Question

我尝试使用Python 3.5和stunnel建立到fix.gdax.com（文档：https://docs.gdax.com/#fix-api或https://docs.prime.coinbase.com/?python#logon-a）的FIX 4.2会话。除了我的登录消息之外，一切都正在工作，该消息被拒绝，服务器关闭会话而没有响应，因此很难调试出错的地方。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))

这两个印刷陈述的结果是：

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，试错过程变得有点乏味。任何人都可以看到登录消息有什么问题吗？

Answer 1

我对您的代码进行了一些修改，并将评论与您的代码区别开来（纠正错误）：

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，这个更正的代码现在返回来自服务器的Logon消息，而不是像你的情况那样只返回0字节。您能否确认它对您有用，并且您可以在登录完成后成功发送其他交易？

Answer 2

没有任何新增内容只是想在不使用隧道的情况下以更多基于函数的方式重新解释上述解决方案：

app-1.0.jar

如何使用Python将FIX登录消息发送到GDAX / Coinbase

2 个答案: