/// <summary>
/// override base order price as this is a trade price
/// </summary>
/// <param name="FIXMsg"></param>
public override void SetPrice(VDMIFIXMessage FIXMsg)
{
double dPrice = 0;
if (FIXMsg.GetDouble(out dPrice, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagPrice))
{
m_dTradePrice = dPrice;
m_dTotalFilledPrice = dPrice * m_nExecQty;
}
m_dPrice = null;
}
/// <summary>
/// Parse FIX msg to obtain trade information
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public override bool ParseFix(VDMIFIXMessage FIXMsg)
{
bool bSuccess = true;
string sExecID = string.Empty;
if (FIXMsg.GetString(out sExecID, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagExecID))
m_sExecID = sExecID;
int nExecQty = 0;
if (FIXMsg.GetNumber(out nExecQty, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagLastShares))
m_nExecQty = nExecQty;
EASYROUTERCOMCLIENTLib.IFIXGroup defaultGroup = FIXMsg.GetGroupByTag(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESNoUnderlyingFills, null);
if (defaultGroup != null)
{
int nDefaultCount = defaultGroup.get_NumberOfGroups(null);
if (nDefaultCount == 1)
{
//outright
//do nothing
}
else
{
for (int j = 0; j < nDefaultCount; j++)
{
TradeLegs leg = new TradeLegs();
string sESUnderlyingTickerMnemonic = string.Empty;
if (FIXMsg.GetString(out sESUnderlyingTickerMnemonic, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingTickerMnemonic))
leg.UnderlyingTickerMnemonic = sESUnderlyingTickerMnemonic;
string sUnderlyingExecID = string.Empty;
if (FIXMsg.GetString(out sUnderlyingExecID, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingExecID))
leg.ExecID = sExecID;
int nUnderlyingExecQty = 0;
if (FIXMsg.GetNumber(out nUnderlyingExecQty, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingLastShares))
leg.ExecQty = nUnderlyingExecQty;
int nLegNumber = 0;
if (FIXMsg.GetNumber(out nLegNumber, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingLegNumber))
leg.LegNumber = nLegNumber;
double dPrice = 0;
if (FIXMsg.GetDouble(out dPrice, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingLastPx))
m_dTradePrice = dPrice;
string sSide = string.Empty;
if (FIXMsg.GetString(out sSide, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESUnderlyingSide))
leg.Side = sExecID;
m_Legs.Add(leg);
}
}
}
bSuccess = base.ParseFix(FIXMsg);
return bSuccess;
}
/// <summary>
/// Set the order price
/// </summary>
/// <param name="FIXMsg"></param>
public virtual void SetPrice(VDMIFIXMessage FIXMsg)
{
double dPrice = 0;
if (FIXMsg.GetDouble(out dPrice, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagPrice))
m_dPrice = dPrice;
}
/// <summary>
/// set order status - exec type
/// </summary>
/// <param name="FIXMsg"></param>
public virtual void SetStatus(VDMIFIXMessage FIXMsg)
{
string sStatus;
if (FIXMsg.GetString(out sStatus, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagExecType))
m_sExecutionReportStatus = (Status)sStatus[0];
else if (FIXMsg.MsgType == EASYROUTERCOMCLIENTLib.FIXMsgConstants.esFIXMsgOrderCancelReject)
m_sExecutionReportStatus = Status.Rejected;
}
/// <summary>
/// Parse the FIX message for order details
/// </summary>
/// <param name="FIXMsg"></param>
/// <returns></returns>
public virtual bool ParseFix(VDMIFIXMessage FIXMsg)
{
bool bSuccess = true;
try
{
SetPrice(FIXMsg);
int nOrderQty = 0;
if (FIXMsg.GetNumber(out nOrderQty, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagOrderQty))
m_nOrderQty = nOrderQty;
DateTime TransactTime;
if (FIXMsg.GetTime(out TransactTime, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagTransactTime))
m_TransactTime = TransactTime;
string sClOrdID = string.Empty;
if (FIXMsg.GetString(out sClOrdID, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagClOrdID))
m_sClOrdID = sClOrdID;
string sOrdID = string.Empty;
if (FIXMsg.GetString(out sOrdID, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagOrderID))
m_sOrdID = sOrdID;
int nPrimaryBOID = 0;
if (FIXMsg.GetNumber(out nPrimaryBOID, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESBOIDPrimary))
m_nPrimaryBOID = nPrimaryBOID;
#if DEBUG
//if (nPrimaryBOID != 366)
// return false;
#endif
int nSecondBOID = 0;
if (FIXMsg.GetNumber(out nSecondBOID, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESBOIDSecondary))
m_nSecondBOID = nSecondBOID;
int nLeavesQty = 0;
if (FIXMsg.GetNumber(out nLeavesQty, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagLeavesQty))
m_nLeavesQty = nLeavesQty;
int nCumQty = 0;
if (FIXMsg.GetNumber(out nCumQty, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagCumQty))
m_nCumQty = nCumQty;
int AccountID = 0;
if (FIXMsg.GetNumber(out AccountID, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagESAccountID))
m_iAccountID = AccountID;
string sSide = string.Empty;
if (FIXMsg.GetString(out sSide, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagSide))
m_sSide = sSide;
string sTimeInForce = String.Empty;
if (FIXMsg.GetString(out sTimeInForce, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagTimeInForce))
SetFIXTimeInForce(sTimeInForce);
string sOrderType = String.Empty;
if (FIXMsg.GetString(out sOrderType, EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagOrdType))
SetFIXOrderType(sOrderType);
SetStatus(FIXMsg);
}
catch (Exception)
{
bSuccess = false;
}
return bSuccess;
}
