messages.py

import re
import time

import simplefix as sfx

from utils import format_epoch_time, generateJWT

SEPARATOR = "\x01"
VERTLINE = "|"


def checkLogonMsg(msg: bytes) -> tuple[bool | None, str]:
    """Validate a FIX logon response message."""
    status: bool | None = None
    error_msg = ""
    assert msg is not None, "error - message cannot be None or empty string"
    fields = msg.decode("utf-8").replace(SEPARATOR, VERTLINE).split(VERTLINE)

    #
    # check message type is 'Logon' -> Fix Tag MsgType(35) == 'A', not Logout -> '5'
    #
    for field in fields:
        if field and len(field) > 0:
            key, value = field.strip().split("=")
            if (
                str(key) == "35" and str(value) == "5"
            ):  # received a LOGOUT response message - FAILURE
                status = False
            elif (
                str(key) == "35" and str(value) == "A"
            ):  # received a LOGON response message - SUCCESS
                status = True
            elif str(key) == "58":
                error_msg = value
    return status, error_msg


def checkMsg(msg: bytes, sender: str, target: str) -> bool:
    """Check a generic FIX message contains sender and target IDs."""
    count = 0
    assert msg is not None, "error - message cannot be None or empty string"

    fields = msg.decode("utf-8").replace(SEPARATOR, VERTLINE).split(VERTLINE)

    # check we received a Sender Comp ID
    for field in fields:
        if re.search("49=", field) and sender in field:
            count += 1

    # check we received a Target Comp ID
    for field in fields:
        if re.search("56=", field) and target in field:
            count += 1

    # require both to be present in message
    return True if count == 2 else False


def getMsgHeartbeat(apikey: str, seqnum: int) -> bytes:
    """Return a FIX heartbeat message."""

    msg = sfx.FixMessage()
    now = int(time.time())

    assert apikey is not None, "Error - API KEY must not be empty or None"
    assert seqnum > 2, "Error - Seqnum must be greater than two - logon msg uses 1,2"

    # Header
    msg.append_pair(8, "FIX.4.4", True)
    msg.append_pair(35, 0, True)
    msg.append_pair(34, seqnum, True)
    msg.append_pair(49, apikey, True)
    msg.append_pair(52, format_epoch_time(now), True)
    msg.append_pair(56, "PT-OE", True)

    return msg.encode()


def getMsgLogon(apikey: str) -> bytes:
    """Return a FIX logon message."""

    msg = sfx.FixMessage()
    now = int(time.time())

    assert apikey is not None, "Error - API KEY must not be empty or None"

    # Header
    msg.append_pair(8, "FIX.4.4", True)
    msg.append_pair(35, "A", True)
    msg.append_pair(34, 1, True)
    msg.append_pair(49, apikey, True)
    msg.append_pair(52, format_epoch_time(now), True)
    msg.append_pair(56, "PT-OE", True)

    # Body
    msg.append_pair(98, 0)
    msg.append_pair(108, 30)
    msg.append_pair(141, "Y")
    msg.append_pair(554, generateJWT(apikey, now))
    return msg.encode()


def getMsgNewOrder(
    symbol: str, price: float, quantity: float, apikey: str, seqnum: int = 2
) -> tuple[int, bytes]:
    """Return FIX message bytes for a new single order."""

    msg = sfx.FixMessage()
    now = int(time.time())

    assert apikey is not None, "Error - API KEY must not be empty or None"
    assert price is not None, "Error - price must not be empty value or None"
    assert price > 0.00, "Error - price must be greater than zero"

    # Header
    msg.append_pair(8, "FIX.4.4", True)
    msg.append_pair(35, "D", True)
    msg.append_pair(34, seqnum, True)
    msg.append_pair(49, apikey, True)
    msg.append_pair(52, format_epoch_time(now), True)
    msg.append_pair(56, "PT-OE", True)

    # Body
    msg.append_pair(11, now)        # ClOrdID
    msg.append_pair(38, quantity)   # Order Quantity
    msg.append_pair(40, 1)          # OrdType (1 = Market, 2 = Limit)
    msg.append_pair(44, price)      # Order Price
    msg.append_pair(54, 1)          # Side (1 = BUY, 2 = SELL)
    msg.append_pair(55, symbol)     # Symbol
    msg.append_pair(59, 1)          # TimeInForce::GTC(GoodTillCancel)
    msg.append_pair(60, format_epoch_time(now))  # Transaction Timestamp(now)

    return now, msg.encode()


def getMsgRFQ(
    symbol: str, price: float, quantity: float, apikey: str, seqnum: int = 2
) -> tuple[int, bytes]:
    """Return a FIX request-for-quote message."""

    msg = sfx.FixMessage()
    now = int(time.time())

    assert apikey is not None, "Error - API KEY must not be empty or None"
    assert price is not None, "Error - price must not be empty value or None"
    assert price > 0.00, "Error - price must be greater than zero"

    # Header
    msg.append_pair(8, "FIX.4.4", True)
    msg.append_pair(35, "R", True)
    msg.append_pair(34, seqnum, True)
    msg.append_pair(49, apikey, True)
    msg.append_pair(52, format_epoch_time(now), True)
    msg.append_pair(56, "PT-OE", True)

    # Body
    msg.append_pair(11, now)
    msg.append_pair(131, now)
    msg.append_pair(146, 2)
    msg.append_pair(55, symbol)
    msg.append_pair(55, "SOL-USD")

    # msg.append_pair(38,  quantity)
    # msg.append_pair(40,  2)
    # msg.append_pair(44,  price)
    # msg.append_pair(54,  1)
    # msg.append_pair(58,  "Please provide quotes for SOL-USD and ETH-USD")
    # msg.append_pair(60,  format_epoch_time(now))

    return now, msg.encode()


def getMsgCancel(
    orderID: str,
    cancelOrderID: int,
    symbol: str,
    apikey: str,
    seqnum: int,
    side: int = 1,
) -> tuple[int, bytes]:
    """Return a FIX order cancel request message."""

    assert orderID is not None, "Error - orderId must not be empty or None"

    msg = sfx.FixMessage()
    now = int(time.time())

    # Header
    msg.append_pair(8, "FIX.4.4", True)
    msg.append_pair(35, "F", True)
    msg.append_pair(34, seqnum, True)
    msg.append_pair(49, apikey, True)
    msg.append_pair(52, format_epoch_time(now), True)
    msg.append_pair(56, "PT-OE", True)

    # Body
    msg.append_pair(11, cancelOrderID)  # <field name='ClOrdID' required='Y' />
    msg.append_pair(41, orderID)  # <field name='OrigClOrdID' required='Y' />
    msg.append_pair(54, side)  # <field name='Side' required='Y' />
    msg.append_pair(55, symbol)  # <component name='Instrument' required='Y' />
    msg.append_pair(
        60, format_epoch_time(now)
    )  # <field name='TransactTime' required='Y' />

    return now, msg.encode()


def translateFix(key: str, value: str) -> str:
    trans = value
    if key == "35":
        if value == "0":
            trans = "Heartbeat"
        elif value == "1":
            trans = "Test Request"
        elif value == "2":
            trans = "Resend Request"
        elif value == "3":
            trans = "Reject"
        elif value == "4":
            trans = "Sequence Reset"
        elif value == "5":
            trans = "Logout"
        elif value == "A":
            trans = "Logon"
        elif value == "6":
            trans = "Indication of Interest"
        elif value == "7":
            trans = "Advertisement"
        elif value == "8":
            trans = "Execution Report"
        elif value == "9":
            trans = "Order Cancel Reject"
        elif value == "D":
            trans = "New Order - Single"
        elif value == "E":
            trans = "New Order - List"
        elif value == "F":
            trans = "Order Cancel Request"
        else:
            trans = f"UNKNOWN Fix key: {value} for Fix Id 35(message type)"

    elif key == "39":
        if value == "0":
            trans = "New"
        elif value == "1":
            trans = "Partial Fill"
        elif value == "2":
            trans = "Filled"
        elif value == "3":
            trans = "Done for Day"
        elif value == "4":
            trans = "Cancelled"
        elif value == "5":
            trans = "Replaced"
        elif value == "6":
            trans = "Pending Cancel"
        elif value == "7":
            trans = "Stopped"
        elif value == "8":
            trans = "Rejected"
        elif value == "9":
            trans = "Suspended"
        elif value == "A":
            trans = "Pending New"
        elif value == "A":
            trans = "Pending New"
        elif value == "B":
            trans = "Calculated"
        elif value == "C":
            trans = "Expired"
        elif value == "D":
            trans = "Accepted for Bidding"
        elif value == "E":
            trans = "Pending Replace"
        else:
            trans = f"UNKNOWN Fix key: {value} for Fix Id 39(message status)"

    else:
        trans = f"UNKNOWN Fix field passed to translate() method {key} for translation"

    return trans