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TexasCodingclaude
TexasCoding
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feat(fix): order-entry message flow (closes #424) (#431)
* feat(fix): order-entry message flow (closes #424) Order-entry (OE) FIX messages over the shared codec/session engine, for both the prediction and margin products. Outbound (typed enum vocabulary, required fields enforced): - NewOrderSingle (35=D), OrderCancelRequest (35=F), OrderCancelReplaceRequest (35=G), OrderMassCancelRequest (35=q) - Side / OrdType / TimeInForce / ExecInst (POST_ONLY) / SelfTradePreventionType round-trip to the wire; NoPartyIDs group via the #423 components; Price rides the FIX PRICE field (integer cents on prediction by default, fixed-point dollars on margin / UseDollars=Y); quantities are fractional decimals. Inbound (fields optional; char/int code fields raw for robustness): - ExecutionReport (35=8) with NoMiscFees / NoPartyIDs / NoCollateralAmountChanges groups, position/fee/collateral detail on ExecType=Trade - OrderCancelReject (35=9), OrderMassCancelReport (35=r), BusinessMessageReject (35=j) - decode_app_message(raw) dispatches an inbound RawMessage (from FixSession.on_message) to its typed model. Also folds in the PR #430 review follow-ups: FixGroupMeta/_GroupSpec now type entry_model as the public FixGroup (not the private base), and group decoding logs (debug) on a non-integer or short NumInGroup instead of silently dropping. 13 new tests (round-trips incl. groups, enum/price wire values, dispatch, inbound robustness, and a session send/receive integration test). ruff + mypy --strict clean; 117 FIX tests pass. Closes #424. Part of #402. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * fix(fix): address PR #431 review — top-level export + test gaps - export APP_MESSAGE_MODELS from kalshi.fix top-level __all__ (was only exported from kalshi.fix.messages) - comment the Kalshi compound "int;int" exec_id format on ExecutionReport - tests: malformed group decode (short-count + non-integer NumInGroup debug paths), decode_app_message dispatch for OrderCancelReject / OrderMassCancelReport / BusinessMessageReject, a quantity-only OrderCancelReplaceRequest, and the NewOrderSingle empty-parties default Two review items were intentionally NOT changed — they apply generic FIX 5.0SP2 requiredness, not the Kalshi dictionary v1.03: - TransactTime(60) is absent from the Kalshi NewOrderSingle/Cancel/Replace messages (and the order-entry doc example omits tag 60); adding it would send a tag those messages do not define. - Price is required='N' in OrderCancelReplaceRequest (G); a quantity-only amend is valid ("required if changing price"), so price stays optional. ruff + mypy --strict clean; 122 FIX tests pass. Part of #424 / #402. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * fix(fix): address PR #431 2nd review — robust decode + immutable registry - decode_app_message now catches ValidationError / ValueError / ArithmeticError and returns None (logged) so a malformed inbound message is never raised into the consumer's on_message; regression test added - APP_MESSAGE_MODELS wrapped in MappingProxyType (read-only dispatch registry) - comment that AllocAccount (79) is INT per Kalshi dictionary v1.03 (subaccount number 0-32), not the FIX-standard STRING - note the intentional TransactTime (60) omission on NewOrderSingle (absent from the Kalshi 35=D message) Verified against dictionary v1.03, left unchanged: - AllocAccount (79) is INT in the Kalshi dict. - OrderMassCancelReport (35=r) has no TotalAffectedOrders (533); tag 533 is not in the Kalshi dictionary at all. - NewOrderSingle field/group order matches the dictionary's 35=D layout. ruff + mypy --strict clean; 123 FIX tests pass. Part of #424 / #402. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> * test(fix): cover decode_app_message None-msg-type; format nit (#431 review) Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com> --------- Co-authored-by: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
1 parent 0ff1009 commit fc4af90

6 files changed

Lines changed: 736 additions & 10 deletions

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‎kalshi/fix/__init__.py‎

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@@ -64,32 +64,56 @@
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KalshiFixError,
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)
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from kalshi.fix.messages import (
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APP_MESSAGE_MODELS,
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BusinessMessageReject,
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CollateralAmountChange,
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ExecutionReport,
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FixGroup,
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FixGroupMeta,
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FixMessage,
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Heartbeat,
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Logon,
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Logout,
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MarketSettlementParty,
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MiscFee,
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MultivariateSelectedLeg,
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NewOrderSingle,
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OrderCancelReject,
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OrderCancelReplaceRequest,
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OrderCancelRequest,
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OrderMassCancelReport,
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OrderMassCancelRequest,
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Party,
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Reject,
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ResendRequest,
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SequenceReset,
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TestRequest,
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decode_app_message,
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groupfield,
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)
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from kalshi.fix.session import FixSession, FixSessionState
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from kalshi.fix.tags import Tag
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# Sorted (ruff RUF022); grouping is by the imports above, not by ``__all__`` order.
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__all__ = [
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"APP_MESSAGE_MODELS",
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"BEGIN_STRING_FIXT11",
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"SOH",
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"ApplVerID",
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"BusinessMessageReject",
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"CollateralAmountChange",
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"EncryptMethod",
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"ExecInst",
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"ExecType",
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"ExecutionReport",
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"FixClient",
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"FixCodecError",
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"FixConfig",
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"FixConnection",
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"FixConnectionError",
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"FixEnvironment",
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"FixGroup",
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"FixGroupMeta",
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"FixLogonError",
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"FixMessage",
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"FixParser",
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"KalshiFixError",
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"Logon",
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"Logout",
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"MarketSettlementParty",
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"MiscFee",
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"MsgType",
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"MultivariateSelectedLeg",
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"NewOrderSingle",
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"OrdStatus",
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"OrdType",
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"OrderCancelReject",
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"OrderCancelReplaceRequest",
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"OrderCancelRequest",
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"OrderMassCancelReport",
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"OrderMassCancelRequest",
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"Party",
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"RawMessage",
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"Reject",
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"ResendRequest",
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"TestRequest",
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"TimeInForce",
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"decode",
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"decode_app_message",
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"encode",
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"groupfield",
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]

‎kalshi/fix/messages/__init__.py‎

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@@ -1,9 +1,9 @@
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"""Typed FIX message models (FIX Dictionary v1.03).
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Exposes the base framework (scalar + repeating-group fields), the session-layer
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(admin) messages, and the shared repeating-group entry components. Application
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messages (order entry, drop copy, market data, RFQ/settlement) are added in later
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phases — see GH #402.
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(admin) messages, the shared repeating-group entry components, and the
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order-entry message flow. Market-data, drop-copy, and RFQ/settlement flows are
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added in later phases — see GH #402.
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"""
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from __future__ import annotations
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MultivariateSelectedLeg,
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Party,
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)
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from kalshi.fix.messages.order_entry import (
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APP_MESSAGE_MODELS,
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BusinessMessageReject,
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ExecutionReport,
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NewOrderSingle,
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OrderCancelReject,
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OrderCancelReplaceRequest,
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OrderCancelRequest,
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OrderMassCancelReport,
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OrderMassCancelRequest,
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decode_app_message,
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)
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from kalshi.fix.messages.session import (
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Heartbeat,
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Logon,
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)
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__all__ = [
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"APP_MESSAGE_MODELS",
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"BusinessMessageReject",
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"CollateralAmountChange",
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"ExecutionReport",
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"FixGroup",
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"FixGroupMeta",
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"FixMessage",
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"MarketSettlementParty",
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"MiscFee",
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"MultivariateSelectedLeg",
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"NewOrderSingle",
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"OrderCancelReject",
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"OrderCancelReplaceRequest",
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"OrderCancelRequest",
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"OrderMassCancelReport",
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"OrderMassCancelRequest",
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"Party",
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"Reject",
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"ResendRequest",
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"SequenceReset",
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"TestRequest",
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"decode_app_message",
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"fixfield",
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"groupfield",
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]

‎kalshi/fix/messages/base.py‎

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from __future__ import annotations
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import logging
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from dataclasses import dataclass
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from decimal import Decimal
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from enum import StrEnum
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from kalshi.fix.enums import MsgType
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from kalshi.fix.tags import DATA_LENGTH_FIELDS
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logger = logging.getLogger("kalshi.fix")
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# Reverse of DATA_LENGTH_FIELDS: data_tag -> length_tag. Used by to_body_fields
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# to auto-emit the length field immediately before a data field.
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_DATA_TO_LENGTH: dict[int, int] = {data: length for length, data in DATA_LENGTH_FIELDS.items()}
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"""
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num_in_group_tag: int
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entry_model: type[_FixFieldModel]
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entry_model: type[FixGroup]
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@dataclass(frozen=True)
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class _GroupSpec:
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name: str
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count_tag: int
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entry_model: type[_FixFieldModel]
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entry_model: type[FixGroup]
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_FieldSpec = _ScalarSpec | _GroupSpec
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pairs: list[tuple[int, str]],
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start: int,
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count: int,
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entry_model: type[_FixFieldModel],
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) -> tuple[list[_FixFieldModel], int]:
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entry_model: type[FixGroup],
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) -> tuple[list[FixGroup], int]:
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"""Parse up to ``count`` group entries from ``pairs`` beginning at ``start``.
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Each entry begins at the entry model's delimiter (first) tag and runs until
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"""
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delim = entry_model._first_tag()
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member_tags = entry_model._member_tags()
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entries: list[_FixFieldModel] = []
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entries: list[FixGroup] = []
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i = start
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n = len(pairs)
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while len(entries) < count and i < n and pairs[i][0] == delim:
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entry_pairs.append(pairs[i])
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i += 1
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entries.append(entry_model._from_pairs(entry_pairs))
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if len(entries) < count:
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# Malformed FIX: NumInGroup promised more entries than were delivered.
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logger.debug(
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"FIX group %s: NumInGroup=%d but only %d entries parsed",
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entry_model.__name__,
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count,
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len(entries),
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)
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return entries, i
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@classmethod
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def _first_tag(cls) -> int:
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"""The delimiter tag — the first declared field's tag (group entry start)."""
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"""The delimiter tag — the first declared field's tag (group entry start).
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Falls back to a leading group's ``NumInGroup`` tag, but no FIX group
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places a nested group as an entry's first field, so in practice this is
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always a scalar tag.
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"""
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for spec in cls._layout():
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return spec.tag if isinstance(spec, _ScalarSpec) else spec.count_tag
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raise ValueError(f"{cls.__name__} declares no FIX fields")
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try:
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count = int(pairs[idx][1])
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except ValueError:
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logger.debug(
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"FIX group %s: non-integer NumInGroup %r",
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spec.entry_model.__name__,
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pairs[idx][1],
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)
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continue
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entries, _ = _parse_group(pairs, idx + 1, count, spec.entry_model)
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kwargs[spec.name] = entries

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