如何使用 Python 向 GDAX/Coinbase 发送 FIX 登录消息

我正在尝试建立一个到 fix.gdax.com 的 FIX 4.2 会话（文档：https://docs.gdax.com/#fix-api or https://docs.prime.coinbase.com/?python#logon-a）使用 Python 3.5 和 stunnel。除了我的登录消息被拒绝并且会话被服务器关闭而没有响应之外，一切都正常工作，这使得调试出了什么问题变得很困难。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))

这两个打印语句的结果是：

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，并且反复试验的过程变得有点乏味。谁能看出登录消息有什么问题吗？

我对您的代码做了一些修改，并在与您的代码不同的地方添加了注释（更正您的错误）：

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，这个更正后的代码现在返回来自服务器的登录消息，而不是像您的情况那样仅返回 0 字节。您能否确认它也适用于您并且登录完成后您可以成功发送其他交易？