server.py

from __future__ import annotations
import typing as t # noqa
import click, time
import quickfix as fix
import logger

from spec import fix43

class Application(fix.Application): # type: ignore
    def __init__(self) -> None:
        super().__init__()
        self.__id: int = 0
        self.__oid: int = 0

    @property
    def id(self) -> str:
        self.__id += 1
        return str(self.__id).zfill(5)

    @property
    def oid(self) -> str:
        self.__oid += 1
        return str(self.__oid).zfill(5)

    def onCreate(self, sessionID: fix.SessionID) -> None:
        logger.info(f"{sessionID}")

    def onLogon(self, sessionID: fix.SessionID) -> None:
        logger.info(f"{sessionID}")

    def onLogout(self, sessionID: fix.SessionID) -> None:
        logger.info(f"{sessionID}")

    def toAdmin(self, message: fix.Message, sessionID: fix.SessionID) -> None:
        logger.debug(f"{sessionID}: {message}")

    def fromAdmin(self, message: fix.Message, sessionID: fix.SessionID) -> None:
        BeginString = fix.BeginString()
        message.getHeader().getField(BeginString)
        BeginString = BeginString.getString()

        if BeginString == fix43.BeginString:
            fix43.crack(self, message, self.on_Message, sessionID)
        else:
            logger.error(f"unrecognized BeginString: {BeginString}")

        logger.info(f"{sessionID}: {message}")

    def toApp(self, message: fix.Message, sessionID: fix.SessionID) -> None:
        logger.debug(f"{sessionID}: {message}")

    def fromApp(self, message: fix.Message, sessionID: fix.SessionID) -> None:
        BeginString = fix.BeginString()
        message.getHeader().getField(BeginString)
        BeginString = BeginString.getString()

        if BeginString == fix43.BeginString:
            fix43.crack(self, message, self.on_Message, sessionID)
        else:
            logger.error(f"unrecognized BeginString: {BeginString}")

        logger.info(f"{sessionID} -> {message}")

    ####################################################################
    def on_Message(self, message: fix.Message, sessionID: fix.SessionID) -> None:
        logger.info(f"unhandled message: `{message}`")

    def on_NewOrderSingle(self, message: fix43.NewOrderSingle, sessionID: fix.SessionID) -> None:
        logger.info(f"Got new order: {message}")
        assert message.order_qty is not None
        assert message.price is not None
        if message.ord_type != fix43.OrdType.LIMIT:
            raise fix.IncorrectTagValue(message.ord_type)
        else:
            pass

        exec_report = fix43.ExecutionReport(
            order_id = self.oid,
            exec_id = self.id,
            ord_status = fix43.OrdStatus.FILLED,
            symbol = message.symbol,
            side = message.side,
            cum_qty = message.order_qty,
            avg_px = message.price,
            # LastShares = message.OrderQty, # fix43 does not have this field
            last_px = message.price,
            cl_ord_id = message.cl_ord_id,
            order_qty = message.order_qty,
            # ExecTransType = fix.ExecTransType_NEW, # fix43 does not have this field
            exec_type = fix43.ExecType.FILL,
            leaves_qty = 0,
        )

        try:
            fix.Session.sendToTarget(exec_report.to_raw(), sessionID)
        except fix.SessionNotFound:
            pass

@click.command()
@click.option("-c", "--cfg", type=str, help="name of configuration file", default="server.cfg")
def main(cfg: str) -> None:
    config = fix.SessionSettings(cfg)
    store = fix.FileStoreFactory(config)
    log = fix.FileLogFactory(config)
    app = Application()
    acceptor = fix.SocketAcceptor(app, store, config, log)

    acceptor.start()

    time.sleep(3)
    while True:
        time.sleep(1)

    acceptor.stop()

if __name__ == "__main__":
    import logging
    logger.setup(logging.INFO)
    main()