如何使用 Python 发送 FIX 登录消息到 GDAX/Coinbase
How to send FIX logon message with Python to GDAX/Coinbase
我正在尝试使用 Python 3.5 和 stunnel 与 fix.gdax.com（文档：https://docs.gdax.com/#fix-api or https://docs.prime.coinbase.com/?python#logon-a）建立 FIX 4.2 会话。除了我的登录消息被拒绝并且会话被服务器关闭而没有响应之外，一切都在工作，这使得调试问题变得困难。我的Python代码如下：
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
s.connect(("127.0.0.1", 4197)) # address and port specified in stunnel config file
# generate a signature according to the gdax protocol for signing a message:
timestamp = str(time.time())
message = [timestamp, "A", "0", "f3e85389ffb809650c367d42b37e0a80", "Coinbase", "password-goes-here"] # these are the components of the pre-hash string as specified in the docs for a logon message
message = bytes("|".join(message), 'utf-8') # add the field separator
hmac_key = base64.b64decode(r"api-secret-goes-here")
signature = hmac.new(hmac_key, message, hashlib.sha256)
sign_b64 = base64.b64encode(signature.digest()).decode()
# in the above line the .decode() is not included when used to authenticate messages to the REST API and those are working successfully.
#The reason I've included it here is to allow a string to be passed into the variable 'body' below:
msgType = "A"
t = str(datetime.utcnow()).replace("-","").replace(" ", "-")[:-3] # format the timestamp into YYYYMMDD-HH:MM:SS.sss as per the FIX standard
body = '34=1|52=%s|49=f3e85389ffb809650c367d42b37e0a80|56=Coinbase|98=0|108=30|554=password-goes-here|96=%s|8013=Y|' % (t, sign_b64)
bodyLength = len(body.encode('utf-8')) # length of the message in bytes
header = '8=FIX.4.2|9=%s|35=%s|' % (bodyLength, msgType)
msg = header + body
# generate the checksum:
def check_sum(s):
sum = 0
for char in msg:
sum += ord(char)
sum = str(sum % 256)
while len(sum) < 3:
sum = '0' + sum
return sum
c_sum = check_sum(msg)
logon = msg + "10=%s" % c_sum # append the check sum onto the message
logon = logon.encode('ascii') # create a bytes object to send over the socket
print(logon)
s.sendall(logon)
print(s.recv(4096))
这两个打印语句的结果是：
b'8=FIX.4.2|9=159|35=A|34=1|52=20171104-11:13:53.331|49=f3e85389ffb809650c367d42b37e0a80|56=Coinbase|98=0|108=30|554=password-goes-here|96=G7yeX8uQqsCEhAjWDWHoBiQz9lZuoE0Q8+bLJp4XnPY=|8013=Y|10=212'
b''
这里有很多变量可能是错误的，试错的过程有点乏味。任何人都可以看到登录消息有什么问题吗？
我对您的代码进行了一些修改，并在与您的代码不同的地方添加了注释（更正了您的错误）：
import socket
import base64
import time, datetime
import hmac
import hashlib
PASSPHRASE = "your passphrase"
API_KEY = "your api key"
API_SECRET = "your secret"
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
s.connect(("127.0.0.1", 4197))
seq_num = "1" # Correction: using the same MsgSeqNum for signed text and for the field 34
# Correction: t is the same in both signed RawData and in SendingTime (52)
timestamp = str(time.time())
t = str(datetime.datetime.utcnow()).replace("-","").replace(" ", "-")[:-3]
# Correction: '|' is not a valid separator for FIX, it must be '\u0001'
message = "\u0001".join([t, "A", seq_num, API_KEY, "Coinbase", PASSPHRASE]).encode("utf-8")
hmac_key = base64.b64decode(API_SECRET)
signature = hmac.new(hmac_key, message, hashlib.sha256)
sign_b64 = base64.b64encode(signature.digest()).decode()
msgType = "A"
body = "34={}|52={}|49={}|56=Coinbase|98=0|108=30|554={}|96={}|8013=Y|".format(seq_num, t, API_KEY, PASSPHRASE, sign_b64) # using the same time (t) and seq_num as in signed text
# Correction: bodyLength is the number of characters, not bytes, also it must include everything after "8=FIX.4.2|9={}|" i.e. the "35=A|" part of the header
bodyLength = len("35={}|".format(msgType)) + len(body)
header = "8=FIX.4.2|9={}|35={}|".format(bodyLength, msgType)
msg = header + body
msg = msg.replace('|', '\u0001') # Correction: '|' is not a valid separator for FIX, it must be '\u0001'
# generate the checksum:
def check_sum(s):
sum = 0
for char in msg:
sum += ord(char)
sum = str(sum % 256)
while len(sum) < 3:
sum = '0' + sum
return sum
c_sum = check_sum(msg)
logon = msg + "10={}\u0001".format(c_sum)
logon = logon.encode('ascii')
print(logon)
s.sendall(logon)
print(s.recv(4096))
对我来说，这个更正后的代码现在 returns 来自服务器的登录消息，而不是像您的情况那样只有 0 个字节。您能否确认它也适用于您，并且您可以在登录完成后成功发送其他交易？
没有要添加的新内容只是想以更基于功能的方式重新表述上述解决方案而无需隧道：
import socket
import base64
import time, datetime
import hmac
import hashlib
import ssl
host = 'fix.gdax.com'
#sandbox_host = 'fix-public.sandbox.gdax.com'
port = 4198
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
ssl_sock = context.wrap_socket(s, server_hostname=host)
ssl_sock.connect((host, port))
def check_sum(s):
sum = 0
for char in s:
sum += ord(char)
sum = str(sum % 256)
while len(sum) < 3:
sum = '0' + sum
return sum
def sign(t, msg_type, seq_num, api_key, password, secret):
message = "\x01".join([t, msg_type, seq_num, api_key, "Coinbase", password]).encode("utf-8")
hmac_key = base64.b64decode(secret)
signature = hmac.new(hmac_key, message, hashlib.sha256)
return base64.b64encode(signature.digest()).decode()
def wrap_fix_string(msg_type, body):
bodyLength = len("35={}|".format(msg_type)) + len(body)
header = "8=FIX.4.2|9=00{}|35={}|".format(bodyLength, msg_type)
msg = header + body
return msg
def generate_login_string(seq_num, t, api_key, password, secret):
msgType = "A"
sign_b64 = sign(t, msgType, seq_num, api_key, password, secret)
body = f"49={api_key}|554={password}|96={sign_b64}|8013=S|52={t}|56=Coinbase|98=0|108=30|34={seq_num}|9406=N|" # using the same time (t) and seq_num as in signed text
msg = wrap_fix_string(msgType, body)
msg = msg.replace('|', '\x01')
c_sum = check_sum(msg)
return msg + "10={}\x01".format(c_sum)
PASSPHRASE = "your passphrase"
API_KEY = "your api key"
API_SECRET = "your secret"
seq_num = "1"
t = str(datetime.datetime.utcnow()).replace("-","").replace(" ", "-")[:-3]
logon = generate_login_string(seq_num, t, API_KEY, PASSPHRASE, API_SECRET)
logon = logon.encode('ascii')
print(f'logon: {logon}')
ssl_sock.sendall(logon)
print('GETTING')
print(ssl_sock.recv(4096))
sudo yum install python3-devel
nohup pip3 install quickfix &
然后你就可以使用具有自动心跳、自动重连、重发、倒带等灵活功能的quickfix，这些功能将使你的应用程序更加稳定。
我正在尝试使用 Python 3.5 和 stunnel 与 fix.gdax.com（文档：https://docs.gdax.com/#fix-api or https://docs.prime.coinbase.com/?python#logon-a）建立 FIX 4.2 会话。除了我的登录消息被拒绝并且会话被服务器关闭而没有响应之外，一切都在工作，这使得调试问题变得困难。我的Python代码如下：
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
s.connect(("127.0.0.1", 4197)) # address and port specified in stunnel config file
# generate a signature according to the gdax protocol for signing a message:
timestamp = str(time.time())
message = [timestamp, "A", "0", "f3e85389ffb809650c367d42b37e0a80", "Coinbase", "password-goes-here"] # these are the components of the pre-hash string as specified in the docs for a logon message
message = bytes("|".join(message), 'utf-8') # add the field separator
hmac_key = base64.b64decode(r"api-secret-goes-here")
signature = hmac.new(hmac_key, message, hashlib.sha256)
sign_b64 = base64.b64encode(signature.digest()).decode()
# in the above line the .decode() is not included when used to authenticate messages to the REST API and those are working successfully.
#The reason I've included it here is to allow a string to be passed into the variable 'body' below:
msgType = "A"
t = str(datetime.utcnow()).replace("-","").replace(" ", "-")[:-3] # format the timestamp into YYYYMMDD-HH:MM:SS.sss as per the FIX standard
body = '34=1|52=%s|49=f3e85389ffb809650c367d42b37e0a80|56=Coinbase|98=0|108=30|554=password-goes-here|96=%s|8013=Y|' % (t, sign_b64)
bodyLength = len(body.encode('utf-8')) # length of the message in bytes
header = '8=FIX.4.2|9=%s|35=%s|' % (bodyLength, msgType)
msg = header + body
# generate the checksum:
def check_sum(s):
sum = 0
for char in msg:
sum += ord(char)
sum = str(sum % 256)
while len(sum) < 3:
sum = '0' + sum
return sum
c_sum = check_sum(msg)
logon = msg + "10=%s" % c_sum # append the check sum onto the message
logon = logon.encode('ascii') # create a bytes object to send over the socket
print(logon)
s.sendall(logon)
print(s.recv(4096))
这两个打印语句的结果是：
b'8=FIX.4.2|9=159|35=A|34=1|52=20171104-11:13:53.331|49=f3e85389ffb809650c367d42b37e0a80|56=Coinbase|98=0|108=30|554=password-goes-here|96=G7yeX8uQqsCEhAjWDWHoBiQz9lZuoE0Q8+bLJp4XnPY=|8013=Y|10=212'
b''
这里有很多变量可能是错误的，试错的过程有点乏味。任何人都可以看到登录消息有什么问题吗？
我对您的代码进行了一些修改，并在与您的代码不同的地方添加了注释（更正了您的错误）：
import socket
import base64
import time, datetime
import hmac
import hashlib
PASSPHRASE = "your passphrase"
API_KEY = "your api key"
API_SECRET = "your secret"
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
s.connect(("127.0.0.1", 4197))
seq_num = "1" # Correction: using the same MsgSeqNum for signed text and for the field 34
# Correction: t is the same in both signed RawData and in SendingTime (52)
timestamp = str(time.time())
t = str(datetime.datetime.utcnow()).replace("-","").replace(" ", "-")[:-3]
# Correction: '|' is not a valid separator for FIX, it must be '\u0001'
message = "\u0001".join([t, "A", seq_num, API_KEY, "Coinbase", PASSPHRASE]).encode("utf-8")
hmac_key = base64.b64decode(API_SECRET)
signature = hmac.new(hmac_key, message, hashlib.sha256)
sign_b64 = base64.b64encode(signature.digest()).decode()
msgType = "A"
body = "34={}|52={}|49={}|56=Coinbase|98=0|108=30|554={}|96={}|8013=Y|".format(seq_num, t, API_KEY, PASSPHRASE, sign_b64) # using the same time (t) and seq_num as in signed text
# Correction: bodyLength is the number of characters, not bytes, also it must include everything after "8=FIX.4.2|9={}|" i.e. the "35=A|" part of the header
bodyLength = len("35={}|".format(msgType)) + len(body)
header = "8=FIX.4.2|9={}|35={}|".format(bodyLength, msgType)
msg = header + body
msg = msg.replace('|', '\u0001') # Correction: '|' is not a valid separator for FIX, it must be '\u0001'
# generate the checksum:
def check_sum(s):
sum = 0
for char in msg:
sum += ord(char)
sum = str(sum % 256)
while len(sum) < 3:
sum = '0' + sum
return sum
c_sum = check_sum(msg)
logon = msg + "10={}\u0001".format(c_sum)
logon = logon.encode('ascii')
print(logon)
s.sendall(logon)
print(s.recv(4096))
对我来说，这个更正后的代码现在 returns 来自服务器的登录消息，而不是像您的情况那样只有 0 个字节。您能否确认它也适用于您，并且您可以在登录完成后成功发送其他交易？
没有要添加的新内容只是想以更基于功能的方式重新表述上述解决方案而无需隧道：
import socket
import base64
import time, datetime
import hmac
import hashlib
import ssl
host = 'fix.gdax.com'
#sandbox_host = 'fix-public.sandbox.gdax.com'
port = 4198
s = socket.socket(socket.AF_INET, socket.SOCK_STREAM)
ssl_sock = context.wrap_socket(s, server_hostname=host)
ssl_sock.connect((host, port))
def check_sum(s):
sum = 0
for char in s:
sum += ord(char)
sum = str(sum % 256)
while len(sum) < 3:
sum = '0' + sum
return sum
def sign(t, msg_type, seq_num, api_key, password, secret):
message = "\x01".join([t, msg_type, seq_num, api_key, "Coinbase", password]).encode("utf-8")
hmac_key = base64.b64decode(secret)
signature = hmac.new(hmac_key, message, hashlib.sha256)
return base64.b64encode(signature.digest()).decode()
def wrap_fix_string(msg_type, body):
bodyLength = len("35={}|".format(msg_type)) + len(body)
header = "8=FIX.4.2|9=00{}|35={}|".format(bodyLength, msg_type)
msg = header + body
return msg
def generate_login_string(seq_num, t, api_key, password, secret):
msgType = "A"
sign_b64 = sign(t, msgType, seq_num, api_key, password, secret)
body = f"49={api_key}|554={password}|96={sign_b64}|8013=S|52={t}|56=Coinbase|98=0|108=30|34={seq_num}|9406=N|" # using the same time (t) and seq_num as in signed text
msg = wrap_fix_string(msgType, body)
msg = msg.replace('|', '\x01')
c_sum = check_sum(msg)
return msg + "10={}\x01".format(c_sum)
PASSPHRASE = "your passphrase"
API_KEY = "your api key"
API_SECRET = "your secret"
seq_num = "1"
t = str(datetime.datetime.utcnow()).replace("-","").replace(" ", "-")[:-3]
logon = generate_login_string(seq_num, t, API_KEY, PASSPHRASE, API_SECRET)
logon = logon.encode('ascii')
print(f'logon: {logon}')
ssl_sock.sendall(logon)
print('GETTING')
print(ssl_sock.recv(4096))
sudo yum install python3-devel
nohup pip3 install quickfix &
然后你就可以使用具有自动心跳、自动重连、重发、倒带等灵活功能的quickfix，这些功能将使你的应用程序更加稳定。