Financial Information Exchange - FIX API

              
import sys
import argparse
import quickfix as fix
import quickfix44 as fix44



ECHO_DEBUG= True
sessionID = 0


class Application(fix.Application):
      orderID = 0
      execID = 0
      global sessionID

      def gen_ord_id(self):
           global orderID
           orderID+=1
           return orderID


      def onCreate(self, sessionID):
           return

      def onLogon(self, sessionIDIn):


           mktcodes = ["GBPUSD", "EURUSD", "CCCCCC"]

           reqID = 1
           for mkt in mktcodes:

               message = fix.Message()
               header = message.getHeader();
               header.setField(fix.MsgType("R")) #35
               message.setField(644, "99999999")  # ReqId
               message.setField(146, "1")  # ReqId # 644
               message.setField(55, "GBPUSD")  # 55=SMBL
               message.setField(263, "1")  # SubscriptionRequestType
               message.setField(262, "12356") #Request Type
               message.setField(264, "1")  # Market Depth
               fix.Session.sendToTarget(message, self.sessionID)
           return

      def onLogout(self, sessionID):
           return

      def toAdmin(self, message, sessionID):
           self.sessionID = sessionID
           print(" toAdmin " + str(message))
           if(message.getHeader().getField(fix.MsgType().getField()) == "A"):
               print(" login Message " + str(sessionID))
               message.setField(fix.Username("chris"))
               message.setField(fix.Password("tradermade"))
           return

      def fromAdmin(self, sessionID, message):
           print("fromAdmin: %s" % message.toString())

           return

      def toApp(self, sessionID, message):
           print("ToApp: %s" % message.toString())
           return

      def fromApp(self, message, sessionID):
           print(" FromApp: %s " + str(message))
           symbol = message.getField(fix.Symbol().getField())
           print(symbol)
           # bid = message.getField(fix.BidPx().getField())
           # ask = message.getField(fix.OfferPx().getField())
           #
           # print(symbol + " " + bid + " " + ask )
           return


      def genOrderID(self):
          self.orderID = self.orderID+1
          return self.orderID


      def genExecID(self):
          self.execID = self.execID+1
          return self.execID

      def requestQuote(self):
           print("Creating the following order: ")
           message = fix.Message()
           header = message.getHeader();
           header.setField(fix.MsgType("R"))
           message.setField(55, 'CCCCCC')  # 55=SMBL ?
           fix.Session.sendToTarget(message, self.sessionID)


def main(config_file):
    try:
         settings = fix.SessionSettings( config_file )




         application = Application()
         storeFactory = fix.FileStoreFactory( settings )
         logFactory = fix.FileLogFactory( settings )
         initiator = fix.SocketInitiator( application, storeFactory, settings, logFactory )

         initiator.start()

         while 1:
             input1 = input(" Input \n")
             if input1 == 'q':
                 print("Request Quote")
                 application.requestQuote()
             if input1 == '2':
                 sys.exit(0)
             if input1 == 'd':
                 import pdb
                 pdb.set_trace()
             else:
                 print("Valid input is 1 for order, 2 for exit")
                 continue

    except fix.ConfigError as e:
         print(e)

if __name__=='__main__':
    parser = argparse.ArgumentParser(description='FIX Client')
    parser.add_argument('-c', '--configfile', default="clientLocal.cfg",help='file to read the config from')
    args = parser.parse_args()
    main(args.configfile)



              
          

Below is the Client Configuration code into this you will need to insert your SocketConnectionHost, SocketConnectionPort, SenderCompID, TargetCompID, Username and Password you can also set RefreshOnLogin you will be given this information.

              

# This is a client (initiator)

[DEFAULT]
FileStorePath=./session/
ConnectionType=initiator
StartTime=00:01:00
EndTime=23:59:00
HeartBtInt=30
UseDataDictionary=Y
DataDictionary=FIX44.xml
ValidateUserDefinedFields=N
ValidateIncomingMessage=Y
RefreshOnLogon=Y
FileLogPath=./Logs
SSL_PROTOCOL = all
#ClientCertificateFile=keystore/tradermade.pem


[SESSION]
BeginString=FIX.4.4
SocketConnectHost=193.35.157.112
SocketConnectPort=9883
SenderCompID=SENDER_COMP_ID
TargetCompID=TARGET_COMP_ID

[LOGGING]

ScreenLogEvents=N
ScreenLogShowIncoming=N
ScreenLogShowOutgoing=N
ScreenLogShowHeartBeats=N

[ACCOUNT]
Username=USERNAME
Password=PASSWORD


          

Add the following code into you <dependencies> section in our pom.xml this will download the libraries from the Maven repository.

Once you have this project setup you should be able run "python client.py" and you should see financal data.

                  
import ch.qos.logback.classic.Level;
import quickfix.*;
import quickfix.field.*;
import quickfix.fix44.QuoteRequest;
import java.io.FileInputStream;
import java.io.IOException;
import java.util.Properties;
import java.util.StringTokenizer;

public ClientApplication implements Application {


 private String username;
 private String password;
 private String symbols;

 private static volatile SessionID  sessionID;


 public void onCreate(SessionID sessionID) {
     System.out.println("OnCreate");
 }


 public void onLogon(SessionID sessionID) {
     System.out.println("OnLogon");
     ClientApplication.sessionID = sessionID;
     Session s = Session.lookupSession(sessionID);
     StringTokenizer symbolsTokens = new StringTokenizer(symbols, " ");
     while(symbolsTokens.hasMoreTokens()){
         QuoteRequest qr = new QuoteRequest();
         qr.setString(Symbol.FIELD, symbolsTokens.nextToken());
         s.send(qr);
     }
 }


 public void onLogout(SessionID sessionID) {
     System.out.println("OnLogout");
 }

 public void toAdmin(Message message, SessionID sessionID) {
     System.out.println("ToAdmin");
     if (message instanceof quickfix.fix44.Logon) {
         try {
             System.out.println(" Login " + username + " " + password);
             message.setString(quickfix.field.Username.FIELD, username);
             message.setString(quickfix.field.Password.FIELD, password);
             System.out.println(" Logon " + message.toString());
         }
         catch (Exception ex) {
             throw new RuntimeException();
         }
     }else if (message instanceof quickfix.fix44.QuoteRequest) {
         System.out.println(" Sent Quote Request ");
     }
 }

 public void fromAdmin(Message message, SessionID sessionID) throws FieldNotFound, IncorrectDataFormat, IncorrectTagValue, RejectLogon {
     System.out.println("FromAdmin");
 }

 public void toApp(Message message, SessionID sessionID) throws DoNotSend {
     System.out.println("ToApp: " + message);
 }

 public void fromApp(Message message, SessionID sessionID) {
     try {
         String symbol = message.getString(Symbol.FIELD);
             System.out.println(" FromApp " + message);
             message.getString(TransactTime.FIELD);
             double bid = message.getDouble(BidPx.FIELD);
             double ask = message.getDouble(OfferPx.FIELD);
     } catch (FieldNotFound fieldNotFound) {
         fieldNotFound.printStackTrace();
     }
 }


 public ClientApplication(String configFile) {
     try {
         System.out.println(" Config File " + configFile);
         Properties props  = new Properties();
         try {
             props.load(new FileInputStream(configFile));
         } catch (IOException e) {
             e.printStackTrace();
         }
         username = props.getProperty("Username");
         password = props.getProperty("Password");
         symbols = props.getProperty("Symbols");
         System.out.println(" FIX Port " + props.getProperty("SocketConnectPort"));
         System.out.println(" FIX IP " + props.getProperty("SocketConnectHost"));
         System.out.println(" Username " + username + " Password " + password);
         SessionSettings settings = new SessionSettings(configFile);
         MessageStoreFactory messageStoreFactory = new FileStoreFactory(settings);
         LogFactory logFactory = new FileLogFactory(settings);
         MessageFactory messageFactory = new DefaultMessageFactory();
         Initiator initiator = new SocketInitiator(this, messageStoreFactory, settings, logFactory, messageFactory);
         initiator.start();

         String serverIp = props.getProperty("SocketConnectHost");
         String serverPort = props.getProperty("SocketConnectPort");
         System.out.println(" Data Server IP " + serverIp);
         System.out.println(" Data Server Port " + serverPort);
         ch.qos.logback.classic.Logger root = (ch.qos.logback.classic.Logger)
                      org.slf4j.LoggerFactory.getLogger(ch.qos.logback.classic.Logger.ROOT_LOGGER_NAME);
         root.setLevel(Level.OFF);
//            root.setLevel(Level.DEBUG);

         while (sessionID == null) {
             Thread.sleep(1000);
         }

         Runtime.getRuntime().addShutdownHook(new Thread(new Runnable() {
             public void run() {
                 System.out.print("Logout");
                 Session.lookupSession(sessionID).logout();
             }
         }));
     }catch (Exception e){
         e.printStackTrace();
     }

 }

 public static void main(String[] args){
     String configFile = args[0];
     new ClientApplication(configFile);
 }
}



                  
              

Below is the Client Configuration code into this you will need to insert your SocketConnectionHost, SocketConnectionPort, SenderCompID, TargetCompID, Username and Password you can also set RefreshOnLogin you will be given this information.

                  

[default]
ApplicationID=client2
FileStorePath=messagestore/messages/
ConnectionType=initiator
StartTime=00:01:00
EndTime=23:59:00
HeartBtInt=30
UseDataDictionary=Y
DataDictionary=FIX44.xml
ValidateUserDefinedFields=N
ValidateIncomingMessage=N
RefreshOnLogon=Y

[session]
BeginString=FIX.4.4
SocketConnectHost=SOCKET_CONNECTION_HOST
SocketConnectPort=SOCKET_CONNECTION_PORT
SenderCompID=SENDER_COMP_ID
TargetCompID=CLIENT_COMP_ID
​
[SSL]

#SocketUseSSL=Y
#SocketKeyStore=KEYSTORE_NAME
#SocketKeyStorePassword=KEYSTORE_PASSWORD

[Logging]
FileLogPath=log
ScreenLogEvents=N
ScreenLogShowIncoming=N
ScreenLogShowOutgoing=N
ScreenLogShowHeartBeats=N

[Account]
Username=USERNAME
Password=PASSWORD

Symbols=EURUSD
#Symbols=USDCAD USDCZK USDDKK USDHUF USDILS USDNOK USDPLN USDSGD USDTHB

    
              

Add the following code into your <dependencies> section in our pom.xml this will download the libraries from the Maven repository.

                  
<dependency>
  <groupId>org.quickfixj</groupId>
  <artifactId>quickfixj-core</artifactId>
  <version>2.1.1</version>
</dependency>

<dependency>
  <groupId>org.quickfixj</groupId>
  <artifactId>quickfixj-messages-fix44</artifactId>
  <version>2.1.1</version>
</dependency>

<dependency>
  <groupId>ch.qos.logback</groupId>
  <artifactId>logback-classic</artifactId>
  <version>0.9.24</version>
</dependency>

    
              

Once you have the code setup you can run the program you will need to pass the location of the config file as a parameter and you should see live price data in the console.