public override void onMessage(QuickFix44.SecurityDefinition message, SessionID sessionID)
{
QuickFix44.SecurityDefinition echo = message;
try
{
Session.sendToTarget(echo, sessionID);
}
catch (SessionNotFound) { }
}
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 override void onMessage(QuickFix44.NewOrderSingle message, SessionID sessionID)
{
process(message, sessionID);
}
