def run(self): logon = fix44.Logon() #Keep sending a sample set of messages to server, where the second message while (1): message = fix.Message() header = message.getHeader() header.setField(fix.BeginString("FIX.4.4")) header.setField(fix.SenderCompID("COEPUSER")) header.setField(fix.TargetCompID("COEPEXCH")) header.setField(fix.MsgType("D")) message.setField(fix.ClOrdID("3")) message.setField(fix.Symbol("amzn")) message.setField(fix.Side(Side_BUY)) message.setField(58, "Buy shares") message.setField(fix.Price(87)) message.setField(fix.OrderQty(2)) transact_time = datetime.utcnow() message.setField(60, transact_time.strftime("%Y%m%d-22:29:00.000")) message.setField(fix.Account("EXECLINKS")) message.setField(40, "2") status = fix.Session.sendToTarget(message, self.sessionID) print("Status: ", status) print(message) time.sleep(5) message = fix.Message() header = message.getHeader() header.setField(fix.BeginString("FIX.4.4")) header.setField(fix.SenderCompID("COEPUSER")) header.setField(fix.TargetCompID("COEPEXCH")) header.setField(fix.MsgType("D")) message.setField(fix.ClOrdID("3")) message.setField(fix.Symbol("amzn")) message.setField(fix.Side(Side_SELL)) message.setField(58, "Sell shares") message.setField(fix.Price(87)) message.setField(fix.OrderQty(2)) transact_time = datetime.utcnow() message.setField(60, transact_time.strftime("%Y%m%d-22:29:00.000")) message.setField(fix.Account("EXECLINKS")) message.setField(40, "2") status = fix.Session.sendToTarget(message, self.sessionID) print("Status: ", status) print(message) time.sleep(100)
def cancel(self, message, sessionID): symbol = fix.Symbol() side = fix.Side() orderQty = fix.OrderQty() clOrdID = fix.ClOrdID() org = fix.OrigClOrdID() message.getField(symbol) message.getField(side) message.getField(orderQty) message.getField(clOrdID) message.getField(org) log.info("cancel:\nsymbol:{},side:{},orderQty:{},clOrdID:{},org:{} -----"\ .format(symbol, side, orderQty, clOrdID, org)) cancel = fix44.OrderCancelReject() cancel.setField(clOrdID) cancel.setField(fix.OrderID(self.genOrderID())) cancel.setField(fix.OrdStatus(fix.OrdStatus_NEW)) cancel.setField(fix.OrigClOrdID(org.getValue())) cancel.setField(fix.Text('order completed')) cancel.setField(fix.TransactTime()) cancel.setField(fix.CxlRejReason(fix.CxlRejReason_BROKER)) cancel.setField( fix.CxlRejResponseTo(fix.CxlRejResponseTo_ORDER_CANCEL_REQUEST)) fix.Session.sendToTarget(cancel, sessionID)
def put_new_order(self, instrument, side, price, size): """Request sample new order single""" message = quickfix44.NewOrderSingle() header = message.getHeader() print("Executing : " + str(instrument) + ":" + str(side) + ":" + str(price) + ":" + str(size)) message.setField(quickfix.ClOrdID(self.genExecID())) message.setField(quickfix.Side(side)) message.setField(quickfix.Symbol(instrument.symbol)) message.setField(quickfix.SecurityExchange(instrument.exchange)) message.setField(quickfix.OrderQty(size)) message.setField(quickfix.Price(int(price))) message.setField(quickfix.OrdType(quickfix.OrdType_LIMIT)) message.setField(quickfix.TimeInForce('0')) message.setField(quickfix.Text("NewOrderSingle")) trstime = quickfix.TransactTime() trstime.setString( datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")[:-3]) message.setField(trstime) msg = message.toString().replace(__SOH__, "|") print("New Order Single: " + msg) quickfix.Session.sendToTarget(message, self.sessionID)
def new_order(sender_comp_id, target_comp_id, symbol, quantity, price, side, order_type): if side.lower() == "buy": side = fix.Side_BUY else: side = fix.Side_SELL message = Message() header = message.getHeader() header.setField(fix.BeginString("FIX.4.2")) header.setField(fix.SenderCompID(sender_comp_id)) header.setField(fix.TargetCompID(target_comp_id)) header.setField(fix.MsgType("D")) ord_id = get_order_id(sender_comp_id, symbol) message.setField(fix.ClOrdID(ord_id)) message.setField(fix.Symbol(symbol)) message.setField(fix.Side(side)) message.setField(fix.Price(float(price))) if order_type.lower() == "market": message.setField(fix.OrdType(fix.OrdType_MARKET)) else: message.setField(fix.OrdType(fix.OrdType_LIMIT)) message.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION)) message.setField(fix.TransactTime()) message.setField(fix.OrderQty(float(quantity))) message.setField(fix.Text(f"{side} {symbol} {quantity}@{price}")) return message
def newOrderSingle(self): try: LOG_EVENT("New Order Single") orderMsg = fix.Message() orderMsg.getHeader().setField(self.sessionID.getBeginString()) orderMsg.getHeader().setField( fix.MsgType(fix.MsgType_NewOrderSingle)) orderMsg.getHeader().setField(self.sessionID.getSenderCompID()) orderMsg.getHeader().setField(self.sessionID.getTargetCompID()) orderMsg.getHeader().setField(fix.MsgSeqNum(self.genOrderID())) sendingTime = fix.SendingTime() sendingTime.setString( datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")) orderMsg.getHeader().setField(sendingTime) orderMsg.setField(fix.Account("17018382")) orderMsg.setField(fix.ClOrdID(self.genExecID())) orderMsg.setField(fix.OrderQty(100)) orderMsg.setField(fix.OrdType(fix.TriggerOrderType_LIMIT)) orderMsg.setField(fix.Price(1.216)) orderMsg.setField(fix.Symbol("X.US.OREURUSD")) orderMsg.setField(fix.Side(fix.Side_BUY)) tranactionTime = fix.TransactTime() tranactionTime.setString( datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f")) orderMsg.setField(tranactionTime) orderMsg.setField(fix.OpenClose(fix.OpenClose_OPEN)) LOG_PACKET(orderMsg.toString()) fix.Session.sendToTarget(orderMsg, self.sessionID) except Exception as e: print(e)
def makeOrder(self, snapshot): self.logger.info("FIXSIM-CLIENT Snapshot received %s", str(snapshot)) quote = snapshot.getRandomQuote() self.logger.info("FIXSIM-CLIENT make order for quote %s", str(quote)) order = self.fixVersion.NewOrderSingle() order.setField( quickfix.HandlInst( quickfix. HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK )) order.setField( quickfix.SecurityType( quickfix.SecurityType_FOREIGN_EXCHANGE_CONTRACT)) order.setField(quickfix.OrdType(quickfix.OrdType_PREVIOUSLY_QUOTED)) order.setField(quickfix.ClOrdID(self.idGen.orderID())) order.setField(quickfix.QuoteID(quote.id)) order.setField(quickfix.SecurityDesc("SPOT")) order.setField(quickfix.Symbol(snapshot.symbol)) order.setField(quickfix.Currency(quote.currency)) order.setField(quickfix.Side(quote.side)) order.setField(quickfix.OrderQty(quote.size)) order.setField(quickfix.FutSettDate("SP")) order.setField(quickfix.Price(quote.price)) order.setField(quickfix.TransactTime()) order.setField( quickfix.TimeInForce(quickfix.TimeInForce_IMMEDIATE_OR_CANCEL)) self.sendToTarget(order, self.orderSession)
def report_child_order(self, child_order: GenusChildOrder, trade: TradeData = None): """""" self.exec_id += 1 message = new_message(fix.MsgType_ExecutionReport) message.setField(fix.ClOrdID(child_order.cl_ord_id)) message.setField(fix.OrderID(child_order.order_id)) message.setField(fix.ExecID(str(self.exec_id))) message.setField(fix.OrdStatus(child_order.ord_status)) message.setField(fix.ExecType(child_order.ord_status)) message.setField(fix.Symbol(child_order.symbol)) message.setField(fix.Side(child_order.side)) message.setField(fix.OrderQty(child_order.order_qty)) message.setField(fix.CumQty(child_order.cum_qty)) message.setField( fix.LeavesQty(child_order.order_qty - child_order.cum_qty)) message.setField(fix.AvgPx(child_order.avg_px)) if trade: message.setField(fix.LastShares(trade.volume)) message.setField(fix.LastPx(trade.price)) fix.Session.sendToTarget(message, self.session_id)
def sendOrder(self, ticker, side, type, px, qty): nos = fix.Message() nos.getHeader().setField(fix.BeginString(fix.BeginString_FIX44)) nos.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle)) symbol = fix.Symbol(ticker) nos.setField(symbol) if side == "BUY": side = fix.Side(fix.Side_BUY) if side == "SELL": side = fix.Side(fix.Side_SELL) nos.setField(side) if type == "MARKET": ordType = fix.OrdType(fix.OrdType_MARKET) px = fix.Price(0) if type == "LIMIT": ordType = fix.OrdType(fix.OrdType_MARKET) px = fix.Price(px) nos.setField(ordType) nos.setField(px) orderQty = fix.OrderQty(qty) clOrdID = fix.ClOrdID(self.genOrderID()) nos.setField(orderQty) nos.setField(clOrdID) TimeInForce = fix.TimeInForce(fix.TimeInForce_GOOD_TILL_CANCEL) TransactTime = fix.TransactTime() nos.setField(TimeInForce) nos.setField(TransactTime) fix.Session.sendToTarget(nos, self.sessionID)
def __init__(self, symbol, maturity, qty): super(FutureOrder, self).__init__() self.CFICode = fix.CFICode('FXXXXS') self.Symbol = fix.Symbol(symbol) self.Maturity = fix.MaturityMonthYear(maturity) self.Quantity = fix.OrderQty(qty) self.TransactionTime = fix.TransactTime()
def new_order(self): print("Creating the following order: ") trade = fix.Message() trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) # trade.getHeader().setField(fix.MsgType( fix.MsgType_NewOrderSingle)) #35=D trade.setField(fix.ClOrdID(self.genOrderID())) #11=Unique order id trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION) ) #21=3 (Manual order, best executiona) trade.setField(fix.Symbol("ethbtc")) #55=ethbtc trade.setField(fix.Side(fix.Side_BUY)) #54=1 Buy trade.setField(fix.OrdType(fix.OrdType_LIMIT)) #40=2 Limit order trade.setField(fix.OrderQty(9)) #38=9 trade.setField(fix.Price(1.5)) #44=1.5 trade.setField( fix.StringField( 60, (datetime.utcnow().strftime("%Y%m%d-%H:%M:%S.%f"))[:-3]) ) #60 TransactTime, not supported in python, so use tag number trade.setField(fix.Text("New Order")) #58 text print(trade.toString()) try: fix.Session.sendToTarget(trade, self.sessionID) except (fix.ConfigError, fix.RuntimeError) as e: print(e)
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 sendReplacePending(self, orderID): origClientOrderID = self.orders[orderID]['origClOrdID'] message = self.startFIXString(orderID) message.setField(quickfix.OrderQty(self.orders[orderID]['quantity'])) message.setField(quickfix.ExecType(quickfix.ExecType_PENDING_REPLACE)) message.setField(quickfix.OrigClOrdID(origClientOrderID)) quickfix.Session.sendToTarget(message, self.orders[orderID]['session'])
def quote_response(self,quote_req_id,quote_id,quote_resp_type,symbol,product,side,dealer_id,price=None,currency = None,quantity = None): #HEADER quote_resp = fix50sp2.QuoteRequest() quote_resp.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage quote_resp.getHeader().setField(fix.StringField(35,'AJ'))#MessageType quote_resp.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2 quote_resp.getHeader().setField(fix.StringField(49,'ORP_RESZ_B')) quote_resp.getHeader().setField(fix.StringField(56,'BLPORPBETA')) quote_resp.getHeader().setField(fix.StringField(128,'DOR')) quote_resp.getHeader().setField(fix.SendingTime(1))#52 quote_resp.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID quote_resp.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID quote_resp.getHeader().setField(fix.SendingTime(1)) #BODY quote_resp.setField(fix.QuoteRespID(quote_req_id[:-4] + 'RESP' + self.genOrderID()))#693 quote_resp.setField(fix.QuoteReqID(quote_req_id)) #131 quote_resp.setField(fix.QuoteRespType(quote_resp_type))#694 quote_resp.setField(fix.Symbol(symbol))#55 quote_resp.setField(fix.Product(int(product)))#460 quote_resp.setField(fix.Side(side))#54 quote_resp.setField(fix.StringField(167,'FXSPOT')) print(datetime.datetime.utcnow().strftime('%Y%m%d-%H:%M:%S')) quote_resp.setField(fix.StringField(60,datetime.datetime.utcnow().strftime('%Y%m%d-%H:%M:%S')))#60 # quote_resp.setField(fix.TransactTime(1))#60 quote_resp.setField(fix.SettlType('0'))#63 settl_date = datetime.datetime.utcnow()+BDay(n=2) quote_resp.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#64 if quote_resp_type == 1: # quote_resp.setField(fix.Price(float(price))) quote_resp.setField(fix.OfferPx(float(price))) quote_resp.setField(fix.OfferSpotRate(float(price))) quote_resp.setField(fix.StringField(15, str(currency))) # Currency # quote_resp.setField(fix.BidPx(float(price))) quote_resp.setField(fix.QuoteID(quote_id)) # 117 quote_resp.setField(fix.OrderQty(quantity)) #38 quote_resp.setField(fix.ClOrdID(quote_resp.getField(693)+self.genOrderID())) # 11 group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs() group_453.setField(fix.StringField(448,'7613723'))#PartyID group_453.setField(fix.StringField(447,'D'))#PartyIDSource group_453.setField(fix.PartyRole(11))#452 - PartyRole quote_resp.addGroup(group_453) group_453.setField(fix.StringField(448,dealer_id))#PartyID group_453.setField(fix.StringField(447,'D'))#PartyIDSource group_453.setField(fix.PartyRole(1))#452 - PartyRole. quote_resp.addGroup(group_453) quote_resp.setField(fix.StringField(1300,'XOFF'))#market segment id print(f'SENDING QUOTE RESPONSE MESSAGE:\n ') # print(f'SENDING QUOTE RESPONSE MESSAGE:\n {quote_resp.toString()}') fix.Session.sendToTarget(quote_resp, self.sessionID)
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 make_single_order(self, order_id, symbol, qty): account = "YIZHE0" order = fix44.NewOrderSingle() order.setField(fix.Account(account)) order.setField(fix.ClOrdID(order_id)) order.setField(fix.Symbol(symbol)) order.setField(fix.Side("1")) order.setField(fix.OrdType("U")) order.setField(fix.OrderQty(qty)) order.setField(fix.Price(49)) return order
def sendCancelAck(self, orderID): message = self.startFIXString(orderID) message.setField(quickfix.OrderQty(self.orders[orderID]['leaves'])) message.setField(quickfix.ExecType(quickfix.ExecType_CANCELED)) if 'cxlClOrdID' in self.orders[orderID]: message.setField(quickfix.ClOrdID(self.orders[orderID]['cxlClOrdID'])) if 'origClOrdID' in self.orders[orderID]: message.setField(quickfix.OrigClOrdID(self.orders[orderID]['origClOrdID'])) else: message.setField(quickfix.OrigClOrdID(self.orders[orderID]['clOrdID'])) quickfix.Session.sendToTarget(message, self.orders[orderID]['session']) self.orders[orderID]['state'] = 'Canceled'
def put_order(self): print("Creating the following order: ") trade = fix.Message() trade.setField(fix.ClOrdID(self.genExecID())) # 11=Unique order trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION)) trade.setField(fix.Symbol('SMBL')) trade.setField(fix.Side(fix.Side_BUY)) trade.setField(fix.OrdType(fix.OrdType_LIMIT)) trade.setField(fix.OrderQty(100)) trade.setField(fix.Price(10)) print trade.toString() fix.Session.sendToTarget(trade, self.sessionID)
def sendReplaceAck(self, orderID): origOrdID = self.orders[orderID]['origOrdID'] origClientOrderID = self.orders[orderID]['origClOrdID'] message = self.startFIXString(orderID) message.setField(quickfix.OrderQty(self.orders[orderID]['quantity'])) message.setField(quickfix.ExecType(quickfix.ExecType_REPLACED)) message.setField(quickfix.ExecTransType(quickfix.ExecTransType_NEW)) message.setField(quickfix.OrigClOrdID(origClientOrderID)) quickfix.Session.sendToTarget(message, self.orders[orderID]['session']) self.orders[orderID]['state'] = 'New' self.orders[origOrdID]['state'] = 'Replaced'
def fromApp(self, message, sessionID): beginString = fix.BeginString() msgType = fix.MsgType() message.getHeader().getField( beginString ) message.getHeader().getField( msgType ) if msgType.getValue() == 'F': print 'Cancel Request' symbol = fix.Symbol() side = fix.Side() clOrdID = fix.ClOrdID() origClOrdID = fix.OrigClOrdID() orderQty = fix.OrderQty() message.getField( orderQty ) message.getField( clOrdID ) message.getField( origClOrdID ) message.getField( symbol ) message.getField( side ) executionReport = fix.Message() executionReport.getHeader().setField( beginString ) executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport) ) executionReport.setField( symbol ) executionReport.setField( side ) executionReport.setField( clOrdID ) executionReport.setField( origClOrdID ) executionReport.setField( fix.ExecID(self.genExecID()) ) executionReport.setField( fix.OrderID(self.genOrderID()) ) executionReport.setField( fix.AvgPx(0)) executionReport.setField( fix.LastShares(0)) executionReport.setField( fix.CumQty(0)) if beginString.getValue() == fix.BeginString_FIX40 or beginString.getValue() == fix.BeginString_FIX41 or beginString.getValue() == fix.BeginString_FIX42: executionReport.setField( fix.ExecTransType(fix.ExecTransType_CANCEL) ) executionReport.setField( fix.OrdStatus(fix.OrdStatus_CANCELED) ) if beginString.getValue() >= fix.BeginString_FIX41: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) else: executionReport.setField( fix.ExecType(fix.ExecType_CANCELED) ) executionReport.setField( fix.LeavesQty(0) ) try: print executionReport fix.Session.sendToTarget( executionReport, sessionID ) except SessionNotFound, e: return
def startFIXString(self, orderID): message = quickfix.Message() message.getHeader().setField(quickfix.BeginString(quickfix.BeginString_FIX42)) message.getHeader().setField(quickfix.MsgType(quickfix.MsgType_ExecutionReport)) message.getHeader().setField(quickfix.SendingTime()) message.getHeader().setField(quickfix.TransactTime()) message.setField(quickfix.ClOrdID(self.orders[orderID]['clOrdID'])) message.setField(quickfix.OrderQty(self.orders[orderID]['quantity'])) message.setField(quickfix.Symbol(self.orders[orderID]['symbol'])) message.setField(quickfix.Side(self.orders[orderID]['side'])) message.setField(quickfix.ExecID(str(self.getNextExecID(self.orders[orderID]['target'])))) if 'exchangeID' not in self.orders[orderID]: self.orders[orderID]['exchangeID'] = self.getNextExchangeID(self.orders[orderID]['target']) message.setField(quickfix.OrderID(str(self.orders[orderID]['exchangeID']))) return message
def __get_attributes(self, message): price = fix.Price() quantity = fix.OrderQty() symbol = fix.Symbol() side = fix.Side() order_type = fix.OrdType() client_order_id = fix.ClOrdID() message.getField(client_order_id) message.getField(side) message.getField(order_type) message.getField(symbol) message.getField(price) message.getField(quantity) return (symbol, price, quantity, side, order_type, client_order_id)
def send_cancel(self, order): order.status = OrdStatus.PENDING_CANCEL message = fix.Message() message.getHeader().setField( fix.MsgType(fix.MsgType_OrderCancelRequest)) message.setField(fix.Symbol(order.symbol)) message.setField(fix.Side(order.side)) message.setField(fix.OrderQty(order.qty)) cl_ord_id = self.order_store.generate_next_cl_ord_id(order.order_id) message.setField(fix.ClOrdID(cl_ord_id)) self.order_store.update_order_maps(cl_ord_id, order) self._send_message(message)
def getExecutionReportForStatusRequest(self, message): beginString = fix.BeginString() message.getHeader().getField(beginString) clOrdID = fix.ClOrdID() message.getField(clOrdID) executionReport = fix.Message() executionReport.getHeader().setField(beginString) executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport)) executionReport.setField(fix.Symbol("ABCD")) executionReport.setField(fix.Side(fix.Side_BUY)) #43=1 Buy executionReport.setField(fix.OrderID(self.genOrderID())) executionReport.setField(fix.ExecID(self.genExecID())) executionReport.setField(fix.OrdType( fix.OrdType_LIMIT)) #40=2 Limit order executionReport.setField(fix.OrderQty(100)) #38=100 executionReport.setField(fix.Price(10)) #44=10 executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED)) executionReport.setField(fix.AvgPx(10)) #6=10 executionReport.setField(fix.CumQty(100)) #14=100 executionReport.setField(clOrdID) executionReport.setField(fix.Text("Order status retrieved!")) # Since FIX 4.3, ExecTransType 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_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)) return executionReport
def getExecutionReportForCancelOrder(self, message): beginString = fix.BeginString() message.getHeader().getField(beginString) symbol = fix.Symbol() side = fix.Side() clOrdID = fix.ClOrdID() message.getField(symbol) message.getField(side) 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.OrdType( fix.OrdType_LIMIT)) #40=2 Limit order executionReport.setField(fix.OrderQty(100)) #38=100 executionReport.setField(fix.Price(10)) #44=10 executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED)) executionReport.setField(symbol) executionReport.setField(side) executionReport.setField(fix.AvgPx(10)) #6=10 executionReport.setField(fix.CumQty(100)) #14=100 executionReport.setField(clOrdID) executionReport.setField(fix.Text("Order cancelled!")) # Since FIX 4.3, ExecTransType 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_CANCEL)) # ExecType and LeavesQty fields only existsince FIX 4.1 if beginString.getValue() >= fix.BeginString_FIX41: executionReport.setField(fix.ExecType( fix.ExecType_CANCELED)) #150=4 CANCELED executionReport.setField(fix.LeavesQty(0)) #151=0 return executionReport
def new_order(self, message, beginString, sessionID): symbol = fix.Symbol() side = fix.Side() ordType = fix.OrdType() orderQty = fix.OrderQty() price = fix.Price(50) clOrdID = fix.ClOrdID() message.getField(ordType) message.getField(symbol) message.getField(side) message.getField(orderQty) message.getField(price) message.getField(clOrdID) log.info("new_order:\nordType:{},symbol:{},side:{},orderQty:{},price:{},clOrdID:{} -----"\ .format(ordType, symbol, side, orderQty, price, clOrdID)) executionReport = fix.Message() executionReport.getHeader().setField(beginString) executionReport.getHeader().setField( fix.MsgType(fix.MsgType_ExecutionReport)) executionReport.setField(fix.TransactTime()) executionReport.setField(fix.OrderID(self.genOrderID())) executionReport.setField(fix.ExecID(self.genExecID())) executionReport.setField(fix.OrdStatus(fix.OrdStatus_NEW)) 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.ExecType(fix.ExecType_NEW)) executionReport.setField(fix.LeavesQty(orderQty.getValue())) try: fix.Session.sendToTarget(executionReport, sessionID) time.sleep(1) if ordType.getValue() == fix.OrdType_MARKET: executionReport.setField(fix.OrdStatus(fix.OrdStatus_FILLED)) executionReport.setField(fix.ExecType(fix.ExecType_TRADE)) fix.Session.sendToTarget(executionReport, sessionID) except fix.SessionNotFound as e: return
def put_order(self): print("Creating the following order: ") trade = fix.Message() trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX50)) # trade.getHeader().setField(fix.MsgType( fix.MsgType_NewOrderSingle)) #39=D trade.setField(fix.ClOrdID(self.genExecID())) #11=Unique order trade.setField(fix.HandlInst(fix.HandlInst_MANUAL_ORDER_BEST_EXECUTION) ) #21=3 (Manual order, best executiona) trade.setField(fix.Symbol('SMBL')) #55=SMBL ? trade.setField(fix.Side(fix.Side_BUY)) #43=1 Buy trade.setField(fix.OrdType(fix.OrdType_LIMIT)) #40=2 Limit order trade.setField(fix.OrderQty(100)) #38=100 trade.setField(fix.Price(10)) print trade.toString() fix.Session.sendToTarget(trade, self.sessionID)
def generate_message_fields(self, message_type): message_fields = { 'client_orderID': fix.ClOrdID(), 'symbol': fix.Symbol(), 'side': fix.Side(), 'quantity': fix.OrderQty(), } if message_type in ['new', 'replace']: extra_message_fields = { 'type': fix.OrdType(), 'price': fix.Price(), 'handlInst': fix.HandlInst(), } message_fields.update(extra_message_fields) if message_type == 'replace': message_fields['original_orderID'] = fix.OrigClOrdID() return message_fields
def order_cancel_request(self,account,symbol,side,quantity): print("Creating order_cancel_request message... ") cancel_request_message = fix.Message() cancel_request_message.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) # cancel_request_message.getHeader().setField(fix.MsgType('F')) #39=D cancel_request_message.getHeader().setField(fix.SendingTime(1)) cancel_request_message.setField(fix.Account(str(account))) #1 cancel_request_message.setField(fix.ClOrdID(str('order_cancel_request'+self.genOrderID()))) #11 cancel_request_message.setField(fix.OrigClOrdID(str(self.orders[0]))) #41 cancel_request_message.setField(fix.Symbol(str(symbol))) #55 cancel_request_message.setField(fix.Side(str(side))) #54 cancel_request_message.setField(fix.OrderQty(quantity)) #38 print('sending order_cancel_request message...') print(f'order_cancel_request message: {cancel_request_message.toString()}') fix.Session.sendToTarget(cancel_request_message, self.sessionID) print('order_cancel_request message sent!')
def cancel(self, trade): orderId = self.SocketInitiator.application.genOrderID() account = self.SocketInitiator.application.Settings.get().getString( 'Account') cancel = fix44.OrderCancelRequest() cancel.setField(fix.Account(account)) cancel.setField(fix.ClOrdID(orderId)) cancel.setField(fix.OrigClOrdID(trade.OrderId)) cancel.setField(trade.CFICode) cancel.setField(fix.TransactTime()) cancel.setField(fix.OrderQty(trade.Quantity)) cancel.setField( fix.Side(fix.Side_BUY if trade.OrderSide == OrderSide.Buy else fix.Side_SELL)) cancel.setField(fix.Symbol(trade.Symbol)) cancel.setField(fix.MaturityMonthYear(trade.Maturity)) self.SocketInitiator.application.send(cancel)
def on_new_order(self, message): print('New Order!') message_fields = { 'client_orderID': fix.ClOrdID(), 'symbol': fix.Symbol(), 'type': fix.OrdType(), 'side': fix.Side(), 'quantity': fix.OrderQty(), 'price': fix.Price(), 'handlInst': fix.HandlInst(), } message_details = {} for k, v in message_fields.items(): message_details[k] = self.get_field_value(message, v) orderID = self.gen_orderID() self.orders[orderID] = message_details # add error checking here # testing self.test_replies(orderID, fix.OrdStatus_NEW, fix.ExecType_NEW, message_details)