WTF(ix)

<pre><code class="lang-python">PIPELINE_APPS = [ &quot;wtfix.apps.utils.PipelineTerminationApp&quot;, # Post-processing / cleanup &quot;my_app.apps.SecretAlgoTradingRecipe&quot;, # &lt;-- Your application logic &quot;wtfix.apps.api.RESTfulServiceApp&quot;, # REST API for sending messages &quot;wtfix.apps.brokers.RedisPubSubApp&quot;, # Redis Pub/Sub broker for sending / receiving messages &quot;wtfix.apps.admin.HeartbeatApp&quot;, # Heartbeat monitoring and maintenance &quot;wtfix.apps.admin.AuthenticationApp&quot;, # Login / logout handling &quot;wtfix.apps.admin.SeqNumManagerApp&quot;, # Message gap detection and filling &quot;wtfix.apps.store.MessageStoreApp&quot;, # Store messages (caching or persistence) &quot;wtfix.apps.utils.InboundLoggingApp&quot;, # Log inbound messages &quot;wtfix.apps.parsers.RawMessageParserApp&quot;, # Message parsing: Logon (A): {BeginString (8): FIX.4.4 | BodyLength (9): 99 | MsgType (35): A | MsgSeqNum (34): 1 | SenderCompID (49): SENDER | SendingTime (52): 20190305-08:45:45.979 | TargetCompID (56): TARGET | EncryptMethod (98): 0 | HeartBtInt (108): 30 | Username (553): USERNAME | Password (554): PASSWORD | ResetSeqNumFlag (141): Y | CheckSum (10): 94} &quot;wtfix.apps.utils.OutboundLoggingApp&quot;, # Log outbound messages &quot;wtfix.apps.wire.WireCommsApp&quot;, # Raw message encoding / decoding: b&#39;8=FIX.4.4\x019=99\x0135=A\x0134=1\x0149=SENDER\x0152=20190305-08:42:32.793\x0156=TARGET\x0198=0\x01108=30\x01553=USERNAME\x01554=PASSWORD\x01141=Y\x0110=081\x01&#39; &quot;wtfix.apps.sessions.ClientSessionApp&quot;, # HTTP session management ]</code></pre>

• Messages can be cached in memory or saved to a Redis message store for later retrieval. Alternatively you can add

• Send messages directly from the pipeline, via 3rd party applications using a REST API, or by publishing them to

logger = settings.logger

class SecretAlgoTradingRecipe(MessageTypeHandlerApp):

@on(context.protocol.MsgType.Logon) # Only invoked when &#39;Logon (type A)&#39; messages are received. def on_logon(self, message): self.sendsecuritydefinition_request() return message

def on_receive(self, message): # Invoked for every type of message. logger.info(f&quot;Received message {message}!&quot;)</code></pre>

• A simple message tag syntax, with various convenience methods, for quick access to commonly

<pre><code class="lang-python">&gt;&gt;&gt; from wtfix.message import admin

# Instantiate a new &#39;Logon&#39; message &gt;&gt;&gt; logonmsg = admin.LogonMessage(&quot;myusername&quot;, &quot;mypassword&quot;, heartbeatint=30)

# Short, concise string representation &gt;&gt;&gt; str(logon_msg) &#39;A: {(35, A) | (98, 0) | (108, 30) | (553, myusername) | (554, mypassword)}&#39;

# Pretty print tag names by using the &#39;t&#39; formatting option &gt;&gt;&gt; f&quot;{logon_msg:t}&quot; &#39;Logon (A): {MsgType (35): A | EncryptMethod (98): 0 | HeartBtInt (108): 30 | Username (553): myusername | Password (554): mypassword}&#39;

# Example of getting the message type &gt;&gt;&gt; logon_msg.type &#39;A&#39;

# Example of getting the message type name &gt;&gt;&gt; logon_msg.name &#39;Logon&#39;

# Look up the sequence number &gt;&gt;&gt; logonmsg.seqnum 1

# Various ways for accessing the different fields that make up the message. Fields are just # (tag, value) namedtuples. &gt;&gt;&gt; logon_msg[108] # Using old school tag number Field(108, &#39;30&#39;)

&gt;&gt;&gt; logon_msg[context.protocol.Tag.HeartBtInt] # Using the tag name as per the FIX specification Field(108, &#39;30&#39;)

&gt;&gt;&gt; logon_msg.HeartBtInt # Using tag name shortcut Field(108, &#39;30&#39;)</code></pre>

• A pragmatic unicode sandwich based approach to encoding / decoding

<pre><code class="lang-python">from wtfix.message.field import Field from wtfix.message.message import genericmessagefactory

# Create a new Message from a byte sequence received over the wire &gt;&gt;&gt; fields = Field.fieldsfrombytes(b&quot;35=A\x0198=0\x01108=30\x01553=myusername\x01554=my_password\x01&quot;) &gt;&gt;&gt; logonmsg = genericmessage_factory(*fields)

&gt;&gt;&gt; str(logon_msg) &#39;A: {(35, A) | (98, 0) | (108, 30) | (553, myusername) | (554, mypassword)}&#39;

# Fields are tuples of (tag, value) pairs &gt;&gt;&gt; username = logon_msg.Username

&gt;&gt;&gt; username.tag 553

&gt;&gt;&gt; username.value &quot;my_username&quot;

# Fields behave just like Python&#39;s built-in types, and most operations can be performed directly # on a field&#39;s &#39;value&#39; attribute. &gt;&gt;&gt; username += &quot;_123&quot; &gt;&gt;&gt; username Field(553, &#39;myusername123&#39;)</code></pre>

• It is easy to add Fields to a Message: simply assign the tag value:

# Most FIX field types can be cast to equivalent Python built-in types to make processing easier &gt;&gt;&gt; bool(logon_msg.PossDupFlag) is True True</code></pre>

• A very forgiving approach to parsing repeating groups of message tags; with or without pre-defined templates:

# If you provide a group template, then messages are stored in an &#39;OrderedDict&#39; for fast lookups &gt;&gt;&gt; msg = genericmessagefactory((Tag.MsgType, MsgType.ExecutionReport), (Tag.NoMiscFees, 2), (Tag.MiscFeeAmt, 10.00), (Tag.MiscFeeType, 2), (Tag.MiscFeeAmt, 20.00), (Tag.MiscFeeType, &quot;A&quot;), group_templates={Tag.NoMiscFees: [Tag.MiscFeeAmt, Tag.MiscFeeType,]}) &gt;&gt;&gt; msg.data OrderedDict([(35, Field(35, &#39;8&#39;)), (136, Group(Field(136, &#39;2&#39;), Field(137, &#39;10.0&#39;), Field(139, &#39;2&#39;), Field(137, &#39;20.0&#39;), Field(139, &#39;A&#39;)))])

# Get &#39;NoMiscFees&#39; group &gt;&gt;&gt; group = msg.NoMiscFees &gt;&gt;&gt; f&quot;{group:t}&quot; &#39;[NoMiscFees (136): 2] | [MiscFeeAmt (137): 10.0 | MiscFeeType (139): 2] | [MiscFeeAmt (137): 20.0 | MiscFeeType (139): A]&#39;

# Determine the number of instances in the group &gt;&gt;&gt; group.size 2

# Retrieve the second group instance &gt;&gt;&gt; group.instances[1] FieldList(Field(137, &#39;20.0&#39;), Field(139, &#39;A&#39;))

# Without a pre-defined group template, WTFIX falls back to using a (slightly slower) list structure for representing message fields internally &gt;&gt;&gt; msg = genericmessagefactory((Tag.MsgType, MsgType.ExecutionReport), (Tag.NoMiscFees, 2), (Tag.MiscFeeAmt, 10.00), (Tag.MiscFeeType, 2), (Tag.MiscFeeAmt, 20.00), (Tag.MiscFeeType, &quot;A&quot;)) &gt;&gt;&gt; msg.data [Field(35, &#39;8&#39;), Field(136, &#39;2&#39;), Field(137, &#39;10.0&#39;), Field(139, &#39;2&#39;), Field(137, &#39;20.0&#39;), Field(139, &#39;A&#39;)]</code></pre>

Getting Started

HOST= # Required. The FIX server hostname or IP address PORT= # Required. The port on the FIX server to connect to

SENDER= # Required. SENDERCOMPID (tag 49). TARGETD= # Required. TARGETCOMPID (tag 56).

USERNAME= # Required. Username to use for Logon messages (tag 553). PASSWORD= # Required. Password to use for logon messages (tag 554).

PYTHONASYNCIODEBUG=0 # Set to &#39;1&#39; for detailed debugging messages.</code></pre>

Project Resources

• Deploying
• Changelog
• Release procedures

Need More?

WTF(ix) is open source, free, and fully functional. However if you are a corporate intending to make use of WTF(ix) commercially, then you may need more support and assurance than can be offered by the community here.

Commercial support is available - get in touch if you need help with:

• Getting started and development best practices
• Integrating WTF(ix) with the exchange of your choice (FIX, websocket stream, or REST API)
• Sample code (including persisting messages and off-loading tasks to background processing libraries)
• Code reviews
• Running unmonitored instances in production
• Problem investigation and identification

Inspired By