public override void onMessage(QuickFix44.NewOrderSingle order, SessionID sessionID)
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get(ordType);
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.getField());
}
order.get(symbol);
order.get(side);
order.get(orderQty);
order.get(price);
order.get(clOrdID);
QuickFix44.ExecutionReport executionReport = new QuickFix44.ExecutionReport
(genOrderID(),
genExecID(),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
executionReport.set(clOrdID);
executionReport.set(symbol);
executionReport.set(orderQty);
executionReport.set(new LastQty(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
if (order.isSetAccount())
{
executionReport.setField(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
public void exampleTrading(AccountsWindow accounts, RatesWindow rates, char direction)
{
exampleRunning = true;
if (instruments == null)
{
instruments = rates.symbols();
}
foreach (QuickFix.Symbol instrument in rates.symbols())
{
// place a market order on each available account
foreach (QuickFix.Account account in accounts.accounts())
{
// create a NewOrderSingle Market
QuickFix44.NewOrderSingle order = new QuickFix44.NewOrderSingle(
new QuickFix.ClOrdID(sessionID + "-" + DateTime.Now.Ticks + "-" + nextID().ToString()),
new QuickFix.Side(direction),
new QuickFix.TransactTime(),
new QuickFix.OrdType(QuickFix.OrdType.MARKET)
);
order.set(account);
order.set(instrument);
// get the minimum quantity from the RatesWindow
order.set(new QuickFix.OrderQty(rates.minQty(instrument)));
order.set(new QuickFix.TimeInForce(QuickFix.TimeInForce.GOOD_TILL_CANCEL));
order.set(new QuickFix.SecondaryClOrdID("fix_example_test"));
// sent the order to the API
send(order, sessionID);
// write note to the log
Console.WriteLine(
"An order for {0:N0} {1} on {2} placed on {3}",
order.getOrderQty().getValue(),
((order.getSide().getValue() == 2) ? "Sell" : "Buy"),
order.getSymbol().getValue(),
order.getAccount().getValue()
);
}
}
}