def compose_market_data_request(self):
market_data_request = quickfix44.MarketDataRequest()
market_data_request.setField(quickfix.MDReqID('1'))
market_data_request.setField(quickfix.SubscriptionRequestType(quickfix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
market_data_request.setField(quickfix.MarketDepth(0))
market_data_request.setField(quickfix.NoMDEntryTypes(2))
market_data_request.setField(quickfix.MDUpdateType(quickfix.MDUpdateType_INCREMENTAL_REFRESH))
group = quickfix44.MarketDataRequest().NoMDEntryTypes()
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_BID))
market_data_request.addGroup(group)
group.setField(quickfix.MDEntryType(quickfix.MDEntryType_OFFER))
market_data_request.addGroup(group)
market_data_request.setField(quickfix.NoRelatedSym(self.reference_data.get_count()))
symbol = quickfix44.MarketDataRequest().NoRelatedSym()
for instrument in self.reference_data.get_instruments():
symbol.setField(quickfix.SecurityExchange(instrument.exchange))
symbol.setField(quickfix.Symbol(instrument.symbol))
market_data_request.addGroup(symbol)
return market_data_request
def onLogon(self, sessionID):
self.sessionID = sessionID
print("onLogon - sessionID: " + sessionID.toString())
currency_pairs = ['GBP/USD', 'EUR/USD']
for ccy in currency_pairs:
mdr = fix.Message()
mdr.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
mdr.getHeader().setField(fix.MsgType(fix.MsgType_MarketDataRequest))
current_milli_time = lambda: int(round(time.time() * 1000))
mdr.setField(fix.MDReqID(str(current_milli_time()))) # a random string
mdr.setField(fix.SubscriptionRequestType(fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES)) # what stater required
mdr.setField(fix.MarketDepth(1)) # what stater required
mdr.setField(fix.AggregatedBook(True))
mdr.setField(fix.NoMDEntryTypes(1)) # what stater required
mdr.setField(fix.MDUpdateType(fix.MDUpdateType_INCREMENTAL_REFRESH)) # what stater required
group = fix44.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType(fix.MDEntryType_BID))
mdr.addGroup(group)
group.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
mdr.addGroup(group)
mdr.setField(fix.NoRelatedSym(1))
symbol = fix44.MarketDataRequest().NoRelatedSym()
symbol.setField(fix.Symbol(ccy))
mdr.addGroup(symbol)
fix.Session.sendToTarget(mdr, sessionID)
def on_market_data_request(self, message):
print('Market Data REQUEST!')
message_fields = {
'md_reqID': fix.MDReqID(),
'depth': fix.MarketDepth(),
'subscription_type': fix.SubscriptionRequestType(),
}
message_details = {}
for k, v in message_fields.items():
message_details[k] = self.get_field_value(message, v)
message_details['entry_types'] = {}
message_details['symbols'] = {}
n_entry_types = self.get_field_value(message, fix.NoMDEntryTypes())
group = fix44.MarketDataRequest().NoMDEntryTypes()
for i in range(n_entry_types):
message.getGroup(i + 1, group)
message_details['entry_types'][i] = self.get_field_value(
group, fix.MDEntryType())
n_symbols = self.get_field_value(message, fix.NoRelatedSym())
group = fix44.MarketDataRequest().NoRelatedSym()
for i in range(n_symbols):
message.getGroup(i + 1, group)
message_details['symbols'][i] = self.get_field_value(
group, fix.Symbol())
orderID = self.gen_orderID()
self.orders[orderID] = message_details
# testing
self.test_snaps(message_details, full=True)
self.test_snaps(message_details, full=False)
def market_data_request(self, sender_comp_id, target_comp_id, symbols):
md_types = [
fix.MDEntryType_BID, fix.MDEntryType_OFFER, fix.MDEntryType_TRADE
]
message = fix44.MarketDataRequest()
header = message.getHeader()
header.setField(fix.SenderCompID(sender_comp_id))
header.setField(fix.TargetCompID(target_comp_id))
message.setField(fix.MDReqID(self._generate_id()))
message.setField(
fix.SubscriptionRequestType(
fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
# message.setField(
# fix.SubscriptionRequestType(
# fix.SubscriptionRequestType_SNAPSHOT
# )
# )
"""
Valid values:
0 = Full Book
1 = Top of Book
N>1 = Report best N price tiers of data
"""
message.setField(fix.MarketDepth(0))
"""
Valid values:
0 = Full Refresh
1 = Incremental Refresh
"""
message.setField(fix.MDUpdateType(
fix.MDUpdateType_INCREMENTAL_REFRESH))
group = fix44.MarketDataRequest().NoMDEntryTypes()
for md_type in md_types:
group.setField(fix.MDEntryType(md_type))
message.addGroup(group)
group = fix44.MarketDataRequest().NoRelatedSym()
for symbol in symbols:
group.setField(fix.Symbol(symbol))
message.addGroup(group)
try:
fix.Session.sendToTarget(message)
except fix.SessionNotFound:
raise Exception(f"No session found {message}, exiting...")
def main():
sessionID = fix.SessionID('FIX.4.4', SENDERCOMPID, 'PAYMIUM')
params = fix.Dictionary()
params.setString('ConnectionType', 'initiator')
params.setString('StartTime', '00:00:00')
params.setString('EndTime', '00:00:00')
params.setString('HeartBtInt', '30')
params.setString('CheckLatency', 'Y')
params.setString('SocketConnectHost', '195.154.171.115')
params.setString('SocketConnectPort', '8359')
params.setString('DataDictionary', FIX44FILE)
params.setString('EncryptMethod', '0')
settings = fix.SessionSettings()
settings.set(sessionID, params)
application = MyApplication()
factory = fix.FileStoreFactory("store")
acceptor = fix.SocketInitiator(application, factory, settings,
fix.ScreenLogFactory(DEBUG, DEBUG, DEBUG))
acceptor.start()
time.sleep(2)
mdr = fixMsg.MarketDataRequest()
mdr.setField(fix.MDReqID("MDRQ-%d" % (time.time() * 1000000)))
# We want the full book here, not just the top
mdr.setField(fix.MarketDepth(1))
# We want to get a snapshot and also subscribe to the market depth updates
mdr.setField(
fix.SubscriptionRequestType(
fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
# We'll want only incremental refreshes when new data is available
mdr.setField(fix.MDUpdateType(fix.MDUpdateType_INCREMENTAL_REFRESH))
# Specify the currency
instruments = fixMsg.MarketDataRequest().NoRelatedSym()
instruments.setField(fix.Symbol("EUR/XBT"))
mdr.addGroup(instruments)
# Specify that we'll want the bids and asks
mdr.setField(fix.NoMDEntryTypes(2))
group = fixMsg.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType(fix.MDEntryType_BID))
group.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
mdr.addGroup(group)
fix.Session.sendToTarget(mdr, sessionID)
while True:
time.sleep(10)
acceptor.stop()
def createOrderBookRequest(self):
orderBookRequest = fix44.MarketDataRequest()
noRelatedSym = fix44.MarketDataRequest.NoRelatedSym()
noRelatedSym.setField(fix.Symbol('BTC/CNY'))
orderBookRequest.addGroup(noRelatedSym)
orderBookRequest.setField(
fix.MDReqID("123")) # Unique ID assigned to this request
orderBookRequest.setField(
fix.SubscriptionRequestType('1')) # 0 = Snapshot
# 1 = Snapshot + Subscribe
# 2 Unsubscribe
orderBookRequest.setField(
fix.MDUpdateType(1)) # 0 = full refresh, 1: incremental refresh
orderBookRequest.setField(fix.MarketDepth(0)) # 0 = full book,
group1 = fix44.MarketDataRequest.NoMDEntryTypes()
group1.setField(fix.MDEntryType('0')) # bids
orderBookRequest.addGroup(group1)
group2 = fix44.MarketDataRequest.NoMDEntryTypes()
group2.setField(fix.MDEntryType('1')) # asks
orderBookRequest.addGroup(group2)
return orderBookRequest
def send_mkt_data_req(self, symbol):
"""
:param symbol: str
"""
print("send_mkt_data_req: ", symbol)
message = fix44.MarketDataRequest()
message.setField(fix.MDReqID(self.next_id()))
message.setField(
fix.SubscriptionRequestType(
fix.SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES))
message.setField(fix.MarketDepth(3))
message.setField(fix.MDUpdateType(
fix.MDUpdateType_INCREMENTAL_REFRESH))
symbol_group = fix44.MarketDataRequest.NoRelatedSym()
symbol_group.setField(fix.Symbol(symbol))
message.addGroup(symbol_group)
types = fix44.MarketDataRequest.NoMDEntryTypes()
types.setField(fix.MDEntryType(fix.MDEntryType_BID))
message.addGroup(types)
types = fix44.MarketDataRequest.NoMDEntryTypes()
types.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
message.addGroup(types)
fix.Session_sendToTarget(message, self.sessionID)
def market_data_request(self):
request = fix44.MarketDataRequest()
request.setField(fix.MDReqID(self.gen_mdReqID()))
request.setField(fix.MarketDepth(0))
request.setField(fix.SubscriptionRequestType('0'))
group = fix44.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType('0'))
request.addGroup(group)
group.setField(fix.MDEntryType('1'))
request.addGroup(group)
group = fix44.MarketDataRequest().NoRelatedSym()
group.setField(fix.Symbol('SNAP'))
request.addGroup(group)
fix.Session.sendToTarget(request, self.sessionID)
def GetMarketData(self):
message = fix.Message()
header = message.getHeader()
header.setField(fix.MsgType(fix.MsgType_MarketDataRequest))
noRelatedSym = fix44.MarketDataRequest().NoRelatedSym()
noRelatedSym.setField(fix.Symbol('XBTCNY'))
message.addGroup(noRelatedSym)
message.setField(fix.NoRelatedSym(1))
message.setField(fix.MDReqID('1'))
message.setField(fix.SubscriptionRequestType('0'))
message.setField(fix.MarketDepth(10))
group = fix44.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType('0'))
message.addGroup(group)
group.setField(fix.MDEntryType('1'))
message.addGroup(group)
group.setField(fix.MDEntryType('2'))
message.addGroup(group)
group.setField(fix.MDEntryType('3'))
message.addGroup(group)
group.setField(fix.MDEntryType('4'))
message.addGroup(group)
group.setField(fix.MDEntryType('5'))
message.addGroup(group)
group.setField(fix.MDEntryType('6'))
message.addGroup(group)
group.setField(fix.MDEntryType('7'))
message.addGroup(group)
group.setField(fix.MDEntryType('8'))
message.addGroup(group)
group.setField(fix.MDEntryType('9'))
message.addGroup(group)
group.setField(fix.MDEntryType('A'))
message.addGroup(group)
group.setField(fix.MDEntryType('B'))
message.addGroup(group)
group.setField(fix.MDEntryType('C'))
message.addGroup(group)
fix.Session.sendToTarget(message, self.sessionID)
def marketDataRequest(self, ticker, subscription_type):
mdr = fix.Message()
mdr.getHeader().setField(fix.BeginString(fix.BeginString_FIX44))
mdr.getHeader().setField(fix.MsgType(fix.MsgType_MarketDataRequest))
group = fix44.MarketDataRequest().NoRelatedSym()
group.setField(fix.Symbol(ticker))
mdr.addGroup(group)
mdr.setField(fix.MDReqID('1'))
mdr.setField(fix.SubscriptionRequestType(subscription_type))
mdr.setField(fix.MarketDepth(0))
mdr.setField(fix.NoMDEntryTypes(3))
group = fix44.MarketDataRequest().NoMDEntryTypes()
group.setField(fix.MDEntryType(fix.MDEntryType_BID))
mdr.addGroup(group)
group.setField(fix.MDEntryType(fix.MDEntryType_OFFER))
mdr.addGroup(group)
group.setField(fix.MDEntryType(fix.MDEntryType_TRADE))
mdr.addGroup(group)
fix.Session.sendToTarget(mdr, self.sessionID)
return
def createLiveTradesRequest(self):
liveTradesRequest = fix44.MarketDataRequest()
noRelatedSym = fix44.MarketDataRequest.NoRelatedSym()
noRelatedSym.setField(fix.Symbol("BTC/CNY"))
liveTradesRequest.addGroup(noRelatedSym)
liveTradesRequest.setField(fix.MDReqID("123"))
liveTradesRequest.setField(fix.SubscriptionRequestType('1'))
liveTradesRequest.setField(fix.MarketDepth(0))
group = fix44.MarketDataRequest.NoMDEntryTypes()
group.setField(fix.MDEntryType('2')) # trade
liveTradesRequest.addGroup(group)
return liveTradesRequest
def __add_client(self, message, sessionID):
no_of_symbols = fix.NoRelatedSym()
no_related_symbols = fix44.MarketDataRequest().NoRelatedSym()
message.getField(no_of_symbols)
symbol = fix.Symbol()
for i in range(no_of_symbols.getValue()):
message.getGroup(i + 1, no_related_symbols)
no_related_symbols.getField(symbol)
sym = symbol.getValue()
self.logger.debug(
f"Got request for symbol {sym} from {sessionID}.")
if sym in self.clients:
self.clients[sym].append(sessionID)
else:
self.clients[sym] = [sessionID]
