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https://github.com/rob-blackbourn/jetblack-fixparser
A parser for FIX messages
https://github.com/rob-blackbourn/jetblack-fixparser
fix fix-parser parser python python3
Last synced: about 1 month ago
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A parser for FIX messages
- Host: GitHub
- URL: https://github.com/rob-blackbourn/jetblack-fixparser
- Owner: rob-blackbourn
- License: apache-2.0
- Created: 2020-08-16T08:16:48.000Z (over 4 years ago)
- Default Branch: master
- Last Pushed: 2023-04-02T11:28:51.000Z (over 1 year ago)
- Last Synced: 2024-10-01T19:16:56.581Z (about 2 months ago)
- Topics: fix, fix-parser, parser, python, python3
- Language: Python
- Homepage: https://rob-blackbourn.github.io/jetblack-fixparser/
- Size: 828 KB
- Stars: 1
- Watchers: 2
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# jetblack-fixparser
A parser for FIX messages.
## Installation
The package can be installed with `pip`.
```bash
pip install jetblack-fixparser
```
## Protocol Files
While FIX is a standard, the structure of the fields and messages is configurable.
This configuration is typically loaded from a file. The source repository
contains a number of such files in the `/etc` folder in `YAML` format. There is
also a *QuickFix* loader.
The YAML format makes use of defaults. All message fields default to type `field`,
so only `group` and `component` fields need to be explicitly specified. Also all
message fields are consider optional, non-optional fields must be marked as
`required: true`.
## Usage
### Decoding
To decode a FIX bytes buffer -
```python
from jetblack_fixparser import load_yaml_protocol, FixMessage
buffer = b'8=FIX.4.4|9=94|35=3|49=A|56=AB|128=B1|34=214|50=U1|52=20100304-09:42:23.130|45=176|371=15|372=X|373=1|58=txt|10=058|',
protocol = load_yaml_protocol(
'FIX44.yaml',
is_millisecond_time=True,
is_float_decimal=True
)
fix_message = FixMessage.decode(
protocol,
buffer,
sep=b'|',
strict=True,
validate=True,
convert_sep_for_checksum=True
)
print(fix_message.message)
```
Note that strict validation is enabled. This ensures all required fields are
specified. Also the separator is changed from `NULL` to `|` to so they can be
displayed. However the checksum was calculated with the original field separator
so the `convert_sep_for_checksum` is set to `true`.
### Encoding
To encode a dictionary describing a FIX message -
```python
from datetime import datetime, timezone
from jetblack_fixparser import load_yaml_protocol, FixMessage
protocol = load_yaml_protocol(
'FIX44.yaml',
is_millisecond_time=True,
is_float_decimal=True,
is_type_enum=None
)
sending_time = datetime(2020, 1, 1, 12, 30, 0, tzinfo=timezone.utc)
fix_message = FixMessage(
protocol,
{
'MsgType': 'LOGON',
'MsgSeqNum': 42,
'SenderCompID': "SENDER",
'TargetCompID': "TARGET",
'SendingTime': sending_time,
'EncryptMethod': "NONE",
'HeartBtInt': 30
}
)
buffer = fix_message.encode(regenerate_integrity=True)
print(buffer)
```
Note that the `BeginString`, `BodyLength` and `Checksum` fields were automatically
generated.
### Factories
To encode and decode a message using a factory -
```python
from datetime import datetime, timezone
from jetblack_fixparser import load_yaml_protocol, FixMessage, FixMessageFactory
protocol = load_yaml_protocol(
'FIX44.yaml',
is_millisecond_time=True,
is_float_decimal=True,
is_type_enum=None
)
factory = FixMessageFactory(protocol, "SENDER", "TARGET")
sending_time = datetime(2020, 1, 1, 12, 30, 0, tzinfo=timezone.utc)
fix_messages = factory.create(
'LOGON',
42,
sending_time,
{
'EncryptMethod': "NONE",
'HeartBtInt': 30
}
)
buffer = fix_message.encode(regenerate_integrity=True)
roundtrip = FixMessage.decode(protocol, buffer)
assert fix_message.message == roundtrip.message
```
Because the sender and target remain the same, we can simplify message generation
with the factory.