def order_status_request(self,cl_ord_id=None):
if cl_ord_id is None:
fix_orders = pd.read_csv(f'{self.write_path}/fix_orders.csv',index_col=0)
for idx in fix_orders.index:
ord_status_request = fix.Message()
ord_status_request.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
ord_status_request.getHeader().setField(fix.MsgType('H')) #39=D
ord_status_request.getHeader().setField(fix.SendingTime(1))
# ord_status_request.setField(fix.Symbol('EUR')) #55
# ord_status_request.setField(fix.Account('U01049'))
# ord_status_request.setField(fix.SecurityReqID('1'))
ord_status_request.setField(fix.ClOrdID(str(idx))) #11=
# ord_status_request.setField(fix.ClOrdID(str('*'))) #11=
# ord_status_request.setField(fix.ClOrdID(datetime.utcnow().strftime('%Y%m%d%H%M%S')+ 'statReq' + self.genExecID())) #11=
# ord_status_request.setField(fix.OrderID(datetime.utcnow().strftime('%Y%m%d%H%M%S')+ 'statReq' + self.genExecID()))
# ord_status_request.setField(fix.OrderID('*'))
# ord_status_request.setField(fix.SecurityType('CASH')) #167
# ord_status_request.setField(fix.Side(fix.Side_SELL))
print(f'Order status message \n {ord_status_request}')
fix.Session.sendToTarget(ord_status_request,self.sessionID)
print('order status request for open orders sent!')
else:
ord_status_request = fix.Message()
ord_status_request.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
ord_status_request.getHeader().setField(fix.MsgType('H')) # 39=D
ord_status_request.getHeader().setField(fix.SendingTime(1))
ord_status_request.setField(fix.ClOrdID(str(cl_ord_id))) # 11=
print(f'ORDER STATUS MESSAGE \n {ord_status_request}')
fix.Session.sendToTarget(ord_status_request, self.sessionID)
print(f'ORDER STATUS REQUEST FOR {cl_ord_id} SENT!')
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):
"""Process incoming App level messages.
Arguments:
message {object} -- message object
sessionID {object} -- Session identifier object
"""
self.logger.info(
f'[KERNEL] Received app message: {parse_fix_message(message)}')
msgType = fix.MsgType()
message.getHeader().getField(msgType)
msgType = msgType.getValue()
timestamp = fix.SendingTime()
message.getHeader().getField(timestamp)
timestamp = timestamp.getString()
if msgType == fix.MsgType_MassQuote:
print(f'{self._server_str} MassQuote.')
# NoQuoteSets_Group = fix44.MassQuote.NoQuoteSets()
# message.getGroup(1, NoQuoteSets_Group)
# reqID = extract_message_field_value(fix.QuoteSetID(), NoQuoteSets_Group)
# NoQuoteEntries_Group = fix44.MassQuote.NoQuoteSets.NoQuoteEntries()
# NoQuoteSets_Group.getGroup(1, NoQuoteEntries_Group)
if message.isSetField(fix.QuoteID()):
self.send_MassQuoteAcknowledgement(message)
def toAdmin(self, message, sessionID):
msg = message.toString().replace(__SOH__, "|")
log.info('toAdm sessionID:{}, message:{}'.format(sessionID, ))
sndTime = fix.SendingTime()
message.getHeader().getField(sndTime)
print((sndTime.getString()))
return
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 fromApp(self, message, sessionID):
if self.verbose:
print(f'[fromApp] {sessionID} | {read_FIX_message(message)}')
log(self.logger,
f'[fromApp] {sessionID} | {read_FIX_message(message)}')
# Get incoming message Type
msgType = fix.MsgType()
message.getHeader().getField(msgType)
msgType = msgType.getValue()
# Get timestamp (tag 52)
sending_time = extract_message_field_value(fix.SendingTime(), message,
'datetime')
# print('sending_time:', sending_time)
########## Quote messages ##########
if msgType == fix.MsgType_MassQuote:
self.parse_MassQuote(message, sending_time)
elif msgType == fix.MsgType_MarketDataSnapshotFullRefresh:
self.parse_MarketDataSnapshotFullRefresh(message, sending_time)
# 3) Process MarketDataSnapshot_IncrementalRefresh message
elif msgType == fix.MsgType_MarketDataIncrementalRefresh:
print(self._server_str + ' {MD} INCREMENTAL REFRESH!')
########## Trade messages ##########
elif msgType == fix.MsgType_ExecutionReport:
self.parse_ExecutionReport(message, sending_time)
elif msgType == fix.MsgType_OrderCancelReject:
# An OrderCancelReject will be sent as an answer to an OrderCancelRequest, which cannot be executed.
# Not much to do here as our order dict would stay the same.
# If it was canceled successfully, we should get an execution report.
ClOrdID = extract_message_field_value(fix.ClOrdID(), message,
'int')
print(
f'[fromApp] Order Cancel Request Rejected for order: {ClOrdID}'
)
elif msgType == fix.MsgType_MarketDataRequestReject:
text = extract_message_field_value(fix.Text(), message, 'str')
print(f'[fromApp] Market Data Request Reject with message: {text}')
elif self.verbose:
print(f'[fromApp] {sessionID} | {read_FIX_message(message)}')
print('unknown message type: ', msgType)
def test_heartbeat(self):
sequence = fix.MsgSeqNum(1)
requestTime = fix.SendingTime()
requestTime.setString('20170606-03:52:34.924')
request = fix44.Heartbeat()
request.getHeader().setField(requestTime)
request.getHeader().setField(sequence)
responseTime = fix.SendingTime()
responseTime.setString('20170606-03:52:14.824')
response = fix44.Heartbeat()
response.getHeader().setField(responseTime)
response.getHeader().setField(sequence)
currentLag = {}
def receive(event):
currentLag[0] = event.CurrentTimeLag
self.Store.addTimeLagListener(receive)
self.Store.addRequest(request)
self.Store.addResponse(response)
self.assertEqual(currentLag[0], 20.1)
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 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 __uncorkValue(message):
msgType = fix.MsgType()
message.getHeader().getField(msgType)
val = msgType.getValue()
if val == fix.MsgType_Logon or val == fix.MsgType_Logout or val == fix.MsgType_Heartbeat:
sndTime = fix.SendingTime()
message.getHeader().getField(sndTime)
return sndTime.getString()
if val == fix.MsgType_NewOrderSingle or val == fix.MsgType_ExecutionReport \
or val == fix.MsgType_OrderCancelRequest or val == fix.MsgType_OrderCancelReject:
transTime = fix.TransactTime()
message.getField(transTime)
return transTime.getString()
if val == fix.MsgType_CollateralInquiry or val == fix.MsgType_CollateralReport \
or val == fix.MsgType_RequestForPositions or val == fix.MsgType_PositionReport \
or val == fix.MsgType_RequestForPositionsAck:
return datetime.now().strftime("%Y%m%d-%H:%M:%S")
return None
def send_market_data_request(self, symbol):
"""Sends a market data request to server
Args:
symbol (string): the ticker symbol of a stock
Returns:
"""
# Create Fix Message for Market Data Request
message = fix.Message();
header = message.getHeader();
header.setField(fix.MsgType(fix.MsgType_MarketDataRequest))
header.setField(fix.SendingTime())
message.setField(fix.MDReqID(str(self.client_database_handler.generate_market_data_request_id())))
message.setField(fix.SubscriptionRequestType(fix.SubscriptionRequestType_SNAPSHOT))
message.setField(fix.MarketDepth(1))
message.setField(fix.NoMDEntryTypes(10))
group_md_entry = fix42.MarketDataRequest().NoMDEntryTypes()
group_md_entry.setField(fix.MDEntryType(fix.MDEntryType_BID))
message.addGroup(group_md_entry)
group_md_entry.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
message.addGroup(group_md_entry)
group_md_entry.setField(fix.MDEntryType(fix.MDEntryType_TRADE))
message.addGroup(group_md_entry)
group_md_entry.setField(fix.MDEntryType(fix.MDEntryType_OPENING_PRICE))
message.addGroup(group_md_entry)
group_md_entry.setField(fix.MDEntryType(fix.MDEntryType_CLOSING_PRICE))
message.addGroup(group_md_entry)
group_md_entry.setField(fix.MDEntryType(fix.MDEntryType_TRADING_SESSION_HIGH_PRICE))
message.addGroup(group_md_entry)
group_md_entry.setField(fix.MDEntryType(fix.MDEntryType_TRADING_SESSION_LOW_PRICE))
message.addGroup(group_md_entry)
group_symbol = fix42.MarketDataRequest().NoRelatedSym()
group_symbol.setField(fix.Symbol(symbol))
message.addGroup(group_symbol)
# Send Fix Message to Server
fix.Session.sendToTarget(message, self.fix_application.sessionID)
return
def order_cancel_replace(self,account,symbol,side,quantity,order_type,price):
print("Creating order_cancel_replace message... ")
cancel_replace_message = fix.Message()
cancel_replace_message.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
cancel_replace_message.getHeader().setField(fix.MsgType('G')) #39=D
cancel_replace_message.getHeader().setField(fix.SendingTime(1))
cancel_replace_message.setField(fix.Account(str(account))) #1
cancel_replace_message.setField(fix.HandlInst(fix.HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)) #21=3 (Manual order), 21=2 automated execution only supported value
cancel_replace_message.setField(fix.ClOrdID(str('order_cancel_replace'+self.genOrderID()))) #11
cancel_replace_message.setField(fix.OrigClOrdID(str(self.orders[0]))) #41
cancel_replace_message.setField(fix.Symbol(str(symbol))) #55
cancel_replace_message.setField(fix.Side(str(side))) #54
cancel_replace_message.setField(fix.OrderQty(quantity)) #38
cancel_replace_message.setField(fix.OrdType(str(order_type))) #40
cancel_replace_message.setField(fix.Price(price)) #44
print('sending order_cancel_replace message...')
print(f'order_cancel_replace message: {cancel_replace_message.toString()}')
fix.Session.sendToTarget(cancel_replace_message, self.sessionID)
print('order_cancel_replace message sent!')
def checkAccountData(self):
try:
LOG_EVENT("Check Account Data")
orderMsg = fix.Message()
orderMsg.getHeader().setField(self.sessionID.getBeginString())
orderMsg.getHeader().setField(fix.MsgType("UAR"))
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(20003, self.genExecID())
LOG_PACKET(orderMsg.toString())
fix.Session.sendToTarget(orderMsg, self.sessionID)
except Exception as e:
print(e)
dd = fix.DataDictionary(definitions.FIX50SP02) begin_string = fix.BeginString() body_length = fix.BodyLength() message_type = fix.MsgType() sender_id = fix.SenderCompID() target_id = fix.TargetCompID() msg_seq = fix.MsgSeqNum() sender_sub_id = fix.SenderSubID() target_sub_id = fix.TargetSubID() duplicate_flag = fix.PossDupFlag() user_req_type = fix.UserRequestType() gateway_id = fix.MarketID() orig_sending_time = fix.OrigSendingTime() sending_time = fix.SendingTime() on_behalf_id = fix.OnBehalfOfCompID() check_sum = fix.CheckSum() TOKEN_NO = 48 LTP = 1835 LTQ = 1843 LTT = 1844 AVG_TP = 1845 OPEN = 1861 CLOSE = 1809 HIGH = 1802 LOW = 1801 YEAR_HIGH = 1824 YEAR_LOW = 1825 VOLUME = 387
def quote_request(self,symbol,currency,quantity,side,order_type,dealers_dict):
'''
send QuoteRequest message to Liquidity Providers
build the message according to ORP_v1.5_QuickFIX
'''
#HEADER
trade = fix50sp2.QuoteRequest()
trade.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
trade.getHeader().setField(fix.StringField(35,'R'))#MessageType
trade.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
trade.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
trade.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
trade.getHeader().setField(fix.StringField(128,'DOR'))
trade.getHeader().setField(fix.SendingTime(1))#52
trade.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
trade.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
#BODY
#QuoteReqID (131) --> RFQ+datetime+symbol+side
quote_request_id = 'RFQ' + datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S') + symbol + str(side)
trade.setField(fix.QuoteReqID(quote_request_id)) # 131
group_146 = fix50sp2.QuoteRequest().NoRelatedSym()
if '/' not in symbol:
group_146.setField(fix.StringField(55,str(symbol[:3]+'/'+symbol[3:6])))
else:
group_146.setField(fix.StringField(55, str(symbol)))
group_146.setField(fix.StringField(167,'FXSPOT'))
group_146.setField(fix.IntField(460,4))
group_146.setField(fix.SettlType('0'))#SettlType
# settl_date = datetime.datetime.utcnow()+BDay(n=2)
if ((datetime.datetime.utcnow() - datetime.timedelta(hours = 4)).hour < 17) or ((datetime.datetime.utcnow() - datetime.timedelta(hours = 4)).weekday() == 6):
settl_date = datetime.datetime.utcnow()+BDay(n=2)
else:
settl_date = datetime.datetime.utcnow() + BDay(n=3)
while (settl_date.strftime('%Y%m%d') in HOLIDAYS_DICT[symbol[:3]]) or (settl_date.strftime('%Y%m%d') in HOLIDAYS_DICT[symbol[-3:]]):
settl_date += BDay(n=1)
group_146.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#SettlDate
group_146.setField(fix.OrderQty(quantity))#38 - Qty
group_146.setField(fix.StringField(15,str(currency)))#Currency
#if side == 0, get two way quotes (omit tag 54)
if side != 0:
group_146.setField(fix.StringField(54,str(side)))
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
for dealer, party_role in dealers_dict.items():
group_453.setField(fix.StringField(448,dealer))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(party_role))#452 - PartyRole.
group_146.addGroup(group_453)
trade.addGroup(group_146)
trade.setField(fix.StringField(1300,'XOFF'))#market segment id
# trade.setField(fix.StringField(21,'z'))#HandlInst
if order_type == '2': # limit
trade.setField(fix.Price(float(self.limit_price))) # if market, this tag should be absent
print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)
def quote_request(self,symbol,currency,quantity,side,order_type,price=None):
#HEADER
trade = fix50sp2.QuoteRequest()
trade.getHeader().setField(fix.StringField(8,'FIXT.1.1')) #BeginMessage
trade.getHeader().setField(fix.StringField(35,'R'))#MessageType
trade.getHeader().setField(fix.StringField(1128,'9')) #ApplVerID - FIX50SP2
trade.getHeader().setField(fix.StringField(49,'ORP_RESZ_B'))
trade.getHeader().setField(fix.StringField(56,'BLPORPBETA'))
trade.getHeader().setField(fix.StringField(128,'DOR'))
trade.getHeader().setField(fix.SendingTime(1))#52
trade.getHeader().setField(fix.StringField(1156,'208'))#ApplExtID
trade.getHeader().setField(fix.StringField(1129,'1.5'))#CstmApplVerID
#BODY
trade.setField(fix.QuoteReqID(datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S') + symbol + 'RFQ' + str(side))) # 131
group_146 = fix50sp2.QuoteRequest().NoRelatedSym()
# group_146 = fix.Group(146,1)
if '/' not in symbol:
group_146.setField(fix.StringField(55,str(symbol[:3]+'/'+symbol[3:])))
else:
group_146.setField(fix.StringField(55, str(symbol)))
group_146.setField(fix.StringField(167,'FXSPOT'))
group_146.setField(fix.IntField(460,4))
group_146.setField(fix.SettlType('0'))#SettlType
# group_146.setField(fix.StringField(63,'0'))#SettlType
settl_date = datetime.datetime.utcnow()+BDay(n=2)
group_146.setField(fix.SettlDate(settl_date.strftime('%Y%m%d')))#SettlDate
group_146.setField(fix.OrderQty(quantity))#38 - Qty
group_146.setField(fix.StringField(15,str(currency)))#Currency
group_146.setField(fix.StringField(54,str(side)))
# trade.setField(fix.NoPartyIDs(4))#453 - NumberOfParties
group_453 = fix50sp2.QuoteRequest().NoRelatedSym().NoPartyIDs()
# group_453 = fix.Group(453,1)
group_453.setField(fix.StringField(448,'7613723'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(11))#452 - PartyRole
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'BGD1'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'DOR1'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
group_453.setField(fix.StringField(448,'DOR2'))#PartyID
group_453.setField(fix.StringField(447,'D'))#PartyIDSource
group_453.setField(fix.PartyRole(1))#452 - PartyRole.
group_146.addGroup(group_453)
trade.addGroup(group_146)
trade.setField(fix.StringField(1300,'XOFF'))#market segment id
# trade.setField(fix.StringField(21,'z'))#HandlInst
if order_type == '2': # limit
trade.setField(fix.Price(float(price))) # if market, this tag should be absent
else:
price = None
print(f'CREATING THE FOLLOWING ORDER:\n ')
# print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)
def toAdmin(self, message, sessionID):
print('toAdmin')
sndTime = fix.SendingTime()
message.getHeader().getField(sndTime)
print((sndTime.getString()))
return
initiator = fix.SocketInitiator(application, storeFactory, settings,
logFactory)
message_flag = True
initiator.start()
while 1:
time.sleep(1)
if message_flag is True:
message = fix.Message()
header = message.getHeader()
trailer = message.getTrailer()
header.setField(fix.BeginString(fix.BeginString_FIX42))
header.setField(fix.BodyLength())
header.setField(fix.MsgType(fix.MsgType_NewOrderSingle))
header.setField(fix.SendingTime())
header.setField(fix.SenderSubID("SG1"))
header.setField(fix.TargetSubID("BARCA"))
header.setField(fix.MsgSeqNum())
header.setField(fix.DefaultApplVerID(fix.ApplVerID_FIX42))
message.setField(fix.ClOrdID("ClOrdID"))
message.setField(
fix.AccountType(
fix.
AccountType_ACCOUNT_IS_CARRIED_ON_CUSTOMER_SIDE_OF_BOOKS))
message.setField(fix.Symbol("APPL"))
message.setField(
fix.HandlInst(
fix.
HandlInst_AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION
))
def put_order(self,security_type,symbol,currency,quantity,side,order_type,account,time_id,price=None):
if quantity != 0 :
trade = fix.Message()
'''
STANDARD MESSAGE HEADER
Required Tags: 8(BeginString) - 9(BodyLength) - 35(MsgType) - 49(SenderCompID) - 56(TargetCompID) - 34(MsgSeqNum) - 52(SendingTime)
'''
trade.getHeader().setField(fix.BeginString(fix.BeginString_FIX42)) #
trade.getHeader().setField(fix.MsgType(fix.MsgType_NewOrderSingle)) #39=D
trade.getHeader().setField(fix.SendingTime(1))
# unique_order_id = self.genExecID()
# print(f'Unique Order ID: {unique_order_id}')
# trade.setField(fix.ClOrdID(unique_order_id)) #11=Unique order
trade.setField(fix.HandlInst(fix.HandlInst_AUTOMATED_EXECUTION_ORDER_PUBLIC_BROKER_INTERVENTION_OK)) #21=3 (Manual order), 21=2 automated execution only supported value
trade.setField(fix.Symbol(str(symbol))) #55
trade.setField(fix.Currency(str(currency))) #15
trade.setField(fix.SecurityType(str(security_type))) #167
trade.setField(fix.Side(str(side))) #54=1 Buy
trade.setField(fix.OrdType(str(order_type))) #40=2 Limit order, 40=1 Market
trade.setField(fix.OrderQty(quantity)) #38
if order_type != 1: #not market
trade.setField(fix.Price(price)) # if market, this tag should be absent
else:
price = None
trade.setField(fix.Account(str(account)))
trade.setField(fix.ExDestination('IDEALPRO'))
trade.setField(fix.CustomerOrFirm(0))
trade.setField(fix.ClOrdID(time_id+trade.getField(55)+trade.getField(15)+trade.getField(54))) #11=
# trade.setField(fix.ClOrdID(datetime.datetime.utcnow().strftime('%Y%m%d%H%M%S')+trade.getField(55)+trade.getField(15)+trade.getField(54))) #11=
# dnow = datetime.utcnow().strftime('%Y%m%d-%H:%M:%S')
# tag = fix.TransactTime() #default = current time, SendingTime does the same thing
# tag.setString(dnow.strftime('%Y%m%d-%H:%M:%S'))
# trade.setField(tag)
print(f'CREATING THE FOLLOWING ORDER:\n {trade.toString()}')
fix.Session.sendToTarget(trade, self.sessionID)
self.orders_dict[trade.getField(11)] = {#'id':trade.getField(11),
#'datetime': trade.getField(11)[:12],
'account':trade.getField(1),
'symbol':trade.getField(55)+'.' + trade.getField(15),
'qty':trade.getField(38),
'ord_type':trade.getField(40),
'side':trade.getField(54),
'price':price,
'status':'sent'
}
else:
print(f'QUANTITY IS 0!\nCHECK FOR STATUS OF LAST ORDER')
if os.path.exists(f'{self.write_path}fix_orders.csv'):
temp_orders = pd.read_csv(f'{self.write_path}fix_orders.csv',index_col=0)
symbol_entries = temp_orders[temp_orders['symbol'] == symbol]
last_symbol_entry = symbol_entries.iloc[-1]
new_entry = last_symbol_entry
new_id = time_id + last_symbol_entry.name[6:]
new_entry.name = new_id
temp_orders = temp_orders.append(last_symbol_entry,ignore_index=False)
temp_orders.to_csv(f'{self.write_path}fix_orders.csv',)
self.order_status_request(cl_ord_id=last_symbol_entry)
# self.order_status_request(cl_ord_id=temp_orders.index[-1])
else:
print(f'QUANTITY IS 0!\n FIX ORDERS FIRST RUN')
time.sleep(100)
