mini-fix-client

Description

FIX Client: A Python-based Financial Information Exchange (FIX) Protocol Client.

1. FixClient Class:

• The FixClient class is the central component responsible for simulating a FIX protocol client.
• It initiates a connection to the trading server, sends orders, and processes server responses.
• The class includes methods for creating logon messages, new order messages, and generating random orders for simulation.
• It maintains a sequence number for order identification during simulation.
• The client operates based on a configuration specified in a config file.

2. OrderManager:

• The OrderManager class is responsible for managing and tracking orders.
• It allows the addition, retrieval, and status updates of orders.
• The class is initialized within the FixClient and used to track the status of orders sent to the server.

3. MessageHandler:

• The MessageHandler class handles incoming server responses.
• It interprets response messages, updates the order status, and processes different types of messages.
• The class is also initialized within the FixClient.

4. Stats:

• The Stats class is designed to calculate trading statistics.
• It tracks trading volume, profit and loss (PNL), and the volume-weighted average price (VWAP) of the fills for each instrument.
• The statistics are continuously updated during the simulation.

Usage

To use this application, you can run it in a Docker container. Ensure you have Docker installed on your system. Test session configs available in config/config.json.

python version: 3.10

1. Navigate into project directory

cd mini-fix-client

2. Build docker image

docker build -t mini-fix-client .

3. Run the Docker Container

docker run mini-fix-client