How To Send FIX Logon Message With Python To GDAX/Coinbase

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. Ev

Solution 1:

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))

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?

Solution 2:

Nothing new to add just wanted to rephrase the above solution in a more function based way without tunneling:

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))

Solution 3:

sudo yum install python3-devel

nohup pip3 install quickfix &

Then you will be able to use quickfix with flexible functions like auto-heartbeat, auto-reconnect, resend, rewind, etc. These functions will make your application more stable.