feat(fix): RFQ / quoting message family (closes #428)

kalshi/fix/__init__.py

@@ -42,6 +42,7 @@
 )
 from kalshi.fix.connection import FixConnection
 from kalshi.fix.enums import (
+    AcceptQuoteResult,
     ApplVerID,
     EncryptMethod,
     EventResendRejectReason,
@@ -54,6 +55,12 @@
     OrderGroupAction,
     OrdStatus,
     OrdType,
+    QuoteCancelResult,
+    QuoteConfirmResult,
+    QuoteRequestRejectReason,
+    QuoteRequestType,
+    QuoteStatus,
+    RFQCancelResult,
     SecurityTradingStatus,
     SelfTradePreventionType,
     SessionRejectReason,
@@ -72,6 +79,8 @@
 )
 from kalshi.fix.messages import (
     APP_MESSAGE_MODELS,
+    AcceptQuote,
+    AcceptQuoteStatus,
     BusinessMessageReject,
     CollateralAmountChange,
     EventResendComplete,
@@ -102,9 +111,20 @@
     OrderMassCancelReport,
     OrderMassCancelRequest,
     Party,
+    Quote,
+    QuoteCancel,
+    QuoteCancelStatus,
+    QuoteConfirm,
+    QuoteConfirmStatus,
+    QuoteRequest,
+    QuoteRequestAck,
+    QuoteRequestReject,
+    QuoteStatusReport,
     Reject,
     RelatedSymbol,
     ResendRequest,
+    RFQCancel,
+    RFQCancelStatus,
     SecurityStatus,
     SecurityStatusRequest,
     SequenceReset,
@@ -121,6 +141,9 @@
     "APP_MESSAGE_MODELS",
     "BEGIN_STRING_FIXT11",
     "SOH",
+    "AcceptQuote",
+    "AcceptQuoteResult",
+    "AcceptQuoteStatus",
     "ApplVerID",
     "BookLevel",
     "BusinessMessageReject",
@@ -183,6 +206,23 @@
     "OrderMassCancelReport",
     "OrderMassCancelRequest",
     "Party",
+    "Quote",
+    "QuoteCancel",
+    "QuoteCancelResult",
+    "QuoteCancelStatus",
+    "QuoteConfirm",
+    "QuoteConfirmResult",
+    "QuoteConfirmStatus",
+    "QuoteRequest",
+    "QuoteRequestAck",
+    "QuoteRequestReject",
+    "QuoteRequestRejectReason",
+    "QuoteRequestType",
+    "QuoteStatus",
+    "QuoteStatusReport",
+    "RFQCancel",
+    "RFQCancelResult",
+    "RFQCancelStatus",
     "RawMessage",
     "Reject",
     "RelatedSymbol",

kalshi/fix/enums.py

@@ -267,6 +267,70 @@ class EventResendRejectReason(IntEnum):
     END_EXECID_TOO_LARGE = 4
 
 
+class QuoteRequestType(IntEnum):
+    """Tag 303 — QuoteRequestAck (35=b) request type."""
+
+    MANUAL = 1
+    AUTOMATIC = 2
+
+
+class QuoteStatus(IntEnum):
+    """Tag 297 — QuoteStatusReport (35=AI) quote status."""
+
+    ACCEPTED = 0
+    REJECTED = 5
+    PENDING = 10
+    CANCELLED = 17
+
+
+class QuoteRequestRejectReason(IntEnum):
+    """Tag 658 — QuoteRequestReject (35=AG) reason."""
+
+    UNKNOWN_SYMBOL = 1
+    QUOTE_REQUEST_EXCEEDS_LIMIT = 3
+    INSUFFICIENT_CREDIT = 11
+    OTHER = 99
+
+
+# The next four enums use a ``Result`` suffix to avoid colliding with the
+# same-named status *messages* (the Kalshi dictionary names the status field and
+# its carrying message identically, e.g. tag 21010 and 35=U8 are both
+# "QuoteConfirmStatus"); the message keeps the spec name, the value-enum is suffixed.
+
+
+class QuoteConfirmResult(IntEnum):
+    """Tag 21010 — QuoteConfirmStatus (35=U8) outcome."""
+
+    ACCEPTED = 0
+    REJECTED = 1
+
+
+class QuoteCancelResult(IntEnum):
+    """Tag 298 — QuoteCancelStatus (35=U9) outcome."""
+
+    CANCELLED = 0
+    REJECTED = 1
+
+
+class RFQCancelResult(IntEnum):
+    """Tag 21013 — RFQCancelStatus (35=UB) outcome.
+
+    Spelled ``CANCELLED`` to match :class:`QuoteCancelResult` / :class:`QuoteStatus`
+    even though the dictionary describes tag 21013 value 0 as "CANCELED" — the
+    member name is SDK-chosen and not wire-significant (the wire value is ``0``).
+    """
+
+    CANCELLED = 0
+    REJECTED = 1
+
+
+class AcceptQuoteResult(IntEnum):
+    """Tag 21025 — AcceptQuoteStatus (35=UC) outcome."""
+
+    ACCEPTED = 0
+    REJECTED = 1
+
+
 class SubscriptionRequestType(StrEnum):
     """Tag 263 — market-data / security-status subscription action.
 

kalshi/fix/messages/__init__.py

@@ -51,6 +51,21 @@
     OrderMassCancelRequest,
 )
 from kalshi.fix.messages.order_groups import OrderGroupRequest, OrderGroupResponse
+from kalshi.fix.messages.rfq import (
+    AcceptQuote,
+    AcceptQuoteStatus,
+    Quote,
+    QuoteCancel,
+    QuoteCancelStatus,
+    QuoteConfirm,
+    QuoteConfirmStatus,
+    QuoteRequest,
+    QuoteRequestAck,
+    QuoteRequestReject,
+    QuoteStatusReport,
+    RFQCancel,
+    RFQCancelStatus,
+)
 from kalshi.fix.messages.session import (
     Heartbeat,
     Logon,
@@ -63,6 +78,8 @@
 
 __all__ = [
     "APP_MESSAGE_MODELS",
+    "AcceptQuote",
+    "AcceptQuoteStatus",
     "BusinessMessageReject",
     "CollateralAmountChange",
     "EventResendComplete",
@@ -94,6 +111,17 @@
     "OrderMassCancelReport",
     "OrderMassCancelRequest",
     "Party",
+    "Quote",
+    "QuoteCancel",
+    "QuoteCancelStatus",
+    "QuoteConfirm",
+    "QuoteConfirmStatus",
+    "QuoteRequest",
+    "QuoteRequestAck",
+    "QuoteRequestReject",
+    "QuoteStatusReport",
+    "RFQCancel",
+    "RFQCancelStatus",
     "Reject",
     "RelatedSymbol",
     "ResendRequest",

kalshi/fix/messages/dispatch.py

@@ -31,6 +31,17 @@
     OrderMassCancelReport,
 )
 from kalshi.fix.messages.order_groups import OrderGroupResponse
+from kalshi.fix.messages.rfq import (
+    AcceptQuoteStatus,
+    Quote,
+    QuoteCancelStatus,
+    QuoteConfirmStatus,
+    QuoteRequest,
+    QuoteRequestAck,
+    QuoteRequestReject,
+    QuoteStatusReport,
+    RFQCancelStatus,
+)
 
 logger = logging.getLogger("kalshi.fix")
 
@@ -48,6 +59,17 @@
         MsgType.MARKET_DATA_REQUEST_REJECT.value: MarketDataRequestReject,
         MsgType.SECURITY_STATUS.value: SecurityStatus,
         MsgType.ORDER_GROUP_RESPONSE.value: OrderGroupResponse,
+        # RFQ / quoting. R and S are bidirectional — a client acting as market
+        # maker (or creator) receives them as notifications, so they decode too.
+        MsgType.QUOTE_REQUEST.value: QuoteRequest,
+        MsgType.QUOTE.value: Quote,
+        MsgType.QUOTE_REQUEST_ACK.value: QuoteRequestAck,
+        MsgType.QUOTE_STATUS_REPORT.value: QuoteStatusReport,
+        MsgType.QUOTE_REQUEST_REJECT.value: QuoteRequestReject,
+        MsgType.QUOTE_CONFIRM_STATUS.value: QuoteConfirmStatus,
+        MsgType.QUOTE_CANCEL_STATUS.value: QuoteCancelStatus,
+        MsgType.RFQ_CANCEL_STATUS.value: RFQCancelStatus,
+        MsgType.ACCEPT_QUOTE_STATUS.value: AcceptQuoteStatus,
     }
 )