'.format(tag))
self._last_send_time = send_time
return message
def on_timer_tick_received(self):
""" This is the Twisted timer callback when the heartbeat interval
has elapsed.
"""
if self.heartbeat <= 0:
return
now = datetime.datetime.now()
# Have we received a testrequest response before we timed out?
if (self._testrequest_id is not None and
(now - self._testrequest_time).seconds > 2*self.heartbeat):
raise FIXTimeoutError('testrequest response timeout')
# if heartbeat seconds/2 have elapsed since the last time
# a message was sent, send a heartbeat
if (now - self._last_send_time).seconds > (self.heartbeat/2):
self.transport.send_message(
FIXMessage(source=[(35, FIX.HEARTBEAT),
(49, self.link_config['sender_compid']),
(56, self.link_config['target_compid'])]))
# if heartbeat seconds + "some transmission time" have elapsed
# since a message was received, send a TestRequest
if (now - self._last_received_time).seconds > self.heartbeat:
testrequest_id = "TR{0}".format(format_time(now))
self._testrequest_time = now
self._testrequest_id = testrequest_id
self.transport.send_message(
FIXMessage(source=[(35, FIX.TEST_REQUEST),
(112, testrequest_id),
(49, self.link_config['sender_compid']),
(56, self.link_config['target_compid'])]))
def new_order_message(client, **kwargs):
""" Generates a new order message.
Arguments:
Returns:
Raises:
ValueError
"""
# Required parameters
for sym in ['symbol', 'side', 'order_type']:
if sym not in kwargs:
raise ValueError("{0} must have a value".format(sym))
# optional parameters
extra_tags = kwargs.get('extra_tags', [])
return FIXMessage(source=[
(35, FIX.NEWORDER_SINGLE),
(49, client.sender_compid),
(56, client.target_compid),
(11, client.get_next_orderid()),
(21, '1'), # handlInst
(55, kwargs['symbol']),
(54, kwargs['side']),
(60, format_time(datetime.datetime.now())),
(40, kwargs['order_type']),
] + extra_tags)