/// <summary>
/// Adds an array of fields to the FixMessage.
/// </summary>
/// <param name="fields">An array of fields.</param>
private void AddFieldArray(string[] fields)
{
// This local is used for repeating groups (see below.)
StringCollection groupFields = new StringCollection();
// Add each field after parse the values into a "Tag=Value" pair.
foreach (string field in fields)
{
// The 'Split' method has a bothersome habit of leaving a null entry when a token delimiter ends up a the end
// of the string. This will quickly filter out those byproducts of the 'Split'.
if (field == string.Empty)
{
continue;
}
// Break the field up into the 'Tag' and 'Value' fields, parse them and add them to the hash table.
string[] values = field.Split('=');
if (values.Length > 1)
{
try
{
//tagNumber
Tag tag = MarkThree.TagConverter.ConvertFrom(values[0]);
string stringValue = values[1];
// Handle repeating group fields here.
// Per the FIX spec:
// "Fields within repeating data groups must be specified in the order that the fields are
// specified in the message definition within the FIX specification document. The NoXXX field,
// where XXX is the field being counted, specifies the number of repeating group instances and
// must immediately precede the repeating group contents."
// Generally:
// 1. record the number of repeating group instances for a group when the NoXXX field occurs.
// 2. when each field in the group is read, save it in the groupFields array, unless it the last field.
// 3. when the last field of the group occurs, add a group entry to the group object.
// Order is important (See note from FIX spec above.) groupFields index 0 is the first field of the group, 1 is the second, etc.
// The xxxxGroup object (derived from class RepeatingGroup) holds the all of the repeating groups relating to "xxxx".
// Each repeating group in xxxxGroup is called an Entry.
// The groupFields array is temp space to hold the group fields as they are read from the FIX string.
switch (tag)
{
// IOIQualifiers.
// There is only one field (IOIQualifier) in each group, so groupFields is not used.
case Tag.NoIOIQualifiers:
// This field indicates the start of a set of repeating groups.
// But for FIX 4.0, only one IOIQualifier is allowed and this field is not used.
// So don't create the group object here, create it when the first qualifier is encountered.
// See IOIQualifier below.
break;
case Tag.IOIQualifier:
if (!this.ContainsKey(Tag.IoiQualifierGroup))
{
// if there is not yet an IoiQualifierGroup, create the group object to hold the repeating groups.
this[Tag.IoiQualifierGroup] = new IoiQualifierGroup();
}
// get the group object created previously.
IoiQualifierGroup ioiQualifierGroup = (IoiQualifierGroup)this[Tag.IoiQualifierGroup];
// IOIQualifier is the only field in this group, so add the group to the IoiQualifierGroup object.
// IOIQualifier is not a string in FixMessage, so it needs to be parsed into its correct type.
ioiQualifierGroup.Add((IOIQualifier)FixMessage.Parse(tag, stringValue));
break;
// RoutingIDs. (Valid in FIX 4.2 only.)
// There are 2 fields in each group here, so save the first one in the groupFields array.
// (It could just be saved in a string variable, but the array is more general. A group can have more than 2 fields.)
// For example:
// The following FIX string describes three repeating groups for Routing (215=3), with the first group having
// two fields: RoutingType=3 (216=3), and RoutingID=RTEID1 (217=RTEID1). Similarly for groups 2 and 3.
// 215=3|216=3|217=RTEID1|216=3|217=RTEID2|216=3|217=RTEID3|
case Tag.NoRoutingIDs:
// This field indicates the start of a set of repeating groups.
// Create the group object to hold the repeating groups.
this[Tag.RoutingGroup] = new RoutingGroup();
break;
case Tag.RoutingType:
// Save the RoutingType string in the groupFields collection.
groupFields.Add(stringValue);
break;
case Tag.RoutingID:
// RoutingID is the last field in this group, so add the group to the RoutingGroup object.
if (this.Contains(Tag.RoutingGroup))
{
// get the group object created above.
RoutingGroup routingGroup = (RoutingGroup)this[Tag.RoutingGroup];
if (groupFields.Count > 0)
{
// Add the current group fields to the group object.
// The first (and in this case only) item in the groupFields array is RoutingType.
// RoutingType combined with the RoutingID is a complete group.
// RoutingID is a string in FixMessage, so it doesn't need to be parsed.
// RoutingType is not a string in FixMessage, so it needs to be parsed into its correct type.
RoutingType routingType = (RoutingType)FixMessage.Parse(Tag.RoutingType, groupFields[0]);
routingGroup.Add(routingType, stringValue);
// once the group has been added, clear out the temp array for the next group.
groupFields.Clear();
}
}
break;
// Regular processing of (non-repeating) FIX fields.
default:
this[tag] = FixMessage.Parse(tag, stringValue);
break;
}
}
catch
{
string SenderComp = this.Contains(Tag.SenderCompID) ? this.SenderCompID : string.Empty;
string TargetComp = this.Contains(Tag.TargetCompID) ? this.TargetCompID : string.Empty;
MarkThree.EventLog.Error("MsgSeqNum={0}, SenderCompID={1}, TargetCompID={2}: Can't parse FIX field {3}={4}. Field ignored.", this.MsgSeqNum, SenderComp, TargetComp, values[0], values[1]);
}
}
}
}
/// <summary>
/// Packs the FIX Message into FIX string.
/// </summary>
/// <returns>the FIX Message string.</returns>
public override string ToString()
{
string beginStringField = string.Empty;
string msgTypeField = string.Empty;
string headerFields = string.Empty;
string bodyFields = string.Empty;
string fieldValue = string.Empty;
if (!this.Contains(Tag.BeginString))
{
throw new MissingFieldException("FIX BeginString field is missing");
}
if (!this.Contains(Tag.MsgType))
{
throw new MissingFieldException("FIX MsgType field is missing");
}
// Create a stream of bytes from the fields in the FIX message. Remember that a hashtable -- the underlying data store
// for the message -- iterates through the fields in a random order. This is fine for most FIX fields, but some in the
// header and the trailer must be in a specified order in the packet, so these fields are pulled out of the message
// during this loop and assembled later into the final message.
foreach (Field field in this)
{
switch (field.Tag)
{
case Tag.BeginString:
// The 'BeginString' must always be the first field in the message.
beginStringField = TagConverter.ConvertTo(Tag.BeginString) + "=" + field.Value.ToString() + FixSeparator.ToString();
break;
case Tag.BodyLength:
case Tag.CheckSum:
// these are calculated below once the FIX string is assembled.
break;
case Tag.MsgType:
// The 'MsgType' field is always the third field in the message.
string msgTypeValue = MsgTypeConverter.ConvertTo((MsgType)field.Value);
msgTypeField = TagConverter.ConvertTo(Tag.MsgType) + "=" + msgTypeValue + FixSeparator.ToString();
break;
//////////////////
// Header Fields
//////////////////
case Tag.PossDupFlag:
//case Tag.PossResend:
// bool Header Fields
headerFields += TagConverter.ConvertTo(field.Tag) + "=" + ((bool)field.Value ? "Y" : "N") + FixSeparator.ToString();
break;
case Tag.SendingTime:
//case Tag.OnBehalfOfSendingTime:
case Tag.OrigSendingTime:
// DateTime Header Fields.
headerFields += TagConverter.ConvertTo(field.Tag) + "=" + ((DateTime)field.Value).ToString("yyyyMMdd-HH:mm:ss") + FixSeparator.ToString();
break;
case Tag.MsgSeqNum:
// MsgSeqNum Header Field.
headerFields += TagConverter.ConvertTo(field.Tag) + "=" + field.Value.ToString() + FixSeparator.ToString();
break;
case Tag.DeliverToCompID:
//case Tag.DeliverToLocationID:
case Tag.DeliverToSubID:
case Tag.OnBehalfOfCompID:
//case Tag.OnBehalfOfLocationID:
case Tag.OnBehalfOfSubID:
case Tag.SenderCompID:
//case Tag.SenderLocationID:
case Tag.SenderSubID:
case Tag.TargetCompID:
case Tag.TargetLocationID:
case Tag.TargetSubID:
// ID Header Fields.
headerFields += TagConverter.ConvertTo(field.Tag) + "=" + field.Value.ToString() + FixSeparator.ToString();
break;
//////////////////
// Body Fields
//////////////////
// These are the Body Fields ( in alpha order) that require some conversion or business logic.
// The 'default' case takes care of the rest.
case Tag.Account:
// the Account Body Field is not valid in a cancel message before FIX 4.2
if (!this.MsgType.Equals(MsgType.OrderCancelRequest) ||
(this.MsgType.Equals(MsgType.OrderCancelRequest) && !this.BeginString.Equals("FIX.4.0") && !this.BeginString.Equals("FIX.4.1")))
{
if (field.Value != null)
{
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + field.Value.ToString() + FixSeparator.ToString();
}
}
break;
case Tag.BusinessRejectReason:
// BusinessRejectReason Body Field
fieldValue = BusinessRejectReasonConverter.ConvertTo((BusinessRejectReason)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.CommType:
// CommType Body Field
fieldValue = CommTypeConverter.ConvertTo((CommType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.CxlRejReason:
// CxlRejReason Body Field.
// Only FIX 4.2 and above allow CxlRejReason > 1. (1=CxlRejReason.UnknownOrder).
if (this.BeginString.Equals("FIX.4.0") || this.BeginString.Equals("FIX.4.1"))
{
if ((CxlRejReason)field.Value > CxlRejReason.UnknownOrder)
{
// default to TooLateToCancel
field.Value = CxlRejReason.TooLateToCancel;
}
}
fieldValue = CxlRejReasonConverter.ConvertTo((CxlRejReason)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.CxlRejResponseTo:
// the CxlRejResponseTo Body Field is not valid in a cancel-reject message before FIX 4.2
if (!this.MsgType.Equals(MsgType.OrderCancelReject) ||
(this.MsgType.Equals(MsgType.OrderCancelReject) && !this.BeginString.Equals("FIX.4.0") && !this.BeginString.Equals("FIX.4.1")))
{
fieldValue = CxlRejResponseToConverter.ConvertTo((CxlRejResponseTo)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
}
break;
case Tag.CxlType:
// CxlType Body Field Only for FIX 4.0
if (this.BeginString.Equals("FIX.4.0"))
{
fieldValue = CxlTypeConverter.ConvertTo((CxlType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
}
break;
case Tag.DiscretionInst:
// DiscretionInst Body Field
fieldValue = DiscretionInstConverter.ConvertTo((DiscretionInst)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.DKReason:
// DKReason Body Field
fieldValue = DKReasonConverter.ConvertTo((DKReason)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.EncryptMethod:
// EncryptMethod Body Field
fieldValue = EncryptMethodConverter.ConvertTo((EncryptMethod)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.ExecTransType:
// ExecTransType Body Field
fieldValue = ExecTransTypeConverter.ConvertTo((ExecTransType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.ExecType:
// ExecType Body Field - Not valid in FIX 4.0
if (!this.BeginString.Equals("FIX.4.0"))
{
fieldValue = ExecTypeConverter.ConvertTo((ExecType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
}
break;
case Tag.ExpireTime:
// ExpireTime Body Field
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + ((DateTime)field.Value).ToString("yyyyMMdd-HH:mm:ss") + FixSeparator.ToString();
break;
case Tag.GapFillFlag:
// GapFillFlag Body Field
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + ((bool)field.Value ? "Y" : "N") + FixSeparator.ToString();
break;
case Tag.HandlInst:
// HandlInst Body Field
fieldValue = HandlInstConverter.ConvertTo((HandlInst)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.IOINaturalFlag:
// IOINaturalFlag Body Field
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + ((bool)field.Value ? "Y" : "N") + FixSeparator.ToString();
break;
case Tag.IOIQltyInd:
// IOIQltyInd Body Field
fieldValue = IOIQltyIndConverter.ConvertTo((IOIQltyInd)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.IoiQualifierGroup:
// Expand the repeating group fields.
IoiQualifierGroup ioiQualifierGroup = (IoiQualifierGroup)field.Value;
if ((ioiQualifierGroup != null) && (ioiQualifierGroup.Count > 0))
{
// The 'NoIOIQualifiers' field is only valid for FIX 4.1 and above.
if (!this.BeginString.Equals("FIX.4.0"))
{
// the number of repeating instances goes in the 'NoIOIQualifiers' field.
bodyFields += TagConverter.ConvertTo(Tag.NoIOIQualifiers) + "=" + ioiQualifierGroup.Count.ToString() + FixSeparator.ToString();
}
// Add the qualifiers.
foreach (IoiQualifierGroup.Entry entry in ioiQualifierGroup)
{
fieldValue = IoiQualifierConverter.ConvertTo(entry.IoiQualifier);
bodyFields += TagConverter.ConvertTo(Tag.IOIQualifier) + "=" + fieldValue + FixSeparator.ToString();
// FIX 4.0 only supports 1 qualifier.
if (this.BeginString.Equals("FIX.4.0"))
{
break;
}
}
}
break;
// These fields should be part of the repeating group "IoiQualifierGroup",
// and should NOT be used individually.
case Tag.NoIOIQualifiers:
case Tag.IOIQualifier:
break;
case Tag.IOITransType:
// IOITransType Body Field
fieldValue = IOITransTypeConverter.ConvertTo((IOITransType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.LastCapacity:
// LastCapacity Body Field
fieldValue = LastCapacityConverter.ConvertTo((LastCapacity)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.LeavesQty:
// LeavesQty Body Field - Not valid in FIX 4.0
if (!this.BeginString.Equals("FIX.4.0"))
{
fieldValue = field.Value.ToString();
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
}
break;
case Tag.MaturityMonthYear:
// MaturityMonthYear Body Field
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + ((DateTime)field.Value).ToString("yyyyMM") + FixSeparator.ToString();
break;
case Tag.OpenClose:
// OpenClose Body Field
fieldValue = OptionPositionTypeConverter.ConvertTo((OptionPositionType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.OrdRejReason:
// OrdRejReason Body Field
fieldValue = OrdRejReasonConverter.ConvertTo((OrdRejReason)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.OrdStatus:
// the OrdStatus Body Field is not valid in a cancel-reject message before FIX 4.1
if (!this.MsgType.Equals(MsgType.OrderCancelReject) ||
(this.MsgType.Equals(MsgType.OrderCancelReject) && !this.BeginString.Equals("FIX.4.0")))
{
fieldValue = OrdStatusConverter.ConvertTo((OrdStatus)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
}
break;
case Tag.OrdType:
// OrdType Body Field
fieldValue = OrdTypeConverter.ConvertTo((OrdType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.OrigClOrdID:
// the OrigClOrdID Body Field is not valid in cancel-reject or execution report messages before FIX 4.1
if ((!this.MsgType.Equals(MsgType.OrderCancelReject) && !this.MsgType.Equals(MsgType.ExecutionReport)) ||
(this.MsgType.Equals(MsgType.OrderCancelReject) && !this.BeginString.Equals("FIX.4.0")) ||
(this.MsgType.Equals(MsgType.ExecutionReport) && !this.BeginString.Equals("FIX.4.0")))
{
if (field.Value != null)
{
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + field.Value.ToString() + FixSeparator.ToString();
}
}
break;
case Tag.PutOrCall:
// PutOrCall Body Field
fieldValue = OptionTypeConverter.ConvertTo((OptionType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.RefMsgType:
// RefMsgType Body Field
fieldValue = MsgTypeConverter.ConvertTo((MsgType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.ResetSeqNumFlag:
// ResetSeqNumFlag Body Field
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + ((bool)field.Value ? "Y" : "N") + FixSeparator.ToString();
break;
case Tag.RoutingGroup:
// Expand the Routing repeating group fields.
RoutingGroup routingGroup = (RoutingGroup)field.Value;
if ((routingGroup != null) && (routingGroup.Count > 0))
{
// the number of repeating instances goes in the 'NoRoutingIDs' field.
bodyFields += TagConverter.ConvertTo(Tag.NoRoutingIDs) + "=" + routingGroup.Count.ToString() + FixSeparator.ToString();
foreach (RoutingGroup.Entry entry in routingGroup)
{
// Add the routing type.
fieldValue = RoutingTypeConverter.ConvertTo(entry.RoutingType);
bodyFields += TagConverter.ConvertTo(Tag.RoutingType) + "=" + fieldValue + FixSeparator.ToString();
// Add the routing ID.
bodyFields += TagConverter.ConvertTo(Tag.RoutingID) + "=" + entry.RoutingId + FixSeparator.ToString();
}
}
break;
// These fields should be part of the repeating group "RoutingGroup",
// and should NOT be used individually.
case Tag.NoRoutingIDs:
case Tag.RoutingID:
case Tag.RoutingType:
break;
case Tag.SecurityType:
// SecurityType Body Field
fieldValue = SecurityTypeConverter.ConvertTo((SecurityType)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.SessionRejectReason:
// SessionRejectReason Body Field
fieldValue = SessionRejectReasonConverter.ConvertTo((SessionRejectReason)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.Side:
// Side Body Field
fieldValue = SideConverter.ConvertTo((Side)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.TimeInForce:
// TimeInForce Body Field
fieldValue = TimeInForceConverter.ConvertTo((TimeInForce)field.Value);
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + fieldValue + FixSeparator.ToString();
break;
case Tag.TransactTime:
// the TransactTime Body Field is not valid before FIX 4.2
if (!this.BeginString.Equals("FIX.4.0") && !this.BeginString.Equals("FIX.4.1"))
{
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + ((DateTime)field.Value).ToString("yyyyMMdd-HH:mm:ss") + FixSeparator.ToString();
}
break;
case Tag.ValidUntilTime:
// ValidUntilTime Body Field
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + ((DateTime)field.Value).ToString("yyyyMMdd-HH:mm:ss") + FixSeparator.ToString();
break;
default:
// Default processing of these types for Tags not in the above list.
// Int32 Body Fields
// Decimal Body Fields
// String Body Fields
if (field.Value != null)
{
bodyFields += TagConverter.ConvertTo(field.Tag) + "=" + field.Value.ToString() + FixSeparator.ToString();
}
break;
}
}
if (headerFields.Equals(string.Empty))
{
throw new MissingFieldException("FIX Header fields are missing");
}
// The 'BodyLength' fields must be calculated after the body and part of the header is assembled.
int bodyPacketLength = msgTypeField.Length + headerFields.Length + bodyFields.Length;
string bodyLengthField = TagConverter.ConvertTo(Tag.BodyLength) + "=" + bodyPacketLength.ToString() + FixSeparator.ToString();
// Assemble the packet from the component fields.
string packet = beginStringField + bodyLengthField + msgTypeField + headerFields + bodyFields;
// The final step in assembling a packet is the calculation of the checksum. This is the least significant byte of
// the sum of all the byte values in the packet.
int checksum = 0;
foreach (byte messageByte in packet)
{
checksum += messageByte;
}
string checksumField = TagConverter.ConvertTo(Tag.CheckSum) + "=" + (checksum & 0xFF).ToString("000") + FixSeparator.ToString();
return(packet + checksumField);
}