jetblack-fixparser

A parser for FIX messages.

Installation

The package can be installed with pip.

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 -

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 -

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 -

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.