public void ProcessNews(QuickFix.Message msg, SessionID sessionID)
{
if (msg.IsSetField(QuickFix.Fields.Tags.Headline) && (msg.GetString(QuickFix.Fields.Tags.Headline) == "STOPME"))
{
if (this.StopMeEvent != null)
{
StopMeEvent();
}
}
else
{
Echo(msg, sessionID);
}
}
public void ProcessMessage(QuickFix.Message msg, bool isIncoming)
{
string clordid = msg.GetString(11);
if (TestManager.Instance.IsCancelled)
{
Console.WriteLine("Ignoring inbound message - Test cancelled by user:{0}{1}", System.Environment.NewLine, msg.ToString());
Console.ReadKey();
if (EndOfScenarioEvent != null)
{
EndOfScenarioEvent();
}
}
else if (!string.IsNullOrEmpty(clordid) && !((List <string>)ConfigurationSingleton.Instance.GetIDInUseList()).Contains(clordid))
{
Console.WriteLine("Ignoring inbound message - unknown ClOrdID:{0}{1}", System.Environment.NewLine, msg.ToString());
Console.WriteLine();
}
else
{
Debug.WriteLine("Q:{0} Incoming:{1} - {2}", outQ.Count.ToString(), isIncoming.ToString(), msg.ToString());
//Console.WriteLine("Message received: {0}", msg.ToString());
if (isIncoming)
{
if (outQ.Count > 0 && outQ.Peek().Direction == MessageDirection.INBOUND)
{
RawMessage rm = outQ.Dequeue();
Debug.WriteLine("Q:{0} Incoming:{1} - {2}", outQ.Count.ToString(), isIncoming.ToString(), msg.ToString());
//Console.WriteLine();
//Console.WriteLine("Received: {0}", msg.ToString());
//Console.WriteLine("Expected: {0}", rm.Message);
MessageResult mr = new MessageResult(rm.Message, msg.ToString());
ProcessResult(mr);
results.Add(mr);
}
if (outQ.Count == 0)
{
ProcessResults();
}
}
SendNext();
}
}
public void Next(Message message)
{
if (!IsSessionTime)
{
Reset();
return;
}
Header header = message.Header;
string msgType = "";
try
{
msgType = header.GetField(Fields.Tags.MsgType);
string beginString = header.GetField(Fields.Tags.BeginString);
if (!beginString.Equals(this.SessionID.BeginString))
throw new UnsupportedVersion();
if (MsgType.LOGON.Equals(msgType))
{
if (this.SessionID.IsFIXT)
{
targetDefaultApplVerID = new ApplVerID(message.GetString(Fields.Tags.DefaultApplVerID));
}
else
{
targetDefaultApplVerID = Message.GetApplVerID(beginString);
}
}
if (this.SessionID.IsFIXT && !Message.IsAdminMsgType(msgType))
{
DataDictionary.DataDictionary.Validate(message, SessionDataDictionary, ApplicationDataDictionary, beginString, msgType);
}
else
{
this.SessionDataDictionary.Validate(message, beginString, msgType);
}
//End Refactor
if (MsgType.LOGON.Equals(msgType))
NextLogon(message);
else if (MsgType.HEARTBEAT.Equals(msgType))
NextHeartbeat(message);
else if (MsgType.TEST_REQUEST.Equals(msgType))
NextTestRequest(message);
else if (MsgType.SEQUENCE_RESET.Equals(msgType))
NextSequenceReset(message);
else if (MsgType.LOGOUT.Equals(msgType))
NextLogout(message);
else if (MsgType.RESEND_REQUEST.Equals(msgType))
NextResendRequest(message);
else
{
if (!Verify(message))
return;
state_.IncrNextTargetMsgSeqNum();
}
}
catch (TagException e)
{
if (null != e.InnerException)
this.Log.OnEvent(e.InnerException.Message);
GenerateReject(message, e.sessionRejectReason, e.field);
}
catch (UnsupportedVersion)
{
if (MsgType.LOGOUT.Equals(msgType))
{
NextLogout(message);
}
else
{
GenerateLogout("Incorrect BeginString");
state_.IncrNextTargetMsgSeqNum();
}
}
catch (UnsupportedMessageType e)
{
this.Log.OnEvent("Unsupported message type: " + e.Message);
GenerateBusinessMessageReject(message, Fields.BusinessRejectReason.UNKNOWN_MESSAGE_TYPE, 0);
}
catch (FieldNotFoundException e)
{
this.Log.OnEvent("Rejecting invalid message, field not found: " + e.Message);
if ((SessionID.BeginString.CompareTo(FixValues.BeginString.FIX42) >= 0) && (message.IsApp()))
{
GenerateBusinessMessageReject(message, Fields.BusinessRejectReason.CONDITIONALLY_REQUIRED_FIELD_MISSING, e.Field);
}
else
{
if (msgType.Equals(Fields.MsgType.LOGON))
{
this.Log.OnEvent("Required field missing from logon");
Disconnect("Required field missing from logon");
}
else
GenerateReject(message, new QuickFix.FixValues.SessionRejectReason(SessionRejectReason.REQUIRED_TAG_MISSING, "Required Tag Missing"), e.Field);
}
}
catch (RejectLogon e)
{
GenerateLogout(e.Message);
Disconnect(e.ToString());
}
NextQueued();
Next();
}
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);
}
}
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);
}
}
public static QuickFix.FIX42.OrderCancelReject Fix42Reject2OrderCancelReject(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX42.OrderCancelReject ocr = new QuickFix.FIX42.OrderCancelReject();
if (msgOri.IsSetField(Tags.OrderID))
{
ocr.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
}
else
{
ocr.Set(new OrderID("NONE"));
}
if (msgOri.IsSetField(Tags.SecondaryOrderID))
{
ocr.Set(new SecondaryOrderID(msgOri.GetString(Tags.SecondaryOrderID)));
}
if (msgOri.IsSetField(Tags.ClOrdID))
{
ocr.Set(new ClOrdID(msgOri.GetString(Tags.ClOrdID)));
}
if (msgOri.IsSetField(Tags.OrigClOrdID))
{
ocr.Set(new OrigClOrdID(msgOri.GetString(Tags.OrigClOrdID)));
}
ocr.Set(new OrdStatus(OrdStatus.REJECTED));
// if (msgOri.IsSetField(Tags.ClientID)) ocr.Set(new ClientID(msgOri.GetString(Tags.ClientID))); // not found on 4.4EP
// TODO[FF] - Verificar a montagem do execbroker a partir de party ids
// if (msgOri.IsSetField(Tags.ExecBroker)) ocr.Set(new ExecBroker(msgOri.GetString(Tags.ExecBroker))); // not found on 4.4EP
if (msgOri.IsSetField(Tags.ListID))
{
ocr.Set(new ListID(msgOri.GetString(Tags.ListID)));
}
if (msgOri.IsSetField(Tags.Account))
{
ocr.Set(new Account(msgOri.GetString(Tags.Account)));
}
if (msgOri.IsSetField(Tags.TransactTime))
{
ocr.Set(new TransactTime(msgOri.GetDateTime(Tags.TransactTime)));
}
if (msgOri.Header.GetString(Tags.MsgType).Equals(MsgType.ORDER_CANCEL_REQUEST)) // mandatory
{
ocr.Set(new CxlRejResponseTo('1'));
}
else
{
ocr.Set(new CxlRejResponseTo('2'));
}
//if (msgOri.IsSetField(Tags.CxlRejReason)) ocr.Set(new CxlRejReason(msgOri.GetInt(Tags.CxlRejReason)));
if (msgOri.IsSetField(Tags.CxlRejReason))
{
ocr.Set(new CxlRejReason(CxlRejReason.BROKER_OPTION));
}
if (msgOri.IsSetField(Tags.Text))
{
ocr.Set(new Text(msgOri.GetString(Tags.Text)));
}
if (msgOri.IsSetField(Tags.EncodedTextLen))
{
ocr.Set(new EncodedTextLen(msgOri.GetInt(Tags.EncodedTextLen)));
}
if (msgOri.IsSetField(Tags.EncodedText))
{
ocr.Set(new EncodedText(msgOri.GetString(Tags.EncodedText)));
}
if (msgOri.IsSetField(Tags.Memo))
{
ocr.SetField(new Memo(msgOri.GetString(Tags.Memo)));
}
/*
* 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)));
* 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.SetField(new Symbol(msgOri.GetString(Tags.Symbol)));
* if (msgOri.IsSetField(Tags.SecurityID)) ocr.SetField(new SecurityID(msgOri.GetField(Tags.SecurityID)));
* if (msgOri.IsSetField(Tags.SecurityIDSource)) ocr.SetField(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
* ocr.SetField(new Side(msgOri.GetChar(Tags.Side)));
* if (msgOri.IsSetField(Tags.Memo))
* ocr.SetField(new Memo(msgOri.GetString(Tags.Memo)));
*/
return(ocr);
}
catch (Exception ex)
{
logger.Error("Fix42Reject2OrderCancelReject(): " + ex.Message, ex);
return(null);
}
}