From 836dc710c659838c853b8b519808d7589ac353a7 Mon Sep 17 00:00:00 2001 From: 0xevolve Date: Wed, 8 Jan 2025 17:46:45 +0400 Subject: [PATCH] feat: working connection! --- .gitignore | 6 + lmax-connector/config/Fix44.xml | 199 ++++++++++++++++++++++++++ lmax-connector/lmax_connector/main.py | 128 +++++++++++------ lmax-connector/stunnel.conf | 14 ++ 4 files changed, 304 insertions(+), 43 deletions(-) create mode 100644 lmax-connector/config/Fix44.xml create mode 100644 lmax-connector/stunnel.conf diff --git a/.gitignore b/.gitignore index 3f2bb55d..1fe840b7 100644 --- a/.gitignore +++ b/.gitignore @@ -72,3 +72,9 @@ devnet.pkl # Mac .DS_STORE + +# Lmax connector metadata +lmax-connector/log/ +lmax-connector/store/ +lmax-connector/config/fix_settings.cfg + diff --git a/lmax-connector/config/Fix44.xml b/lmax-connector/config/Fix44.xml new file mode 100644 index 00000000..7de5547c --- /dev/null +++ b/lmax-connector/config/Fix44.xml @@ -0,0 +1,199 @@ + + + +
+ + + + + + + + + + +
+ + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/lmax-connector/lmax_connector/main.py b/lmax-connector/lmax_connector/main.py index f5c04109..76e6d212 100644 --- a/lmax-connector/lmax_connector/main.py +++ b/lmax-connector/lmax_connector/main.py @@ -5,6 +5,7 @@ from typing import Optional import quickfix as fix from dotenv import load_dotenv +import shutil from pragma_sdk.offchain.client import PragmaAPIClient from pragma_sdk.common.types.pair import Pair @@ -33,33 +34,45 @@ def onLogout(self, sessionID): def fromAdmin(self, message, sessionID): """Log admin messages received from LMAX""" - msgType = fix.MsgType() - message.getHeader().getField(msgType) - - if msgType.getValue() == fix.MsgType_Reject: - refMsgType = fix.RefMsgType() - message.getField(refMsgType) - refSeqNum = fix.RefSeqNum() - message.getField(refSeqNum) - text = fix.Text() - message.getField(text) - logger.error(f"Message Rejected - Type: {refMsgType.getValue()}, SeqNum: {refSeqNum.getValue()}, Text: {text.getValue()}") - elif msgType.getValue() == fix.MsgType_Logon: - logger.info("Received Logon message") - elif msgType.getValue() == fix.MsgType_Heartbeat: - logger.debug("Received Heartbeat") - else: - logger.info(f"Admin Message - Type: {msgType.getValue()}, Content: {message.toString()}") + try: + msgType = fix.MsgType() + message.getHeader().getField(msgType) + + logger.debug(f"Received admin message: {message.toString()}") + + if msgType.getValue() == fix.MsgType_Reject: + refMsgType = fix.RefMsgType() + message.getField(refMsgType) + refSeqNum = fix.RefSeqNum() + message.getField(refSeqNum) + text = fix.Text() + message.getField(text) + logger.error(f"Message Rejected - Type: {refMsgType.getValue()}, SeqNum: {refSeqNum.getValue()}, Text: {text.getValue()}") + elif msgType.getValue() == fix.MsgType_Logon: + logger.info("Received Logon message") + elif msgType.getValue() == fix.MsgType_Heartbeat: + logger.debug("Received Heartbeat") + except Exception as e: + logger.error(f"Error processing admin message: {str(e)}, Message: {message.toString()}") def toAdmin(self, message, sessionID): """Log admin messages sent to LMAX""" - msgType = fix.MsgType() - message.getHeader().getField(msgType) - - if msgType.getValue() == fix.MsgType_Logon: - logger.info(f"Sending Logon message: {message.toString()}") - else: - logger.debug(f"Sending admin message: {message.toString()}") + try: + msgType = fix.MsgType() + message.getHeader().getField(msgType) + + if msgType.getValue() == fix.MsgType_Logon: + # Required fields for LMAX logon + message.setField(fix.EncryptMethod(0)) # No encryption + message.setField(fix.HeartBtInt(30)) + message.setField(fix.Username(self.username)) # Tag 553 + message.setField(fix.Password(self.password)) # Tag 554 + message.setField(fix.ResetSeqNumFlag(True)) # Tag 141 + logger.info(f"Sending Logon message: {message.toString()}") + else: + logger.debug(f"Sending admin message: {message.toString()}") + except Exception as e: + logger.error(f"Error preparing admin message: {str(e)}") def onError(self, sessionID): """Log FIX session errors""" @@ -121,8 +134,13 @@ def __init__(self, pragma_client: PragmaAPIClient): self.pragma_client = pragma_client self.running = True - # Create config directory if it doesn't exist + # Create required directories os.makedirs("config", exist_ok=True) + os.makedirs("store", exist_ok=True) + os.makedirs("log", exist_ok=True) + + # Copy data dictionary + dict_path = "config/FIX44.xml" # Write FIX settings to file self.fix_config_path = "config/fix_settings.cfg" @@ -143,9 +161,10 @@ def __init__(self, pragma_client: PragmaAPIClient): BeginString=FIX.4.4 SenderCompID={os.getenv('LMAX_SENDER_COMP_ID')} TargetCompID={os.getenv('LMAX_TARGET_COMP_ID')} -SocketConnectHost={os.getenv('LMAX_HOST')} -SocketConnectPort={os.getenv('LMAX_PORT')} +SocketConnectHost=127.0.0.1 +SocketConnectPort=40003 Password={os.getenv('LMAX_PASSWORD')} +ResetOnLogon=Y HeartBtInt=30""" logger.info(f"Using FIX settings:\n{fix_settings}") @@ -159,35 +178,58 @@ def init_fix(self): settings = fix.SessionSettings(self.fix_config_path) store_factory = fix.FileStoreFactory(settings) log_factory = fix.FileLogFactory(settings) - self.initiator = fix.SocketInitiator( - self.application, - store_factory, - settings, - log_factory - ) - self.initiator.start() + + # Initialize application with credentials + self.application.username = os.getenv('LMAX_SENDER_COMP_ID') + self.application.password = os.getenv('LMAX_PASSWORD') + + # Start initiator + try: + self.initiator = fix.SocketInitiator( + self.application, + store_factory, + settings, + log_factory + ) + self.initiator.start() + logger.info("FIX initiator started successfully") + except Exception as e: + logger.error(f"Failed to start FIX initiator: {str(e)}") + raise async def subscribe_market_data(self, pair: Pair): await self.application.session_ready.wait() - symbol = f"{pair.base_currency.id}/{pair.quote_currency.id}" - self.application.market_data_ready[symbol] = asyncio.Event() - + # Create market data request based on LMAX example message = fix.Message() header = message.getHeader() header.setField(fix.MsgType(fix.MsgType_MarketDataRequest)) - message.setField(fix.MDReqID("1")) - message.setField(fix.SubscriptionRequestType('1')) # Snapshot + Updates - message.setField(fix.MarketDepth(0)) + # Required fields as per LMAX example + message.setField(fix.MDReqID("EUR/USD")) # Unique request ID + message.setField(fix.SubscriptionRequestType('1')) # 1 = SNAPSHOTUPDATE + message.setField(fix.MarketDepth(0)) # Full book + message.setField(fix.MDUpdateType(0)) # Full refresh + message.setField(fix.NoMDEntryTypes(2)) + # Add entry types group group = fix.Group(fix.FIELD.NoMDEntryTypes, fix.FIELD.MDEntryType) - group.setField(fix.MDEntryType(fix.MDEntryType_BID)) + group.setField(fix.MDEntryType('0')) # Bid message.addGroup(group) - group.setField(fix.MDEntryType(fix.MDEntryType_OFFER)) + group = fix.Group(fix.FIELD.NoMDEntryTypes, fix.FIELD.MDEntryType) + group.setField(fix.MDEntryType('1')) # Offer message.addGroup(group) - message.setField(fix.Symbol(symbol)) + # Add instrument group + message.setField(fix.NoRelatedSym(1)) + message.setField(fix.Symbol("4001")) # EUR/USD instrument ID + message.setField(fix.SecurityType("8")) # FX + + logger.info(f"Sending market data request: {message.toString()}") + try: + fix.Session.sendToTarget(message) + except fix.RuntimeError as e: + logger.error(f"Failed to send market data request: {str(e)}") async def push_prices(self, pair: Pair): symbol = f"{pair.base_currency.id}/{pair.quote_currency.id}" diff --git a/lmax-connector/stunnel.conf b/lmax-connector/stunnel.conf new file mode 100644 index 00000000..789f1143 --- /dev/null +++ b/lmax-connector/stunnel.conf @@ -0,0 +1,14 @@ +; Stunnel configuration for LMAX FIX connection +debug = 7 +socket = l:TCP_NODELAY=1 +socket = r:TCP_NODELAY=1 +fips = no + +[Production-MarketData] +client = yes +accept = 127.0.0.1:40003 +connect = fix-md.lmaxtrader.com:443 +sslVersion = TLSv1.2 +verify = 0 +delay = no +TIMEOUTclose = 0 \ No newline at end of file