Phoenix Prime FIX Foundation Package

This repository provides the foundations for FIX based trading applications based on the widely used QuickFIX open source library and its application framework.

A simplistic FIX client implementing a fully fledged trading strategy building on this foundation package can be found in this repository.

Details on the Phoenix Prime Service API and the Phoenix Prime FIX endpoints can be found in the official Phoenix Prime documentation.

Requirements

The project requires

• Python >= 3.11
• QuickFIX >= 1.15.1
• Dependencies as listed in requirements.txt

Developer Installation

It is highly recommended to create a new Python environment. On Linux or macOS the script scripts/setup_all.sh automates the creation of a conda based environment with all dependencies installed. Optionally provide the argument clean to remove existing environment and rebuild all.

scripts/setup_all.sh [clean]

Note that setup_all.sh also builds a custom QuickFIX version for arm64 architecture.

Alternatively a Python environment can be created and the requirements.txt can be installed directly as follows

pip3 install -r requirements.txt

Note that requirements.txt does not install QuickFIX for macOS with arm64 architecture as the current QuickFIX version 1.15.1 has some issues and requires a patch.

QuickFIX

This project depends on QuickFIX. Check their license agreement for licensing information.

Custom Build QuickFIX for arm64 on macOS

Building QuickFIX for Apple arm64 requires a patch. The following script automates the patch and builds QuickFIX for arm64 from source:

scripts/build_QuickFIX_arm64.sh

If you use setup_all.sh you don't have to execute this build step as it is handled by setup_all.sh as well.

Installing QuickFIX on Windows

The Python QuickFIX bindings also fail to install on Windows. Fortunately, for Windows there are prebuilt wheel packages.

To set up the Python environment using Conda follow these steps:

• Install Conda or Miniconda
• Create a new environment with conda create --name phx python=3.11
• Activate the environment
• Install all dependencies first pip install -r requirements.txt
• Download the QuickFIX wheel QuickFIX‑1.15.1‑cp39‑cp39‑win_amd64.whl
• Install the wheel pip install QuickFIX‑1.15.1‑cp39‑cp39‑win_amd64.whl
• List packages and check if QuickFIX 1.15.1 shows up conda list

Note that during the execution of pip install -r requirements.txt you should first see

Ignoring QuickFIX: markers 'platform_machine != "arm64" and sys_platform != "win32"' don't match your environment

Configure PyCharm

To conveniently work with PyCharm it must be configured to use the proper interpreter. Set the Python interpreter managed by the Conda package manager in ./opt/conda/

Lower right corner in PyCharm or in Settings choose Python Interpreter. Then

• Add New Interpreter -> Add Local Interpreter
• Choose Conda Environment with conda executable <path to>/opt/conda/condabin/conda
• Click the button Load Environments, make sure the radio button Use existing environment is selected
• Choose dev and give it optionally another name by editing the interpreter configuration

Next navigate to Settings -> Project -> Project Structure and configure the directory src as source folder and the tests directory as test folder.

User

The package can be added to the requirements.txt through a

# Phoenix Prime FIX foundation package
phx-fix-base @ git+https://github.com/mtxpt/phx-fix-base.git@main

Alternatively, follow these steps

• Download phx-fix-base project with

git clone [email protected]:mtxpt/phx-fix-base.git

• Install phx-fix-base library in your environment of choice

pip install git+file:///<path to installed phx-fix-base project>

for example

pip install git+file:///Users/user/phoenix/phx-fix-base

• Import phx-fix-base modules into your code and use them. For example see<phx-fix-base>/tests/test_base_strategy

Developer Notes

We appreciate feedback and contributions. If you have feature requests, questions, or want to contribute code or config files, don't hesitate to use the GitHub issue tracker.

License

The Phoenix Prime FIX Foundation Package is released under the BSD 3-Clause License.