legs.py

from __future__ import print_function

import re

def create_leg(osi_symbol, ratio):
    regex = re.compile("(?<symbol>\w+)\s*(?<year>\d{2})(?<month>\d{2})(?<day>\d{2})(?<call_put>[CP])(?<dollars>\d+)(?<cents>\d{2})")

    m = regex.match(osi_symbol)
    if not m:
        raise ValueError("Huh? Is this right OSI symbol: " + osi_symbol)

    symbol = m.group('symbol')
    year = m.group('year')
    month = m.group('month')
    day = m.group('day')
    call_put = m.group('call_put')
    dollars = m.group('dollars')
    cents = m.group('cents')

    leg = Msg()
    leg.LegID = leg.gen_id()
    leg.LegSymbol = symbol
    leg.LegStrikePrice = float(dollars + '.' + cents)
    leg.CFICode = call_put + "O" # hard-coding O
    leg.LegMaturityMonthYear = "20" + year + month
    leg.LegMaturityDate = day
    leg.LegRatioQty = abs(ratio)

    if ratio < 0:
        leg.LegSide = '2' # sell
    else:
        leg.LegSide = '1' # buy

    return leg
    
def make_limit(side, symbol, qty, price):
    order = Order()
    order.Side = side
    order.Symbol = symbol
    order.OrderQty = qty
    order.Price = price
    order.OrdType = fix.OrdType.LIMIT
    return order

def make_market(side, symbol, qty):
    order = Order()
    order.Side = side
    order.Symbol = symbol
    order.OrderQty = qty
    order.Price = None
    order.OrdType = fix.OrdType.MARKET
    return order