feat(fix): market-data session + order-book reconstruction (closes #426)

kalshi/fix/__init__.py

@@ -47,12 +47,17 @@
     EventResendRejectReason,
     ExecInst,
     ExecType,
+    MDEntryType,
+    MDReqRejReason,
+    MDUpdateAction,
     MsgType,
     OrdStatus,
     OrdType,
+    SecurityTradingStatus,
     SelfTradePreventionType,
     SessionRejectReason,
     Side,
+    SubscriptionRequestType,
     TimeInForce,
 )
 from kalshi.fix.errors import (
@@ -78,7 +83,13 @@
     Heartbeat,
     Logon,
     Logout,
+    MarketDataIncrementalRefresh,
+    MarketDataRequest,
+    MarketDataRequestReject,
+    MarketDataSnapshotFullRefresh,
     MarketSettlementParty,
+    MDIncrementalEntry,
+    MDSnapshotEntry,
     MiscFee,
     MultivariateSelectedLeg,
     NewOrderSingle,
@@ -89,12 +100,16 @@
     OrderMassCancelRequest,
     Party,
     Reject,
+    RelatedSymbol,
     ResendRequest,
+    SecurityStatus,
+    SecurityStatusRequest,
     SequenceReset,
     TestRequest,
     decode_app_message,
     groupfield,
 )
+from kalshi.fix.orderbook import BookLevel, FixOrderBook, MarketDataBook
 from kalshi.fix.session import FixSession, FixSessionState
 from kalshi.fix.tags import Tag
 
@@ -104,6 +119,7 @@
     "BEGIN_STRING_FIXT11",
     "SOH",
     "ApplVerID",
+    "BookLevel",
     "BusinessMessageReject",
     "CollateralAmountChange",
     "EncryptMethod",
@@ -124,6 +140,7 @@
     "FixGroupMeta",
     "FixLogonError",
     "FixMessage",
+    "FixOrderBook",
     "FixParser",
     "FixProduct",
     "FixRejectError",
@@ -137,6 +154,16 @@
     "KalshiFixError",
     "Logon",
     "Logout",
+    "MDEntryType",
+    "MDIncrementalEntry",
+    "MDReqRejReason",
+    "MDSnapshotEntry",
+    "MDUpdateAction",
+    "MarketDataBook",
+    "MarketDataIncrementalRefresh",
+    "MarketDataRequest",
+    "MarketDataRequestReject",
+    "MarketDataSnapshotFullRefresh",
     "MarketSettlementParty",
     "MiscFee",
     "MsgType",
@@ -152,11 +179,16 @@
     "Party",
     "RawMessage",
     "Reject",
+    "RelatedSymbol",
     "ResendRequest",
+    "SecurityStatus",
+    "SecurityStatusRequest",
+    "SecurityTradingStatus",
     "SelfTradePreventionType",
     "SequenceReset",
     "SessionRejectReason",
     "Side",
+    "SubscriptionRequestType",
     "Tag",
     "TestRequest",
     "TimeInForce",

kalshi/fix/enums.py

@@ -255,3 +255,50 @@ class EventResendRejectReason(IntEnum):
     SERVER_ERROR = 2
     BEGIN_EXECID_TOO_SMALL = 3
     END_EXECID_TOO_LARGE = 4
+
+
+class SubscriptionRequestType(StrEnum):
+    """Tag 263 — market-data / security-status subscription action.
+
+    For ``MarketDataRequest`` (35=V): ``0``=snapshot, ``1``=snapshot plus updates,
+    ``2``=disable a previous subscription. For ``SecurityStatusRequest`` (35=e)
+    only ``1`` (subscribe) and ``2`` (unsubscribe) are valid.
+    """
+
+    SNAPSHOT = "0"
+    SNAPSHOT_PLUS_UPDATES = "1"
+    DISABLE = "2"
+
+
+class MDEntryType(StrEnum):
+    """Tag 269 — side of a market-data book level."""
+
+    BID = "0"
+    OFFER = "1"
+
+
+class MDUpdateAction(StrEnum):
+    """Tag 279 — action for an incremental market-data entry (35=X).
+
+    FIX 5.0SP2 also defines New=0; Kalshi MD does not emit it, so it is
+    intentionally absent (an action='0' is dropped as unknown).
+    """
+
+    CHANGE = "1"
+    DELETE = "2"
+
+
+class MDReqRejReason(StrEnum):
+    """Tag 281 — why a MarketDataRequest (35=V) was rejected (35=Y)."""
+
+    INSUFFICIENT_BANDWIDTH = "2"
+    UNSUPPORTED_SUBSCRIPTION_REQUEST_TYPE = "4"
+
+
+class SecurityTradingStatus(IntEnum):
+    """Tag 326 — per-market trading-status change streamed via SecurityStatus (35=f)."""
+
+    TRADING_HALT = 2
+    RESUME = 3
+    KALSHI_DETERMINED = 100
+    KALSHI_SETTLED = 101

kalshi/fix/messages/__init__.py

@@ -29,6 +29,17 @@
     EventResendReject,
     EventResendRequest,
 )
+from kalshi.fix.messages.market_data import (
+    MarketDataIncrementalRefresh,
+    MarketDataRequest,
+    MarketDataRequestReject,
+    MarketDataSnapshotFullRefresh,
+    MDIncrementalEntry,
+    MDSnapshotEntry,
+    RelatedSymbol,
+    SecurityStatus,
+    SecurityStatusRequest,
+)
 from kalshi.fix.messages.order_entry import (
     BusinessMessageReject,
     ExecutionReport,
@@ -64,6 +75,12 @@
     "Heartbeat",
     "Logon",
     "Logout",
+    "MDIncrementalEntry",
+    "MDSnapshotEntry",
+    "MarketDataIncrementalRefresh",
+    "MarketDataRequest",
+    "MarketDataRequestReject",
+    "MarketDataSnapshotFullRefresh",
     "MarketSettlementParty",
     "MiscFee",
     "MultivariateSelectedLeg",
@@ -75,7 +92,10 @@
     "OrderMassCancelRequest",
     "Party",
     "Reject",
+    "RelatedSymbol",
     "ResendRequest",
+    "SecurityStatus",
+    "SecurityStatusRequest",
     "SequenceReset",
     "TestRequest",
     "decode_app_message",

kalshi/fix/messages/dispatch.py

@@ -18,6 +18,12 @@
 from kalshi.fix.enums import MsgType
 from kalshi.fix.messages.base import FixMessage
 from kalshi.fix.messages.drop_copy import EventResendComplete, EventResendReject
+from kalshi.fix.messages.market_data import (
+    MarketDataIncrementalRefresh,
+    MarketDataRequestReject,
+    MarketDataSnapshotFullRefresh,
+    SecurityStatus,
+)
 from kalshi.fix.messages.order_entry import (
     BusinessMessageReject,
     ExecutionReport,
@@ -36,6 +42,10 @@
         MsgType.BUSINESS_MESSAGE_REJECT.value: BusinessMessageReject,
         MsgType.EVENT_RESEND_COMPLETE.value: EventResendComplete,
         MsgType.EVENT_RESEND_REJECT.value: EventResendReject,
+        MsgType.MARKET_DATA_SNAPSHOT_FULL_REFRESH.value: MarketDataSnapshotFullRefresh,
+        MsgType.MARKET_DATA_INCREMENTAL_REFRESH.value: MarketDataIncrementalRefresh,
+        MsgType.MARKET_DATA_REQUEST_REJECT.value: MarketDataRequestReject,
+        MsgType.SECURITY_STATUS.value: SecurityStatus,
     }
 )