Exemplo n.º 1
0
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)
Exemplo n.º 2
0
    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
Exemplo n.º 3
0
    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'])]))
Exemplo n.º 4
0
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)