def getExecutionReportForNewOrder(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
clOrdID = fix.ClOrdID()
message.getField(ordType)
if ordType.getValue() != fix.OrdType_LIMIT:
raise fix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.CumQty(orderQty.getValue()))
executionReport.setField(fix.AvgPx(price.getValue()))
executionReport.setField(fix.LastShares(orderQty.getValue()))
executionReport.setField(fix.LastPx(price.getValue()))
executionReport.setField(clOrdID)
executionReport.setField(orderQty)
executionReport.setField(fix.Text("New order accepted!"))
# Since FIX 4.3, ExecTransType is killed and the values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(fix.ExecTransType(fix.ExecTransType_NEW))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
if beginString.getValue() <= fix.BeginString_FIX42:
executionReport.setField(fix.ExecType(
fix.ExecType_FILL)) #150=2 FILL (or 1 PARTIAL_FILL)
else:
# FILL and PARTIAL_FILL are removed and replaced by TRADE (F) since FIX 4.3 as these info can be retrieved from OrdStatus field
executionReport.setField(fix.ExecType(
fix.ExecType_TRADE)) #150=F TRADE
executionReport.setField(fix.LeavesQty(0))
return executionReport
def fromApp(self, message, sessionID):
beginString = fix.BeginString()
msgType = fix.MsgType()
message.getHeader().getField(beginString)
message.getHeader().getField(msgType)
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
clOrdID = fix.ClOrdID()
message.getField(ordType)
print(ordType)
if ordType.getValue() != fix.OrdType_LIMIT:
raise fix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
executionReport.setField(fix.OrderID(self.genOrderID()))
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.CumQty(orderQty.getValue()))
executionReport.setField(fix.AvgPx(price.getValue()))
executionReport.setField(fix.LastShares(orderQty.getValue()))
executionReport.setField(fix.LastPx(price.getValue()))
executionReport.setField(clOrdID)
executionReport.setField(orderQty)
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(fix.ExecTransType(fix.ExecTransType_NEW))
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(fix.ExecType_FILL))
executionReport.setField(fix.LeavesQty(0))
try:
fix.Session.sendToTarget(executionReport, sessionID)
except (SessionNotFound, e):
return
def onMarketDataRequest(self, message, sessionID):
requestID = quickfix.MDReqID()
try:
message.getField(requestID)
except Exception as e:
raise quickfix.IncorrectTagValue(requestID)
try:
relatedSym = self.fixVersion.MarketDataRequest.NoRelatedSym()
symbolFix = quickfix.Symbol()
product = quickfix.Product()
message.getGroup(1, relatedSym)
relatedSym.getField(symbolFix)
relatedSym.getField(product)
if product.getValue() != quickfix.Product_CURRENCY:
self.sendMarketDataReject(
requestID,
" product.getValue() != quickfix.Product_CURRENCY:",
sessionID)
return
# bid
entryType = self.fixVersion.MarketDataRequest.NoMDEntryTypes()
message.getGroup(1, entryType)
# ask
message.getGroup(2, entryType)
symbol = symbolFix.getValue()
subscription = self.subscriptions.get(symbol)
if subscription is None:
self.sendMarketDataReject(requestID,
"Unknown symbol: %s" % str(symbol),
sessionID)
return
subscription.addSession(sessionID)
except Exception as e:
print e, e.args
self.sendMarketDataReject(requestID, str(e), sessionID)
def onNewOrderSingle(self, message, beginString, sessionID):
symbol = quickfix.Symbol()
side = quickfix.Side()
ordType = quickfix.OrdType()
orderQty = quickfix.OrderQty()
price = quickfix.Price()
clOrdID = quickfix.ClOrdID()
quoteID = quickfix.QuoteID()
currency = quickfix.Currency()
message.getField(ordType)
if ordType.getValue() != quickfix.OrdType_PREVIOUSLY_QUOTED:
raise quickfix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
message.getField(quoteID)
message.getField(currency)
executionReport = quickfix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
quickfix.MsgType(quickfix.MsgType_ExecutionReport))
executionReport.setField(quickfix.OrderID(self.idGen.orderID()))
executionReport.setField(quickfix.ExecID(self.idGen.execID()))
try:
reject_chance = random.choice(range(1, 101))
if self.rejectRate > reject_chance:
raise FixSimError("Rejected by cruel destiny %s" % str(
(reject_chance, self.rejectRate)))
subscription = self.subscriptions.get(symbol.getValue())
quote = subscription.orderbook.get(quoteID.getValue())
execPrice = price.getValue()
execSize = orderQty.getValue()
if execSize > quote.size:
raise FixSimError("size to large for quote")
if abs(execPrice - quote.price) > 0.0000001:
raise FixSimError("Trade price not equal to quote")
executionReport.setField(
quickfix.SettlDate(self.getSettlementDate()))
executionReport.setField(quickfix.Currency(subscription.currency))
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_FILLED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(price.getValue()))
executionReport.setField(quickfix.AvgPx(execPrice))
executionReport.setField(quickfix.LastPx(execPrice))
executionReport.setField(quickfix.LastShares(execSize))
executionReport.setField(quickfix.CumQty(execSize))
executionReport.setField(quickfix.OrderQty(execSize))
executionReport.setField(quickfix.ExecType(quickfix.ExecType_FILL))
executionReport.setField(quickfix.LeavesQty(0))
except Exception as e:
self.logger.exception("FixServer:Close order error")
executionReport.setField(quickfix.SettlDate(''))
executionReport.setField(currency)
executionReport.setField(
quickfix.OrdStatus(quickfix.OrdStatus_REJECTED))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(clOrdID)
executionReport.setField(quickfix.Price(0))
executionReport.setField(quickfix.AvgPx(0))
executionReport.setField(quickfix.LastPx(0))
executionReport.setField(quickfix.LastShares(0))
executionReport.setField(quickfix.CumQty(0))
executionReport.setField(quickfix.OrderQty(0))
executionReport.setField(
quickfix.ExecType(quickfix.ExecType_REJECTED))
executionReport.setField(quickfix.LeavesQty(0))
self.sendToTarget(executionReport, sessionID)
def getExecutionReportForNewOrder2(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
msgSeqNum = fix.MsgSeqNum()
message.getHeader().getField(msgSeqNum)
symbol = fix.Symbol()
side = fix.Side()
ordType = fix.OrdType()
orderQty = fix.OrderQty()
price = fix.Price()
clOrdID = fix.ClOrdID()
message.getField(ordType)
# todo handle market order
if ordType.getValue() != fix.OrdType_LIMIT:
raise fix.IncorrectTagValue(ordType.getField())
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(price)
message.getField(clOrdID)
data = {}
data['market'] = symbol.getValue()
data['price'] = price.getValue()
data['side'] = 'buy' if side.getValue() == fix.Side_BUY else 'sell'
data['volume'] = orderQty.getValue()
response = createOrder(self.accessKey, self.secretKey, data)
jResponse = json.loads(response)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
# todo exec id?
executionReport.setField(fix.ExecID(self.genExecID()))
executionReport.setField(symbol)
executionReport.setField(side)
executionReport.setField(fix.CumQty(orderQty.getValue()))
executionReport.setField(fix.AvgPx(price.getValue()))
executionReport.setField(fix.LastShares(orderQty.getValue()))
executionReport.setField(fix.LastPx(price.getValue()))
# todo save Client order id to DB?
executionReport.setField(clOrdID)
executionReport.setField(orderQty)
if 'error' in jResponse and jResponse['error']:
executionReport.setField(fix.OrderID("nil"))
executionReport.setField(fix.OrdStatus(fix.OrdStatus_REJECTED))
executionReport.setField(fix.Text(jResponse['error']['message']))
# todo Reject reason for each case
executionReport.setField(
fix.OrdRejReason(fix.OrdRejReason_UNKNOWN_SYMBOL))
else:
executionReport.setField(fix.OrderID(str(jResponse['id'])))
# todo check trades_count from json response and set FILL status?
executionReport.setField(fix.OrdStatus(fix.OrdStatus_NEW))
executionReport.setField(fix.Text('New order accpeted!'))
# Since FIX 4.3, ExecTransType is killed and the values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(fix.ExecTransType(fix.ExecTransType_NEW))
# todo check trades_count from json response and set FILL status?
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
if beginString.getValue() <= fix.BeginString_FIX42:
executionReport.setField(fix.ExecType(
fix.ExecType_FILL)) #150=2 FILL (or 1 PARTIAL_FILL)
else:
# FILL and PARTIAL_FILL are removed and replaced by TRADE (F) since FIX 4.3 as these info can be retrieved from OrdStatus field
executionReport.setField(fix.ExecType(
fix.ExecType_TRADE)) #150=F TRADE
executionReport.setField(fix.LeavesQty(0))
"""if 'error' in jResponse and jResponse['error']:
reject = fix.Message()
reject.getHeader().setField(beginString)
reject.getHeader().setField(fix.MsgType(fix.MsgType_Reject))
reject.setField(fix.RefMsgType(fix.MsgType_NewOrderSingle))
reject.setField(fix.RefSeqNum(msgSeqNum.getValue())) #45 = RefSeqNum
reject.setField(fix.SessionRejectReason(fix.SessionRejectReason_OTHER)) #373 = 99 OTHER
reject.setField(fix.Text(jResponse['message']))
return reject """
return executionReport
