Beispiel #1
0
        public static QuickFix.FIX44.OrderCancelReject Fix44Reject2OrderCancelReject(QuickFix.Message msgReject, QuickFix.Message msgOri)
        {
            try
            {
                QuickFix.FIX44.OrderCancelReject ocr = new QuickFix.FIX44.OrderCancelReject();
                if (msgOri.IsSetField(Tags.OrderID))
                {
                    ocr.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
                }
                else
                {
                    ocr.Set(new OrderID("NONE"));
                }
                ocr.Set(new ClOrdID(msgOri.GetString(Tags.ClOrdID)));           // mandatory
                ocr.Set(new OrigClOrdID(msgOri.GetString(Tags.OrigClOrdID)));   // mandatory
                ocr.Set(new OrdStatus(OrdStatus.REJECTED));                     // mandatory
                if (msgOri.IsSetField(Tags.Account))
                {
                    ocr.SetField(new Account(msgOri.GetString(Tags.Account)));
                }
                if (msgOri.Header.GetString(Tags.MsgType).Equals(MsgType.ORDER_CANCEL_REQUEST)) // mandatory
                {
                    ocr.Set(new CxlRejResponseTo('1'));
                }
                else
                {
                    ocr.Set(new CxlRejResponseTo('2'));
                }
                if (msgReject.IsSetField(Tags.Text))
                {
                    ocr.Set(new Text(msgReject.GetString(Tags.Text)));
                }
                // ocr.Set(new CxlRejReason(2137));

                // Tratamento tag SecondaryOrderID
                // Se nao vier na mensagem busca pelo TO
                //if (msgOri.IsSetField(Tags.SecondaryOrderID))
                //{
                //    ocr.Set(new SecondaryOrderID(msgOri.GetString(Tags.SecondaryOrderID)));
                //}
                //else
                //{
                //    if (null != to)
                //    {
                //        if (!string.IsNullOrEmpty(to.SecondaryOrderID))
                //            ocr.Set(new SecondaryOrderID(to.SecondaryOrderID));
                //
                //        if (!string.IsNullOrEmpty(to.TradeDate))
                //            ocr.Set(new TradeDate(to.TradeDate));
                //    }
                //}
                int len = msgOri.GetInt(Tags.NoPartyIDs);
                for (int i = 0; i < len; i++)
                {
                    Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
                    ocr.AddGroup(grp);
                }
                ocr.Set(new Symbol(msgOri.GetString(Tags.Symbol)));
                if (msgOri.IsSetField(Tags.SecurityID))
                {
                    ocr.Set(new SecurityID(msgOri.GetField(Tags.SecurityID)));
                }
                if (msgOri.IsSetField(Tags.SecurityIDSource))
                {
                    ocr.Set(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
                }
                ocr.Set(new Side(msgOri.GetChar(Tags.Side)));
                if (msgOri.IsSetField(Tags.Memo))
                {
                    ocr.Set(new Memo(msgOri.GetString(Tags.Memo)));
                }
                return(ocr);
            }
            catch (Exception ex)
            {
                logger.Error("Fix44Reject2OrderCancelReject(): " + ex.Message, ex);
                return(null);
            }
        }
Beispiel #2
0
        public static QuickFix.FIX44.ExecutionReport Fix44Rejection2ExecutionReport(QuickFix.Message msgReject, QuickFix.Message msgOri)
        {
            try
            {
                QuickFix.FIX44.ExecutionReport er = new QuickFix.FIX44.ExecutionReport();
                if (msgOri.IsSetField(Tags.OrderID))
                {
                    er.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
                }
                else
                {
                    er.Set(new OrderID("NONE"));
                }

                if (msgOri.IsSetField(Tags.ClOrdID))
                {
                    er.Set(new ClOrdID(msgOri.GetField(Tags.ClOrdID)));
                }
                if (msgOri.IsSetField(Tags.OrigClOrdID))
                {
                    er.Set(new OrigClOrdID(msgOri.GetField(Tags.OrigClOrdID)));
                }
                // Fazer atribuicao dos PartyIDs da mensagem original
                int len = msgOri.GetInt(Tags.NoPartyIDs);
                for (int i = 0; i < len; i++)
                {
                    Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
                    er.AddGroup(grp);
                }
                er.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
                er.Set(new ExecType(ExecType.REJECTED));
                er.Set(new OrdStatus(OrdStatus.REJECTED));
                if (msgOri.IsSetField(Tags.Account))
                {
                    er.Set(new Account(msgOri.GetField(Tags.Account)));
                }
                er.Set(new Symbol(msgOri.GetField(Tags.Symbol)));
                if (msgOri.IsSetField(Tags.SecurityID))
                {
                    er.Set(new SecurityID(msgOri.GetField(Tags.SecurityID)));
                }
                if (msgOri.IsSetField(Tags.SecurityIDSource))
                {
                    er.Set(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
                }
                er.Set(new Side(msgOri.GetChar(Tags.Side)));
                er.Set(new OrderQty(msgOri.GetDecimal(Tags.OrderQty)));
                if (msgOri.IsSetField(Tags.OrdType))
                {
                    er.Set(new OrdType(msgOri.GetChar(Tags.OrdType)));
                }
                if (msgOri.IsSetField(Tags.Price))
                {
                    er.Set(new Price(msgOri.GetDecimal(Tags.Price)));
                }
                if (msgOri.IsSetField(Tags.StopPx))
                {
                    er.Set(new StopPx(msgOri.GetDecimal(Tags.StopPx)));
                }
                if (msgOri.IsSetField(Tags.TimeInForce))
                {
                    er.Set(new TimeInForce(msgOri.GetChar(Tags.TimeInForce)));
                }
                if (msgOri.IsSetField(Tags.ExpireDate))
                {
                    er.Set(new ExpireDate(msgOri.GetField(Tags.ExpireDate)));
                }
                er.Set(new LeavesQty(0));
                er.Set(new CumQty(0));
                er.Set(new AvgPx(Decimal.Zero));
                DateTime transact = DateTime.UtcNow;
                er.Set(new TransactTime(transact));
                if (msgOri.IsSetField(Tags.MaxFloor))
                {
                    er.Set(new MaxFloor(msgOri.GetDecimal(Tags.MaxFloor)));
                }
                if (msgOri.IsSetField(Tags.Memo))
                {
                    er.SetField(new Memo(msgOri.GetString(Tags.Memo)));
                }

                if (msgReject.IsSetField(Tags.Text))
                {
                    er.Set(new Text(msgReject.GetField(Tags.Text)));
                }
                if (msgReject.IsSetField(Tags.OrderID))
                {
                    er.Set(new OrderID(msgReject.GetField(Tags.OrderID)));
                }

                return(er);
            }
            catch (Exception ex)
            {
                logger.Error("Fix44Rejection2ExecutionReport(): " + ex.Message, ex);
                return(null);
            }
        }