def execution_report(self, message, filled_qty, trasaction_type, order_id,
symbol):
parser = Parser()
parser.append_buffer(message)
message_recv = parser.get_message()
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, int(message_recv.get(34)) + 1) # sequence no
msg.append_pair(35, '8') # msgType = logon
msg.append_pair(49, message_recv.get(56))
msg.append_time(52) # timestamp
msg.append_pair(56, message_recv.get(49))
msg.append_pair(14, filled_qty)
msg.append_pair(31, message_recv.get(44))
msg.append_pair(32, message_recv.get(38))
msg.append_pair(54, message_recv.get(54))
msg.append_pair(37, order_id) # orderID
msg.append_pair(39, '0') # order status, now it's all filled
msg.append_pair(55, symbol) # subscribed ticker
if str.lower(trasaction_type) == 'new':
msg.append_pair(279, '0')
elif str.lower(trasaction_type) == 'cancel':
msg.append_pair(279, '2')
elif str.lower(trasaction_type) == 'amend':
msg.append_pair(279, '1')
return msg.encode()
def new_order(self, ticker, price, volume, order_type, side, sender,
target, seq_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, 'D') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
msg.append_pair(55, ticker) # subscribed ticker
msg.append_pair(38, volume)
msg.append_pair(21, '3')
msg.append_pair(44, price)
# side
if str.lower(side) == 'bid':
msg.append_pair(54, '0') # order side
else:
msg.append_pair(54, '1')
# order type
if str.lower(order_type) == 'market':
msg.append_pair(40, '1')
elif str.lower(order_type) == 'limit':
msg.append_pair(40, '2')
return msg.encode()
def full_refresh(self, message, price, volume, side):
parser = Parser()
parser.append_buffer(message)
message_recv = parser.get_message()
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, int(message_recv.get(34)) + 1) # sequence no
msg.append_pair(35, 'W') # msgType = logon
msg.append_pair(49, message_recv.get(56))
msg.append_time(52) # timestamp
msg.append_pair(56, message_recv.get(49))
msg.append_pair(55, message_recv.get(55)) # subscribed ticker
msg.append_pair(268, 1)
# side
if str.lower(side) == 'bid':
msg.append_pair(269, '0') # order side
elif str.lower(side) == 'ask':
msg.append_pair(269, '1')
else:
print('[FIXMESSAGE]Unknown side..')
return
msg.append_pair(271, volume) #volume
msg.append_pair(270, price) #price
return msg.encode()
def test_time_datetime(self):
"""Test use of built-in datetime timestamp values"""
msg = FixMessage()
t = 1484581872.933458
dt = datetime.datetime.utcfromtimestamp(t)
msg.append_time(52, dt)
self.assertEqual(fix_str("20170116-15:51:12.933"), msg.get(52))
def test_time_bad_precision(self):
msg = FixMessage()
t = 1484581872.933458
with self.assertRaises(ValueError):
msg.append_time(52, t, 9)
return
def test_time_microseconds(self):
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, 6)
self.assertEqual("2017-01-16-15:51:12.933458", msg.get(52))
return
def test_time_float(self):
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t)
self.assertEqual("2017-01-16-15:51:12.933", msg.get(52))
return
def test_time_float(self):
"""Test floating point timestamp values"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t)
self.assertEqual(fix_str("20170116-15:51:12.933"), msg.get(52))
return
def test_time_datetime(self):
msg = FixMessage()
t = 1484581872.933458
dt = datetime.datetime.utcfromtimestamp(t)
msg.append_time(52, dt)
self.assertEqual("2017-01-16-15:51:12.933", msg.get(52))
return
def test_time_microseconds(self):
"""Test formatting of time values with microseconds"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, 6)
self.assertEqual(fix_str("20170116-15:51:12.933458"), msg.get(52))
return
def test_time_seconds_only(self):
"""Test formatting of time values with no decimal component"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, 0)
self.assertEqual(fix_str("20170116-15:51:12"), msg.get(52))
return
def test_time_localtime(self):
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, utc=False)
test = time.localtime(t)
s = "%04u-%02u-%02u-%02u:%02u:%02u.%03u" % (test.tm_year, test.tm_mon, test.tm_mday, test.tm_hour, test.tm_min, test.tm_sec, int((t - int(t)) * 1000))
self.assertEqual(s, msg.get(52))
return
def goodbye(self, sender, target, seq_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, '5') # msgType = logout
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
return msg.encode()
def test_time_bad_precision(self):
"""Test bad time precision values"""
if VERSION == 26:
return
msg = FixMessage()
t = 1484581872.933458
with self.assertRaises(ValueError):
msg.append_time(52, t, 9)
def test_time_localtime(self):
"""Test non-UTC supplied time values"""
msg = FixMessage()
t = 1484581872.933458
msg.append_time(52, t, utc=False)
test = time.localtime(t)
s = "%04u%02u%02u-%02u:%02u:%02u.%03u" % \
(test.tm_year, test.tm_mon, test.tm_mday,
test.tm_hour, test.tm_min, test.tm_sec,
int((t - int(t)) * 1000))
self.assertEqual(fix_str(s), msg.get(52))
def aloha(self, sender, target, seq_no=1):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, 'A') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
msg.append_pair(98, 0) # encrypt type
msg.append_pair(108, 30) # heart beat
msg.append_pair(141, 'N') # reset sequence number
return msg.encode()
def cancel_order(self, order_id, sender, target, sequence_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, sequence_no) # sequence no
msg.append_pair(35, 'F') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
# cancel order by order_id
msg.append_pair(37, order_id) # orderID
return msg.encode()
def goodbye_back(self, message):
parser = Parser()
parser.append_buffer(message)
message_recv = parser.get_message()
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, int(message_recv.get(34)) + 1) # sequence no
msg.append_pair(35, '5') # msgType = logout
msg.append_pair(49, message_recv.get(56))
msg.append_time(52) # timestamp
msg.append_pair(56, message_recv.get(49))
return msg.encode()
def subscribe(self, ticker, sender, target, seq_no=1, rep_seq=1):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, 'V') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
msg.append_pair(146, rep_seq) # repeating sequence
msg.append_pair(55, ticker) # subscribed ticker
msg.append_pair(262, 1)
msg.append_pair(263, 1)
msg.append_pair(264, 1)
msg.append_pair(265, 1)
msg.append_pair(267, 2)
msg.append_pair(269, 0)
return msg.encode()
def update(self,
ticker,
price,
volume,
side,
order_id,
seq_no,
sender,
target,
update_type='change'):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, seq_no) # sequence no
msg.append_pair(35, 'X') # msgType
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
msg.append_pair(55, ticker) # subscribed ticker
msg.append_pair(37, order_id) # orderID
msg.append_pair(268, 1) # number of message
# if new order
if str.lower(update_type) == 'new':
msg.append_pair(279, '0')
elif str.lower(update_type) == 'change':
msg.append_pair(279, '1')
else:
msg.append_pair(279, '2')
# side
if str.lower(side) == 'bid':
msg.append_pair(269, '0') # order side
else:
msg.append_pair(269, '1')
msg.append_pair(271, volume) #volume
msg.append_pair(270, price)
return msg.encode()
def amend_order(self, order_id, price, volume, order_type, sender, target,
sequence_no):
msg = Message()
msg.append_pair(8, self.header)
msg.append_pair(34, sequence_no) # sequence no
msg.append_pair(35, 'G') # msgType = logon
msg.append_pair(49, sender)
msg.append_time(52) # timestamp
msg.append_pair(56, target)
# cancel order by order_id
msg.append_pair(37, order_id) # orderID
msg.append_pair(44, price)
msg.append_pair(38, volume)
# side
if str.lower(order_type) == 'market':
msg.append_pair(40, '1') # order side
else:
msg.append_pair(40, '2')
return msg.encode()
def aloha_back(self, message):
parser = Parser()
parser.append_buffer(message)
message_recv = parser.get_message()
# compile new message
msg = Message()
msg.append_pair(8, self.header)
# reset sequence number?
if message_recv.get(141) == 'Y':
msg.append_pair(34, 1)
else:
msg.append_pair(34, int(message_recv.get(34)) + 1)
msg.append_pair(35, 'A')
msg.append_pair(49, message_recv.get(56))
msg.append_time(52)
msg.append_pair(56, message_recv.get(49))
msg.append_pair(98, 0)
msg.append_pair(108, 30)
msg.append_pair(141, 'Y')
return msg.encode()
def test_time_defaults(self):
msg = FixMessage()
msg.append_time(52)
return
def test_time_explicit_none(self):
msg = FixMessage()
msg.append_time(52, None)
return
def test_time_explicit_none(self):
"""Test explicit None as timestamp value"""
msg = FixMessage()
msg.append_time(52, None)
return
def test_time_defaults(self):
"""Test no supplied timestamp value"""
msg = FixMessage()
msg.append_time(52)
return
def test_time_defaults(self):
"""Test no supplied timestamp value"""
msg = FixMessage()
msg.append_time(52)
self.assertIsNotNone(msg.get(52))
def test_time_explicit_none(self):
"""Test explicit None as timestamp value"""
msg = FixMessage()
msg.append_time(52, None)
self.assertIsNotNone(msg.get(52))
