wtfix 0.1.0

The Pythonic Financial Information eXchange client for humans.

WTFIX

The Pythonic Financial Information eXchange client for humans.

Project Highlights

• Pure Python3.

• Batteries included - everything you need to connect to a FIX server and start sending and receiving messages in minutes.

  • Authentication
  • Maintaining a heartbeat
  • Sequence number management and resend requests

• Fast, easy to understand message processing pipeline based on a modern async and await implementation.

• Easily extendable architecture - modular 'apps' can be added to the pipeline stack to add new application logic.

  PIPELINE_APPS = [
      "my_app.apps.SecretAlgoTradingRecipe",     # <-- Your application logic
      "wtfix.apps.admin.HeartbeatApp",           # Heartbeat monitoring and maintenance
      "wtfix.apps.admin.AuthenticationApp",      # Login / logout handling
      "wtfix.apps.admin.SeqNumManagerApp",       # Message gap detection and filling
      "wtfix.apps.parsers.RawMessageParserApp",  # 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}
      "wtfix.apps.wire.WireCommsApp",            # Raw message encoding / decoding: b'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'
      "wtfix.apps.sessions.ClientSessionApp",    # HTTP session management
  ]
  

• Convenient message hooks for adding new apps to the message processing pipeline:

  from wtfix.apps.base import MessageTypeHandlerApp, on
  from wtfix.protocol.common import MsgType
  from wtfix.conf import logger
  
  class SecretAlgoTradingRecipe(MessageTypeHandlerApp):
  
      @on(MsgType.Logon)  # Only invokved when 'Logon (type A)' messages are received.
      def on_logon(self, message):
          self.send_security_definition_request()
          return message
  
      def on_receive(self, message):  # Invoked for every type of message
        logger.info(f"Received message {message}!")
  

• A Message tag syntax with convenience methods that are kind to humans. Example Logon message:

  >>> from wtfix.message import admin
  >>> from wtfix.protocol.common import Tag
  
  >>> logon_msg = admin.LogonMessage("my_username", "my_password", heartbeat_int=b"30")
  
  # Determining the message type
  >>> logon_msg.type
  'A'
  
  >>> logon_msg.name
  'Logon'
  
  >>> logon_msg.seq_num
  1
  
  # Various ways for accessing message tags
  >>> logon_msg[108]  # Using old school tag number
  (108, b"30")
  
  >>> logon_msg[Tag.HeartBtInt]  # Using Tag name as per FIX specification
  (108, b"30")
  
  >>> logon_msg.HeartBtInt  # Using shortcut approach
  (108, b"30")
  

• A unicode sandwich based approach means that you do not need to deal with bytestrings...

  # Duck typing for doing tag value comparisons
  >>> logon_msg.HeartBtInt == 30
  True
  
  >>> logon_msg.HeartBtInt == "30"
  True
  
  >>> logon_msg.HeartBtInt == b"30"
  True
  

• ...unless you want to:

  # Accessing the underlying byte string
  >>> logon_msg.HeartBtInt.value_ref.value
  b'30'
  
  >>> logon_msg.raw
  b'35=A\x0198=0\x01108=30\x01553=my_username\x01554=my_password\x01'
  

• ...with on the fly type conversions:

  >>> logon_msg.HeartBtInt.as_str
  '30'
  >>> logon_msg.HeartBtInt.as_int
  30
  

• A very forgiving approach to repeating groups of message tags:

  from wtfix.message.message import generic_message_factory
  
  # If you provide a group template, then messages are stored in a more efficient 'OrderedDict'
  >>> msg = generic_message_factory((1, "a"), (2, 2), (3, "1st_group_tag3"), (4, "1st_group_tag_4"), (3, "2nd_group_tag3"), (4, "2nd_group_tag_4"), group_templates={2: [3, 4,]})
  >>> msg_.fields
  OrderedDict([(1, (1, a)), (2, [(2, 2)]:[(3, 1st_group_tag3), (4, 1st_group_tag_4)], [(3, 2nd_group_tag3), (4, 2nd_group_tag_4)])])
  
  # ...providing fast group and group instance lookups:
  >>> group = msg.get_group(2)
  # Determine the number of instances in the group
  >>> group.size
  2
  
  # Retrive the second group instance
  >>> group.instances[1]
  [(3, 2nd_group_tag3), (4, 2nd_group_tag_4)]
  
  # Without a pre-defined group template we fall back to using a (slightly slower) list structure for representing message fields internally
  >>> msg = generic_message_factory((1, "a"), (2, 2), (3, "1st_group_tag3"), (4, "1st_group_tag_4"), (3, "2nd_group_tag3"), (4, "2nd_group_tag_4"))
  >>> msg_.fields
  [(1, a), (2, 2), (3, 1st_group_tag3), (4, 1st_group_tag_4), (3, 2nd_group_tag3), (4, 2nd_group_tag_4)]
  

Project Resources

• Changelog
• Release procedures

Inspired By

• slowbreak's message processing pipeline and @on decorator
• simplefix's approach to raw message processing