// ExecutionReport message handler
private void OnExecutionReport(ExecutionReport executionReport)
{
Console.WriteLine("OnExecutionReport()");
Console.WriteLine("\tRequestId = {0}", executionReport.getRequestID());
Console.WriteLine("\tgetOrderID() = " + executionReport.getOrderID());
Console.WriteLine("\tgetFXCMPosID() = " + executionReport.getFXCMPosID());
Console.WriteLine("\tgetAccount() = " + executionReport.getAccount());
Console.WriteLine("\tgetTransactTime() = " + executionReport.getTransactTime());
Console.WriteLine("\tgetExecType() = " + executionReport.getExecType());
Console.WriteLine("\tgetFXCMOrdStatus() = " + executionReport.getFXCMOrdStatus());
Console.WriteLine("\tgetOrdStatus() = " + executionReport.getOrdStatus());
Console.WriteLine("\tgetPrice() = " + executionReport.getPrice());
Console.WriteLine("\tgetStopPx() = " + executionReport.getStopPx());
Console.WriteLine("\tgetOrderQty() = " + executionReport.getOrderQty());
Console.WriteLine("\tgetCumQty() = " + executionReport.getCumQty());
Console.WriteLine("\tgetLastQty() = " + executionReport.getLastQty());
Console.WriteLine("\tgetLeavesQty() = " + executionReport.getLeavesQty());
Console.WriteLine("\tgetFXCMErrorDetails() = " + executionReport.getFXCMErrorDetails());
Console.WriteLine();
var orderId = executionReport.getOrderID();
if (orderId != "NONE")
{
_orders[orderId] = executionReport;
_orderRequests[executionReport.getRequestID()] = executionReport;
}
if (executionReport.getRequestID() == _currentRequest)
{
var status = executionReport.getFXCMOrdStatus().getCode();
if (executionReport.isLastRptRequested() &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_PENDING_CANCEL &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_EXECUTING &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_INPROCESS)
{
_requestOrderEvent.Set();
}
}
}
/// <summary>
/// ExecutionReport message handler
/// </summary>
private void OnExecutionReport(ExecutionReport message)
{
var orderId = message.getOrderID();
var orderStatus = message.getFXCMOrdStatus();
if (orderId != "NONE" && message.getAccount() == _accountId)
{
if (_openOrders.ContainsKey(orderId) && OrderIsClosed(orderStatus.getCode()))
{
_openOrders.Remove(orderId);
}
else
{
_openOrders[orderId] = message;
}
Order order;
if (_mapFxcmOrderIdsToOrders.TryGetValue(orderId, out order))
{
// existing order
if (!OrderIsBeingProcessed(orderStatus.getCode()))
{
order.PriceCurrency = message.getCurrency();
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus),
FillPrice = Convert.ToDecimal(message.getPrice()),
FillQuantity = Convert.ToInt32(message.getSide() == SideFactory.BUY ? message.getLastQty() : -message.getLastQty())
};
// we're catching the first fill so we apply the fees only once
if ((int)message.getCumQty() == (int)message.getLastQty() && message.getLastQty() > 0)
{
var security = _securityProvider.GetSecurity(order.Symbol);
orderEvent.OrderFee = security.FeeModel.GetOrderFee(security, order);
}
_orderEventQueue.Enqueue(orderEvent);
}
}
else if (_mapRequestsToOrders.TryGetValue(message.getRequestID(), out order))
{
_mapFxcmOrderIdsToOrders[orderId] = order;
order.BrokerId.Add(orderId);
order.PriceCurrency = message.getCurrency();
// new order
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus)
};
_orderEventQueue.Enqueue(orderEvent);
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.isLastRptRequested())
{
if (orderId == "NONE" && orderStatus.getCode() == IFixValueDefs.__Fields.FXCMORDSTATUS_REJECTED)
{
if (message.getSide() != SideFactory.UNDISCLOSED)
{
var messageText = message.getFXCMErrorDetails().Replace("\n", "");
Log.Trace("FxcmBrokerage.OnExecutionReport(): " + messageText);
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "OrderSubmitReject", messageText));
}
_isOrderSubmitRejected = true;
}
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
}
}
}
/// <summary>
/// ExecutionReport message handler
/// </summary>
private void OnExecutionReport(ExecutionReport message)
{
var orderId = message.getOrderID();
var orderStatus = message.getFXCMOrdStatus();
if (orderId != "NONE" && message.getAccount() == _accountId)
{
if (_openOrders.ContainsKey(orderId) && OrderIsClosed(orderStatus.getCode()))
{
_openOrders.Remove(orderId);
}
else
{
_openOrders[orderId] = message;
}
Order order;
if (_mapFxcmOrderIdsToOrders.TryGetValue(orderId, out order))
{
// existing order
if (!OrderIsBeingProcessed(orderStatus.getCode()))
{
var status = ConvertOrderStatus(orderStatus);
int id;
// if we get a Submitted status and we had placed an order update, this new event is flagged as an update
var isUpdate = status == OrderStatus.Submitted && _orderUpdates.TryRemove(order.Id, out id);
var security = _securityProvider.GetSecurity(order.Symbol);
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
var orderEvent = new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero)
{
Status = isUpdate ? OrderStatus.UpdateSubmitted : status,
FillPrice = Convert.ToDecimal(message.getPrice()),
FillQuantity = Convert.ToInt32(message.getSide() == SideFactory.BUY ? message.getLastQty() : -message.getLastQty()),
};
// we're catching the first fill so we apply the fees only once
if ((int)message.getCumQty() == (int)message.getLastQty() && message.getLastQty() > 0)
{
orderEvent.OrderFee = security.FeeModel.GetOrderFee(
new OrderFeeParameters(security, order));
}
_orderEventQueue.Enqueue(orderEvent);
}
}
else if (_mapRequestsToOrders.TryGetValue(message.getRequestID(), out order))
{
_mapFxcmOrderIdsToOrders[orderId] = order;
order.BrokerId.Add(orderId);
order.PriceCurrency = _securityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
// new order
var orderEvent = new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero)
{
Status = ConvertOrderStatus(orderStatus)
};
_orderEventQueue.Enqueue(orderEvent);
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.isLastRptRequested())
{
if (orderId == "NONE" && orderStatus.getCode() == IFixValueDefs.__Fields.FXCMORDSTATUS_REJECTED)
{
if (message.getSide() != SideFactory.UNDISCLOSED)
{
var messageText = message.getFXCMErrorDetails().Replace("\n", "");
Log.Trace("FxcmBrokerage.OnExecutionReport(): " + messageText);
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "OrderSubmitReject", messageText));
}
_isOrderSubmitRejected = true;
}
AutoResetEvent autoResetEvent;
if (_mapRequestsToAutoResetEvents.TryGetValue(_currentRequest, out autoResetEvent))
{
autoResetEvent.Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
}
}
}
}
// ExecutionReport message handler
private void OnExecutionReport(ExecutionReport executionReport)
{
Console.WriteLine("OnExecutionReport()");
Console.WriteLine("\tRequestId = {0}", executionReport.getRequestID());
Console.WriteLine("\tgetOrderID() = " + executionReport.getOrderID());
Console.WriteLine("\tgetFXCMPosID() = " + executionReport.getFXCMPosID());
Console.WriteLine("\tgetAccount() = " + executionReport.getAccount());
Console.WriteLine("\tgetTransactTime() = " + executionReport.getTransactTime());
Console.WriteLine("\tgetExecType() = " + executionReport.getExecType());
Console.WriteLine("\tgetFXCMOrdStatus() = " + executionReport.getFXCMOrdStatus());
Console.WriteLine("\tgetOrdStatus() = " + executionReport.getOrdStatus());
Console.WriteLine("\tgetPrice() = " + executionReport.getPrice());
Console.WriteLine("\tgetStopPx() = " + executionReport.getStopPx());
Console.WriteLine("\tgetOrderQty() = " + executionReport.getOrderQty());
Console.WriteLine("\tgetCumQty() = " + executionReport.getCumQty());
Console.WriteLine("\tgetLastQty() = " + executionReport.getLastQty());
Console.WriteLine("\tgetLeavesQty() = " + executionReport.getLeavesQty());
Console.WriteLine("\tgetFXCMErrorDetails() = " + executionReport.getFXCMErrorDetails());
Console.WriteLine();
var orderId = executionReport.getOrderID();
if (orderId != "NONE")
{
_orders[orderId] = executionReport;
_orderRequests[executionReport.getRequestID()] = executionReport;
}
if (executionReport.getRequestID() == _currentRequest)
{
var status = executionReport.getFXCMOrdStatus().getCode();
if (executionReport.isLastRptRequested() &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_PENDING_CANCEL &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_EXECUTING &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_INPROCESS)
{
_requestOrderEvent.Set();
}
}
}