def _create_fix_socket(self, config_file):
settings = fix.SessionSettings(config_file)
gateway = FixMarketAdapter(self)
store_factory = fix.FileStoreFactory(settings)
log_factory = fix.ScreenLogFactory(settings)
return fix.SocketInitiator(gateway, store_factory, settings,
log_factory)
def create_initiator(initiator_config, simulation_config):
def create_subscriptions(instruments):
result = Subscriptions()
for instrument in instruments:
subscription = Subscription(instrument['symbol'])
result.add(subscription)
return result
settings = quickfix.SessionSettings(initiator_config)
config = load_yaml(simulation_config)
fix_version = create_fix_version(config)
subscriptions = create_subscriptions(config['instruments'])
logger = create_logger(config)
subscribe_interval = config.get('subscribe_interval', 1)
skip_snapshot_chance = config.get('skip_snapshot_chance', 0)
application = Client(fix_version, logger, skip_snapshot_chance,
subscribe_interval, subscriptions)
storeFactory = quickfix.FileStoreFactory(settings)
logFactory = quickfix.ScreenLogFactory(settings)
initiator = quickfix.SocketInitiator(application, storeFactory, settings,
logFactory)
return initiator
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 __init__(self, config_file='../config/pricing.conf', username = '', password = ''):
self.config_file = config_file
self.fix_pricing_instance = FixPricing(fix.Session, username, password)
self.fix_settings = fix.SessionSettings(self.config_file)
self.fix_store_factory = fix.FileStoreFactory(self.fix_settings)
self.log_factory = fix.ScreenLogFactory(self.fix_settings)
self.initiator = fix.SocketInitiator(self.fix_pricing_instance,
self.fix_store_factory,
self.fix_settings,
self.log_factory)
self.initiator.start()
def create_acceptor(acceptor_config, simulation_config):
def create_subscriptions(sources):
subscriptions = Subscriptions()
for source in sources:
variation = source.get('variation', None)
if variation:
step, limit = variation.get('step',
0), variation.get('limit', 0)
else:
step, limit = 0, 0
subscription = Subscription(source['symbol'],
SnapshotGenerator(step, limit))
for quote in source['bid']:
subscription.generator.addQuote(
Quote(Quote.BID, quote['price'], quote['size']))
for quote in source['ask']:
subscription.generator.addQuote(
Quote(Quote.ASK, quote['price'], quote['size']))
subscriptions.add(subscription)
return subscriptions
settings = quickfix.SessionSettings(acceptor_config)
config = load_yaml(simulation_config)
fix_version = create_fix_version(config)
publish_interval = config.get("publish_interval", 1)
subscriptions = create_subscriptions(config['instruments'])
logger = create_logger(config)
rejectRate = config.get("reject_rate", 0)
application = Server(fix_version, logger, publish_interval, rejectRate,
subscriptions)
storeFactory = quickfix.FileStoreFactory(settings)
logFactory = quickfix.ScreenLogFactory(settings)
acceptor = quickfix.SocketAcceptor(application, storeFactory, settings,
logFactory)
return acceptor
executionReport.setField( fix.ExecType(fix.ExecType_FILL) ) executionReport.setField( fix.LeavesQty(0) ) time.sleep(5) try: fix.Session.sendToTarget( executionReport, sessionID ) except SessionNotFound as e: return def genOrderID(self): self.orderID = self.orderID+1 return self.orderID def genExecID(self): self.execID = self.execID+1 return self.execID try: file = sys.argv[1] settings = fix.SessionSettings( file ) application = Application() storeFactory = fix.FileStoreFactory( settings ) logFactory = fix.ScreenLogFactory( settings ) acceptor = fix.SocketAcceptor( application, storeFactory, settings, logFactory ) acceptor.start() while 1: time.sleep(1) except (fix.ConfigError, fix.RuntimeError) as e: print(e)
def start(self):
""""""
self.register_event()
# For child app
child_settings = fix.SessionSettings()
child_dict = fix.Dictionary()
child_dict.setString("ConnectionType", "acceptor")
child_dict.setString("ResetOnLogon", "Y")
child_dict.setString("FileLogPath", "./genus_log/child")
child_dict.setString("LogonTimeout", "30")
child_dict.setString("StartTime", "00:00:00")
child_dict.setString("EndTime", "00:00:00")
child_dict.setString("HeartBtInt", "30")
child_dict.setString("CheckLatency", "N")
child_dict.setString("UseDataDictionary", "N")
child_dict.setString("FileStorePath", "./genus_store/child")
child_dict.setString("ScreenLogShowIncoming", "N")
child_dict.setString("ScreenLogShowOutgoing", "N")
child_dict.setString("ScreenLogShowEvents", "N")
child_dict.setString("SocketAcceptHost", SETTINGS["genus.child_host"])
child_dict.setString("SocketAcceptPort", SETTINGS["genus.child_port"])
child_session = fix.SessionID("FIX.4.2",
SETTINGS["genus.child_sender"],
SETTINGS["genus.child_target"])
child_settings.set(child_session, child_dict)
child_store_factory = fix.FileStoreFactory(child_settings)
child_log_factory = fix.ScreenLogFactory(child_settings)
self.child_app: GenusChildApp = GenusChildApp(self)
self.child_socket = fix.SocketAcceptor(self.child_app,
child_store_factory,
child_settings,
child_log_factory)
self.child_socket.start()
# For parent app
parent_settings = fix.SessionSettings()
parent_dict = fix.Dictionary()
parent_dict.setString("ConnectionType", "initiator")
parent_dict.setString("ResetOnLogon", "Y")
parent_dict.setString("FileLogPath", "./genus_log/parent")
parent_dict.setString("LogonTimeout", "30")
parent_dict.setString("StartTime", "00:00:00")
parent_dict.setString("EndTime", "00:00:00")
parent_dict.setString("HeartBtInt", "30")
parent_dict.setString("CheckLatency", "N")
parent_dict.setString("UseDataDictionary", "N")
parent_dict.setString("FileStorePath", "./genus_store/parent")
parent_dict.setString("ScreenLogShowIncoming", "N")
parent_dict.setString("ScreenLogShowOutgoing", "N")
parent_dict.setString("ScreenLogShowEvents", "N")
parent_dict.setString("SocketConnectHost",
SETTINGS["genus.parent_host"])
parent_dict.setString("SocketConnectPort",
SETTINGS["genus.parent_port"])
parent_session = fix.SessionID("FIX.4.2",
SETTINGS["genus.parent_sender"],
SETTINGS["genus.parent_target"])
parent_settings.set(parent_session, parent_dict)
parent_store_factory = fix.FileStoreFactory(parent_settings)
parent_log_factory = fix.ScreenLogFactory(parent_settings)
self.parent_app: GenusParentApp = GenusParentApp(self)
self.parent_socket = fix.SocketInitiator(self.parent_app,
parent_store_factory,
parent_settings,
parent_log_factory)
self.parent_socket.start()
def getOrderDetails(self, orderID):
table = texttable.Texttable()
table.set_cols_width([16, 32])
for key in self.orders[orderID]:
table.add_row([key, self.orders[orderID][key]])
print table.draw()
if len(sys.argv) > 1:
configFile = sys.argv[1]
else:
configFile = 'mfs-quickfix.cfg'
settings = quickfix.SessionSettings(configFile)
application = FIXServer()
logFactory = quickfix.ScreenLogFactory(settings)
storeFactory = quickfix.FileStoreFactory(settings)
acceptor = quickfix.SocketAcceptor(application, storeFactory, settings)
fixServer = threading.Thread(target=acceptor.start())
fixServer.start()
def help():
print "Commands are: "
print "\tbook ## Shows current order book"
print "\tack [orderID] ## Sends acknowledgement on orderID"
print "\tcancel [orderID] ## Sends cancel ack on orderID"
print "\tfill [orderID] [quantity] ## Sends a fill on orderID with quantity"
print "\torder [orderID] ## Provides details about the order"
print "\tremove [orderID] ## Removes the order from the book"
print "\treplace [orderID] ## Sends a ReplaceAck on orderID"
print "\treplacepend [orderID] ## Sends a ReplacePending message for orderID"