public ExecutionReport(
QuickFix.Fields.OrderID aOrderID,
QuickFix.Fields.ExecID aExecID,
QuickFix.Fields.ExecTransType aExecTransType,
QuickFix.Fields.OrdStatus aOrdStatus,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.LastShares aLastShares,
QuickFix.Fields.LastPx aLastPx,
QuickFix.Fields.CumQty aCumQty,
QuickFix.Fields.AvgPx aAvgPx
) : this()
{
this.OrderID = aOrderID;
this.ExecID = aExecID;
this.ExecTransType = aExecTransType;
this.OrdStatus = aOrdStatus;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.LastShares = aLastShares;
this.LastPx = aLastPx;
this.CumQty = aCumQty;
this.AvgPx = aAvgPx;
}
/// <summary>
/// Creates a FIX4.3 NewOrderSingle message for GTX
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX43.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
newOrderSingle.SetField(side);
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(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
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);
return(newOrderSingle);
}
public OrderCancelRequest(
QuickFix.Fields.OrigClOrdID aOrigClOrdID,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.CxlType aCxlType,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty
) : this()
{
this.OrigClOrdID = aOrigClOrdID;
this.ClOrdID = aClOrdID;
this.CxlType = aCxlType;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
}
public DontKnowTrade(
QuickFix.Fields.DKReason aDKReason,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.LastShares aLastShares,
QuickFix.Fields.LastPx aLastPx
) : this()
{
this.DKReason = aDKReason;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.LastShares = aLastShares;
this.LastPx = aLastPx;
}
public NewOrderSingle(
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.HandlInst aHandlInst,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.OrdType aOrdType
) : this()
{
this.ClOrdID = aClOrdID;
this.HandlInst = aHandlInst;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.OrdType = aOrdType;
}
public OrderCancelReplaceRequest(
QuickFix.Fields.OrigClOrdID aOrigClOrdID,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.HandlInst aHandlInst,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.OrdType aOrdType
) : this()
{
this.OrigClOrdID = aOrigClOrdID;
this.ClOrdID = aClOrdID;
this.HandlInst = aHandlInst;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.OrdType = aOrdType;
}
public NewOrderList(
QuickFix.Fields.ListID aListID,
QuickFix.Fields.ListSeqNo aListSeqNo,
QuickFix.Fields.ListNoOrds aListNoOrds,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.HandlInst aHandlInst,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.OrdType aOrdType
) : this()
{
this.ListID = aListID;
this.ListSeqNo = aListSeqNo;
this.ListNoOrds = aListNoOrds;
this.ClOrdID = aClOrdID;
this.HandlInst = aHandlInst;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.OrdType = aOrdType;
}
private static OrderData TranslateOrderImpl(Symbol symbol,
Side side,
OrdType ordType,
OrderQty orderQty,
Price price,
ClOrdID clOrdID,
Account account)
{
switch (ordType.getValue())
{
case OrdType.LIMIT:
if (price.Obj == 0)
throw new IncorrectTagValue(price.Tag);
break;
//case OrdType.MARKET: break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
return new OrderData
{
MarketSide = TranslateFixFields.Translate(side),
Symbol = symbol.getValue(),
OrderType = TranslateFixFields.Translate(ordType),
Quantity = orderQty.getValue(),
Price = price.getValue(),
ClOrdID = clOrdID.getValue(),
Account =
account == null
? TradingAccount.None
: new TradingAccount(account.getValue())
};
}
public void Set(QuickFix.Fields.OrderQty val)
{
this.OrderQty = val;
}
public bool IsSet(QuickFix.Fields.OrderQty val)
{
return(IsSetOrderQty());
}
public QuickFix.Fields.OrderQty Get(QuickFix.Fields.OrderQty val)
{
GetField(val);
return(val);
}
public void Set(QuickFix.Fields.OrderQty val)
{
this.OrderQty = val;
}
/// <summary>
/// Creates a FIX4.4 NewOrderSingle message for Forexware
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX44.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
//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 symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
//limit, market and stop orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
else if (order.GetType() == typeof(StopOrder))
{
newOrderSingle.Set(new OrdType(OrdType.STOP));
// set StopPX field
// TODO: add StopPx field
}
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
if (order.GetType() == typeof(LimitOrder) || order.GetType() == typeof(StopOrder))
{
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
}
return(newOrderSingle);
}
/// <summary>
/// Creates a FIX4.3 NewOrderSingle message for Integral
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX43.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);
var product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
newOrderSingle.SetField(product);
//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(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize);
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);
}
/// <summary>
/// Creates a FIX4.2 NewOrderSingle message for Redi
/// </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);
if (!string.IsNullOrEmpty(_account))
{
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
}
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);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
var execInst = new QuickFix.Fields.ExecInst("h");
newOrderSingle.SetField(execInst);
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var exDestination = new QuickFix.Fields.ExDestination(";");
newOrderSingle.SetField(exDestination);
var country = new QuickFix.Fields.DeliverToLocationID("1");
newOrderSingle.SetField(country);
var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
newOrderSingle.SetField(side);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
return(newOrderSingle);
}