Beispiel #1
0
	public void onMessage(QuickFix.FIX42.NewOrderSingle order, SessionID sessionID)
	{
		FIXNewOrderSingle fixNewOrderSingle = new FIXNewOrderSingle();
		if (order.isSetClOrdID())
			fixNewOrderSingle.ClOrdID = order.getClOrdID().getValue();
		if (order.isSetAccount())
			fixNewOrderSingle.Account = order.getAccount().getValue();
		if (order.isSetSettlmntTyp())
			fixNewOrderSingle.SettlType = order.getSettlmntTyp().getValue();
		if (order.isSetHandlInst())
			fixNewOrderSingle.HandlInst = order.getHandlInst().getValue();
		if (order.isSetExecInst())
			fixNewOrderSingle.ExecInst = order.getExecInst().getValue();
		if (order.isSetMinQty())
			fixNewOrderSingle.MinQty = order.getMinQty().getValue();
		if (order.isSetMaxFloor())
			fixNewOrderSingle.MaxFloor = order.getMaxFloor().getValue();
		if (order.isSetExDestination())
			fixNewOrderSingle.ExDestination = order.getExDestination().getValue();
		if (order.isSetProcessCode())
			fixNewOrderSingle.ProcessCode = order.getProcessCode().getValue();
		if (order.isSetSymbol())
			fixNewOrderSingle.Symbol = order.getSymbol().getValue();
		if (order.isSetSymbolSfx())
			fixNewOrderSingle.SymbolSfx = order.getSymbolSfx().getValue();
		if (order.isSetSecurityID())
			fixNewOrderSingle.SecurityID = order.getSecurityID().getValue();
		if (order.isSetIDSource())
			fixNewOrderSingle.SecurityIDSource = order.getIDSource().getValue();
		if (order.isSetSecurityType())
			fixNewOrderSingle.SecurityType = order.getSecurityType().getValue();
		if (order.isSetMaturityMonthYear())
			fixNewOrderSingle.MaturityMonthYear = order.getMaturityMonthYear().getValue();
		if (order.isSetMaturityDay())
			fixNewOrderSingle.MaturityDate = DateTime.Parse(order.getMaturityDay().getValue());
		if (order.isSetStrikePrice())
			fixNewOrderSingle.StrikePrice = order.getStrikePrice().getValue();
		if (order.isSetOptAttribute())
			fixNewOrderSingle.OptAttribute = order.getOptAttribute().getValue();
		if (order.isSetContractMultiplier())
			fixNewOrderSingle.ContractMultiplier = order.getContractMultiplier().getValue();
		if (order.isSetCouponRate())
			fixNewOrderSingle.CouponRate = order.getCouponRate().getValue();
		if (order.isSetSecurityExchange())
			fixNewOrderSingle.SecurityExchange = order.getSecurityExchange().getValue();
		if (order.isSetIssuer())
			fixNewOrderSingle.Issuer = order.getIssuer().getValue();
		if (order.isSetEncodedIssuerLen())
			fixNewOrderSingle.EncodedIssuerLen = order.getEncodedIssuerLen().getValue();
		if (order.isSetEncodedIssuer())
			fixNewOrderSingle.EncodedIssuer = order.getEncodedIssuer().getValue();
		if (order.isSetSecurityDesc())
			fixNewOrderSingle.SecurityDesc = order.getSecurityDesc().getValue();
		if (order.isSetEncodedSecurityDescLen())
			fixNewOrderSingle.EncodedSecurityDescLen = order.getEncodedSecurityDescLen().getValue();
		if (order.isSetEncodedSecurityDesc())
			fixNewOrderSingle.EncodedSecurityDesc = order.getEncodedSecurityDesc().getValue();
		if (order.isSetPrevClosePx())
			fixNewOrderSingle.PrevClosePx = order.getPrevClosePx().getValue();
		if (order.isSetSide())
			fixNewOrderSingle.Side = order.getSide().getValue();
		if (order.isSetTransactTime())
			fixNewOrderSingle.TransactTime = order.getTransactTime().getValue();
		if (order.isSetOrderQty())
			fixNewOrderSingle.OrderQty = order.getOrderQty().getValue();
		if (order.isSetCashOrderQty())
			fixNewOrderSingle.CashOrderQty = order.getCashOrderQty().getValue();
		if (order.isSetOrdType())
			fixNewOrderSingle.OrdType = order.getOrdType().getValue();
		if (order.isSetPrice())
			fixNewOrderSingle.Price = order.getPrice().getValue();
		if (order.isSetStopPx())
			fixNewOrderSingle.StopPx = order.getStopPx().getValue();
		if (order.isSetComplianceID())
			fixNewOrderSingle.ComplianceID = order.getComplianceID().getValue();
		if (order.isSetIOIid())
			fixNewOrderSingle.IOIID = order.getIOIid().getValue();
		if (order.isSetQuoteID())
			fixNewOrderSingle.QuoteID = order.getQuoteID().getValue();
		if (order.isSetTimeInForce())
			fixNewOrderSingle.TimeInForce = order.getTimeInForce().getValue();
		if (order.isSetEffectiveTime())
			fixNewOrderSingle.EffectiveTime = order.getEffectiveTime().getValue();
		if (order.isSetExpireTime())
			fixNewOrderSingle.ExpireTime = order.getExpireTime().getValue();
		if (order.isSetGTBookingInst())
			fixNewOrderSingle.GTBookingInst = order.getGTBookingInst().getValue();
		if (order.isSetCommission())
			fixNewOrderSingle.Commission = order.getCommission().getValue();
		if (order.isSetText())
			fixNewOrderSingle.Text = order.getText().getValue();
		if (order.isSetEncodedTextLen())
			fixNewOrderSingle.EncodedTextLen = order.getEncodedTextLen().getValue();
		if (order.isSetEncodedText())
			fixNewOrderSingle.EncodedText = order.getEncodedText().getValue();
		if (order.isSetOrderQty2())
			fixNewOrderSingle.OrderQty2 = order.getOrderQty2().getValue();
		if (order.isSetCoveredOrUncovered())
			fixNewOrderSingle.CoveredOrUncovered = order.getCoveredOrUncovered().getValue();
		if (order.isSetMaxShow())
			fixNewOrderSingle.MaxShow = order.getMaxShow().getValue();
		if (!order.isSetDiscretionInst())
			return;
		fixNewOrderSingle.DiscretionInst = order.getDiscretionInst().getValue();
	}
Beispiel #2
0
	public void onMessage(QuickFix.FIX42.ExecutionReport report, SessionID sessionID)
	{
		SmartQuant.FIX.ExecutionReport report1 = new SmartQuant.FIX.ExecutionReport();
		if (report.isSetOrderID())
			report1.OrderID = report.getOrderID().getValue();
		if (report.isSetSecondaryOrderID())
			report1.SecondaryOrderID = report.getSecondaryOrderID().getValue();
		if (report.isSetClOrdID())
			report1.ClOrdID = report.getClOrdID().getValue();
		if (report.isSetOrigClOrdID())
			report1.OrigClOrdID = report.getOrigClOrdID().getValue();
		if (report.isSetListID())
			report1.ListID = report.getListID().getValue();
		if (report.isSetExecID())
			report1.ExecID = report.getExecID().getValue();
		if (report.isSetExecRefID())
			report1.ExecRefID = report.getExecRefID().getValue();
		if (report.isSetExecType())
			((FIXExecutionReport)report1).ExecType = report.getExecType().getValue();
		if (report.isSetOrdStatus())
			((FIXExecutionReport)report1).OrdStatus = report.getOrdStatus().getValue();
		if (report.isSetOrdRejReason())
			report1.OrdRejReason = report.getOrdRejReason().getValue();
		if (report.isSetExecRestatementReason())
			report1.ExecRestatementReason = report.getExecRestatementReason().getValue();
		if (report.isSetAccount())
			report1.Account = report.getAccount().getValue();
		if (report.isSetSettlmntTyp())
			report1.SettlType = report.getSettlmntTyp().getValue();
		if (report.isSetSymbol())
			report1.Symbol = report.getSymbol().getValue();
		if (report.isSetSymbolSfx())
			report1.SymbolSfx = report.getSymbolSfx().getValue();
		if (report.isSetSecurityID())
			report1.SecurityID = report.getSecurityID().getValue();
		if (report.isSetSecurityType())
			report1.SecurityType = report.getSecurityType().getValue();
		if (report.isSetMaturityMonthYear())
			report1.MaturityMonthYear = report.getMaturityMonthYear().getValue();
		if (report.isSetMaturityDay())
			report1.MaturityDate = DateTime.Parse(report.getMaturityDay().getValue());
		if (report.isSetStrikePrice())
			report1.StrikePrice = report.getStrikePrice().getValue();
		if (report.isSetOptAttribute())
			report1.OptAttribute = report.getOptAttribute().getValue();
		if (report.isSetContractMultiplier())
			report1.ContractMultiplier = report.getContractMultiplier().getValue();
		if (report.isSetCouponRate())
			report1.CouponRate = report.getCouponRate().getValue();
		if (report.isSetSecurityExchange())
			report1.SecurityExchange = report.getSecurityExchange().getValue();
		if (report.isSetIssuer())
			report1.Issuer = report.getIssuer().getValue();
		if (report.isSetEncodedIssuerLen())
			report1.EncodedIssuerLen = report.getEncodedIssuerLen().getValue();
		if (report.isSetEncodedIssuer())
			report1.EncodedIssuer = report.getEncodedIssuer().getValue();
		if (report.isSetSecurityDesc())
			report1.SecurityDesc = report.getSecurityDesc().getValue();
		if (report.isSetEncodedSecurityDescLen())
			report1.EncodedSecurityDescLen = report.getEncodedSecurityDescLen().getValue();
		if (report.isSetEncodedSecurityDesc())
			report1.EncodedSecurityDesc = report.getEncodedSecurityDesc().getValue();
		if (report.isSetSide())
			((FIXExecutionReport)report1).Side = report.getSide().getValue();
		if (report.isSetOrderQty())
			report1.OrderQty = report.getOrderQty().getValue();
		if (report.isSetCashOrderQty())
			report1.CashOrderQty = report.getCashOrderQty().getValue();
		if (report.isSetOrdType())
			((FIXExecutionReport)report1).OrdType = report.getOrdType().getValue();
		if (report.isSetPrice())
			report1.Price = report.getPrice().getValue();
		if (report.isSetStopPx())
			report1.StopPx = report.getStopPx().getValue();
		if (report.isSetDiscretionInst())
			report1.DiscretionInst = report.getDiscretionInst().getValue();
		if (report.isSetDiscretionOffset())
			report1.DiscretionOffsetValue = report.getDiscretionOffset().getValue();
		if (report.isSetCurrency())
			report1.Currency = report.getCurrency().getValue();
		if (report.isSetComplianceID())
			report1.ComplianceID = report.getComplianceID().getValue();
		if (report.isSetTimeInForce())
			((FIXExecutionReport)report1).TimeInForce = report.getTimeInForce().getValue();
		if (report.isSetEffectiveTime())
			report1.EffectiveTime = report.getEffectiveTime().getValue();
		if (report.isSetExpireDate())
			report1.ExpireDate = DateTime.Parse(report.getExpireDate().getValue());
		if (report.isSetExpireTime())
			report1.ExpireTime = report.getExpireTime().getValue();
		if (report.isSetExecInst())
			report1.ExecInst = report.getExecInst().getValue();
		if (report.isSetLastShares())
			report1.LastQty = report.getLastShares().getValue();
		if (report.isSetLastPx())
			report1.LastPx = report.getLastPx().getValue();
		if (report.isSetLastSpotRate())
			report1.LastSpotRate = report.getLastSpotRate().getValue();
		if (report.isSetLastForwardPoints())
			report1.LastForwardPoints = report.getLastForwardPoints().getValue();
		if (report.isSetLastMkt())
			report1.LastMkt = report.getLastMkt().getValue();
		if (report.isSetTradingSessionID())
			report1.TradingSessionID = report.getTradingSessionID().getValue();
		if (report.isSetLastCapacity())
			report1.LastCapacity = report.getLastCapacity().getValue();
		if (report.isSetLeavesQty())
			report1.LeavesQty = report.getLeavesQty().getValue();
		if (report.isSetCumQty())
			report1.CumQty = report.getCumQty().getValue();
		if (report.isSetAvgPx())
			report1.AvgPx = report.getAvgPx().getValue();
		if (report.isSetDayOrderQty())
			report1.DayOrderQty = report.getDayOrderQty().getValue();
		if (report.isSetDayCumQty())
			report1.DayCumQty = report.getDayCumQty().getValue();
		if (report.isSetDayAvgPx())
			report1.DayAvgPx = report.getDayAvgPx().getValue();
		if (report.isSetGTBookingInst())
			report1.GTBookingInst = report.getGTBookingInst().getValue();
		if (report.isSetTradeDate())
			report1.TradeDate = DateTime.Parse(report.getTradeDate().getValue());
		if (report.isSetTransactTime())
			report1.TransactTime = report.getTransactTime().getValue();
		if (report.isSetCommission())
			report1.Commission = report.getCommission().getValue();
		if (report.isSetCommType())
			((FIXExecutionReport)report1).CommType = report.getCommType().getValue();
		if (report.isSetGrossTradeAmt())
			report1.GrossTradeAmt = report.getGrossTradeAmt().getValue();
		if (report.isSetSettlCurrAmt())
			report1.SettlCurrAmt = report.getSettlCurrAmt().getValue();
		if (report.isSetSettlCurrency())
			report1.SettlCurrency = report.getSettlCurrency().getValue();
		if (report.isSetHandlInst())
			report1.HandlInst = report.getHandlInst().getValue();
		if (report.isSetMinQty())
			report1.MinQty = report.getMinQty().getValue();
		if (report.isSetMaxFloor())
			report1.MaxFloor = report.getMaxFloor().getValue();
		if (report.isSetMaxShow())
			report1.MaxShow = report.getMaxShow().getValue();
		if (report.isSetText())
			report1.Text = report.getText().getValue();
		if (report.isSetEncodedTextLen())
			report1.EncodedTextLen = report.getEncodedTextLen().getValue();
		if (report.isSetEncodedText())
			report1.EncodedText = report.getEncodedText().getValue();
		if (report.isSetOrderQty2())
			report1.OrderQty2 = report.getOrderQty2().getValue();
		if (report.isSetMultiLegReportingType())
			report1.MultiLegReportingType = report.getMultiLegReportingType().getValue();
		if (this.dyw7Oec2k == null)
			return;
		this.dyw7Oec2k((object)this, new ExecutionReportEventArgs(report1));
	}
Beispiel #3
0
	public void onMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh snapshot, SessionID sessionID)
	{
		FIXMarketDataSnapshot MarketDataSnapshotFullRefresh = new FIXMarketDataSnapshot();
		if (snapshot.isSetContractMultiplier())
			MarketDataSnapshotFullRefresh.ContractMultiplier = snapshot.getContractMultiplier().getValue();
		if (snapshot.isSetCorporateAction())
			MarketDataSnapshotFullRefresh.CorporateAction = snapshot.getCorporateAction().getValue();
		if (snapshot.isSetCouponRate())
			MarketDataSnapshotFullRefresh.CouponRate = snapshot.getCouponRate().getValue();
		if (snapshot.isSetEncodedIssuer())
			MarketDataSnapshotFullRefresh.EncodedIssuer = snapshot.getEncodedIssuer().getValue();
		if (snapshot.isSetEncodedIssuerLen())
			MarketDataSnapshotFullRefresh.EncodedIssuerLen = snapshot.getEncodedIssuerLen().getValue();
		if (snapshot.isSetEncodedSecurityDesc())
			MarketDataSnapshotFullRefresh.EncodedSecurityDesc = snapshot.getEncodedSecurityDesc().getValue();
		if (snapshot.isSetEncodedSecurityDescLen())
			MarketDataSnapshotFullRefresh.EncodedSecurityDescLen = snapshot.getEncodedSecurityDescLen().getValue();
		if (snapshot.isSetFinancialStatus())
			MarketDataSnapshotFullRefresh.FinancialStatus = snapshot.getFinancialStatus().getValue();
		if (snapshot.isSetIssuer())
			MarketDataSnapshotFullRefresh.Issuer = snapshot.getIssuer().getValue();
		if (snapshot.isSetMaturityMonthYear())
			MarketDataSnapshotFullRefresh.MaturityMonthYear = snapshot.getMaturityMonthYear().getValue();
		if (snapshot.isSetMDReqID())
			MarketDataSnapshotFullRefresh.MDReqID = snapshot.getMDReqID().getValue();
		if (snapshot.isSetOptAttribute())
			MarketDataSnapshotFullRefresh.OptAttribute = snapshot.getOptAttribute().getValue();
		if (snapshot.isSetSecurityDesc())
			MarketDataSnapshotFullRefresh.SecurityDesc = snapshot.getSecurityDesc().getValue();
		if (snapshot.isSetSecurityExchange())
			MarketDataSnapshotFullRefresh.SecurityExchange = snapshot.getSecurityExchange().getValue();
		if (snapshot.isSetSecurityID())
			MarketDataSnapshotFullRefresh.SecurityID = snapshot.getSecurityID().getValue();
		if (snapshot.isSetSecurityType())
			MarketDataSnapshotFullRefresh.SecurityType = snapshot.getSecurityType().getValue();
		if (snapshot.isSetStrikePrice())
			MarketDataSnapshotFullRefresh.StrikePrice = snapshot.getStrikePrice().getValue();
		if (snapshot.isSetSymbol())
			MarketDataSnapshotFullRefresh.Symbol = snapshot.getSymbol().getValue();
		if (snapshot.isSetSymbolSfx())
			MarketDataSnapshotFullRefresh.SymbolSfx = snapshot.getSymbolSfx().getValue();
		MarketDataSnapshotFullRefresh.NoMDEntries noMdEntries = new MarketDataSnapshotFullRefresh.NoMDEntries();
		for (uint num = 1U; (long)num <= (long)snapshot.getNoMDEntries().getValue(); ++num)
		{
			snapshot.getGroup(num, (Group)noMdEntries);
			FIXMDEntriesGroup group = new FIXMDEntriesGroup(noMdEntries.get(new MDEntryType()).getValue());
			if (noMdEntries.isSetMDEntryDate())
				group.MDEntryDate = noMdEntries.getMDEntryDate().getValue();
			if (noMdEntries.isSetMDEntryTime())
				group.MDEntryTime = noMdEntries.getMDEntryTime().getValue();
			if (noMdEntries.isSetMDEntryPx())
				group.MDEntryPx = noMdEntries.getMDEntryPx().getValue();
			if (noMdEntries.isSetMDEntrySize())
				group.MDEntrySize = noMdEntries.getMDEntrySize().getValue();
			if (noMdEntries.isSetMDEntryBuyer())
				group.MDEntryBuyer = noMdEntries.getMDEntryBuyer().getValue();
			if (noMdEntries.isSetMDEntrySeller())
				group.MDEntrySeller = noMdEntries.getMDEntrySeller().getValue();
			MarketDataSnapshotFullRefresh.AddGroup(group);
		}
		noMdEntries.Dispose();
		if (this.DHHvj9eQf == null)
			return;
		this.DHHvj9eQf((object)this, new FIXMarketDataSnapshotEventArgs(MarketDataSnapshotFullRefresh));
	}