def getOrderCancelReject(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
clOrdID = fix.ClOrdID()
orderID = fix.OrderID()
origClOrdID = fix.OrigClOrdID()
message.getField(clOrdID)
message.getField(orderID)
message.getField(origClOrdID)
orderCancelReject = fix.Message()
orderCancelReject.getHeader().setField(beginString)
orderCancelReject.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelReject))
orderCancelReject.setField(clOrdID)
orderCancelReject.setField(orderID)
orderCancelReject.setField(origClOrdID)
orderCancelReject.setField(fix.OrdStatus(
fix.OrdStatus_FILLED)) #39 = 2 FILLED
orderCancelReject.setField(
fix.CxlRejReason(0)) #102=0 TOO_LATE_TO_CANCEL
orderCancelReject.setField(
fix.CxlRejResponseTo(1)) #434=1 ORDER_CANCEL_REQUEST
return orderCancelReject
def cancel(self, message, sessionID):
symbol = fix.Symbol()
side = fix.Side()
orderQty = fix.OrderQty()
clOrdID = fix.ClOrdID()
org = fix.OrigClOrdID()
message.getField(symbol)
message.getField(side)
message.getField(orderQty)
message.getField(clOrdID)
message.getField(org)
log.info("cancel:\nsymbol:{},side:{},orderQty:{},clOrdID:{},org:{} -----"\
.format(symbol, side, orderQty, clOrdID, org))
cancel = fix44.OrderCancelReject()
cancel.setField(clOrdID)
cancel.setField(fix.OrderID(self.genOrderID()))
cancel.setField(fix.OrdStatus(fix.OrdStatus_NEW))
cancel.setField(fix.OrigClOrdID(org.getValue()))
cancel.setField(fix.Text('order completed'))
cancel.setField(fix.TransactTime())
cancel.setField(fix.CxlRejReason(fix.CxlRejReason_BROKER))
cancel.setField(
fix.CxlRejResponseTo(fix.CxlRejResponseTo_ORDER_CANCEL_REQUEST))
fix.Session.sendToTarget(cancel, sessionID)
def _process_order_cancel_reject(self, message):
cl_ord_id = self._extract_field(fix.ClOrdID(), message)
market_order_id = self._extract_field(fix.OrderID(), message)
cxl_rej_response_to = self._extract_field(fix.CxlRejResponseTo(),
message)
order = self.order_store.find_order(cl_ord_id, market_order_id)
if cxl_rej_response_to == \
CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST:
order.status = OrdStatus.REPLACE_REJECT
self.order_handler.on_replace_rej(order)
elif cxl_rej_response_to == CxlRejResponseTo.ORDER_CANCEL_REQUEST:
order.status = OrdStatus.CANCEL_REJECT
self.order_handler.on_cancel_rej(order)
else:
self.log.error('Unknown CxlRejResponseTo value: {}'.format(
cxl_rej_response_to))
def getExecutionReportForCancelOrder2(self, message):
beginString = fix.BeginString()
message.getHeader().getField(beginString)
symbol = fix.Symbol()
side = fix.Side()
clOrdID = fix.ClOrdID()
orderID = fix.OrderID()
origClOrdID = fix.OrigClOrdID()
message.getField(symbol)
message.getField(side)
message.getField(clOrdID)
message.getField(orderID)
message.getField(origClOrdID)
executionReport = fix.Message()
executionReport.getHeader().setField(beginString)
executionReport.getHeader().setField(
fix.MsgType(fix.MsgType_ExecutionReport))
data = {}
data['id'] = orderID.getValue()
response = cancelOrder(self.accessKey, self.secretKey,
orderID.getValue())
jResponse = json.loads(response)
executionReport.setField(fix.OrderID(orderID.getValue()))
# todo get client order id
executionReport.setField(clOrdID)
executionReport.setField(fix.ExecID(self.genExecID()))
if 'error' in jResponse and jResponse['error']:
orderCancelReject = fix.Message()
orderCancelReject.getHeader().setField(beginString)
orderCancelReject.getHeader().setField(
fix.MsgType(fix.MsgType_OrderCancelReject))
orderCancelReject.setField(clOrdID)
orderCancelReject.setField(orderID)
orderCancelReject.setField(origClOrdID)
# todo reject reason
orderCancelReject.setField(fix.OrdStatus(
fix.OrdStatus_FILLED)) #39 = 2 FILLED
orderCancelReject.setField(
fix.CxlRejReason(0)) #102=0 TOO_LATE_TO_CANCEL
orderCancelReject.setField(
fix.CxlRejResponseTo(1)) #434=1 ORDER_CANCEL_REQUEST
orderCancelReject.setField(fix.Text(jResponse['error']['message']))
return orderCancelReject
else:
executionReport.setField(fix.OrderID(str(jResponse['id'])))
# todo check trades_count from json response and set FILL status?
executionReport.setField(fix.OrdStatus(fix.OrdStatus_CANCELED))
executionReport.setField(
fix.Side(fix.Side_BUY if jResponse['side'] ==
'buy' else fix.Side_SELL))
executionReport.setField(
fix.OrdType(
fix.OrdType_LIMIT if jResponse['ord_type'] ==
'limit' else fix.OrdType_MARKET)) #40=2 Limit order
executionReport.setField(fix.Symbol(jResponse['market']))
executionReport.setField(fix.Price(float(jResponse['price']))) #44
executionReport.setField(fix.OrderQty(float(
jResponse['volume']))) #38
executionReport.setField(
fix.CumQty(float(jResponse['executed_volume']))) #14=100
executionReport.setField(fix.AvgPx(float(
jResponse['avg_price']))) #6
executionReport.setField(fix.Text("Order cancelled!"))
# Since FIX 4.3, ExecTransType values are moved to ExecType
if beginString.getValue(
) == fix.BeginString_FIX40 or beginString.getValue(
) == fix.BeginString_FIX41 or beginString.getValue(
) == fix.BeginString_FIX42:
executionReport.setField(
fix.ExecTransType(fix.ExecTransType_CANCEL))
# ExecType and LeavesQty fields only existsince FIX 4.1
if beginString.getValue() >= fix.BeginString_FIX41:
executionReport.setField(fix.ExecType(
fix.ExecType_CANCELED)) #150=4 CANCELED
executionReport.setField(fix.LeavesQty(0)) #151=0
return executionReport