/// <summary> /// Creates a FIX4.2 NewOrderSingle message for Currenex /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX42.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract); newOrderSingle.SetField(securityType); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); //set order side if (order.OrderSide == Constants.OrderSide.BUY) { newOrderSingle.Set(new Side(Side.BUY)); } else if (order.OrderSide == Constants.OrderSide.SELL) { newOrderSingle.Set(new Side(Side.SELL)); } var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var minQty = new QuickFix.Fields.MinQty(order.OrderSize); newOrderSingle.SetField(minQty); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { newOrderSingle.Set(new OrdType('F')); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType('C')); } //if (order.OrderSize != order.OrderSizeToShow) //{ // var maxShow = new QuickFix.Fields.MaxShow(order.OrderSizeToShow); // newOrderSingle.SetField(maxShow); //} var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION); newOrderSingle.SetField(execInst); var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); return(newOrderSingle); }
// public bool EnviarOrdemCross(OrdemCrossInfo info) { return false; } public bool EnviarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, int delay = 0, string mnemonic = "", string senderSubID = "", string extraTags = "") { //Cria a mensagem FIX de NewOrderSingle QuickFix.FIX42.NewOrderSingle ordersingle = new QuickFix.FIX42.NewOrderSingle(); ordersingle.Set(new Account(ordem.Account.ToString())); if (!string.IsNullOrEmpty(mnemonic)) { ordersingle.SetField(new Account(mnemonic), true); } if (!string.IsNullOrEmpty(senderSubID)) { ordersingle.Header.SetField(new SenderSubID(senderSubID)); } ordersingle.Set(new Symbol(ordem.Symbol)); ordersingle.Set(new ClOrdID(ordem.ClOrdID)); // Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID); ordersingle.SetField(field5149); //ordersingle.Set(new IDSource()); if (ordem.Side == OrdemDirecaoEnum.Venda) { ordersingle.Set(new Side(Side.SELL)); } else { ordersingle.Set(new Side(Side.BUY)); } TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce); if (tif != null) { ordersingle.Set(tif); } ordersingle.Set(new OrderQty(ordem.OrderQty)); if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData) { DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate); ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd"))); } OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType); if (ordType != null) { ordersingle.Set(ordType); } // Para versao 4.2, os novos tipos de OrdType a serem enviados (5, A ou B); if (!string.IsNullOrEmpty(ordem.Memo5149)) { ordersingle.SetField(new OrdType(Convert.ToChar(ordem.Memo5149)), true); } // Verifica envio do preco switch (ordem.OrdType) { case OrdemTipoEnum.Limitada: case OrdemTipoEnum.MarketWithLeftOverLimit: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); break; case OrdemTipoEnum.StopLimitada: case OrdemTipoEnum.StopStart: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice))); break; case OrdemTipoEnum.Mercado: case OrdemTipoEnum.OnClose: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); break; default: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); break; } ordersingle.Set(new TransactTime(DateTime.Now)); ordersingle.Set(new HandlInst('1')); ordersingle.Set(new ExecBroker("227")); if (ordem.MaxFloor > 0) { ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor))); } if (ordem.MinQty > 0) { ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty))); } // Tags Customizadas Bloomberg if (!string.IsNullOrEmpty(extraTags)) { string[] arr = extraTags.Split(';'); for (int i = 0; i < arr.Length; i++) { if (!string.IsNullOrEmpty(arr[i])) { string [] valor = arr[i].Split('='); StringField fld = new StringField(Convert.ToInt32(valor[0]), valor[1]); ordersingle.SetField(fld); } } } QuickFix.FIX42.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.NewOrderSingle.NoAllocsGroup(); noAllocsGrp.Set(new AllocAccount("67")); ordersingle.AddGroup(noAllocsGrp); bool bRet = false; if (ini == 0) { bRet = Session.SendToTarget(ordersingle, _session.SessionID); } else { long times = fim - ini; logger.Info("=====================================> INICIO ========> Qtd: " + times); for (long i = 0; i < times; i++) { ClOrdID xx = new ClOrdID(ini.ToString()); ordersingle.ClOrdID = xx; bRet = Session.SendToTarget(ordersingle, _session.SessionID); if (!bRet) { logger.Info("erro"); break; } if (0 != delay) { Thread.Sleep(delay); } ini++; } logger.Info("=====================================> FIM ========> Qtd: " + times); } return(bRet); }
public bool EnviarOrdem(OrdemInfo ordem) { //Cria a mensagem FIX de NewOrderSingle QuickFix.FIX42.NewOrderSingle ordersingle = new QuickFix.FIX42.NewOrderSingle(); ordersingle.Set(new Account(ordem.Account.ToString())); ordersingle.Set(new Symbol(ordem.Symbol)); ordersingle.Set(new ClOrdID(ordem.ClOrdID)); // Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID); ordersingle.SetField(field5149); //ordersingle.Set(new IDSource()); if (ordem.Side == OrdemDirecaoEnum.Venda) { ordersingle.Set(new Side(Side.SELL)); } else { ordersingle.Set(new Side(Side.BUY)); } TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce); if (tif != null) { ordersingle.Set(tif); } ordersingle.Set(new OrderQty(ordem.OrderQty)); if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData) { DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate); ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd"))); } OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType); if (ordType != null) { ordersingle.Set(ordType); } // Verifica envio do preco switch (ordem.OrdType) { case OrdemTipoEnum.Limitada: case OrdemTipoEnum.MarketWithLeftOverLimit: case OrdemTipoEnum.StopLimitada: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); break; case OrdemTipoEnum.StopStart: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice))); break; case OrdemTipoEnum.Mercado: case OrdemTipoEnum.OnClose: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); break; default: ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price))); break; } ordersingle.Set(new TransactTime(DateTime.Now)); ordersingle.Set(new HandlInst('1')); ordersingle.Set(new ExecBroker("227")); if (ordem.MaxFloor > 0) { ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor))); } if (ordem.MinQty > 0) { ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty))); } QuickFix.FIX42.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.NewOrderSingle.NoAllocsGroup(); noAllocsGrp.Set(new AllocAccount("67")); ordersingle.AddGroup(noAllocsGrp); bool bRet = Session.SendToTarget(ordersingle, _session.SessionID); return(bRet); }