https://github.com/rob-blackbourn/jetblack-fixengine
An asyncio fix engine
https://github.com/rob-blackbourn/jetblack-fixengine
asyncio fix fix-engine fixprotocol python python3
Last synced: 2 months ago
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An asyncio fix engine
- Host: GitHub
- URL: https://github.com/rob-blackbourn/jetblack-fixengine
- Owner: rob-blackbourn
- License: apache-2.0
- Created: 2019-02-11T18:39:13.000Z (over 6 years ago)
- Default Branch: master
- Last Pushed: 2023-04-07T06:43:40.000Z (about 2 years ago)
- Last Synced: 2025-03-04T11:47:00.625Z (3 months ago)
- Topics: asyncio, fix, fix-engine, fixprotocol, python, python3
- Language: Python
- Homepage:
- Size: 163 KB
- Stars: 1
- Watchers: 2
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# jetblack-fixengine
A pure python asyncio FIX engine.
## Status
This is work in progress.
## Installation
The package can be installed from the pie store.
```bash
pip install jetblack-fixengine
```
## Overview
This project provides a pure Python, asyncio implementation of
a FIX engine, supporting both initiators and acceptors.
The engines use the
[jetblack-fixparser](https://github.com/rob-blackbourn/jetblack-fixparser)
package to pass the FIX messages as plain Python objects. For example, a
`LOGON` message could be sent as follows:
```python
await send_message(
'LOGON',
{
'EncryptMethod': "NONE",
'HeartBtInt': 30
}
)
```
The `send_message` function adds the header fields for the session. The
received message might look as follows:
```python
{
'MsgType': 'LOGON',
'MsgSeqNum': 42,
'SenderCompID': 'ME',
'TargetCompID': 'BANK OF SOMEWHERE',
'SendingTime': datetime(2000, 1, 1, 12, 35, 15, 734, timezone.utc),
'EncryptMethod': "NONE",
'HeartBtInt': 30
}
```
### FIX Protocols
The FIX protocol consists of *admin* and *application* messages. The
admin messages are used for authentication and maintaining the session,
and are generally of a well known structure. While the application messages
are in the standard, they are often customized to include information not
specified in the standard.
Because of this the protocols are provided by config files. Historically
`XML` was used. While this is supported, `yaml` is preferred and some
examples are provided in the
[etc](https://github.com/rob-blackbourn/jetblack-fixengine/tree/master/etc)
folder.
Currently supported versions are 4.0, 4.1, 4.2, 4.3, 4.4.
### Initiators
An initiator is a class which inherits from `FIXApplication`, and implements a
few methods, and has access to `send_message` from the `fix_engine`. Here is an example.
```python
import asyncio
import logging
from pathlib import Path
from typing import Mapping, Any
from jetblack_fixparser import load_yaml_protocol
from jetblack_fixengine import (
FileStore,
start_initiator,
InitiatorConfig,
FIXApplication,
FIXEngine
)
LOGGER = logging.getLogger(__name__)
class MyInitiator(FIXApplication):
"""An instance of the initiator"""
async def on_logon(
self,
message: Mapping[str, Any],
fix_engine: FIXEngine
) -> None:
LOGGER.info(
'on_logon[%s] %s/%s',
message['MsgSeqNum'],
message['SenderCompID'],
message['TargetCompID'],
)
async def on_logout(
self,
_message: Mapping[str, Any],
fix_engine: FIXEngine
) -> None:
LOGGER.info('on_logout')
async def on_application_message(
self,
_message: Mapping[str, Any],
fix_engine: FIXEngine
) -> None:
LOGGER.info('on_application_message')
app = MyInitiator()
config = InitiatorConfig(
'127.0.0.1',
9801,
load_yaml_protocol(Path('etc') / 'FIX44.yaml'),
'INITIATOR1',
'ACCEPTOR',
FileStore(Path('store'))
)
logging.basicConfig(level=logging.DEBUG)
asyncio.run(
start_initiator(app, config)
)
```
### Acceptor
The acceptor works in the same way as the initiator. Here is an example:
```python
import asyncio
import logging
from pathlib import Path
from typing import Mapping, Any
from jetblack_fixparser import load_yaml_protocol
from jetblack_fixengine import (
FileStore,
start_acceptor,
AcceptorConfig,
FIXApplication,
FIXEngine
)
LOGGER = logging.getLogger(__name__)
class MyAcceptor(FIXApplication):
"""An instance of the acceptor"""
async def on_logon(
self,
_message: Mapping[str, Any],
_fix_engine: FIXEngine
) -> None:
LOGGER.info('on_logon')
async def on_logout(
self,
_message: Mapping[str, Any],
_fix_engine: FIXEngine
) -> None:
LOGGER.info('on_logout')
async def on_application_message(
self,
_message: Mapping[str, Any],
_fix_engine: FIXEngine
) -> None:
LOGGER.info('on_application_message')
logging.basicConfig(level=logging.DEBUG)
app = MyAcceptor()
config = AcceptorConfig(
'0.0.0.0',
9801,
load_yaml_protocol(Path('etc') / 'FIX44.yaml'),
'ACCEPTOR',
'INITIATOR1',
FileStore(Path("store"))
)
asyncio.run(
start_acceptor(
app,
config
)
)
```
Note that throwing the exception `LogonError` from `on_logon` will reject
the logon request.
### Stores
The engines need to store their state. Two stores are currently provided:
a file store (`FileStore`) and sqlite (`SqlStore`).
## Implementation
The engines are implemented as state machines. This means they can be
tested without the need for IO.