feat(fix): order-entry message flow (closes #424)

kalshi/fix/__init__.py

@@ -64,32 +64,56 @@
     KalshiFixError,
 )
 from kalshi.fix.messages import (
+    APP_MESSAGE_MODELS,
+    BusinessMessageReject,
+    CollateralAmountChange,
+    ExecutionReport,
+    FixGroup,
+    FixGroupMeta,
     FixMessage,
     Heartbeat,
     Logon,
     Logout,
+    MarketSettlementParty,
+    MiscFee,
+    MultivariateSelectedLeg,
+    NewOrderSingle,
+    OrderCancelReject,
+    OrderCancelReplaceRequest,
+    OrderCancelRequest,
+    OrderMassCancelReport,
+    OrderMassCancelRequest,
+    Party,
     Reject,
     ResendRequest,
     SequenceReset,
     TestRequest,
+    decode_app_message,
+    groupfield,
 )
 from kalshi.fix.session import FixSession, FixSessionState
 from kalshi.fix.tags import Tag
 
 # Sorted (ruff RUF022); grouping is by the imports above, not by ``__all__`` order.
 __all__ = [
+    "APP_MESSAGE_MODELS",
     "BEGIN_STRING_FIXT11",
     "SOH",
     "ApplVerID",
+    "BusinessMessageReject",
+    "CollateralAmountChange",
     "EncryptMethod",
     "ExecInst",
     "ExecType",
+    "ExecutionReport",
     "FixClient",
     "FixCodecError",
     "FixConfig",
     "FixConnection",
     "FixConnectionError",
     "FixEnvironment",
+    "FixGroup",
+    "FixGroupMeta",
     "FixLogonError",
     "FixMessage",
     "FixParser",
@@ -105,9 +129,19 @@
     "KalshiFixError",
     "Logon",
     "Logout",
+    "MarketSettlementParty",
+    "MiscFee",
     "MsgType",
+    "MultivariateSelectedLeg",
+    "NewOrderSingle",
     "OrdStatus",
     "OrdType",
+    "OrderCancelReject",
+    "OrderCancelReplaceRequest",
+    "OrderCancelRequest",
+    "OrderMassCancelReport",
+    "OrderMassCancelRequest",
+    "Party",
     "RawMessage",
     "Reject",
     "ResendRequest",
@@ -119,5 +153,7 @@
     "TestRequest",
     "TimeInForce",
     "decode",
+    "decode_app_message",
     "encode",
+    "groupfield",
 ]

kalshi/fix/messages/__init__.py

@@ -1,9 +1,9 @@
 """Typed FIX message models (FIX Dictionary v1.03).
 
 Exposes the base framework (scalar + repeating-group fields), the session-layer
-(admin) messages, and the shared repeating-group entry components. Application
-messages (order entry, drop copy, market data, RFQ/settlement) are added in later
-phases — see GH #402.
+(admin) messages, the shared repeating-group entry components, and the
+order-entry message flow. Market-data, drop-copy, and RFQ/settlement flows are
+added in later phases — see GH #402.
 """
 
 from __future__ import annotations
@@ -23,6 +23,18 @@
     MultivariateSelectedLeg,
     Party,
 )
+from kalshi.fix.messages.order_entry import (
+    APP_MESSAGE_MODELS,
+    BusinessMessageReject,
+    ExecutionReport,
+    NewOrderSingle,
+    OrderCancelReject,
+    OrderCancelReplaceRequest,
+    OrderCancelRequest,
+    OrderMassCancelReport,
+    OrderMassCancelRequest,
+    decode_app_message,
+)
 from kalshi.fix.messages.session import (
     Heartbeat,
     Logon,
@@ -34,7 +46,10 @@
 )
 
 __all__ = [
+    "APP_MESSAGE_MODELS",
+    "BusinessMessageReject",
     "CollateralAmountChange",
+    "ExecutionReport",
     "FixGroup",
     "FixGroupMeta",
     "FixMessage",
@@ -45,11 +60,18 @@
     "MarketSettlementParty",
     "MiscFee",
     "MultivariateSelectedLeg",
+    "NewOrderSingle",
+    "OrderCancelReject",
+    "OrderCancelReplaceRequest",
+    "OrderCancelRequest",
+    "OrderMassCancelReport",
+    "OrderMassCancelRequest",
     "Party",
     "Reject",
     "ResendRequest",
     "SequenceReset",
     "TestRequest",
+    "decode_app_message",
     "fixfield",
     "groupfield",
 ]

kalshi/fix/messages/base.py

@@ -25,6 +25,7 @@
 
 from __future__ import annotations
 
+import logging
 from dataclasses import dataclass
 from decimal import Decimal
 from enum import StrEnum
@@ -37,6 +38,8 @@
 from kalshi.fix.enums import MsgType
 from kalshi.fix.tags import DATA_LENGTH_FIELDS
 
+logger = logging.getLogger("kalshi.fix")
+
 # Reverse of DATA_LENGTH_FIELDS: data_tag -> length_tag. Used by to_body_fields
 # to auto-emit the length field immediately before a data field.
 _DATA_TO_LENGTH: dict[int, int] = {data: length for length, data in DATA_LENGTH_FIELDS.items()}
@@ -77,7 +80,7 @@ class FixGroupMeta:
     """
 
     num_in_group_tag: int
-    entry_model: type[_FixFieldModel]
+    entry_model: type[FixGroup]
 
 
 @dataclass(frozen=True)
@@ -91,7 +94,7 @@ class _ScalarSpec:
 class _GroupSpec:
     name: str
     count_tag: int
-    entry_model: type[_FixFieldModel]
+    entry_model: type[FixGroup]
 
 
 _FieldSpec = _ScalarSpec | _GroupSpec
@@ -173,8 +176,8 @@ def _parse_group(
     pairs: list[tuple[int, str]],
     start: int,
     count: int,
-    entry_model: type[_FixFieldModel],
-) -> tuple[list[_FixFieldModel], int]:
+    entry_model: type[FixGroup],
+) -> tuple[list[FixGroup], int]:
     """Parse up to ``count`` group entries from ``pairs`` beginning at ``start``.
 
     Each entry begins at the entry model's delimiter (first) tag and runs until
@@ -184,7 +187,7 @@ def _parse_group(
     """
     delim = entry_model._first_tag()
     member_tags = entry_model._member_tags()
-    entries: list[_FixFieldModel] = []
+    entries: list[FixGroup] = []
     i = start
     n = len(pairs)
     while len(entries) < count and i < n and pairs[i][0] == delim:
@@ -194,6 +197,14 @@ def _parse_group(
             entry_pairs.append(pairs[i])
             i += 1
         entries.append(entry_model._from_pairs(entry_pairs))
+    if len(entries) < count:
+        # Malformed FIX: NumInGroup promised more entries than were delivered.
+        logger.debug(
+            "FIX group %s: NumInGroup=%d but only %d entries parsed",
+            entry_model.__name__,
+            count,
+            len(entries),
+        )
     return entries, i
 
 
@@ -258,7 +269,12 @@ def _member_tags(cls) -> frozenset[int]:
 
     @classmethod
     def _first_tag(cls) -> int:
-        """The delimiter tag — the first declared field's tag (group entry start)."""
+        """The delimiter tag — the first declared field's tag (group entry start).
+
+        Falls back to a leading group's ``NumInGroup`` tag, but no FIX group
+        places a nested group as an entry's first field, so in practice this is
+        always a scalar tag.
+        """
         for spec in cls._layout():
             return spec.tag if isinstance(spec, _ScalarSpec) else spec.count_tag
         raise ValueError(f"{cls.__name__} declares no FIX fields")
@@ -309,6 +325,11 @@ def _from_pairs(cls, pairs: list[tuple[int, str]]) -> Self:
                 try:
                     count = int(pairs[idx][1])
                 except ValueError:
+                    logger.debug(
+                        "FIX group %s: non-integer NumInGroup %r",
+                        spec.entry_model.__name__,
+                        pairs[idx][1],
+                    )
                     continue
                 entries, _ = _parse_group(pairs, idx + 1, count, spec.entry_model)
                 kwargs[spec.name] = entries