module protocol.order_single

Generic FIX Order single module.

Global Variables

  • nan

class FIXNewOrderSingle

Generic FIXNewOrderSingle wrapper.

Attributes:

  • clord_id: current order ClOrdID
  • orig_clord_id: order OrigClOrdID (when canceling / replacing)
  • order_id: executed order id
  • ticker: user order ticker
  • side: order side
  • price: order price
  • qty: order quantity
  • leaves_qty: order remaining qty
  • cum_qty: order filled qty
  • avg_px: average fill price
  • ord_type: order type
  • account: order account
  • status: current order status
  • target_price: order target execution price

method __init__

__init__(
    clord_id: str,
    cl_ticker: str,
    side: FOrdSide | str,
    price: float,
    qty: float,
    ord_type: FOrdType | str = <FOrdType.LIMIT: '2'>,
    account: str | dict = '000000',
    target_price: float | None = None
)

Initialize order.

Args:

  • clord_id: root ClOrdID
  • cl_ticker: client ticker (can by any accepted by user's OMS)
  • side: order side
  • price: order initial price (current price, changes if replaced)
  • qty: order quantity
  • ord_type: order type
  • account: order account (optional)
  • target_price: order initial target execution price (useful for slippage)

property clord_id_root

Current order ClOrdID root.

method can_cancel

can_cancel() → bool

Check if order can be canceled from its current state.

method can_replace

can_replace() → bool

Check if order can be replaced from its current state.

method cancel_req

cancel_req() → FIXMessage

Creates order cancel request.

Raises:

  • FIXError: if order can't be canceled

method change_status

change_status(
    status: FOrdStatus,
    fix_msg_type: FMsg,
    msg_exec_type: FExecType,
    msg_status: FOrdStatus,
    raise_on_err: bool = True
) → FOrdStatus | None

FIX Order State transition algo.

:param status: current order status :param fix_msg_type: incoming/or requesting order type, these are supported: '8' - execution report, '9' - Order Cancel reject, 'F' - Order cancel request (if possible to cancel current order) 'G' - Order replace request (if possible to replace current order) :param msg_exec_type: (only for execution report), for other should be 0 :param msg_status: new fix msg order status, or required status :return: FOrdStatus if state transition is possible, None - if transition is valid, but need to wait for a good state raises FIXError - when transition is invalid

method clord_next

clord_next() → str

New ClOrdID for current order management.

method clord_root

clord_root(clord_id: str) → str

Order ClOrdID root, as given at initialization.

Args:

  • clord_id: current order one of the clord_next()

Returns: string

method current_datetime

current_datetime()

Date for TransactTime field.

method is_finished

is_finished() → bool

Check if order is in terminal state (no subsequent changes expected).

method new_req

new_req() → FIXMessage

Creates NewOrderSingle message.

method process_cancel_rej_report

process_cancel_rej_report(m: FIXMessage) → bool

Processes incoming cancel reject report message.

method process_execution_report

process_execution_report(m: FIXMessage) → bool

Processes incoming execution report for an order.

Raises:

  • FIXError: if ClOrdID mismatch

method replace_req

replace_req(price: float = nan, qty: float = nan) → FIXMessage

Creates order replace request.

Args:

  • price: alternative price
  • qty: alternative qty

Returns: message

Raises:

  • FIXError: if order can't be replaced or price/qty unchanged

method set_account

set_account(ord_msg: FIXMessage)

Set account definition (override this in child).

Args:

  • ord_msg: new or replaced order

method set_instrument

set_instrument(ord_msg: FIXMessage)

Set order instrument definition (override this in child).

Args:

  • ord_msg: new or replaced order

method set_price_qty

set_price_qty(ord_msg: FIXMessage, price: float, qty: float)

Set order price and qty definition (override this in child).

This method handles custom price/qty rounding/decimal formatting, or maybe conditional presence of two fields based on order type

Args:

  • ord_msg: new or replaced order
  • price: new order price (unformatted / unrounded)
  • qty: new order qty (unformatted / unrounded)

This file was automatically generated via lazydocs.