def test_incremental_refresh_multiple_messages(self):
schema = SBESchema(include_message_size_header=True,
use_description_as_message_name=True)
schema.parse(TestSBEParserLibrary.LOCAL_TEMPLATE_FILENAME)
msg_factory = MDPMessageFactory(schema)
parser = SBEParser(msg_factory)
msg_buffer = binascii.a2b_hex(
'c90fa9008a15428b069bd91458000b00200001000800e7c43d8b069bd91484000020000180b2654d360200008e0000000a610000f62fac003000000007013000000000001800000000000001e44c980a960000002b13144401000000010000000101000058000b002000010008006f203f8b069bd9148400002000018017336b3602000004000000805d0000402d140002000000020131000000000018000000000000016153980a960000002c131444010000000200000001010000'
)
offset = 12
msg_count = 0
for message in parser.parse(msg_buffer, offset):
if msg_count == 0:
assert_equals('MDIncrementalRefreshBook', message.name)
n = 0
for entry in message.no_md_entries:
if n == 0:
assert_equals(243225.0, entry.md_entry_px.value)
assert_equals(142, entry.md_entry_size.value)
n += 1
assert_equals(1, n)
elif msg_count == 1:
assert_equals('MDIncrementalRefreshBook', message.name)
n = 0
for entry in message.no_md_entries:
if n == 0:
assert_equals(243275.0, entry.md_entry_px.value)
assert_equals(4, entry.md_entry_size.value)
n += 1
assert_equals(1, n)
msg_count += 1
assert_equals(2, msg_count)
def test_security_status(self):
schema = SBESchema(include_message_size_header=True,
use_description_as_message_name=True)
schema.parse(TestSBEParserLibrary.LOCAL_TEMPLATE_FILENAME)
msg_factory = MDPMessageFactory(schema)
parser = SBEParser(msg_factory)
msg_buffer = binascii.a2b_hex(
'1409a900bbe7b5d5fe9ad91428001e001e000100080019989cd5fe9ad914455300000000000000000000ffffff7fed4380150001'
)
offset = 12
for message in parser.parse(msg_buffer, offset):
self.recorded_messages.append(message)
# Validate that we parsed a security status message
assert_equals(1, len(self.recorded_messages))
recorded_message = self.recorded_messages[0]
assert_equals(30, recorded_message.template_id.value)
assert_equals('SecurityStatus', recorded_message.name)
assert_equals(17389, recorded_message.trade_date.value)
assert_equals(1502402370000951321,
recorded_message.transact_time.value)
assert_equals('EndOfEvent',
recorded_message.match_event_indicator.value)
assert_equals('Pre Open',
recorded_message.security_trading_status.value)
assert_equals('ES', recorded_message.security_group.value)
assert_equals('', recorded_message.asset.value)
assert_equals('Group Schedule', recorded_message.halt_reason.value)
assert_equals(None, recorded_message.security_id.value)
assert_equals('No Cancel',
recorded_message.security_trading_event.value)
def test_security_status_reset_statistics(self):
schema = SBESchema(include_message_size_header=True, use_description_as_message_name=True)
try:
from sbedecoder.generated import __messages__ as generated_messages
schema.load(generated_messages)
except:
schema.parse(TestSBEParserLibrary.LOCAL_TEMPLATE_FILENAME)
msg_factory = MDPMessageFactory(schema)
parser = SBEParser(msg_factory)
msg_buffer = binascii.a2b_hex('5603a9009c16d545349ad91428001e001e000100080003259845349ad914455300000000000000000000ffffff7fed4380150004')
offset = 12
for message in parser.parse(msg_buffer, offset):
self.recorded_messages.append(message)
# Validate that we parsed a security status message
assert_equals(1, len(self.recorded_messages))
recorded_message = self.recorded_messages[0]
assert_equals(30, recorded_message.template_id.value)
assert_equals('SecurityStatus', recorded_message.name)
assert_equals(17389, recorded_message.trade_date.value)
assert_equals(1502401500001346819, recorded_message.transact_time.value)
assert_equals('Reset Statistics', recorded_message.security_trading_event.value)
assert_equals('ResetStatistics', recorded_message.security_trading_event.enumerant)
assert_equals('Pre Open', recorded_message.security_trading_status.value)
assert_equals('PreOpen', recorded_message.security_trading_status.enumerant)
assert_equals('ES', recorded_message.security_group.value)
assert_equals('', recorded_message.asset.value)
assert_equals('Group Schedule', recorded_message.halt_reason.value)
assert_equals('GroupSchedule', recorded_message.halt_reason.enumerant)
assert_equals(None, recorded_message.security_id.value)
def test_incremental_refresh_verify_group_attributes(self):
schema = SBESchema(include_message_size_header=True, use_description_as_message_name=True)
schema.parse(TestSBEParserLibrary.LOCAL_TEMPLATE_FILENAME)
msg_factory = MDPMessageFactory(schema)
parser = SBEParser(msg_factory)
msg_buffer = binascii.a2b_hex(
'c30fa90082dd3f8b069bd91478000b0020000100080095ab3d8b069bd914840000200002009bb1203602000002000000805d00003e2d140001000000010030000000000080e8ca113602000002000000805d00003f2d140001000000020130000000000018000000000000019c53980a9600000024131444010000000200000001010000')
offset = 12
msg_count = 0
for message in parser.parse(msg_buffer, offset):
msg_count += 1
if msg_count == 1:
assert_equals(32, message.template_id.value)
assert_equals(1502402403112954773, message.transact_time.value)
assert_equals(132, message.match_event_indicator.raw_value)
assert_equals('LastQuoteMsg, EndOfEvent', message.match_event_indicator.value)
n = 0
for repeating_group in message.no_md_entries:
if n == 0:
assert_equals(243150.0, repeating_group.md_entry_px.value)
assert_equals(2, repeating_group.md_entry_size.value)
assert_equals(23936, repeating_group.security_id.value)
assert_equals(1322302, repeating_group.rpt_seq.value)
assert_equals(1, repeating_group.number_of_orders.value)
assert_equals(1, repeating_group.md_price_level.value)
assert_equals(0, repeating_group.md_update_action.raw_value)
assert_equals('New', repeating_group.md_update_action.value)
assert_equals('0', repeating_group.md_entry_type.raw_value)
assert_equals('Bid', repeating_group.md_entry_type.value)
elif n == 1:
assert_equals(243125.0, repeating_group.md_entry_px.value)
assert_equals(2, repeating_group.md_entry_size.value)
assert_equals(23936, repeating_group.security_id.value)
assert_equals(1322303, repeating_group.rpt_seq.value)
assert_equals(1, repeating_group.number_of_orders.value)
assert_equals(2, repeating_group.md_price_level.value)
assert_equals(1, repeating_group.md_update_action.raw_value)
assert_equals('Change', repeating_group.md_update_action.value)
assert_equals('0', repeating_group.md_entry_type.raw_value)
assert_equals('Bid', repeating_group.md_entry_type.value)
n += 1
assert_equals(2, n)
n = 0
for repeating_group in message.no_order_id_entries:
if n == 0:
assert_equals(644422849436, repeating_group.order_id.value)
assert_equals(5437133604, repeating_group.md_order_priority.value)
assert_equals(2, repeating_group.md_display_qty.value)
assert_equals(1, repeating_group.reference_id.value)
assert_equals('Update', repeating_group.order_update_action.value)
assert_equals(1, repeating_group.order_update_action.raw_value)
n += 1
assert_equals(1, n)
def __init__(self,
schema,
out_file_handle=sys.stdout,
ignore_messages=False):
self.seq_num = 0
# Read in the schema xml as a dictionary and
# construct the various schema objects
mdp_schema = MDPSchema()
mdp_schema.parse(schema)
msg_factory = MDPMessageFactory(mdp_schema)
self.mdp_parser = SBEParser(msg_factory)
self.out_file_handle = out_file_handle
self.ignore_messages = ignore_messages
def test_incremental_refresh_trade_summary(self):
schema = SBESchema(include_message_size_header=True,
use_description_as_message_name=True)
schema.parse(TestSBEParserLibrary.LOCAL_TEMPLATE_FILENAME)
msg_factory = MDPMessageFactory(schema)
parser = SBEParser(msg_factory)
msg_buffer = binascii.a2b_hex(
'2f0aa9007decc6d2059bd91460000b002a000100080085b89fd2059bd91401000020000100f981d336020000020000000a610000fe2aac00020000000100ffffffff000010000000000000023051980a960000000200000000000000ad50980a960000000200000000000000'
)
offset = 12
msg_count = 0
for message in parser.parse(msg_buffer, offset):
msg_count += 1
assert_equals(42, message.template_id.value)
assert_equals(1502402400015595653, message.transact_time.value)
assert_equals(1, message.match_event_indicator.raw_value)
assert_equals('LastTradeMsg', message.match_event_indicator.value)
# This message has two repeating groups
assert_equals(2, len(message.groups))
# We expect only 1 md entry
for md_entry in message.no_md_entries:
assert_equals(243450.0, md_entry.md_entry_px.value)
assert_equals(2, md_entry.md_entry_size.value)
assert_equals(24842, md_entry.security_id.value)
assert_equals(11283198, md_entry.rpt_seq.value)
assert_equals(2, md_entry.number_of_orders.value)
assert_equals(1, md_entry.aggressor_side.raw_value)
assert_equals('Buy', md_entry.aggressor_side.value)
assert_equals(0, md_entry.md_update_action.raw_value)
assert_equals('New', md_entry.md_update_action.value)
assert_equals('2', md_entry.md_entry_type.value)
# We expect two trades in this message
num_order_id_entries = 0
for order_id_entry in message.no_order_id_entries:
num_order_id_entries += 1
if num_order_id_entries == 1:
assert_equals(644422848816, order_id_entry.order_id.value)
assert_equals(2, order_id_entry.last_qty.value)
else:
assert_equals(644422848685, order_id_entry.order_id.value)
assert_equals(2, order_id_entry.last_qty.value)
assert_equals(1, msg_count)
def process_file(args,
pcap_filename,
security_id_filter=None,
print_data=False):
mdp_schema = MDPSchema()
# Read in the schema xml as a dictionary and construct the various schema objects
try:
from sbedecoder.generated import __messages__ as generated_messages
mdp_schema.load(generated_messages)
except:
mdp_schema.parse(args.schema)
msg_factory = MDPMessageFactory(mdp_schema)
mdp_parser = SBEParser(msg_factory)
secdef = SecDef()
secdef.load(args.secdef)
book_builder = PacketProcessor(mdp_parser,
secdef,
security_id_filter=security_id_filter)
console_printer = ConsolePrinter()
book_builder.orderbook_handler = console_printer
with gzip.open(pcap_filename,
'rb') if pcap_filename.endswith('.gz') else open(
pcap_filename, 'rb') as pcap:
pcap_reader = dpkt.pcap.Reader(pcap)
packet_number = 0
for ts, packet in pcap_reader:
packet_number += 1
ethernet = dpkt.ethernet.Ethernet(packet)
if ethernet.type == dpkt.ethernet.ETH_TYPE_IP:
ip = ethernet.data
if ip.p == dpkt.ip.IP_PROTO_UDP:
udp = ip.data
data = udp.data
try:
if print_data:
print('data: {}'.format(binascii.b2a_hex(data)))
book_builder.handle_packet(int(ts * 1000000), data)
except Exception as e:
print('Error decoding e:{} message:{}'.format(
e, binascii.b2a_hex(data)))
def main(argv=None):
args = process_command_line()
# Read in the schema xml as a dictionary and construct the various schema objects
mdp_schema = MDPSchema()
mdp_schema.parse(args.schema)
msg_factory = MDPMessageFactory(mdp_schema)
mdp_parser = SBEParser(msg_factory)
secdef = None
if args.secdef:
secdef = mdp.secdef.SecDef()
secdef.load(args.secdef)
skip_fields = set(args.skip_fields.split(','))
process_file(args.pcapfile, mdp_parser, secdef, args.pretty, args.print_data, skip_fields)
return 0 # success
def mdp_parser(mdp_schema):
msg_factory = MDPMessageFactory(mdp_schema)
parser = SBEParser(msg_factory)
return parser
