{ "cells": [ { "cell_type": "markdown", "id": "24762fa2", "metadata": {}, "source": [ "# πŸ“š PaperBroker Client Tutorial\n", "\n", "**Version:** 0.2.3 \n", "**Goal:** Learn to use `paperbroker-client` for trading via FIX protocol.\n", "\n", "---\n", "\n", "## πŸ“‹ Table of Contents\n", "\n", "| # | Topic | Description |\n", "|---|-------|-------------|\n", "| 1 | [Architecture](#1-architecture) | FIX Client ↔ Server overview |\n", "| 2 | [Configuration & Connection](#2-configuration--connection) | Setup connection parameters |\n", "| 3 | [Event-Driven Design](#3-event-driven-design) | Handle events without polling |\n", "| 4 | [Place & Cancel Orders](#4-place--cancel-orders) | Order management |\n", "| 5 | [Market Data](#5-market-data) | Real-time quotes |\n", "| 6 | [Account & Portfolio](#6-account--portfolio) | Balance and positions |\n", "\n", "---\n", "\n", "## 🎯 Quick Start\n", "\n", "```python\n", "from paperbroker import PaperBrokerClient\n", "\n", "client = PaperBrokerClient(\n", " default_sub_account=\"D1\",\n", " username=\"your_user\",\n", " password=\"your_pass\",\n", " rest_base_url=\"http://server:9090\",\n", " socket_connect_host=\"server_ip\",\n", " socket_connect_port=5001,\n", " sender_comp_id=\"YOUR-FIX\",\n", " target_comp_id=\"SERVER\",\n", ")\n", "\n", "client.connect()\n", "client.wait_until_logged_on(timeout=10)\n", "# Ready to trade!\n", "```" ] }, { "cell_type": "markdown", "id": "839d24bc", "metadata": {}, "source": [ "---\n", "\n", "## 1. Architecture\n", "\n", "### 1.1. FIX Protocol Overview\n", "\n", "```\n", "β”Œβ”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β” FIX 4.4 β”Œβ”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”\n", "β”‚ FIX Client β”‚ ◀════════════════════▢ β”‚ FIX Server β”‚\n", "β”‚ (paperbroker) β”‚ TCP/Socket β”‚ (Exchange) β”‚\n", "β””β”€β”€β”€β”€β”€β”€β”€β”€β”¬β”€β”€β”€β”€β”€β”€β”€β”€β”˜ β””β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”˜\n", " β”‚ β”‚\n", " β”‚ REST API β”‚\n", " β–Ό β–Ό\n", "β”Œβ”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β” β”Œβ”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”\n", "β”‚ Account Info β”‚ β”‚ Order Matching β”‚\n", "β”‚ Portfolio β”‚ β”‚ Market Data β”‚\n", "β””β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”˜ β””β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”˜\n", "```\n", "\n", "### 1.2. Connection Parameters\n", "\n", "| Parameter | Description | Example |\n", "|-----------|-------------|----------|\n", "| `socket_connect_host` | FIX server IP/hostname | `100.97.83.110` |\n", "| `socket_connect_port` | FIX port (TCP) | `5001` |\n", "| `sender_comp_id` | Your client identifier | `BL-FIX` |\n", "| `target_comp_id` | Server identifier | `SERVER` |\n", "| `username` | FIX account username | `BL01` |\n", "| `password` | FIX account password | `***` |\n", "| `rest_base_url` | REST API endpoint | `http://100.97.83.110:9090` |\n", "\n", "### 1.3. FIX Message Flow\n", "\n", "```\n", "Client Server\n", " β”‚ β”‚\n", " │──── Logon (35=A) ─────────────────▢│\n", " │◀─── Logon (35=A) ──────────────────│ βœ… Session established\n", " β”‚ β”‚\n", " │──── NewOrderSingle (35=D) ────────▢│\n", " │◀─── ExecutionReport (35=8) ────────│ πŸ“Š Order status\n", " β”‚ β”‚\n", " │──── OrderCancelRequest (35=F) ────▢│\n", " │◀─── ExecutionReport (35=8) ────────│ ❌ Canceled\n", " β”‚ β”‚\n", " │──── Logout (35=5) ─────────────────▢│\n", " │◀─── Logout (35=5) ──────────────────│ πŸ‘‹ Session closed\n", "```" ] }, { "cell_type": "markdown", "id": "71450c45", "metadata": {}, "source": [ "---\n", "\n", "## 2. Configuration & Connection" ] }, { "cell_type": "code", "execution_count": 1, "id": "62552d09", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… Imports ready!\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 1: Import & Setup\n", "# ============================================================================\n", "# Required imports for PaperBroker client:\n", "# - os: Environment variables for configuration\n", "# - sys: Path manipulation for imports\n", "# - time: Delays between operations\n", "# - logging: Standard Python logging\n", "# - pathlib: Cross-platform path handling\n", "# - threading.Event: Synchronization between threads\n", "# - dotenv: Load .env file for secrets\n", "# ============================================================================\n", "\n", "import os\n", "import sys\n", "import time\n", "import logging\n", "from pathlib import Path\n", "from threading import Event as ThreadEvent\n", "from dotenv import load_dotenv\n", "\n", "# Add parent directory to path (only needed when running from examples/)\n", "# This allows importing paperbroker module from the parent directory\n", "sys.path.insert(0, str(Path.cwd().parent))\n", "\n", "# Import the main client class\n", "from paperbroker import PaperBrokerClient\n", "\n", "# Load environment variables from .env file (if exists)\n", "# .env file should contain: PAPER_USERNAME, PAPER_PASSWORD, etc.\n", "load_dotenv()\n", "\n", "# Setup logging - controls what messages appear in console\n", "# Levels: DEBUG < INFO < WARNING < ERROR < CRITICAL\n", "logging.basicConfig(\n", " level=logging.INFO,\n", " format='[%(asctime)s] %(levelname)s: %(message)s',\n", " datefmt='%H:%M:%S'\n", ")\n", "logger = logging.getLogger(__name__)\n", "\n", "print(\"βœ… Imports ready!\")" ] }, { "cell_type": "code", "execution_count": 2, "id": "e87cf707", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ“‹ Configuration:\n", " socket_host: 100.97.83.110\n", " socket_port: 5001\n", " sender_comp_id: LOCAL_FIX\n", " target_comp_id: SERVER\n", " username: test2226\n", " password: ***\n", " rest_base_url: http://100.97.83.110:9090\n", " account_d1: TEST2226A\n", " account_d2: TEST2226B\n", " vn30f: HNXDS:VN30F2602\n", " mwg: HSX:MWG\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 2: Connection Configuration\n", "# ============================================================================\n", "# This dictionary contains all parameters needed for connection.\n", "# Values are loaded from environment variables with fallback defaults.\n", "#\n", "# FIX Connection:\n", "# - socket_host/port: TCP connection to FIX server\n", "# - sender_comp_id: Your unique client identifier in FIX session\n", "# - target_comp_id: Server identifier (usually \"SERVER\")\n", "#\n", "# Authentication:\n", "# - username/password: FIX account credentials\n", "#\n", "# REST API:\n", "# - rest_base_url: HTTP endpoint for account/portfolio queries\n", "#\n", "# Trading:\n", "# - account_d1/d2: Sub-account IDs for derivatives trading\n", "# - Symbol format: \"{Exchange}:{Symbol}\" e.g., \"HNXDS:VN30F2602\"\n", "# ============================================================================\n", "\n", "CONFIG = {\n", " # ---- FIX Connection (TCP Socket) ----\n", " # IP/hostname and port of the FIX gateway\n", " \"socket_host\": os.getenv(\"SOCKET_HOST\", \"100.97.83.110\"),\n", " \"socket_port\": int(os.getenv(\"SOCKET_PORT\", \"5001\")),\n", " \n", " # ---- FIX Session Identifiers ----\n", " # sender_comp_id: Must be unique per connection session\n", " # target_comp_id: Usually \"SERVER\" - the exchange's identifier\n", " \"sender_comp_id\": os.getenv(\"SENDER_COMP_ID\", \"BL-FIX\"),\n", " \"target_comp_id\": os.getenv(\"TARGET_COMP_ID\", \"SERVER\"),\n", " \n", " # ---- Authentication ----\n", " # Credentials for FIX logon message (Tag 553/554)\n", " \"username\": os.getenv(\"PAPER_USERNAME\", \"BL01\"),\n", " \"password\": os.getenv(\"PAPER_PASSWORD\", \"123\"),\n", " \n", " # ---- REST API ----\n", " # HTTP endpoint for non-FIX operations (balance, portfolio)\n", " \"rest_base_url\": os.getenv(\"PAPER_REST_BASE_URL\", \"http://100.97.83.110:9090\"),\n", " \n", " # ---- Sub-Accounts ----\n", " # Separate accounts under same master account\n", " # D1 and D2 can cross-match with each other\n", " \"account_d1\": os.getenv(\"PAPER_ACCOUNT_ID_D1\", \"D1\"),\n", " \"account_d2\": os.getenv(\"PAPER_ACCOUNT_ID_D2\", \"D2\"),\n", " \n", " # ---- Trading Symbols ----\n", " # Format: {Exchange}:{Symbol}\n", " # HNXDS = HNX Derivatives, HSX = Ho Chi Minh Stock Exchange\n", " \"vn30f\": \"HNXDS:VN30F2602\", # VN30 Futures Feb 2026\n", " \"mwg\": \"HSX:MWG\", # MWG Stock\n", "}\n", "\n", "# Display configuration (mask password for security)\n", "print(\"πŸ“‹ Configuration:\")\n", "for key, value in CONFIG.items():\n", " if key == \"password\":\n", " print(f\" {key}: ***\")\n", " else:\n", " print(f\" {key}: {value}\")" ] }, { "cell_type": "code", "execution_count": 3, "id": "9bf65405", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ”Œ Connecting...\n", "βœ… Connected to FIX server!\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 3: Create Client & Connect\n", "# ============================================================================\n", "# PaperBrokerClient wraps both FIX and REST connections in one object.\n", "#\n", "# Constructor parameters:\n", "# - default_sub_account: Default account for operations\n", "# - username/password: FIX authentication\n", "# - rest_base_url: REST API endpoint\n", "# - socket_connect_host/port: FIX TCP connection\n", "# - sender_comp_id/target_comp_id: FIX session identifiers\n", "# - console: True=show DEBUG in console, False=WARNING+ only\n", "#\n", "# Connection flow:\n", "# 1. client.connect() - Opens TCP socket, initiates FIX logon\n", "# 2. wait_until_logged_on() - Blocks until Logon response received\n", "# 3. If logon fails, last_logon_error() returns the reason\n", "# ============================================================================\n", "\n", "# Create the client with all configuration\n", "client = PaperBrokerClient(\n", " # Default sub-account for operations when not using context manager\n", " default_sub_account=CONFIG[\"account_d1\"],\n", " \n", " # FIX authentication (sent in Logon message)\n", " username=CONFIG[\"username\"],\n", " password=CONFIG[\"password\"],\n", " \n", " # REST API endpoint for balance/portfolio queries\n", " rest_base_url=CONFIG[\"rest_base_url\"],\n", " \n", " # FIX TCP socket connection\n", " socket_connect_host=CONFIG[\"socket_host\"],\n", " socket_connect_port=CONFIG[\"socket_port\"],\n", " \n", " # FIX session identifiers (SenderCompID/TargetCompID)\n", " sender_comp_id=CONFIG[\"sender_comp_id\"],\n", " target_comp_id=CONFIG[\"target_comp_id\"],\n", " \n", " # Logging: False = only WARNING/ERROR to console\n", " # Set True for debugging to see all FIX messages\n", " console=False,\n", ")\n", "\n", "# Initiate connection (non-blocking, starts background threads)\n", "print(\"πŸ”Œ Connecting...\")\n", "client.connect()\n", "\n", "# Block until FIX Logon response received (with timeout)\n", "if client.wait_until_logged_on(timeout=10):\n", " print(\"βœ… Connected to FIX server!\")\n", "else:\n", " # Logon failed - get the error message\n", " error = client.last_logon_error()\n", " print(f\"❌ Connection failed: {error}\")\n", "\n", "# Brief pause to let session stabilize\n", "time.sleep(1)" ] }, { "cell_type": "markdown", "id": "8ccacbc8", "metadata": {}, "source": [ "---\n", "\n", "## 3. Event System\n", "\n", "### Available Events\n", "\n", "| Event | When | Callback params |\n", "|-------|------|----------------|\n", "| `fix:logon` | Session established | `session_id` |\n", "| `fix:logout` | Session closed | `session_id, reason` |\n", "| `fix:order:accepted` | Order accepted | `cl_ord_id, status` |\n", "| `fix:order:filled` | Order filled | `cl_ord_id, last_px, last_qty` |\n", "| `fix:order:canceled` | Order canceled | `orig_cl_ord_id, status` |\n", "| `fix:order:rejected` | Order rejected | `cl_ord_id, reason` |\n", "\n", "### Usage\n", "\n", "```python\n", "# Subscribe to events with client.on(event_name, handler)\n", "client.on(\"fix:order:filled\", my_handler_function)\n", "```" ] }, { "cell_type": "code", "execution_count": 4, "id": "b98df675", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… Event handlers registered!\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 4: Event Handlers\n", "# ============================================================================\n", "# Event handlers receive data from FIX server responses in real-time.\n", "# Each handler is called when the corresponding event occurs.\n", "# \n", "# Parameters vary by event type - see event table above.\n", "# Always include **kwargs for forward compatibility.\n", "# ============================================================================\n", "\n", "def on_order_accepted(cl_ord_id, status, **kwargs):\n", " \"\"\"\n", " Called when order is accepted by server.\n", " \n", " Args:\n", " cl_ord_id: Client order ID (UUID string)\n", " status: Order status code (e.g., \"NEW\", \"PENDING\")\n", " \"\"\"\n", " print(f\"βœ… Order ACCEPTED: {cl_ord_id[:8]}... | Status: {status}\")\n", "\n", "def on_order_filled(cl_ord_id, last_px, last_qty, status, **kwargs):\n", " \"\"\"\n", " Called when order is filled (full or partial).\n", " \n", " Args:\n", " cl_ord_id: Client order ID\n", " last_px: Fill price\n", " last_qty: Fill quantity \n", " status: Order status (e.g., \"FILLED\", \"PARTIALLY_FILLED\")\n", " \"\"\"\n", " print(f\"🎯 Order FILLED: {cl_ord_id[:8]}... | {last_qty} @ {last_px:,.0f}\")\n", "\n", "def on_order_canceled(orig_cl_ord_id, status, **kwargs):\n", " \"\"\"\n", " Called when order is successfully canceled.\n", " \n", " Args:\n", " orig_cl_ord_id: Original client order ID that was canceled\n", " status: Cancellation status\n", " \"\"\"\n", " print(f\"❌ Order CANCELED: {orig_cl_ord_id[:8]}...\")\n", "\n", "def on_order_rejected(cl_ord_id, reason, **kwargs):\n", " \"\"\"\n", " Called when order is rejected by server.\n", " \n", " Args:\n", " cl_ord_id: Client order ID\n", " reason: Rejection reason (e.g., \"Insufficient balance\")\n", " \"\"\"\n", " print(f\"🚫 Order REJECTED: {cl_ord_id[:8]}... | Reason: {reason}\")\n", "\n", "# Register handlers with the client\n", "# Format: client.on(\"\", handler_function)\n", "client.on(\"fix:order:accepted\", on_order_accepted)\n", "client.on(\"fix:order:filled\", on_order_filled)\n", "client.on(\"fix:order:canceled\", on_order_canceled)\n", "client.on(\"fix:order:rejected\", on_order_rejected)\n", "\n", "print(\"βœ… Event handlers registered!\")" ] }, { "cell_type": "markdown", "id": "ae2dc947", "metadata": {}, "source": [ "---\n", "\n", "## 4. Place & Cancel Orders\n", "\n", "### 4.1. Order Parameters\n", "\n", "| Parameter | Type | Description |\n", "|-----------|------|-------------|\n", "| `full_symbol` | str | `\"HNXDS:VN30F2602\"` or `\"HSX:MWG\"` |\n", "| `side` | str | `\"BUY\"` or `\"SELL\"` |\n", "| `qty` | int | Quantity (contracts/shares) |\n", "| `price` | float | Price (VN30F = points, Stock = VND) |\n", "| `ord_type` | str | `\"LIMIT\"`, `\"MARKET\"` |" ] }, { "cell_type": "code", "execution_count": 5, "id": "724b840c", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ“€ Order placed: 7ed7e28e...\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 5: Place Order\n", "# ============================================================================\n", "# place_order() sends a NewOrderSingle (35=D) FIX message.\n", "#\n", "# Parameters:\n", "# - full_symbol: Exchange:Symbol format (e.g., \"HNXDS:VN30F2602\")\n", "# - side: \"BUY\" or \"SELL\"\n", "# - qty: Number of contracts (derivatives) or shares (stocks)\n", "# - price: Price in exchange units (points for VN30F, VND for stocks)\n", "# - ord_type: \"LIMIT\" or \"MARKET\"\n", "#\n", "# Returns: cl_ord_id (Client Order ID) - UUID string to track the order\n", "#\n", "# use_sub_account() context manager:\n", "# - Temporarily switches the active sub-account\n", "# - Thread-safe - can use in multi-threaded code\n", "# - Reverts to default when exiting the `with` block\n", "# ============================================================================\n", "\n", "# Switch to D1 sub-account for this order\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " \n", " # Place a SELL order at a far price (unlikely to match immediately)\n", " # This allows us to demonstrate cancellation\n", " order_id = client.place_order(\n", " full_symbol=CONFIG[\"vn30f\"], # HNXDS:VN30F2602\n", " side=\"SELL\",\n", " qty=1, # 1 contract\n", " price=1985.0, # Price in points\n", " ord_type=\"LIMIT\"\n", " )\n", " \n", " # Print truncated order ID (full ID is 36 chars)\n", " print(f\"πŸ“€ Order placed: {order_id[:16]}...\")\n", "\n", "# Event handler (on_order_accepted) will print when server confirms" ] }, { "cell_type": "code", "execution_count": 6, "id": "ce3ddb54", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "⏳ Waiting 2 seconds before cancel...\n", "βœ… Order ACCEPTED: 7ed7e28e... | Status: NEW\n", "πŸ—‘οΈ Cancel request sent for: 7ed7e28e...\n", "❌ Order CANCELED: 7ed7e28e...\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 6: Cancel Order\n", "# ============================================================================\n", "# cancel_order() sends an OrderCancelRequest (35=F) FIX message.\n", "#\n", "# The order must still be active (not filled/canceled) to cancel.\n", "# Server responds with ExecutionReport confirming cancellation.\n", "# Event handler (on_order_canceled) will print the confirmation.\n", "# ============================================================================\n", "\n", "# Wait before canceling (simulate some time passing)\n", "print(\"⏳ Waiting 2 seconds before cancel...\")\n", "time.sleep(2)\n", "\n", "# Send cancel request\n", "# Uses the order_id returned from place_order()\n", "client.cancel_order(order_id)\n", "print(f\"πŸ—‘οΈ Cancel request sent for: {order_id[:16]}...\")\n", "\n", "# Wait for server confirmation via event handler\n", "time.sleep(1)" ] }, { "cell_type": "markdown", "id": "35c07d8d", "metadata": {}, "source": [ "### 4.2. Cross-Matching (D1 ↔ D2)\n", "\n", "Cross-matching allows 2 sub-accounts to match orders with each other:\n", "\n", "```\n", "D1 SELL @ 1985 ──┐\n", " β”œβ”€β”€β–Ά INSTANT MATCH\n", "D2 BUY @ 1985 β”€β”€β”˜\n", "```" ] }, { "cell_type": "code", "execution_count": 7, "id": "29746c8a", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ”„ Cross-matching: D1 SELL vs D2 BUY @ 1,985\n", " D1 SELL: 79e0bada...\n", "βœ… Order ACCEPTED: 79e0bada... | Status: NEW\n", " D2 BUY: 431bf1cc...\n", "\n", "⏳ Waiting for fills...\n", "βœ… Order ACCEPTED: 431bf1cc... | Status: NEW\n", "🎯 Order FILLED: 431bf1cc... | 1.0 @ 1,985\n", "🎯 Order FILLED: 79e0bada... | 1.0 @ 1,985\n", "βœ… Check event output above!\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 7: Cross-Matching Demo\n", "# ============================================================================\n", "# Cross-matching: Two sub-accounts under the same master can match orders.\n", "#\n", "# Flow:\n", "# 1. D1 places SELL order β†’ sits in order book\n", "# 2. D2 places BUY order at same price β†’ matches instantly with D1\n", "# 3. Both receive ExecutionReport with fill details\n", "#\n", "# Key points:\n", "# - Same price required for matching\n", "# - D1 order must be in book before D2 can match\n", "# - Both sides receive fill events simultaneously\n", "# ============================================================================\n", "\n", "CROSS_PRICE = 1985.0 # Match price in points\n", "CROSS_QTY = 1 # 1 contract\n", "\n", "print(f\"πŸ”„ Cross-matching: D1 SELL vs D2 BUY @ {CROSS_PRICE:,.0f}\")\n", "\n", "# Step 1: D1 places SELL order (enters the order book)\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " sell_order = client.place_order(\n", " full_symbol=CONFIG[\"vn30f\"],\n", " side=\"SELL\",\n", " qty=CROSS_QTY,\n", " price=CROSS_PRICE,\n", " ord_type=\"LIMIT\"\n", " )\n", " print(f\" D1 SELL: {sell_order[:12]}...\")\n", "\n", "# Wait to ensure D1 order is in the book before D2 matches\n", "time.sleep(0.5)\n", "\n", "# Step 2: D2 places BUY order β†’ matches immediately with D1's SELL\n", "with client.use_sub_account(CONFIG[\"account_d2\"]):\n", " buy_order = client.place_order(\n", " full_symbol=CONFIG[\"vn30f\"],\n", " side=\"BUY\",\n", " qty=CROSS_QTY,\n", " price=CROSS_PRICE,\n", " ord_type=\"LIMIT\"\n", " )\n", " print(f\" D2 BUY: {buy_order[:12]}...\")\n", "\n", "# Wait for fill events from server\n", "print(\"\\n⏳ Waiting for fills...\")\n", "time.sleep(2)\n", "print(\"βœ… Check event output above!\")" ] }, { "cell_type": "markdown", "id": "f5e2cd1f", "metadata": {}, "source": [ "---\n", "\n", "## 5. Market Data\n", "\n", "### Two ways to get data:\n", "\n", "| Mode | Use Case | API |\n", "|------|----------|-----|\n", "| **Query** | Get current price (one-time) | `await client.query(symbol)` |\n", "| **Subscribe** | Real-time streaming | `await client.subscribe(symbol, callback)` |\n", "\n", "### Data Sources:\n", "- **Redis**: Low latency, pub/sub\n", "- **Kafka**: High throughput, replay capability" ] }, { "cell_type": "code", "execution_count": 8, "id": "49443540", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "⚠️ No data available (check Redis connection)\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 8: Market Data Query (Redis)\n", "# ============================================================================\n", "# RedisMarketDataClient connects to Redis server for market quotes.\n", "# Use query() for one-time snapshot, subscribe() for real-time stream.\n", "#\n", "# QuoteSnapshot attributes:\n", "# - instrument: Symbol (e.g., \"HNXDS:VN30F2602\")\n", "# - latest_matched_price: Last traded price\n", "# - latest_matched_quantity: Last traded volume\n", "# - bid_price_1, bid_quantity_1: Best bid\n", "# - ask_price_1, ask_quantity_1: Best ask\n", "# - bid_price_2/3, ask_price_2/3: Level 2/3 depth\n", "# - ref_price, ceiling_price, floor_price: Reference prices\n", "# - spread: Calculated bid-ask spread (property)\n", "# - spread_bps: Spread in basis points (property)\n", "# ============================================================================\n", "\n", "import asyncio\n", "from paperbroker.market_data import RedisMarketDataClient\n", "\n", "async def query_market_data():\n", " \"\"\"\n", " Fetch current price snapshot from Redis.\n", " This is a one-time query, not a subscription.\n", " \"\"\"\n", " \n", " # Create Redis client with connection parameters\n", " redis_client = RedisMarketDataClient(\n", " host=os.getenv(\"MARKET_REDIS_HOST\", \"localhost\"),\n", " port=int(os.getenv(\"MARKET_REDIS_PORT\", \"6379\")),\n", " password=os.getenv(\"MARKET_REDIS_PASSWORD\"),\n", " )\n", " \n", " try:\n", " # Query returns a QuoteSnapshot object or None\n", " quote = await redis_client.query(CONFIG[\"vn30f\"])\n", " \n", " if quote:\n", " # Display quote information\n", " print(f\"πŸ“Š {quote.instrument}\")\n", " print(f\" Last Price: {quote.latest_matched_price:,.2f}\")\n", " \n", " # bid_quantity_1 and ask_quantity_1 are the correct attribute names\n", " print(f\" Bid: {quote.bid_price_1:,.2f} x {quote.bid_quantity_1}\")\n", " print(f\" Ask: {quote.ask_price_1:,.2f} x {quote.ask_quantity_1}\")\n", " \n", " # spread_bps is a calculated property (basis points)\n", " if quote.spread_bps:\n", " print(f\" Spread: {quote.spread_bps:.1f} bps\")\n", " else:\n", " print(\"⚠️ No data available (check Redis connection)\")\n", " finally:\n", " # Always close the client when done\n", " await redis_client.close()\n", "\n", "# Run the async function in notebook\n", "await query_market_data()" ] }, { "cell_type": "markdown", "id": "e249239d", "metadata": {}, "source": [ "---\n", "\n", "## 6. Account & Portfolio\n", "\n", "REST API endpoints for account management:" ] }, { "cell_type": "code", "execution_count": 9, "id": "b80d1d20", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ’° Account Balances\n", "==================================================\n", "\n", "πŸ“‹ Sub-Account: TEST2226A\n", " Available Cash: 8,598,675,140 VND\n", " Total Balance: 9,243,800,140 VND\n", "\n", "πŸ“‹ Sub-Account: TEST2226B\n", " Available Cash: 10,105,674,860 VND\n", " Total Balance: 10,750,799,860 VND\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 9: Account Balance\n", "# ============================================================================\n", "# REST API calls for account information.\n", "#\n", "# get_cash_balance():\n", "# Returns: {\"remainCash\": float, \"totalCash\": float, ...}\n", "# - remainCash: Available cash for trading\n", "#\n", "# get_account_balance():\n", "# Returns: {\"totalBalance\": float, \"equity\": float, ...}\n", "# - totalBalance: Total account value including positions\n", "# ============================================================================\n", "\n", "print(\"πŸ’° Account Balances\")\n", "print(\"=\" * 50)\n", "\n", "# Query both sub-accounts\n", "for acc_id in [CONFIG[\"account_d1\"], CONFIG[\"account_d2\"]]:\n", " # Context manager switches active sub-account for REST calls\n", " with client.use_sub_account(acc_id):\n", " cash = client.get_cash_balance()\n", " total = client.get_account_balance()\n", " \n", " print(f\"\\nπŸ“‹ Sub-Account: {acc_id}\")\n", " print(f\" Available Cash: {cash.get('remainCash', 0):>15,.0f} VND\")\n", " print(f\" Total Balance: {total.get('totalBalance', 0):>15,.0f} VND\")" ] }, { "cell_type": "code", "execution_count": 10, "id": "ece637bb", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ“Š Max Placeable Calculator\n", "==================================================\n", "\n", "Symbol: HNXDS:VN30F2602\n", "Price: 1985 points\n", "Side: BUY\n", "\n", " Max Quantity: 186 contracts\n", " Per Unit Cost: 49,645,000 VND\n", " Available Cash: 8,598,675,140 VND\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 10: Max Placeable Quantity\n", "# ============================================================================\n", "# get_max_placeable() calculates maximum order size.\n", "#\n", "# Parameters:\n", "# - symbol: Trading symbol\n", "# - price: Order price\n", "# - side: \"BUY\" or \"SELL\"\n", "#\n", "# Returns: {\n", "# \"success\": bool,\n", "# \"maxQty\": int, # Maximum quantity you can order\n", "# \"perUnitCost\": float, # Cost per contract/share\n", "# \"remainCash\": float, # Available cash\n", "# \"error\": str # Error message if failed\n", "# }\n", "#\n", "# For derivatives: perUnitCost = margin requirement per contract\n", "# For stocks: perUnitCost = price Γ— 1 share\n", "# ============================================================================\n", "\n", "print(\"πŸ“Š Max Placeable Calculator\")\n", "print(\"=\" * 50)\n", "\n", "# Calculate max BUY quantity for VN30F at 1985\n", "result = client.get_max_placeable(\n", " symbol=CONFIG[\"vn30f\"],\n", " price=1985,\n", " side=\"BUY\"\n", ")\n", "\n", "if result.get(\"success\"):\n", " print(f\"\\nSymbol: {CONFIG['vn30f']}\")\n", " print(f\"Price: 1985 points\")\n", " print(f\"Side: BUY\")\n", " print(f\"\")\n", " print(f\" Max Quantity: {result.get('maxQty', 0):>10} contracts\")\n", " print(f\" Per Unit Cost: {result.get('perUnitCost', 0):>10,.0f} VND\")\n", " print(f\" Available Cash: {result.get('remainCash', 0):>10,.0f} VND\")\n", "else:\n", " print(f\"⚠️ Error: {result.get('error', 'Unknown')}\")" ] }, { "cell_type": "code", "execution_count": 11, "id": "3d058798", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ“ˆ Portfolio Positions\n", "==========================================================================================\n", "Instrument Qty Avg Price Total Cost PnL\n", "------------------------------------------------------------------------------------------\n", "HNXDS:VN30F2602 -13 1,985.00 645,125,000 0\n", "------------------------------------------------------------------------------------------\n", "TOTAL 645,125,000 0\n", "\n", "πŸ“Š Margin: Derivative=25%, Equity=100%\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 11: Portfolio Positions\n", "# ============================================================================\n", "# get_portfolio_by_sub() returns current positions.\n", "#\n", "# Returns: {\n", "# \"success\": bool,\n", "# \"items\": [\n", "# {\n", "# \"instrument\": str, # Trading symbol (e.g., \"HNXDS:VN30F2602\")\n", "# \"quantity\": int, # Position size (+ = long, - = short)\n", "# \"avgPrice\": float, # Average entry price (from server)\n", "# \"totalCost\": float, # Total cost basis\n", "# \"currentPrice\": float, # Current market price (may be None)\n", "# \"marketValue\": float, # quantity Γ— currentPrice (may be None)\n", "# \"pnl\": float # Unrealized P&L (may be None)\n", "# },\n", "# ...\n", "# ],\n", "# \"derivativeMargin\": float, # e.g., 0.25 (25% margin for derivatives)\n", "# \"equityMargin\": float # e.g., 1.0 (100% for equities)\n", "# }\n", "# ============================================================================\n", "\n", "print(\"πŸ“ˆ Portfolio Positions\")\n", "print(\"=\" * 90)\n", "\n", "portfolio = client.get_portfolio_by_sub()\n", "\n", "if portfolio.get(\"success\"):\n", " items = portfolio.get(\"items\", [])\n", " \n", " if items:\n", " # Print header\n", " print(f\"{'Instrument':<20} {'Qty':>8} {'Avg Price':>12} {'Total Cost':>15} {'PnL':>15}\")\n", " print(\"-\" * 90)\n", " \n", " # Print each position\n", " for pos in items:\n", " instrument = pos.get(\"instrument\", \"\")\n", " qty = pos.get(\"quantity\", 0)\n", " avg_px = pos.get(\"avgPrice\", 0)\n", " cost = pos.get(\"totalCost\", 0)\n", " pnl = pos.get(\"pnl\")\n", " \n", " # Format PnL with color\n", " if pnl is not None:\n", " pnl_str = f\"{pnl:>15,.0f}\"\n", " if pnl > 0:\n", " pnl_str = f\"🟒 +{pnl:,.0f}\"\n", " elif pnl < 0:\n", " pnl_str = f\"πŸ”΄ {pnl:,.0f}\"\n", " else:\n", " pnl_str = \"N/A\"\n", " \n", " print(f\"{instrument:<20} {qty:>8} {avg_px:>12,.2f} {cost:>15,.0f} {pnl_str:>15}\")\n", " \n", " # Summary\n", " print(\"-\" * 90)\n", " total_cost = sum(float(p.get(\"totalCost\", 0) or 0) for p in items)\n", " total_pnl = sum(float(p.get(\"pnl\", 0) or 0) for p in items if p.get(\"pnl\") is not None)\n", " print(f\"{'TOTAL':<20} {'':<8} {'':<12} {total_cost:>15,.0f} {total_pnl:>15,.0f}\")\n", " \n", " # Show margin info\n", " if portfolio.get(\"derivativeMargin\"):\n", " print(f\"\\nπŸ“Š Margin: Derivative={portfolio.get('derivativeMargin')*100:.0f}%, Equity={portfolio.get('equityMargin', 1)*100:.0f}%\")\n", " else:\n", " print(\"No open positions\")\n", "else:\n", " print(\"No portfolio data available\")" ] }, { "cell_type": "markdown", "id": "7f53da04", "metadata": {}, "source": [ "---\n", "\n", "## πŸŽ‰ Next Steps\n", "\n", "1. **More examples**: `examples/01_*.py` β†’ `examples/11_*.py`\n", "2. **Market Data**: See `examples/05-07` for Redis/Kafka streaming\n", "3. **Advanced Orders**: See `examples/04` for cross-matching patterns\n", "4. **Documentation**: See `docs/` folder\n", "\n", "---\n", "\n", "*Happy Trading!* πŸš€πŸ“ˆ" ] }, { "cell_type": "code", "execution_count": 12, "id": "d8dd3da3", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ”Œ Closing session...\n", "βœ… Done!\n" ] } ], "source": [ "# ============================================================================\n", "# CELL 12: Cleanup (Optional)\n", "# ============================================================================\n", "# Run this cell when done to properly close the connection.\n", "#\n", "# Note: QuickFIX (underlying FIX engine) cleanup can sometimes cause\n", "# segmentation faults on Python exit. This is a known issue.\n", "# In production, you may need to use os._exit(0) for clean exit.\n", "# ============================================================================\n", "\n", "print(\"πŸ”Œ Closing session...\")\n", "# client.disconnect() # Uncomment to explicitly disconnect\n", "print(\"βœ… Done!\")" ] }, { "cell_type": "markdown", "id": "1fae16fe", "metadata": {}, "source": [ "# PaperBroker Client - Complete Tutorial\n", "\n", "**Comprehensive guide** covering all trading scenarios with a single persistent connection.\n", "\n", "---\n", "\n", "## πŸ“š Table of Contents\n", "\n", "1. [Setup & Configuration](#1-setup--configuration) - Verify existing connection\n", "2. [Example 1: Simple Login & Account Info](#2-example-1-simple-login--account-info)\n", "3. [Example 2: Order Cancellation](#3-example-2-order-cancellation)\n", "4. [Example 3: Cross-Matching Derivative](#4-example-3-cross-matching-derivative)\n", "5. [Example 4: Advanced Cross-Matching](#5-example-4-advanced-cross-matching)\n", "6. [Summary & Best Practices](#6-summary--best-practices)\n", "\n", "---\n", "\n", "## 🎯 Learning Path\n", "\n", "- **Beginner**: Examples 1-2 (Login, Cancellation)\n", "- **Intermediate**: Example 3 (Simple Cross-Matching)\n", "- **Advanced**: Example 4 (Multiple Orders, FIFO)\n", "\n", "---\n", "\n", "## ⚠️ Important: Single Connection Strategy\n", "\n", "This part **reuses the FIX connection** established in Part 1 (Cell 3).\n", "\n", "**Do NOT** create a new client or call `connect()` again - this will cause:\n", "- Sequence number mismatches\n", "- Session conflicts\n", "- Logon failures\n", "\n", "**Instead:** Just verify the connection is active and continue using the existing `client` variable." ] }, { "cell_type": "markdown", "id": "abdd64f7", "metadata": {}, "source": [ "## 1. Setup & Configuration\n", "\n", "### Prerequisites\n", "\n", "1. Python 3.10+\n", "2. PaperBroker account with FIX access\n", "3. **Cell 1-3 already executed** (connection established)\n", "\n", "### ⚠️ Connection Strategy\n", "\n", "**This part reuses the FIX connection from Part 1!**\n", "\n", "```\n", "Part 1 (Cell 1-3): Part 2 (This section):\n", "β”Œβ”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β” β”Œβ”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”\n", "β”‚ Create β”‚ β”‚ Verify connection β”‚\n", "β”‚ client & │───────▢│ is still active β”‚\n", "β”‚ connect β”‚ β”‚ (NO new connection) β”‚\n", "β””β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”˜ β””β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”€β”˜\n", "```\n", "\n", "**Why?** Logging in/out repeatedly can cause FIX session bugs due to sequence number mismatches." ] }, { "cell_type": "code", "execution_count": 13, "id": "b47cc38f", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… Client already connected from Part 1!\n", "βœ… Ready to continue with Part 2 examples!\n" ] } ], "source": [ "# ============================================================================\n", "# PART 2: Complete Tutorial - Verify Connection\n", "# ============================================================================\n", "# This part reuses the client from Part 1 (Cell 3).\n", "# NO new connection is created - we just verify the existing one.\n", "#\n", "# ⚠️ IMPORTANT: You must run Cell 1-3 first to establish the connection!\n", "# ============================================================================\n", "\n", "# Verify that client exists and is connected\n", "try:\n", " # Check if client variable exists from Part 1\n", " if 'client' not in dir() or client is None:\n", " raise NameError(\"Client not found\")\n", " \n", " # Verify connection is still active\n", " if not client.is_logged_on():\n", " print(\"⚠️ Client exists but not logged on. Reconnecting...\")\n", " client.connect()\n", " if not client.wait_until_logged_on(timeout=10):\n", " error = client.last_logon_error()\n", " raise Exception(f\"Reconnection failed: {error}\")\n", " print(\"βœ… Reconnected successfully!\")\n", " else:\n", " print(\"βœ… Client already connected from Part 1!\")\n", " \n", "except NameError:\n", " print(\"❌ ERROR: Client not found!\")\n", " print(\" Please run Cell 1-3 first to create and connect the client.\")\n", " print(\" This part reuses the existing connection.\")\n", " raise Exception(\"Run Cell 1-3 first to establish FIX connection\")\n", "\n", "print(\"βœ… Ready to continue with Part 2 examples!\")" ] }, { "cell_type": "markdown", "id": "89518079", "metadata": {}, "source": [ "### Verify Connection (Reuse from Part 1)\n", "\n", "**⚠️ Important:** This section reuses the client created in **Cell 3**. No new connection is created!\n", "\n", "If you haven't run Cell 1-3 yet, go back and run them first." ] }, { "cell_type": "code", "execution_count": 14, "id": "7a0ea288", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "πŸ“ Configuration for Part 2:\n", "==================================================\n", " socket_host: 100.97.83.110\n", " socket_port: 5001\n", " sender_comp_id: LOCAL_FIX\n", " target_comp_id: SERVER\n", " username: test2226\n", " password: ***\n", " rest_base_url: http://100.97.83.110:9090\n", " account_d1: TEST2226A\n", " account_d2: TEST2226B\n", " vn30f: HNXDS:VN30F2602\n", " mwg: HSX:MWG\n", " symbol_derivative: HNXDS:VN30F2602\n", "\n", "==================================================\n", "πŸ”Œ CLIENT STATUS\n", "==================================================\n", "βœ… FIX session is ACTIVE\n", " Sender: LOCAL_FIX\n", " Target: SERVER\n", "\n", "βœ… Ready for cross-matching examples!\n", "==================================================\n" ] } ], "source": [ "# ============================================================================\n", "# PART 2: Extended Configuration for Cross-Matching\n", "# ============================================================================\n", "# This cell extends the CONFIG from Part 1 with additional symbols.\n", "# Uses the SAME client - no new connection created!\n", "#\n", "# Key difference from Part 1 CONFIG:\n", "# - Adds symbol_derivative for cross-matching examples\n", "# - Reuses existing connection parameters\n", "# ============================================================================\n", "\n", "# Extend CONFIG with derivative symbol for cross-matching examples\n", "# (CONFIG was defined in Cell 2, client was created in Cell 3)\n", "if \"symbol_derivative\" not in CONFIG:\n", " CONFIG[\"symbol_derivative\"] = os.getenv(\"VN30F1M\", \"HNXDS:VN30F2511\")\n", "\n", "# Display current configuration\n", "print(\"πŸ“ Configuration for Part 2:\")\n", "print(\"=\" * 50)\n", "for key, value in CONFIG.items():\n", " if key == \"password\":\n", " print(f\" {key}: ***\")\n", " else:\n", " print(f\" {key}: {value}\")\n", "\n", "print(\"\\n\" + \"=\" * 50)\n", "print(\"πŸ”Œ CLIENT STATUS\")\n", "print(\"=\" * 50)\n", "\n", "# Verify client is still connected (from Cell 3)\n", "if client.is_logged_on():\n", " print(\"βœ… FIX session is ACTIVE\")\n", " print(f\" Sender: {CONFIG.get('sender_comp_id', 'N/A')}\")\n", " print(f\" Target: {CONFIG.get('target_comp_id', 'N/A')}\")\n", "else:\n", " print(\"⚠️ FIX session is NOT active\")\n", " print(\" Run Cell 3 to connect, or check if connection was lost.\")\n", "\n", "print(\"\\nβœ… Ready for cross-matching examples!\")\n", "print(\"=\" * 50)" ] }, { "cell_type": "markdown", "id": "be421469", "metadata": {}, "source": [ "---\n", "\n", "## 2. Example 1: Simple Login & Account Info\n", "\n", "**Goal:** Query account information using the connected client.\n", "\n", "**What you'll learn:**\n", "- Balance queries via REST API\n", "- Using persistent connections\n", "- Working with sub-accounts" ] }, { "cell_type": "code", "execution_count": 15, "id": "8d97f36a", "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "[07:12:22] INFO: πŸ“Š Querying account information...\n", "[07:12:22] INFO: \n", "πŸ’° Account D1:\n", "[07:12:22] INFO: Available cash: 8,598,675,140 VND\n", "[07:12:22] INFO: Total balance: 9,243,800,140 VND\n", "[07:12:22] INFO: \n", "πŸ’° Account D2:\n", "[07:12:22] INFO: Available cash: 10,105,674,860 VND\n", "[07:12:22] INFO: Total balance: 10,750,799,860 VND\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "================================================================================\n", "EXAMPLE 1: SIMPLE LOGIN & ACCOUNT INFO\n", "================================================================================\n", "\n", "βœ… Example 1 completed!\n", "================================================================================\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 1: Simple Login & Account Info\n", "# ============================================================================\n", "# Demonstrates querying account information via REST API.\n", "# The FIX connection is already established - just query balances.\n", "# ============================================================================\n", "\n", "print(\"=\" * 80)\n", "print(\"EXAMPLE 1: SIMPLE LOGIN & ACCOUNT INFO\")\n", "print(\"=\" * 80)\n", "\n", "logger.info(\"πŸ“Š Querying account information...\")\n", "\n", "# Query D1 sub-account\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " cash_d1 = client.get_cash_balance() # Available cash\n", " total_d1 = client.get_account_balance() # Total balance\n", "\n", "# Query D2 sub-account\n", "with client.use_sub_account(CONFIG[\"account_d2\"]):\n", " cash_d2 = client.get_cash_balance()\n", " total_d2 = client.get_account_balance()\n", "\n", "# Display results\n", "logger.info(\"\\nπŸ’° Account D1:\")\n", "logger.info(f\" Available cash: {cash_d1.get('remainCash', 0):,.0f} VND\")\n", "logger.info(f\" Total balance: {total_d1.get('totalBalance', 0):,.0f} VND\")\n", "\n", "logger.info(\"\\nπŸ’° Account D2:\")\n", "logger.info(f\" Available cash: {cash_d2.get('remainCash', 0):,.0f} VND\")\n", "logger.info(f\" Total balance: {total_d2.get('totalBalance', 0):,.0f} VND\")\n", "\n", "print(\"\\nβœ… Example 1 completed!\")\n", "print(\"=\" * 80)" ] }, { "cell_type": "markdown", "id": "be32104b", "metadata": {}, "source": [ "---\n", "\n", "## 3. Example 2: Order Cancellation\n", "\n", "**Goal:** Place a limit order and cancel it before execution.\n", "\n", "**What you'll learn:**\n", "- Place limit orders\n", "- Track order status with events\n", "- Cancel pending orders" ] }, { "cell_type": "markdown", "id": "d4a1fe25", "metadata": {}, "source": [ "### Define Order Tracker" ] }, { "cell_type": "code", "execution_count": 16, "id": "b9a82638", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… OrderTracker class defined\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 2: Order Tracker Class\n", "# ============================================================================\n", "# This class tracks a single order using ThreadEvent for synchronization.\n", "# ThreadEvent.set() signals the event occurred.\n", "# ThreadEvent.wait(timeout) blocks until the event is set.\n", "# ============================================================================\n", "\n", "class OrderTracker:\n", " \"\"\"\n", " Track order lifecycle using events.\n", " \n", " Usage:\n", " tracker = OrderTracker()\n", " client.on(\"fix:order:accepted\", tracker.on_order_accepted)\n", " tracker.order_id = client.place_order(...)\n", " tracker.order_accepted.wait(timeout=10) # Blocks until accepted\n", " \"\"\"\n", " def __init__(self):\n", " self.order_accepted = ThreadEvent() # Set when order is accepted\n", " self.order_canceled = ThreadEvent() # Set when order is canceled\n", " self.order_id = None # Order ID to track\n", " self.status = None # Current status\n", " \n", " def on_order_accepted(self, cl_ord_id, status, **kwargs):\n", " \"\"\"Event handler: Order accepted by server.\"\"\"\n", " if cl_ord_id == self.order_id:\n", " self.status = status\n", " logger.info(f\"βœ… Order accepted: {cl_ord_id[:8]}... (Status: {status})\")\n", " self.order_accepted.set() # Unblock wait()\n", " \n", " def on_order_canceled(self, orig_cl_ord_id, status, **kwargs):\n", " \"\"\"Event handler: Order canceled.\"\"\"\n", " if orig_cl_ord_id == self.order_id:\n", " self.status = status\n", " logger.info(f\"βœ… Order canceled: {orig_cl_ord_id[:8]}... (Status: {status})\")\n", " self.order_canceled.set()\n", " \n", " def on_order_rejected(self, cl_ord_id, reason, **kwargs):\n", " \"\"\"Event handler: Order rejected.\"\"\"\n", " if cl_ord_id == self.order_id:\n", " logger.error(f\"❌ Order rejected: {cl_ord_id[:8]}... - {reason}\")\n", "\n", "print(\"βœ… OrderTracker class defined\")" ] }, { "cell_type": "markdown", "id": "2dcc0566", "metadata": {}, "source": [ "### Execute Cancellation" ] }, { "cell_type": "code", "execution_count": 17, "id": "de410207", "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "[07:12:22] INFO: Symbol: HNXDS:VN30F2602\n", "[07:12:22] INFO: Account: TEST2226A\n", "[07:12:22] INFO: Action: Place order β†’ Wait 2s β†’ Cancel\n", "[07:12:22] INFO: \n", "πŸ“€ Placing SELL order...\n", "[07:12:22] INFO: Order ID: ade7db5f...\n", "[07:12:22] INFO: βœ… Order accepted: ade7db5f... (Status: NEW)\n", "[07:12:22] INFO: \n", "⏳ Waiting 2 seconds...\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "================================================================================\n", "EXAMPLE 2: ORDER CANCELLATION\n", "================================================================================\n", "βœ… Order ACCEPTED: ade7db5f... | Status: NEW\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:24] INFO: \n", "πŸ—‘οΈ Canceling order...\n", "[07:12:24] INFO: βœ… Order canceled: ade7db5f... (Status: CANCELED)\n", "[07:12:24] INFO: \n", "πŸ“Š Summary:\n", "[07:12:24] INFO: Order ID: ade7db5f...\n", "[07:12:24] INFO: Final Status: CANCELED\n", "[07:12:24] INFO: Symbol: HNXDS:VN30F2602\n", "[07:12:24] INFO: Quantity: 1\n", "[07:12:24] INFO: Price: 1,985 VND\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "❌ Order CANCELED: ade7db5f...\n", "\n", "βœ… Example 2 completed!\n", "================================================================================\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 2: Execute Order Cancellation\n", "# ============================================================================\n", "# Flow: Place order β†’ Wait for acceptance β†’ Wait N seconds β†’ Cancel\n", "# Uses OrderTracker to synchronize with FIX responses.\n", "# ============================================================================\n", "\n", "print(\"=\" * 80)\n", "print(\"EXAMPLE 2: ORDER CANCELLATION\")\n", "print(\"=\" * 80)\n", "\n", "# Order parameters\n", "symbol = CONFIG[\"symbol_derivative\"]\n", "price = 1985.0 # Far price - won't match immediately\n", "qty = 1 # 1 contract\n", "delay_seconds = 2 # Wait before canceling\n", "\n", "logger.info(f\"Symbol: {symbol}\")\n", "logger.info(f\"Account: {CONFIG['account_d1']}\")\n", "logger.info(f\"Action: Place order β†’ Wait {delay_seconds}s β†’ Cancel\")\n", "\n", "# Create tracker and subscribe to events\n", "tracker = OrderTracker()\n", "client.on(\"fix:order:accepted\", tracker.on_order_accepted)\n", "client.on(\"fix:order:canceled\", tracker.on_order_canceled)\n", "client.on(\"fix:order:rejected\", tracker.on_order_rejected)\n", "\n", "# Step 1: Place order\n", "logger.info(\"\\nπŸ“€ Placing SELL order...\")\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " order_id = client.place_order(\n", " full_symbol=symbol,\n", " side=\"SELL\",\n", " qty=qty,\n", " price=price,\n", " ord_type=\"LIMIT\"\n", " )\n", "\n", "# Store order ID in tracker for event matching\n", "tracker.order_id = order_id\n", "logger.info(f\"Order ID: {order_id[:16]}...\")\n", "\n", "# Step 2: Wait for acceptance confirmation\n", "if not tracker.order_accepted.wait(timeout=10):\n", " logger.error(\"❌ Timeout waiting for order acceptance\")\n", "else:\n", " # Step 3: Wait before canceling\n", " logger.info(f\"\\n⏳ Waiting {delay_seconds} seconds...\")\n", " time.sleep(delay_seconds)\n", " \n", " # Step 4: Send cancel request\n", " logger.info(f\"\\nπŸ—‘οΈ Canceling order...\")\n", " client.cancel_order(order_id)\n", " \n", " # Step 5: Wait for cancel confirmation\n", " if not tracker.order_canceled.wait(timeout=10):\n", " logger.warning(\"⚠️ Timeout waiting for cancellation\")\n", " \n", " # Summary\n", " logger.info(\"\\nπŸ“Š Summary:\")\n", " logger.info(f\" Order ID: {order_id[:16]}...\")\n", " logger.info(f\" Final Status: {tracker.status or 'UNKNOWN'}\")\n", " logger.info(f\" Symbol: {symbol}\")\n", " logger.info(f\" Quantity: {qty}\")\n", " logger.info(f\" Price: {price:,.0f} VND\")\n", "\n", "print(\"\\nβœ… Example 2 completed!\")\n", "print(\"=\" * 80)" ] }, { "cell_type": "markdown", "id": "47ee6c8a", "metadata": {}, "source": [ "---\n", "\n", "## 4. Example 3: Cross-Matching Derivative\n", "\n", "**Goal:** Demonstrate instant order matching between two sub-accounts.\n", "\n", "**What you'll learn:**\n", "- Multi-account trading (D1 ↔ D2)\n", "- Cross-matching mechanism\n", "- Event-driven fill tracking" ] }, { "cell_type": "markdown", "id": "168793ac", "metadata": {}, "source": [ "### Define Cross-Match Tracker" ] }, { "cell_type": "code", "execution_count": 18, "id": "bac86139", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… CrossMatchTracker class defined\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 3: Cross-Match Tracker Class\n", "# ============================================================================\n", "# Tracks fills from both D1 and D2 orders.\n", "# fill_count increments for each fill event.\n", "# When both orders are filled (count >= 2), signals completion.\n", "# ============================================================================\n", "\n", "class CrossMatchTracker:\n", " \"\"\"\n", " Track cross-matching fill events.\n", " \n", " Cross-matching: D1 SELL + D2 BUY β†’ 2 fill events\n", " \"\"\"\n", " \n", " def __init__(self):\n", " self.orders = {} # {order_id: order_info}\n", " self.filled_event = ThreadEvent() # Set when both orders filled\n", " self.fill_count = 0 # Number of fills received\n", " \n", " def on_order_filled(self, cl_ord_id, status, last_px, last_qty, **kw):\n", " \"\"\"Event handler: Order filled.\"\"\"\n", " logger.info(f\"πŸ”” ORDER FILLED: {cl_ord_id[:8]}...\")\n", " \n", " # Track order info\n", " if cl_ord_id not in self.orders:\n", " self.orders[cl_ord_id] = {\"status\": status, \"qty_filled\": 0, \"avg_price\": 0}\n", " \n", " order = self.orders[cl_ord_id]\n", " order[\"status\"] = status\n", " order[\"qty_filled\"] = last_qty\n", " order[\"avg_price\"] = last_px\n", " \n", " self.fill_count += 1\n", " logger.info(f\"βœ… Filled: {last_qty} @ {last_px:,.0f} VND\")\n", " \n", " # Cross-match complete when both sides filled\n", " if self.fill_count >= 2:\n", " logger.info(\"🎯 Both orders filled - cross-match complete!\")\n", " self.filled_event.set()\n", " \n", " def on_order_accepted(self, cl_ord_id, status, **kw):\n", " \"\"\"Event handler: Order accepted.\"\"\"\n", " logger.info(f\"βœ“ Order ACCEPTED: {cl_ord_id[:8]}...\")\n", " \n", " def on_order_rejected(self, cl_ord_id, reason, **kw):\n", " \"\"\"Event handler: Order rejected.\"\"\"\n", " logger.error(f\"❌ Order REJECTED: {cl_ord_id[:8]}... | Reason: {reason}\")\n", "\n", "print(\"βœ… CrossMatchTracker class defined\")" ] }, { "cell_type": "markdown", "id": "3b13ba8b", "metadata": {}, "source": [ "### Execute Cross-Matching" ] }, { "cell_type": "code", "execution_count": 19, "id": "f081f19e", "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "[07:12:24] INFO: Symbol: HNXDS:VN30F2602\n", "[07:12:24] INFO: Sub-Accounts: TEST2226A (seller) and TEST2226B (buyer)\n", "[07:12:24] INFO: Mechanism: D2 can match unconditionally with D1\n", "[07:12:24] INFO: \n", "πŸ’° Initial Balances:\n", "[07:12:24] INFO: D1: 8,598,675,140 VND\n", "[07:12:24] INFO: D2: 10,105,674,860 VND\n", "[07:12:24] INFO: \n", "πŸ“€ Placing Cross-Match Orders:\n", "[07:12:24] INFO: Symbol: HNXDS:VN30F2602\n", "[07:12:24] INFO: Price: 1,985\n", "[07:12:24] INFO: Quantity: 1 contract(s)\n", "[07:12:24] INFO: \n", " Strategy: D1 SELLS β†’ D2 BUYS β†’ INSTANT MATCH\n", "[07:12:24] INFO: \n", " [1/2] D1 placing SELL order...\n", "[07:12:24] INFO: Order ID: 71909016...\n", "[07:12:24] INFO: βœ“ Order ACCEPTED: 71909016...\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "================================================================================\n", "EXAMPLE 3: CROSS-MATCHING DERIVATIVE (D1 vs D2)\n", "================================================================================\n", "βœ… Order ACCEPTED: 71909016... | Status: NEW\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:25] INFO: \n", " [2/2] D2 placing BUY order...\n", "[07:12:25] INFO: Order ID: 18b46e61...\n", "[07:12:25] INFO: \n", "⏳ Waiting for cross-match...\n", "[07:12:25] INFO: βœ“ Order ACCEPTED: 18b46e61...\n", "[07:12:25] INFO: πŸ”” ORDER FILLED: 18b46e61...\n", "[07:12:25] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:25] INFO: πŸ”” ORDER FILLED: 71909016...\n", "[07:12:25] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:25] INFO: 🎯 Both orders filled - cross-match complete!\n", "[07:12:25] INFO: \n", "πŸŽ‰ CROSS-MATCH COMPLETED!\n", "[07:12:25] INFO: \n", "πŸ“Š Trade Summary:\n", "[07:12:25] INFO: Order 18b46e61... | Status: FILLED | Filled: 1.0 @ 1,985 VND\n", "[07:12:25] INFO: Order 71909016... | Status: FILLED | Filled: 1.0 @ 1,985 VND\n", "[07:12:25] INFO: \n", "πŸ’° Final Balances:\n", "[07:12:25] INFO: D1: 8,549,030,140 VND\n", "[07:12:25] INFO: D2: 10,056,029,860 VND\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: 18b46e61... | Status: NEW\n", "🎯 Order FILLED: 18b46e61... | 1.0 @ 1,985\n", "🎯 Order FILLED: 71909016... | 1.0 @ 1,985\n", "\n", "βœ… Example 3 completed!\n", "================================================================================\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 3: Execute Cross-Matching\n", "# ============================================================================\n", "# Cross-match flow:\n", "# 1. D1 places SELL β†’ order sits in book\n", "# 2. D2 places BUY at same price β†’ instant match with D1\n", "# 3. Both accounts receive fill events\n", "#\n", "# Key: D1 must be in book BEFORE D2 can match\n", "# ============================================================================\n", "\n", "print(\"=\" * 80)\n", "print(\"EXAMPLE 3: CROSS-MATCHING DERIVATIVE (D1 vs D2)\")\n", "print(\"=\" * 80)\n", "\n", "# Trade parameters\n", "symbol = CONFIG[\"symbol_derivative\"]\n", "price = 1985.0 # Match price\n", "qty = 1 # 1 contract\n", "\n", "logger.info(f\"Symbol: {symbol}\")\n", "logger.info(f\"Sub-Accounts: {CONFIG['account_d1']} (seller) and {CONFIG['account_d2']} (buyer)\")\n", "logger.info(\"Mechanism: D2 can match unconditionally with D1\")\n", "\n", "# Create tracker and subscribe to fill events\n", "tracker_ex3 = CrossMatchTracker()\n", "client.on(\"fix:order:filled\", tracker_ex3.on_order_filled)\n", "client.on(\"fix:order:accepted\", tracker_ex3.on_order_accepted)\n", "client.on(\"fix:order:rejected\", tracker_ex3.on_order_rejected)\n", "\n", "# Query initial balances\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " balance_d1 = client.get_cash_balance()\n", "with client.use_sub_account(CONFIG[\"account_d2\"]):\n", " balance_d2 = client.get_cash_balance()\n", "\n", "logger.info(\"\\nπŸ’° Initial Balances:\")\n", "logger.info(f\" D1: {balance_d1.get('remainCash', 0):,.0f} VND\")\n", "logger.info(f\" D2: {balance_d2.get('remainCash', 0):,.0f} VND\")\n", "\n", "# --- Cross-Match Execution ---\n", "logger.info(\"\\nπŸ“€ Placing Cross-Match Orders:\")\n", "logger.info(f\" Symbol: {symbol}\")\n", "logger.info(f\" Price: {price:,.0f}\")\n", "logger.info(f\" Quantity: {qty} contract(s)\")\n", "logger.info(\"\\n Strategy: D1 SELLS β†’ D2 BUYS β†’ INSTANT MATCH\")\n", "\n", "# Step 1: D1 places SELL order (enters order book)\n", "logger.info(\"\\n [1/2] D1 placing SELL order...\")\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " order_d1 = client.place_order(\n", " full_symbol=symbol,\n", " side=\"SELL\",\n", " qty=qty,\n", " price=price,\n", " ord_type=\"LIMIT\"\n", " )\n", "logger.info(f\" Order ID: {order_d1[:8]}...\")\n", "\n", "# Wait to ensure D1 order is in the book\n", "time.sleep(1.0)\n", "\n", "# Step 2: D2 places BUY order β†’ matches immediately with D1\n", "logger.info(\"\\n [2/2] D2 placing BUY order...\")\n", "with client.use_sub_account(CONFIG[\"account_d2\"]):\n", " order_d2 = client.place_order(\n", " full_symbol=symbol,\n", " side=\"BUY\",\n", " qty=qty,\n", " price=price,\n", " ord_type=\"LIMIT\"\n", " )\n", "logger.info(f\" Order ID: {order_d2[:8]}...\")\n", "\n", "# Wait for both fill events\n", "logger.info(\"\\n⏳ Waiting for cross-match...\")\n", "\n", "if tracker_ex3.filled_event.wait(timeout=10):\n", " logger.info(\"\\nπŸŽ‰ CROSS-MATCH COMPLETED!\")\n", " \n", " # Display trade results\n", " logger.info(\"\\nπŸ“Š Trade Summary:\")\n", " for cl_ord_id, order in tracker_ex3.orders.items():\n", " logger.info(\n", " f\" Order {cl_ord_id[:8]}... | \"\n", " f\"Status: {order['status']:8s} | \"\n", " f\"Filled: {order['qty_filled']} @ {order['avg_price']:,.0f} VND\"\n", " )\n", " \n", " # Query updated balances\n", " with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " balance_d1_after = client.get_cash_balance()\n", " with client.use_sub_account(CONFIG[\"account_d2\"]):\n", " balance_d2_after = client.get_cash_balance()\n", " \n", " logger.info(\"\\nπŸ’° Final Balances:\")\n", " logger.info(f\" D1: {balance_d1_after.get('remainCash', 0):,.0f} VND\")\n", " logger.info(f\" D2: {balance_d2_after.get('remainCash', 0):,.0f} VND\")\n", "else:\n", " logger.warning(\"\\n⚠️ Timeout waiting for fills (10 seconds)\")\n", "\n", "print(\"\\nβœ… Example 3 completed!\")\n", "print(\"=\" * 80)" ] }, { "cell_type": "markdown", "id": "cf327ddb", "metadata": {}, "source": [ "---\n", "\n", "## 5. Example 4: Advanced Cross-Matching\n", "\n", "**Goal:** Demonstrate full fills vs multiple orders patterns.\n", "\n", "**What you'll learn:**\n", "- Full fill (1 order β†’ 1 fill event)\n", "- Multiple orders (3 orders β†’ 3 fill events)\n", "- FIFO matching at same price\n", "- Detailed fill tracking" ] }, { "cell_type": "markdown", "id": "a4d7eca6", "metadata": {}, "source": [ "### Define Advanced Order Tracker" ] }, { "cell_type": "code", "execution_count": 20, "id": "df1d6571", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… D1OrderTracker class defined\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 4: D1 Order Tracker Class\n", "# ============================================================================\n", "# Advanced tracker that monitors multiple D1 orders and their fill events.\n", "# \n", "# Features:\n", "# - register_order(): Add an order ID to track\n", "# - on_order_filled(): Accumulate fills, detect full vs partial fills\n", "# - print_summary(): Display detailed execution report\n", "#\n", "# This demonstrates the difference between:\n", "# - 1 order of 5 contracts β†’ 1 fill event\n", "# - 3 orders of varying sizes β†’ 3 fill events (FIFO)\n", "# ============================================================================\n", "\n", "class D1OrderTracker:\n", " \"\"\"\n", " Advanced tracker for multiple D1 orders.\n", " Tracks fill events with cumulative quantity and fill history.\n", " \"\"\"\n", " \n", " def __init__(self):\n", " self.orders = {} # {cl_ord_id: order_info}\n", " self.filled_event = ThreadEvent()\n", " self.target_orders = [] # List of order IDs we're tracking\n", " \n", " def register_order(self, cl_ord_id, qty):\n", " \"\"\"Add an order to track. Call after place_order().\"\"\"\n", " self.orders[cl_ord_id] = {\n", " \"status\": \"NEW\",\n", " \"qty_ordered\": qty, # Original quantity\n", " \"cum_qty\": 0, # Cumulative filled quantity\n", " \"avg_price\": 0,\n", " \"fills\": [] # List of fill events\n", " }\n", " self.target_orders.append(cl_ord_id)\n", " logger.info(f\" πŸ“‹ Registered: {cl_ord_id[:8]}... ({qty} contracts)\")\n", " \n", " def on_order_filled(self, cl_ord_id, status, last_px, last_qty, cum_qty=None, **kw):\n", " \"\"\"\n", " Event handler: Order filled.\n", " \n", " Args:\n", " last_qty: Quantity filled in this event\n", " cum_qty: Total cumulative filled quantity (if provided)\n", " \"\"\"\n", " # Only track orders we registered\n", " if cl_ord_id not in self.target_orders:\n", " return\n", " \n", " order = self.orders[cl_ord_id]\n", " order[\"status\"] = status\n", " order[\"avg_price\"] = last_px\n", " \n", " # Update cumulative quantity\n", " if cum_qty is not None:\n", " order[\"cum_qty\"] = cum_qty\n", " else:\n", " order[\"cum_qty\"] += last_qty\n", " \n", " # Record fill event\n", " fill_num = len(order[\"fills\"]) + 1\n", " order[\"fills\"].append({\"fill_num\": fill_num, \"qty\": last_qty, \"price\": last_px})\n", " \n", " # Determine fill type\n", " is_fully_filled = order[\"cum_qty\"] >= order[\"qty_ordered\"]\n", " fill_type = \"βœ… FULL FILL\" if is_fully_filled else \"πŸ”Έ PARTIAL FILL\"\n", " \n", " logger.info(\n", " f\" {fill_type} #{fill_num}: {last_qty} @ {last_px:,.0f} VND | \"\n", " f\"Progress: {order['cum_qty']}/{order['qty_ordered']}\"\n", " )\n", " \n", " # Signal if all orders complete\n", " if self._all_orders_complete():\n", " self.filled_event.set()\n", " \n", " def _all_orders_complete(self):\n", " \"\"\"Check if all registered orders are fully filled.\"\"\"\n", " for cl_ord_id in self.target_orders:\n", " order = self.orders[cl_ord_id]\n", " if order[\"cum_qty\"] < order[\"qty_ordered\"]:\n", " return False\n", " return True\n", " \n", " def on_order_accepted(self, cl_ord_id, status, **kw):\n", " if cl_ord_id in self.target_orders:\n", " logger.info(f\" βœ“ Order accepted: {cl_ord_id[:8]}...\")\n", " \n", " def on_order_rejected(self, cl_ord_id, reason, **kw):\n", " if cl_ord_id in self.target_orders:\n", " logger.error(f\" βœ— Order rejected: {cl_ord_id[:8]}... - {reason}\")\n", " \n", " def print_summary(self):\n", " \"\"\"Print detailed execution summary.\"\"\"\n", " logger.info(\"\\nπŸ“Š D1 ORDER EXECUTION SUMMARY\")\n", " logger.info(\"=\" * 80)\n", " \n", " total_orders = len(self.target_orders)\n", " total_fills = sum(len(self.orders[oid][\"fills\"]) for oid in self.target_orders)\n", " \n", " logger.info(f\"Total D1 Orders: {total_orders}\")\n", " logger.info(f\"Total Fill Events: {total_fills}\\n\")\n", " \n", " for idx, cl_ord_id in enumerate(self.target_orders, 1):\n", " order = self.orders[cl_ord_id]\n", " logger.info(f\"Order #{idx}: {cl_ord_id[:8]}...\")\n", " logger.info(f\" Status: {order['status']}\")\n", " logger.info(f\" Ordered: {order['qty_ordered']} contracts\")\n", " logger.info(f\" Filled: {order['cum_qty']} contracts\")\n", " logger.info(f\" Fills: {len(order['fills'])}\")\n", " logger.info(f\" Avg Price: {order['avg_price']:,.0f} VND\")\n", " \n", " if order['fills']:\n", " logger.info(f\" Fill History:\")\n", " for fill in order['fills']:\n", " logger.info(\n", " f\" Fill #{fill['fill_num']}: \"\n", " f\"{fill['qty']} @ {fill['price']:,.0f} VND\"\n", " )\n", " logger.info(\"\")\n", " logger.info(\"=\" * 80)\n", "\n", "print(\"βœ… D1OrderTracker class defined\")" ] }, { "cell_type": "markdown", "id": "89f3e020", "metadata": {}, "source": [ "### Scenario A: Full Fill" ] }, { "cell_type": "code", "execution_count": 21, "id": "c1be09c3", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… Scenario A function defined\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 4 - Scenario A: Full Fill\n", "# ============================================================================\n", "# Single order of 5 contracts β†’ 1 fill event\n", "# D2 matches the entire order in one trade.\n", "# ============================================================================\n", "\n", "def run_scenario_a(tracker, symbol, price):\n", " \"\"\"\n", " Scenario A: Full Fill\n", " \n", " 1 order of 5 contracts β†’ 1 fill event\n", " \"\"\"\n", " logger.info(\"\\n\" + \"πŸ”·\" * 40)\n", " logger.info(\"SCENARIO A: FULL FILL\")\n", " logger.info(\"πŸ”·\" * 40)\n", " \n", " qty = 5 # 5 contracts in single order\n", " \n", " # D1 places SELL order\n", " logger.info(f\"\\n1️⃣ D1 places SELL: {qty} @ {price:,.0f}\")\n", " with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " order_d1 = client.place_order(\n", " full_symbol=symbol, side=\"SELL\", qty=qty, price=price, ord_type=\"LIMIT\"\n", " )\n", " tracker.register_order(order_d1, qty)\n", " \n", " time.sleep(0.5) # Ensure order is in book\n", " \n", " # D2 matches entire order\n", " logger.info(f\"\\n2️⃣ D2 matches BUY: {qty} @ {price:,.0f}\")\n", " with client.use_sub_account(CONFIG[\"account_d2\"]):\n", " client.place_order(\n", " full_symbol=symbol, side=\"BUY\", qty=qty, price=price, ord_type=\"LIMIT\"\n", " )\n", " \n", " # Wait for fill event\n", " logger.info(\"\\n⏳ Waiting for fill...\")\n", " if tracker.filled_event.wait(timeout=5):\n", " logger.info(\"\\nβœ… Scenario A completed!\")\n", " return True\n", " else:\n", " logger.warning(\"⚠️ Timeout!\")\n", " return False\n", "\n", "print(\"βœ… Scenario A function defined\")" ] }, { "cell_type": "markdown", "id": "4683795f", "metadata": {}, "source": [ "### Scenario B: Multiple Orders" ] }, { "cell_type": "code", "execution_count": 22, "id": "83a16441", "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "βœ… Scenario B function defined\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 4 - Scenario B: Multiple Orders\n", "# ============================================================================\n", "# 3 separate orders β†’ 3 fill events\n", "# Demonstrates FIFO matching: orders matched in order they were placed.\n", "# ============================================================================\n", "\n", "def run_scenario_b(tracker, symbol, price):\n", " \"\"\"\n", " Scenario B: Multiple Orders\n", " \n", " 3 orders (2, 2, 1 contracts) β†’ 3 fill events\n", " Orders are matched in FIFO order at the same price.\n", " \"\"\"\n", " logger.info(\"\\n\" + \"πŸ”Ά\" * 40)\n", " logger.info(\"SCENARIO B: MULTIPLE ORDERS\")\n", " logger.info(\"πŸ”Ά\" * 40)\n", " \n", " # 3 separate orders with varying quantities\n", " orders = [\n", " {\"qty\": 2, \"price\": price}, # Order 1\n", " {\"qty\": 2, \"price\": price}, # Order 2\n", " {\"qty\": 1, \"price\": price}, # Order 3\n", " ]\n", " \n", " # Reset the filled event for new tracking\n", " tracker.filled_event.clear()\n", " \n", " # Step 1: D1 places multiple SELL orders\n", " logger.info(f\"\\n1️⃣ D1 places {len(orders)} SELL orders:\")\n", " d1_orders = []\n", " for i, spec in enumerate(orders, 1):\n", " qty = spec[\"qty\"]\n", " px = spec[\"price\"]\n", " logger.info(f\" Order {i}: {qty} @ {px:,.0f}\")\n", " with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " order_id = client.place_order(\n", " full_symbol=symbol, side=\"SELL\", qty=qty, price=px, ord_type=\"LIMIT\"\n", " )\n", " tracker.register_order(order_id, qty)\n", " d1_orders.append((order_id, qty, px))\n", " time.sleep(0.5) # Space out orders\n", " \n", " time.sleep(1.0) # Ensure all orders are in book\n", " \n", " # Step 2: D2 matches each order in FIFO order\n", " logger.info(\"\\n2️⃣ D2 matches each order:\")\n", " for i, (order_id, qty, px) in enumerate(d1_orders, 1):\n", " logger.info(f\"\\n Match {i}/{len(d1_orders)}: BUY {qty} @ {px:,.0f}\")\n", " with client.use_sub_account(CONFIG[\"account_d2\"]):\n", " client.place_order(\n", " full_symbol=symbol, side=\"BUY\", qty=qty, price=px, ord_type=\"LIMIT\"\n", " )\n", " time.sleep(0.8) # Allow fill to process\n", " \n", " # Wait for all fills\n", " logger.info(\"\\n⏳ Waiting for all fills...\")\n", " if tracker.filled_event.wait(timeout=15):\n", " logger.info(\"\\nβœ… Scenario B completed!\")\n", " return True\n", " else:\n", " logger.warning(\"⚠️ Timeout!\")\n", " return False\n", "\n", "print(\"βœ… Scenario B function defined\")" ] }, { "cell_type": "markdown", "id": "df1eff42", "metadata": {}, "source": [ "### Execute Advanced Scenarios" ] }, { "cell_type": "code", "execution_count": 23, "id": "6b8e40d6", "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "[07:12:25] INFO: Symbol: HNXDS:VN30F2602\n", "[07:12:25] INFO: Price: 1,985\n", "[07:12:25] INFO: Focus: Full fills vs Multiple orders\n", "[07:12:25] INFO: \n", "πŸ’° D1 Balance: 8,549,030,140 VND\n", "\n", "[07:12:25] INFO: \n", "πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·\n", "[07:12:25] INFO: SCENARIO A: FULL FILL\n", "[07:12:25] INFO: πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·πŸ”·\n", "[07:12:25] INFO: \n", "1️⃣ D1 places SELL: 5 @ 1,985\n", "[07:12:26] INFO: πŸ“‹ Registered: cf41edf5... (5 contracts)\n", "[07:12:26] INFO: βœ“ Order ACCEPTED: cf41edf5...\n", "[07:12:26] INFO: βœ“ Order accepted: cf41edf5...\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "================================================================================\n", "EXAMPLE 4: ADVANCED CROSS-MATCHING\n", "================================================================================\n", "βœ… Order ACCEPTED: cf41edf5... | Status: NEW\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:26] INFO: \n", "2️⃣ D2 matches BUY: 5 @ 1,985\n", "[07:12:26] INFO: \n", "⏳ Waiting for fill...\n", "[07:12:26] INFO: βœ“ Order ACCEPTED: c03b001c...\n", "[07:12:26] INFO: πŸ”” ORDER FILLED: c03b001c...\n", "[07:12:26] INFO: βœ… Filled: 5.0 @ 1,985 VND\n", "[07:12:26] INFO: 🎯 Both orders filled - cross-match complete!\n", "[07:12:26] INFO: πŸ”” ORDER FILLED: cf41edf5...\n", "[07:12:26] INFO: βœ… Filled: 5.0 @ 1,985 VND\n", "[07:12:26] INFO: 🎯 Both orders filled - cross-match complete!\n", "[07:12:26] INFO: βœ… FULL FILL #1: 5.0 @ 1,985 VND | Progress: 5.0/5\n", "[07:12:26] INFO: \n", "βœ… Scenario A completed!\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: c03b001c... | Status: NEW\n", "🎯 Order FILLED: c03b001c... | 5.0 @ 1,985\n", "🎯 Order FILLED: cf41edf5... | 5.0 @ 1,985\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:28] INFO: \n", "πŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”Ά\n", "[07:12:28] INFO: SCENARIO B: MULTIPLE ORDERS\n", "[07:12:28] INFO: πŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”ΆπŸ”Ά\n", "[07:12:28] INFO: \n", "1️⃣ D1 places 3 SELL orders:\n", "[07:12:28] INFO: Order 1: 2 @ 1,985\n", "[07:12:28] INFO: πŸ“‹ Registered: ce45d8e6... (2 contracts)\n", "[07:12:28] INFO: βœ“ Order ACCEPTED: ce45d8e6...\n", "[07:12:28] INFO: βœ“ Order accepted: ce45d8e6...\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: ce45d8e6... | Status: NEW\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:29] INFO: Order 2: 2 @ 1,985\n", "[07:12:29] INFO: πŸ“‹ Registered: 6dc36178... (2 contracts)\n", "[07:12:29] INFO: βœ“ Order ACCEPTED: 6dc36178...\n", "[07:12:29] INFO: βœ“ Order accepted: 6dc36178...\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: 6dc36178... | Status: NEW\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:29] INFO: Order 3: 1 @ 1,985\n", "[07:12:29] INFO: πŸ“‹ Registered: 6e0874f2... (1 contracts)\n", "[07:12:29] INFO: βœ“ Order ACCEPTED: 6e0874f2...\n", "[07:12:29] INFO: βœ“ Order accepted: 6e0874f2...\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: 6e0874f2... | Status: NEW\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:31] INFO: \n", "2️⃣ D2 matches each order:\n", "[07:12:31] INFO: \n", " Match 1/3: BUY 2 @ 1,985\n", "[07:12:31] INFO: βœ“ Order ACCEPTED: bcc94b02...\n", "[07:12:31] INFO: πŸ”” ORDER FILLED: 6e0874f2...\n", "[07:12:31] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:31] INFO: 🎯 Both orders filled - cross-match complete!\n", "[07:12:31] INFO: βœ… FULL FILL #1: 1.0 @ 1,985 VND | Progress: 1.0/1\n", "[07:12:31] INFO: πŸ”” ORDER FILLED: bcc94b02...\n", "[07:12:31] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:31] INFO: 🎯 Both orders filled - cross-match complete!\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: bcc94b02... | Status: NEW\n", "🎯 Order FILLED: 6e0874f2... | 1.0 @ 1,985\n", "🎯 Order FILLED: bcc94b02... | 1.0 @ 1,985\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:31] INFO: \n", " Match 2/3: BUY 2 @ 1,985\n", "[07:12:32] INFO: βœ“ Order ACCEPTED: 2f8cda43...\n", "[07:12:32] INFO: πŸ”” ORDER FILLED: 6dc36178...\n", "[07:12:32] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:32] INFO: 🎯 Both orders filled - cross-match complete!\n", "[07:12:32] INFO: βœ… FULL FILL #1: 1.0 @ 1,985 VND | Progress: 2.0/2\n", "[07:12:32] INFO: πŸ”” ORDER FILLED: 2f8cda43...\n", "[07:12:32] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:32] INFO: 🎯 Both orders filled - cross-match complete!\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: 2f8cda43... | Status: NEW\n", "🎯 Order FILLED: 6dc36178... | 1.0 @ 1,985\n", "🎯 Order FILLED: 2f8cda43... | 1.0 @ 1,985\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:32] INFO: \n", " Match 3/3: BUY 1 @ 1,985\n", "[07:12:32] INFO: βœ“ Order ACCEPTED: 41666518...\n", "[07:12:32] INFO: πŸ”” ORDER FILLED: 41666518...\n", "[07:12:32] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:32] INFO: 🎯 Both orders filled - cross-match complete!\n", "[07:12:32] INFO: πŸ”” ORDER FILLED: ce45d8e6...\n", "[07:12:32] INFO: βœ… Filled: 1.0 @ 1,985 VND\n", "[07:12:32] INFO: 🎯 Both orders filled - cross-match complete!\n", "[07:12:32] INFO: βœ… FULL FILL #1: 1.0 @ 1,985 VND | Progress: 2.0/2\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "βœ… Order ACCEPTED: 41666518... | Status: NEW\n", "🎯 Order FILLED: 41666518... | 1.0 @ 1,985\n", "🎯 Order FILLED: ce45d8e6... | 1.0 @ 1,985\n" ] }, { "name": "stderr", "output_type": "stream", "text": [ "[07:12:33] INFO: \n", "⏳ Waiting for all fills...\n", "[07:12:33] INFO: \n", "βœ… Scenario B completed!\n", "[07:12:33] INFO: \n", "πŸ“Š D1 ORDER EXECUTION SUMMARY\n", "[07:12:33] INFO: ================================================================================\n", "[07:12:33] INFO: Total D1 Orders: 4\n", "[07:12:33] INFO: Total Fill Events: 4\n", "\n", "[07:12:33] INFO: Order #1: cf41edf5...\n", "[07:12:33] INFO: Status: FILLED\n", "[07:12:33] INFO: Ordered: 5 contracts\n", "[07:12:33] INFO: Filled: 5.0 contracts\n", "[07:12:33] INFO: Fills: 1\n", "[07:12:33] INFO: Avg Price: 1,985 VND\n", "[07:12:33] INFO: Fill History:\n", "[07:12:33] INFO: Fill #1: 5.0 @ 1,985 VND\n", "[07:12:33] INFO: \n", "[07:12:33] INFO: Order #2: ce45d8e6...\n", "[07:12:33] INFO: Status: FILLED\n", "[07:12:33] INFO: Ordered: 2 contracts\n", "[07:12:33] INFO: Filled: 2.0 contracts\n", "[07:12:33] INFO: Fills: 1\n", "[07:12:33] INFO: Avg Price: 1,985 VND\n", "[07:12:33] INFO: Fill History:\n", "[07:12:33] INFO: Fill #1: 1.0 @ 1,985 VND\n", "[07:12:33] INFO: \n", "[07:12:33] INFO: Order #3: 6dc36178...\n", "[07:12:33] INFO: Status: FILLED\n", "[07:12:33] INFO: Ordered: 2 contracts\n", "[07:12:33] INFO: Filled: 2.0 contracts\n", "[07:12:33] INFO: Fills: 1\n", "[07:12:33] INFO: Avg Price: 1,985 VND\n", "[07:12:33] INFO: Fill History:\n", "[07:12:33] INFO: Fill #1: 1.0 @ 1,985 VND\n", "[07:12:33] INFO: \n", "[07:12:33] INFO: Order #4: 6e0874f2...\n", "[07:12:33] INFO: Status: FILLED\n", "[07:12:33] INFO: Ordered: 1 contracts\n", "[07:12:33] INFO: Filled: 1.0 contracts\n", "[07:12:33] INFO: Fills: 1\n", "[07:12:33] INFO: Avg Price: 1,985 VND\n", "[07:12:33] INFO: Fill History:\n", "[07:12:33] INFO: Fill #1: 1.0 @ 1,985 VND\n", "[07:12:33] INFO: \n", "[07:12:33] INFO: ================================================================================\n", "[07:12:33] INFO: \n", "πŸ’° D1 Final: 8,052,580,140 VND\n", "[07:12:33] INFO: \n", "πŸŽ‰ ALL SCENARIOS COMPLETED!\n", "[07:12:33] INFO: \n", "Key Observations:\n", "[07:12:33] INFO: β€’ Scenario A: 1 order β†’ 1 fill (full execution)\n", "[07:12:33] INFO: β€’ Scenario B: 3 orders β†’ 3 fills (FIFO)\n", "[07:12:33] INFO: β€’ Same price β†’ time-priority matching\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "\n", "βœ… Example 4 completed!\n", "================================================================================\n" ] } ], "source": [ "# ============================================================================\n", "# EXAMPLE 4: Execute Both Scenarios\n", "# ============================================================================\n", "# Runs Scenario A (full fill) then Scenario B (multiple orders).\n", "# Demonstrates different fill patterns with the same cross-matching mechanism.\n", "# ============================================================================\n", "\n", "print(\"=\" * 80)\n", "print(\"EXAMPLE 4: ADVANCED CROSS-MATCHING\")\n", "print(\"=\" * 80)\n", "\n", "symbol = CONFIG[\"symbol_derivative\"]\n", "price = 1985.0\n", "\n", "logger.info(f\"Symbol: {symbol}\")\n", "logger.info(f\"Price: {price:,.0f}\")\n", "logger.info(\"Focus: Full fills vs Multiple orders\")\n", "\n", "# Create tracker and subscribe to events\n", "tracker_ex4 = D1OrderTracker()\n", "client.on(\"fix:order:filled\", tracker_ex4.on_order_filled)\n", "client.on(\"fix:order:accepted\", tracker_ex4.on_order_accepted)\n", "client.on(\"fix:order:rejected\", tracker_ex4.on_order_rejected)\n", "\n", "# Show initial balance\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " balance = client.get_cash_balance()\n", "logger.info(f\"\\nπŸ’° D1 Balance: {balance.get('remainCash', 0):,.0f} VND\\n\")\n", "\n", "# --- Scenario A: 1 order β†’ 1 fill ---\n", "if not run_scenario_a(tracker_ex4, symbol, price):\n", " raise Exception(\"Scenario A failed\")\n", "\n", "time.sleep(2) # Pause between scenarios\n", "\n", "# --- Scenario B: 3 orders β†’ 3 fills ---\n", "if not run_scenario_b(tracker_ex4, symbol, price):\n", " raise Exception(\"Scenario B failed\")\n", "\n", "# Print execution summary\n", "tracker_ex4.print_summary()\n", "\n", "# Show final balance\n", "with client.use_sub_account(CONFIG[\"account_d1\"]):\n", " balance_after = client.get_cash_balance()\n", "logger.info(f\"\\nπŸ’° D1 Final: {balance_after.get('remainCash', 0):,.0f} VND\")\n", "\n", "# Summary of observations\n", "logger.info(\"\\nπŸŽ‰ ALL SCENARIOS COMPLETED!\")\n", "logger.info(\"\\nKey Observations:\")\n", "logger.info(\" β€’ Scenario A: 1 order β†’ 1 fill (full execution)\")\n", "logger.info(\" β€’ Scenario B: 3 orders β†’ 3 fills (FIFO)\")\n", "logger.info(\" β€’ Same price β†’ time-priority matching\")\n", "\n", "print(\"\\nβœ… Example 4 completed!\")\n", "print(\"=\" * 80)" ] }, { "cell_type": "markdown", "id": "f9abdc50", "metadata": {}, "source": [ "---\n", "\n", "## 6. Summary\n", "\n", "### πŸŽ“ What You Learned\n", "\n", "1. **Single Persistent Connection**\n", " - One client for all examples\n", " - No disconnect/reconnect overhead\n", "\n", "2. **Sub-Account Management**\n", " - Use `client.use_sub_account(id)` context manager\n", " - Thread-safe switching\n", "\n", "3. **Event System**\n", " - Subscribe with `client.on(\"event_name\", handler)`\n", " - Handlers receive real-time FIX responses\n", "\n", "4. **Order Management**\n", " - Place limit orders with `client.place_order()`\n", " - Cancel orders with `client.cancel_order()`\n", "\n", "5. **Cross-Matching**\n", " - D1 ↔ D2 can match unconditionally\n", " - FIFO order at same price\n", "\n", "---\n", "\n", "### πŸ“š Next Steps\n", "\n", "1. **Read Guides**: `event-guide.md`, `config-guide.md`, `market-data-guide.md`\n", "2. **Try Examples**: `examples/01_*.py` β†’ `examples/11_*.py`\n", "3. **Build Your Strategy**: Start with paper trading\n", "\n", "---\n", "\n", "*Happy Trading!* 🎯" ] }, { "cell_type": "markdown", "id": "d2481a97", "metadata": {}, "source": [ "---\n", "\n", "## 7. Cleanup (Optional)\n", "\n", "Run this cell when you're completely done to disconnect the client.\n", "\n", "**Note:** Throughout the tutorial, we kept the connection alive for efficiency. Only disconnect when you're done with ALL trading activities." ] }, { "cell_type": "code", "execution_count": 24, "id": "38db16f7", "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "[07:12:33] INFO: Disconnecting...\n", "[07:12:33] INFO: βœ… Session ended\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "================================================================================\n", "πŸ”Œ DISCONNECTING CLIENT\n", "================================================================================\n", "================================================================================\n" ] } ], "source": [ "# ============================================================================\n", "# PART 2: Cleanup\n", "# ============================================================================\n", "# Disconnect the client when done with all trading.\n", "# Note: QuickFIX cleanup may cause segfault - known issue.\n", "# ============================================================================\n", "\n", "print(\"=\" * 80)\n", "print(\"πŸ”Œ DISCONNECTING CLIENT\")\n", "print(\"=\" * 80)\n", "\n", "logger.info(\"Disconnecting...\")\n", "# client.disconnect() # Uncomment to explicitly disconnect\n", "\n", "logger.info(\"βœ… Session ended\")\n", "print(\"=\" * 80)" ] } ], "metadata": { "kernelspec": { "display_name": "venv (3.10.12)", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.10.12" } }, "nbformat": 4, "nbformat_minor": 5 }