public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0, 6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
{
order.set(new QuickFix.Price(Order.Price));
}
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
{
order.set(new QuickFix.StopPx(Order.StopPx));
}
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}
public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0,6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
order.set(new QuickFix.Price(Order.Price));
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
order.set(new QuickFix.StopPx(Order.StopPx));
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}
