如何使用Python将FIX登录消息发送到GDAX/Coinbase [英] How to send FIX logon message with Python to GDAX/Coinbase

问题描述

我正在尝试建立一个Fix 4.2会话来fix.gdax.com(文档: https ://docs.gdax.com/#fix-api 或 https ://docs.prime.coinbase.com/?python#logon-a )，使用Python 3.5和stunnel.除了我的登录消息被拒绝之外，一切都在工作，服务器关闭了会话，但没有响应，这使得调试出现问题的过程变得困难.我的Python代码如下:

I'm trying to establish a FIX 4.2 session to fix.gdax.com (docs: https://docs.gdax.com/#fix-api or https://docs.prime.coinbase.com/?python#logon-a) using Python 3.5 and stunnel. Everything is working apart from my logon message which is rejected and the session is closed by the server with no response making it difficult to debug what's going wrong. My Python code is as follows:

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:

The results of those two print statements are:

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，反复试验的过程变得有些乏味.谁能看到登录消息出了什么问题?

There are a lot of variables here that could be wrong and the process of trial and error is getting a bit tedious. Can anyone see what is wrong with the logon message?

推荐答案

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):

I made some modifications to your code and put comments where it differs from yours (corrects your errors):

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，此更正后的代码现在从服务器返回登录"消息，而不仅仅是您所用的0个字节.您可以确认它也对您有用，并且登录后可以成功发送其他交易吗?

For me this corrected code now returns the Logon message from the server instead of just 0 bytes as it was in your case. Can you confirm that it also works for you and that you can successfully send other transactions after logon is done?

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