def logon(hb_int=30, reset=False, encrypt_method=fc.EncryptMethod.NONE):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType, fc.FixMsgType.LOGON, header=True)
msg.append_pair(fc.FixTag.EncryptMethod, encrypt_method)
msg.append_pair(fc.FixTag.HeartBtInt, hb_int)
if reset:
msg.append_pair(fc.FixTag.ResetSeqNumFlag, 'Y')
return msg
def sequence_reset(new_sequence_number, gap_fill=True):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.SEQUENCE_RESET,
header=True)
msg.append_pair(fc.FixTag.NewSeqNo, new_sequence_number)
if gap_fill:
msg.append_pair(fc.FixTag.GapFillFlag, fc.GapFillFlag.YES)
else:
msg.append_pair(fc.FixTag.GapFillFlag, fc.GapFillFlag.NO)
return msg
def resend_request(start_sequence, end_sequence):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.RESEND_REQUEST,
header=True)
msg.append_pair(fc.FixTag.BeginSeqNo, start_sequence)
msg.append_pair(fc.FixTag.EndSeqNo, end_sequence)
return msg
async def get_messages(
self,
session_id,
start=float('-inf'),
end=float('inf'),
limit=None,
):
if limit is None:
limit = -1
if limit > 0:
limit = limit + 1
message_ids = await self.redis.zrevrangebyscore(self.make_redis_key(
session_id, 'messages_by_time'),
min=start,
max=end,
offset=0,
count=limit)
if len(message_ids) == 0:
return []
message_ids = list(reversed(message_ids))
key = self.make_redis_key(session_id, 'messages')
msgs = await self.redis.hmget(key, *message_ids)
msgs = [FixMessage.from_raw(m) for m in msgs]
return msgs
async def get_msgs(
self,
min: float = float("-inf"),
max: float = float("inf"),
limit: float = float("inf"),
index: "str" = "by_time",
sort: "str" = "ascending",
) -> t.AsyncIterator[FixMessage]:
limit = -1 if limit == float("inf") else limit
if sort == "descending":
min, max = max, min
id_key = self._make_key(f"messages_{index}")
msg_key = self._make_key("messages")
raw_msgs = await self.redis.eval(
_get_msgs,
keys=[id_key, msg_key],
args=[sort, _str_bound(min),
_str_bound(max),
str(limit)],
)
for raw_msg in raw_msgs:
msg = FixMessage.from_raw(raw_msg)
if msg is None:
raise TypeError(
f"Unable to parse fix message in store. "
f"The message may be corrupted. Raw msg: {raw_msg}")
yield msg
def security_list():
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.SecurityListRequest,
header=True)
uid = utils.gen_uuid()
msg.append_pair(fc.FixTag.SecurityReqID, uid)
msg.append_pair(fc.FixTag.SecurityListRequestType, b'0')
return msg
def news_msg() -> FixMessage:
pairs = (
(TAGS.MsgType, MTYPE.NEWS, True),
(TAGS.Headline, 'BREAKING NEWS', False),
(TAGS.LinesOfText, 1, False),
(TAGS.Text, 'Government admits turning frogs gay.', False),
)
return FixMessage.from_pairs(pairs)
def news_msg():
pairs = (
(fix.FixTag.MsgType, fix.FixMsgType.NEWS, True),
(fix.FixTag.Headline, 'BREAKING NEWS', False),
(fix.FixTag.LinesOfText, 1, False),
(fix.FixTag.Text, 'Government admits turning frogs gay.', False),
)
return FixMessage.from_pairs(pairs)
def parse_msg(raw_msg: bytes) -> FixMessage:
msg = FixMessage.from_raw(raw_msg)
if msg is None:
raise RuntimeError(
"Not able to parse fix msg from string")
if msg.seq_num is None:
raise RuntimeError(
"Msg is missing seq num. Msg may be corrupted")
return msg
def test_request(test_request_id=None):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType, fc.FixMsgType.TEST_REQUEST, header=True)
if test_request_id is None:
test_request_id = utils.gen_uuid()
msg.append_pair(fc.FixTag.TestReqID, test_request_id)
return msg
def order_status(cl_order_id='*', ):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.ORDER_STATUS_REQUEST,
header=True)
msg.append_pair(fc.FixTag.ClOrdID, cl_order_id)
return msg
def cast(
cls: t.Type[T],
base: FixMessage
) -> T:
for field, required in cls._fields.items():
val = base.get_raw(field)
if val is None:
if required:
raise ValueError
continue
validate(TYPE_MAP[field], val)
msg = cls.__new__(cls)
msg._msg = base._msg
return msg
async def get_received(self,
session_id,
min=float('-inf'),
max=float('inf'),
limit=None):
msgs = self._get_messages(session_id)
rv = []
for time, msg in msgs.values():
msg = FixMessage.from_raw(msg)
if msg.get(49) != session_id.target:
continue
if not min <= msg.seq_num <= max:
continue
rv.append(msg)
if limit is not None:
rv = rv[limit * -1:]
return rv
async def get_received(self,
session_id,
min=float('-inf'),
max=float('inf'),
limit=None):
if limit is None:
limit = -1
if limit > 0:
limit = limit + 1
message_ids = await self.redis.zrevrangebyscore(self.make_redis_key(
session_id, 'messages_received'),
min=min,
max=max,
offset=0,
count=limit)
if len(message_ids) == 0:
return []
message_ids = list(reversed(message_ids))
key = self.make_redis_key(session_id, 'messages')
msgs = await self.redis.hmget(key, *message_ids)
return [FixMessage.from_raw(m) for m in msgs]
def logout():
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType, fc.FixMsgType.LOGOUT, header=True)
return msg
def order_request() -> FixMessage:
order = FixMessage()
order.append_pair(FixTag.MsgType, MsgType.NEW_ORDER_SINGLE)
order.append_pair(FixTag.ClOrdID, str(uuid.uuid4()))
order.append_pair(FixTag.OrdType, OrdType.LIMIT)
order.append_pair(FixTag.Symbol, 'UGAZ')
order.append_pair(FixTag.Side, Side.BUY)
order.append_pair(FixTag.OrderQty, 100)
order.append_pair(FixTag.Price, 25.0)
order.append_utc_timestamp(FixTag.TransactTime, datetime.utcnow())
return order
def market_data_request(
symbols,
entry_types,
subscription_type=fc.SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES,
market_depth=fc.MarketDepth.TOP_OF_BOOK,
update_type=fc.MDUpdateType.FULL_REFRESH,
):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.MARKET_DATA_REQUEST,
header=True)
msg.append_pair(fc.FixTag.MDReqID, utils.gen_uuid())
if subscription_type not in fc.SubscriptionRequestType:
utils.raise_invalid_option('subscription_type',
fc.SubscriptionRequestType)
msg.append_pair(fc.FixTag.SubscriptionRequestType, subscription_type)
if market_depth not in fc.MarketDepth:
utils.raise_invalid_option('market_depth', fc.MarketDepth)
msg.append_pair(fc.FixTag.MarketDepth, market_depth)
if subscription_type == fc.SubscriptionRequestType.SNAPSHOT_PLUS_UPDATES:
if update_type not in fc.MDUpdateType:
utils.raise_invalid_option('update_type', fc.MDUpdateType)
msg.append_pair(fc.FixTag.MDUpdateType, update_type)
msg.append_pair(fc.FixTag.NoMDEntryTypes, len(entry_types))
for entry_type in entry_types:
msg.append_pair(fc.FixTag.MDEntryType, entry_type)
msg.append_pair(fc.FixTag.NoRelatedSym, len(symbols))
for symbol in symbols:
msg.append_pair(fc.FixTag.Symbol, symbol)
return msg
def new_order(account,
symbol,
quantity,
side,
order_type=fc.OrdType.LIMIT,
handl_inst=2,
cl_order_id=None,
price=None,
currency=None,
security_exchange=None,
ex_destination=None,
customer_or_firm=fc.CustomerOrFirm.Customer,
time_in_force=None):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.NEW_ORDER_SINGLE,
header=True)
msg.append_pair(fc.FixTag.Account, account)
if cl_order_id is None:
cl_order_id = utils.gen_uuid()
msg.append_pair(fc.FixTag.ClOrdID, cl_order_id)
if currency is not None:
msg.append_pair(fc.FixTag.Currency, currency)
msg.append_pair(fc.FixTag.Symbol, symbol)
msg.append_pair(fc.FixTag.HandlInst, handl_inst)
msg.append_pair(fc.FixTag.Side, side)
msg.append_pair(fc.FixTag.OrderQty, quantity)
msg.append_pair(fc.FixTag.OrdType, order_type)
if order_type == fc.OrdType.LIMIT:
msg.append_pair(fc.FixTag.Price, price)
if time_in_force is not None:
msg.append_pair(fc.FixTag.TimeInForce, time_in_force)
if security_exchange is not None:
msg.append_pair(fc.FixTag.SecurityExchange, security_exchange)
if ex_destination is not None:
msg.append_pair(fc.FixTag.ExDestination, ex_destination)
msg.append_pair(fc.FixTag.CustomerOrFirm, customer_or_firm)
return msg
def heartbeat(test_request_id=None):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType, fc.FixMsgType.HEARTBEAT, header=True)
if test_request_id:
msg.append_pair(fc.FixTag.TestReqID, test_request_id)
return msg
def cancel_replace(
account,
orig_cl_order_id,
symbol,
side,
quantity,
order_type,
new_cl_order_id=None,
price=None,
handle_inst=2,
):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.ORDER_CANCEL_REPLACE_REQEUST,
header=True)
msg.append_pair(fc.FixTag.Account, account)
msg.append_pair(fc.FixTag.HandlInst, handle_inst)
msg.append_pair(fc.FixTag.OrigClOrdID, orig_cl_order_id)
if new_cl_order_id is None:
new_cl_order_id = utils.gen_uuid()
msg.append_pair(fc.FixTag.ClOrdID, new_cl_order_id)
msg.append_pair(fc.FixTag.Symbol, symbol)
msg.append_pair(fc.FixTag.Side, side)
msg.append_pair(fc.FixTag.OrderQty, quantity)
msg.append_pair(fc.FixTag.OrdType, order_type)
if price is not None:
msg.append_pair(fc.FixTag.Price, price)
return msg
def cancel(
account,
orig_cl_order_id,
symbol,
side,
quantity,
cl_order_id=None,
):
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType,
fc.FixMsgType.ORDER_CANCEL_REQUEST,
header=True)
msg.append_pair(fc.FixTag.Account, account)
if cl_order_id is None:
cl_order_id = utils.gen_uuid()
msg.append_pair(fc.FixTag.ClOrdID, cl_order_id)
msg.append_pair(fc.FixTag.OrigClOrdID, orig_cl_order_id)
msg.append_pair(fc.FixTag.Symbol, symbol)
msg.append_pair(fc.FixTag.Side, side)
msg.append_pair(fc.FixTag.OrderQty, quantity)
return msg
def reject(ref_sequence_number, ref_tag, ref_message_type, rejection_type,
reject_reason):
"""
:param ref_sequence_number: sequence number of message being referred to
:param ref_tag: Tag number of field being referred to
:param ref_message_type: Message type of message being rejected
:param rejection_type: Code to identify reject reason
:param reject_reason: Verbose explanation of rejection
:return:
"""
msg = FixMessage()
msg.append_pair(fc.FixTag.MsgType, fc.FixMsgType.REJECT, header=True)
msg.append_pair(fc.FixTag.RefSeqNum, ref_sequence_number)
msg.append_pair(fc.FixTag.Text, reject_reason)
msg.append_pair(fc.FixTag.RefTagID, ref_tag)
msg.append_pair(fc.FixTag.RefMsgType, ref_message_type)
msg.append_pair(fc.FixTag.SessionRejectReason, rejection_type)
return msg