private OrderModified GenerateOrderModifiedEvent(ExecutionReport message) { var orderId = this.GetOrderId(message); var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID)); var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType)); var quantity = message.IsSetField(Tags.LeavesQty) ? Quantity.Create(message.GetDecimal(Tags.LeavesQty)) : Quantity.Create(message.GetDecimal(Tags.OrderQty)); var price = FxcmMessageHelper.GetOrderPrice(orderType, message); var modifiedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime)); return(new OrderModified( this.accountId, orderId, orderIdBroker, quantity, price, modifiedTime, this.NewGuid(), this.TimeNow())); }
public void OnMessage(ExecutionReport message) { Debug.NotNull(this.tradingGateway, nameof(this.tradingGateway)); switch (message.OrdStatus.Obj) { case OrdStatus.REJECTED: { this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.REJECTED)})"); this.tradingGateway?.Send(this.GenerateOrderRejectedEvent(message)); break; } case OrdStatus.PENDING_NEW: { this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_NEW)})."); // Do nothing break; } case OrdStatus.NEW: { var fxcmOrdStatus = message.GetField(FxcmTags.OrdStatus); this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.NEW)}-{fxcmOrdStatus})"); switch (fxcmOrdStatus) { case "P": // In Process this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message)); this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message)); break; case "I": // Dealer Intervention this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message)); this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message)); break; case "W": // Waiting (conditional order inactive state) if (message.IsSetField(Tags.SecondaryOrderID)) { // Accepted Conditional Order this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message)); } else { // Working Primary Order this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message)); } break; default: this.Logger.LogError(LogId.Network, $"Cannot process event (FXCMOrdStatus {fxcmOrdStatus} not recognized)."); break; } break; } case OrdStatus.PENDING_CANCEL: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_CANCEL)})."); #endif // Do nothing break; } case OrdStatus.CANCELED: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.CANCELED)})"); #endif this.tradingGateway?.Send(this.GenerateOrderCancelledEvent(message)); break; } case OrdStatus.REPLACED: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.REPLACED)})"); #endif this.tradingGateway?.Send(this.GenerateOrderModifiedEvent(message)); break; } case OrdStatus.EXPIRED: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.EXPIRED)})"); #endif this.tradingGateway?.Send(this.GenerateOrderExpiredEvent(message)); break; } case OrdStatus.STOPPED: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.STOPPED)})."); #endif // Order is executing break; } case OrdStatus.FILLED: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.FILLED)})"); #endif this.tradingGateway?.Send(this.GenerateOrderFilledEvent(message)); break; } case OrdStatus.PARTIALLY_FILLED: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PARTIALLY_FILLED)})"); #endif this.tradingGateway?.Send(this.GenerateOrderPartiallyFilledEvent(message)); break; } case OrdStatus.SUSPENDED: { this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.SUSPENDED)})."); break; } case OrdStatus.CALCULATED: { this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.CALCULATED)})."); break; } case OrdStatus.DONE_FOR_DAY: { #if DEBUG this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.DONE_FOR_DAY)})."); #endif this.tradingGateway?.Send(this.GenerateOrderExpiredEvent(message)); break; } case OrdStatus.PENDING_REPLACE: { this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_REPLACE)})."); break; } case OrdStatus.ACCEPTED_FOR_BIDDING: { this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.ACCEPTED_FOR_BIDDING)})."); break; } default: throw ExceptionFactory.InvalidSwitchArgument(message.OrdStatus, nameof(message.OrdStatus)); } }
private bool _er_Update(ExecutionReport er, FixOrderStatus ordS, string desc, string bolsa) { try { int account; if (bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase)) { string acc = er.Account.getValue(); acc = (acc.Remove(acc.Length - 1)); account = Convert.ToInt32(acc); } else { account = Convert.ToInt32(er.Account.getValue()); } // Buscar Ordem Original, de algum jeito!!! // 1a. tentativa: Tentar via ExchangeNumber // 2a. tentativa: Tentar via ClOrdID e OrigClOrdID // 3a. tentativa: Tentar via ClOrdID no tb_fix_order_update e buscar a ordem pelo OrderID // 4a. tentativa: ahhh foda-se, nao achou mesmo OrderDbInfo orderOrig = null; // 1a. tentativa if (er.IsSetOrderID() && !er.OrderID.getValue().Equals("NONE")) { orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue()); } // 2a. Tentativa if (null == orderOrig || orderOrig.OrderID == 0) { orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue()); if (orderOrig.OrderID == 0) { // Se ordem nao encontrada, entao procurar pelo OrigClOrdID if (er.IsSetOrigClOrdID()) { orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue()); if (orderOrig.OrderID == 0) { orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue(), true); //if (orderOrig.OrderID == 0) //{ // logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.OrigClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc); // return false; //} } else { orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue()); } } else { orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue(), true); //if (orderOrig.OrderID == 0) //{ // logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc); // return false; //} } } } // 3a. Tentativa if (null == orderOrig || orderOrig.OrderID == 0) { // Buscar a partir de tb_fix_order_update OrderDbUpdateInfo orderUpdate = _db.BuscarOrdemUpdate(er.ClOrdID.getValue()); // Buscar ordem original a partir do order ID if (orderUpdate.OrderID != 0) { orderOrig = _db.BuscarOrdemPorOrderID(orderUpdate.OrderID); } else { logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc); return(false); } } if (null == orderOrig || orderOrig.OrderID == 0) { logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc); return(false); } //} //else //{ // orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue()); // if (orderOrig.OrderID == 0) // { // logger.Info("ER - Nao achou a ordem em questao via exchange number (OrderID ER)!!!: " + er.OrderID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc); // return false; // } // } // Adicionar OrdemDetalhe OrderDbDetalheInfo detail = new OrderDbDetalheInfo(); detail.OrderID = orderOrig.OrderID; detail.TransactID = er.ExecID.getValue(); detail.OrderQty = Convert.ToInt32(er.OrderQty.getValue()); detail.Price = er.IsSetField(Tags.Price) ? er.Price.getValue() : Decimal.Zero; detail.OrderStatusID = (int)ordS; detail.TransactTime = er.TransactTime.getValue(); if (er.IsSetField(Tags.Text)) { detail.Description = desc + " - " + er.Text.getValue(); } else { detail.Description = desc; } detail.TradeQty = er.IsSetField(Tags.LastQty) ? Convert.ToInt32(er.LastQty.getValue()) : 0; detail.CumQty = er.IsSetField(Tags.CumQty) ? Convert.ToInt32(er.CumQty.getValue()) : 0; detail.FixMsgSeqNum = Convert.ToInt32(er.Header.GetField(Tags.MsgSeqNum)); if (!_db.InserirOrdemDetalhe(detail, orderOrig.ClOrdID)) { logger.Info("Erro ao inserir o registro na tabela tb_fix_order_update"); return(false); } // Atualizar Ordem orderOrig.ExchangeNumberID = er.OrderID.getValue(); orderOrig.OrdStatus = (int)ordS; orderOrig.TransactTime = er.TransactTime.getValue(); // orderOrig.ClOrdID = er.ClOrdID.getValue(); // if (er.IsSetOrigClOrdID()) // orderOrig.OrigClOrdID = er.OrigClOrdID.getValue(); if (er.IsSetField(Tags.LeavesQty)) { orderOrig.OrderQtyRemaining = Convert.ToInt32(er.LeavesQty.getValue()); } if (er.IsSetField(Tags.CumQty)) { orderOrig.CumQty = Convert.ToInt32(er.CumQty.getValue()); } orderOrig.Memo = er.IsSetField(Tags.Memo) ? er.GetField(Tags.Memo): string.Empty; if (!_db.AtualizarOrdem(orderOrig)) { logger.Info("Problemas na atualizacao da ordem. ClOrdID: " + orderOrig.ClOrdID); return(false); } DropCopyCallbackManager.Instance.EnqueueCallback(orderOrig); return(true); } catch (Exception ex) { logger.Error("_er_Update: Erro na atualizacao dos status da ordem: " + ex.Message, ex); return(false); } }
/// <summary> /// Returns the order expiry time if the given FIX message contains the tag (else null). /// </summary> /// <param name="message">The execution report FIX message.</param> /// <returns>A <see cref="decimal"/>.</returns> public static ZonedDateTime?GetExpireTime(ExecutionReport message) { return(message.IsSetField(Tags.ExpireTime) ? ParseTimestamp(message.GetField(Tags.ExpireTime)) : null); }
/// <summary> /// Validar os estados da ordem e executar as respectivas operacoes no dicionario de mensagens /// (Mensagens de Execution Report - ER) /// </summary> /// <param name="msg"></param> /// <param name="eType"></param> /// <param name="oStatus"></param> /// <param name="dic"></param> /// Retorna o TOORderSession referente ao Execution Report /// OBS: strChave - no momento esta considerando sempre clOrdID public void VerifyOrderSituationER(ExecutionReport msg, char e, char o, SessionID ss, OrderSessionManager dic, string strChave, out TOOrderSession ord) { ord = null; try { string strOrigClChave = string.Empty; string strExchNumberChave = msg.OrderID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString(); if (null != ss)// Registry found { // Atualiza o TO com o ExchangeNumber (Tag 37, order ID) TOOrderSession aux = null; dic.GetOrder(strChave, out aux); if (null != aux) { aux.ExchangeNumberID = strExchNumberChave; } // New Order, Exec: New, OrdStatus: New - nao faz nada, somente retorna o TOOrderSession correspondente if (e == ExecType.NEW && o == OrdStatus.NEW) { // Por ser new order, nao se aplica fazer busca pelo exchange number id // pois ainda não foi atualizado dic.GetOrder(strChave, out ord); //ord.ExchangeNumberID = msg.OrderID.getValue() + "-" + msg.Account.getValue() + "-" + msg.Symbol.getValue(); } // Retornar o TOOrderSession correspondente para if (o == OrdStatus.FILLED || o == OrdStatus.PARTIALLY_FILLED) { dic.GetOrder(strChave, out ord, strExchNumberChave); //ord.ExchangeNumberID = msg.OrderID.getValue() + "-" + msg.Account.getValue() + "-" + msg.Symbol.getValue(); } // Stop Order Entry, Exec: New, OrdStatus: New - nao faz nada // No request stop order trigger, Exec: New, OrdStatus: New - nao faz nada // Order with on close, Exec: New, OrdStatus: New // Order with on close attribute is activated when the closing auction starts, Exec: New, Order: New // MinQty order entry, not enough quantity, Exec: new, Order: new // New Order, Exec: Rejected, OrdStatus: Rejected - excluir a chave // New Order, Exec: Suspended, OrdStatus: Suspended // No request, Exec: Trade, OrdStatus: Filled if ((e == ExecType.REJECTED && o == OrdStatus.REJECTED) || (e == ExecType.SUSPENDED && o == OrdStatus.SUSPENDED) || (e == ExecType.TRADE && o == OrdStatus.FILLED) || (e == ExecType.EXPIRED && o == OrdStatus.EXPIRED)) { lock (dic) { TOOrderSession toOS = null; int ret = dic.GetOrder(strChave, out toOS, strExchNumberChave); ord = toOS; toOS = null; if (ret == FindType.EXCHANGE_NUMBER) { dic.RemoveOrder(ord.ChaveDicionario); } else { dic.RemoveOrder(strChave); } } } // Order Modify, Exec: Replace, OrdStatus: Replaced if (e == ExecType.REPLACE && o == OrdStatus.REPLACED) { strOrigClChave = msg.OrigClOrdID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString(); lock (dic) { //if (dic.ExistOrder(strOrigClChave)) //{ TOOrderSession toOS = null; int ret = dic.GetOrder(strOrigClChave, out toOS, strExchNumberChave, KeyType.ORIGCLORDID); ord = toOS; toOS = null; if (ret == FindType.EXCHANGE_NUMBER) { dic.RemoveOrder(ord.ChaveDicionario); } else { dic.RemoveOrder(strOrigClChave); } //} } } // Cancelation, Exec: Cancelled, OrdStatus: Cancelled // No request FAK Partially Filled, Exec: Canceled, OrdStatus: Canceled // No request FOK Partially Filled, Exec: Canceled, OrdStatus: Canceled // MinQty order entry, not enough quantity rejected, Exec: Cancelled, Order: Cancelled if (e == ExecType.CANCELED && o == OrdStatus.CANCELED) { bool processOrig = true; // Tratamento de outros tipos de timeinforce (para execucao e cancelamento, o orig clord id não é fornecido) if (msg.IsSetField(Tags.TimeInForce)) { switch (msg.TimeInForce.getValue()) { case TimeInForce.IMMEDIATE_OR_CANCEL: case TimeInForce.FILL_OR_KILL: processOrig = false; strOrigClChave = msg.ClOrdID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString(); break; default: { // Caso o cancelamento tenha partido da bolsa, tambem nao eh fornecido o OrigClOrdID // entao tenta-se utilizar o ClOrdID vindo do ExecutionReport string aux1 = msg.IsSetOrigClOrdID() ? msg.OrigClOrdID.ToString() : msg.ClOrdID.ToString(); strOrigClChave = aux1 + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString(); } break; } } else { // TimeInForce = 0 (DAY) - Default // Caso o Orig nao esteja na mensagem, tenta-se buscar pelo ClOrdID string aux1 = msg.IsSetOrigClOrdID() ? msg.OrigClOrdID.ToString() : msg.ClOrdID.ToString(); strOrigClChave = aux1 + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString(); } lock (dic) { TOOrderSession toOS = null; int ret = 0; ret = dic.GetOrder(strOrigClChave, out toOS, strExchNumberChave, KeyType.ORIGCLORDID); if (null != toOS) { ord = toOS; toOS = null; if (ret == FindType.EXCHANGE_NUMBER) { dic.RemoveOrder(ord.ChaveDicionario); } else { dic.RemoveOrder(strOrigClChave); } } if (processOrig) { ret = dic.GetOrder(strChave, out toOS, strExchNumberChave); if (ret == FindType.EXCHANGE_NUMBER) { dic.RemoveOrder(toOS.ChaveDicionario); } else { dic.RemoveOrder(strChave); } toOS = null; } } } } } catch (Exception ex) { logger.Error("VerifyOrderSituationER(): " + ex.Message, ex); } }