private bool _er_Update(ExecutionReport er, FixOrderStatus ordS, string desc, string bolsa)
{
try
{
int account;
if (bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
string acc = er.Account.getValue();
acc = (acc.Remove(acc.Length - 1));
account = Convert.ToInt32(acc);
}
else
{
account = Convert.ToInt32(er.Account.getValue());
}
// Buscar Ordem Original, de algum jeito!!!
// 1a. tentativa: Tentar via ExchangeNumber
// 2a. tentativa: Tentar via ClOrdID e OrigClOrdID
// 3a. tentativa: Tentar via ClOrdID no tb_fix_order_update e buscar a ordem pelo OrderID
// 4a. tentativa: ahhh foda-se, nao achou mesmo
OrderDbInfo orderOrig = null;
// 1a. tentativa
if (er.IsSetOrderID() && !er.OrderID.getValue().Equals("NONE"))
{
orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
}
// 2a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
// Se ordem nao encontrada, entao procurar pelo OrigClOrdID
if (er.IsSetOrigClOrdID())
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.OrigClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
else
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
}
}
else
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
}
}
// 3a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
// Buscar a partir de tb_fix_order_update
OrderDbUpdateInfo orderUpdate = _db.BuscarOrdemUpdate(er.ClOrdID.getValue());
// Buscar ordem original a partir do order ID
if (orderUpdate.OrderID != 0)
{
orderOrig = _db.BuscarOrdemPorOrderID(orderUpdate.OrderID);
}
else
{
logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
}
if (null == orderOrig || orderOrig.OrderID == 0)
{
logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
//}
//else
//{
// orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
// if (orderOrig.OrderID == 0)
// {
// logger.Info("ER - Nao achou a ordem em questao via exchange number (OrderID ER)!!!: " + er.OrderID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
// }
// }
// Adicionar OrdemDetalhe
OrderDbDetalheInfo detail = new OrderDbDetalheInfo();
detail.OrderID = orderOrig.OrderID;
detail.TransactID = er.ExecID.getValue();
detail.OrderQty = Convert.ToInt32(er.OrderQty.getValue());
detail.Price = er.IsSetField(Tags.Price) ? er.Price.getValue() : Decimal.Zero;
detail.OrderStatusID = (int)ordS;
detail.TransactTime = er.TransactTime.getValue();
if (er.IsSetField(Tags.Text))
{
detail.Description = desc + " - " + er.Text.getValue();
}
else
{
detail.Description = desc;
}
detail.TradeQty = er.IsSetField(Tags.LastQty) ? Convert.ToInt32(er.LastQty.getValue()) : 0;
detail.CumQty = er.IsSetField(Tags.CumQty) ? Convert.ToInt32(er.CumQty.getValue()) : 0;
detail.FixMsgSeqNum = Convert.ToInt32(er.Header.GetField(Tags.MsgSeqNum));
if (!_db.InserirOrdemDetalhe(detail, orderOrig.ClOrdID))
{
logger.Info("Erro ao inserir o registro na tabela tb_fix_order_update");
return(false);
}
// Atualizar Ordem
orderOrig.ExchangeNumberID = er.OrderID.getValue();
orderOrig.OrdStatus = (int)ordS;
orderOrig.TransactTime = er.TransactTime.getValue();
// orderOrig.ClOrdID = er.ClOrdID.getValue();
// if (er.IsSetOrigClOrdID())
// orderOrig.OrigClOrdID = er.OrigClOrdID.getValue();
if (er.IsSetField(Tags.LeavesQty))
{
orderOrig.OrderQtyRemaining = Convert.ToInt32(er.LeavesQty.getValue());
}
if (er.IsSetField(Tags.CumQty))
{
orderOrig.CumQty = Convert.ToInt32(er.CumQty.getValue());
}
orderOrig.Memo = er.IsSetField(Tags.Memo) ? er.GetField(Tags.Memo): string.Empty;
if (!_db.AtualizarOrdem(orderOrig))
{
logger.Info("Problemas na atualizacao da ordem. ClOrdID: " + orderOrig.ClOrdID);
return(false);
}
DropCopyCallbackManager.Instance.EnqueueCallback(orderOrig);
return(true);
}
catch (Exception ex)
{
logger.Error("_er_Update: Erro na atualizacao dos status da ordem: " + ex.Message, ex);
return(false);
}
}
private async void Handle(ExecutionReport msg)
{
var clOrderId = msg.ClOrdID.Obj;
string origClOrderId = null;
if (msg.IsSetOrigClOrdID())
{
origClOrderId = msg.OrigClOrdID.Obj;
}
var state = msg.IsSetOrdStatus() ? ConvertOrderState(msg.OrdStatus) : null;
var price = msg.IsSetPrice() ? msg.Price.Obj : (decimal?)null;
price = price != 0M ? price : null;
var qty = msg.IsSetOrderQty() ? (uint)msg.OrderQty.Obj : (uint?)null;
var filledQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
var activeQty = msg.IsSetLeavesQty() ? (uint)msg.LeavesQty.Obj : (uint?)null;
var time = msg.IsSetTransactTime() ? ParseTransactTime() : DateTime.Now;
var orderExchangeId = msg.IsSetOrderID() ? msg.OrderID.Obj : null;
var transactionId = _orders.GetOrCreateOrderTransactionId(origClOrderId ?? clOrderId);
var oscm = new OrderStateChangeMessage
{
TransactionId = transactionId,
State = state,
Price = price,
Quantity = qty,
FilledQuantity = filledQty,
ActiveQuantity = activeQty,
ChangeTime = time,
OrderExchangeId = orderExchangeId
};
switch (msg.ExecType.Obj)
{
case ExecType.NEW:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
break;
case ExecType.TRADE:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.PARTIAL_FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
break;
case ExecType.REJECTED:
string rejectReason;
switch (msg.OrdRejReason.Obj)
{
case OrdRejReason.UNKNOWN_SYMBOL:
rejectReason = "Unknown symbol";
break;
case OrdRejReason.EXCHANGE_CLOSED:
rejectReason = "Exchange closed";
break;
case OrdRejReason.ORDER_EXCEEDS_LIMIT:
rejectReason = "Order exceeds limit";
break;
case OrdRejReason.DUPLICATE_ORDER:
rejectReason = "Duplicate order";
break;
default:
rejectReason = $"#{msg.OrdRejReason.Obj}";
break;
}
if (!string.IsNullOrEmpty(msg.Text?.Obj))
{
rejectReason = $"{rejectReason}. {msg.Text?.Obj}";
}
_newOrderTransactions.Reject(clOrderId, rejectReason);
_orders.ForgetOrder(transactionId);
break;
case ExecType.PENDING_CANCEL:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
SendMessage(oscm);
break;
case ExecType.CANCELED:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
SendMessage(oscm);
break;
case ExecType.PENDING_REPLACE:
_modifyOrderTransactions.Accept(clOrderId);
break;
case ExecType.REPLACED:
_newOrderTransactions.Forget(origClOrderId);
_killOrderTransactions.Forget(clOrderId);
_orders.UpdateOrderParams(
orderExchangeId: orderExchangeId,
origClOrderId: origClOrderId,
clOrderId: clOrderId,
symbol: msg.Symbol.Obj,
qty: msg.OrderQty.Obj,
side: msg.Side.Obj);
SendMessage(oscm);
break;
default:
_Log.Warn().PrintFormat("Unknown ExecType: {0}", msg.ExecType.Obj);
break;
}
OrderState?ConvertOrderState(OrdStatus field)
{
switch (field.Obj)
{
case OrdStatus.PENDING_NEW: return(OrderState.New);
case OrdStatus.NEW: return(OrderState.Active);
case OrdStatus.CANCELED: return(OrderState.Cancelled);
case OrdStatus.FILLED: return(OrderState.Filled);
case OrdStatus.PARTIALLY_FILLED: return(OrderState.PartiallyFilled);
case OrdStatus.REJECTED: return(OrderState.Error);
case OrdStatus.PENDING_CANCEL: return(null);
case OrdStatus.PENDING_REPLACE: return(null);
default:
_Log.Warn().PrintFormat("Unknown OrdStatus: {0}", field.Obj);
return(null);
}
}
DateTime ParseTransactTime()
{
var maxLen = "20170912-09:39:57.2761221".Length;
var str = msg.GetString(60 /*TransactTime*/);
if (str.Length > maxLen)
{
str = str.Substring(0, maxLen);
}
var t = DateTime.ParseExact(str, "yyyyMMdd-HH:mm:ss.fffffff", null, DateTimeStyles.AssumeUniversal);
return(t);
}
async Task EmitFillAsync()
{
if (!msg.IsSetSecondaryExecID())
{
return;
}
var fillExchangeId = msg.SecondaryExecID.Obj;
var fillPrice = msg.IsSetLastPx() ? msg.LastPx.Obj : (decimal?)null;
price = price != 0M ? price : null;
var fillQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
if (fillPrice == null || fillQty == null)
{
return;
}
Instrument instrument;
try
{
instrument = await _settings.InstrumentConverter.ResolveSymbolAsync(this, msg.Symbol.Obj);
}
catch (Exception e)
{
_Log.Error().Print(e, $"Failed to resolve instrument {msg.Symbol.Obj}");
return;
}
var fill = new FillMessage
{
Price = fillPrice.Value,
Quantity = fillQty.Value,
DateTime = time,
Instrument = instrument,
Account = msg.Account.Obj,
Operation = msg.Side.Obj == Side.BUY ? OrderOperation.Buy : OrderOperation.Sell,
ExchangeId = fillExchangeId,
ExchangeOrderId = orderExchangeId
};
SendMessage(fill);
}
}
/// <summary>
/// Validar os estados da ordem e executar as respectivas operacoes no dicionario de mensagens
/// (Mensagens de Execution Report - ER)
/// </summary>
/// <param name="msg"></param>
/// <param name="eType"></param>
/// <param name="oStatus"></param>
/// <param name="dic"></param>
/// Retorna o TOORderSession referente ao Execution Report
/// OBS: strChave - no momento esta considerando sempre clOrdID
public void VerifyOrderSituationER(ExecutionReport msg, char e, char o, SessionID ss,
OrderSessionManager dic, string strChave, out TOOrderSession ord)
{
ord = null;
try
{
string strOrigClChave = string.Empty;
string strExchNumberChave = msg.OrderID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
if (null != ss)// Registry found
{
// Atualiza o TO com o ExchangeNumber (Tag 37, order ID)
TOOrderSession aux = null;
dic.GetOrder(strChave, out aux);
if (null != aux)
{
aux.ExchangeNumberID = strExchNumberChave;
}
// New Order, Exec: New, OrdStatus: New - nao faz nada, somente retorna o TOOrderSession correspondente
if (e == ExecType.NEW && o == OrdStatus.NEW)
{
// Por ser new order, nao se aplica fazer busca pelo exchange number id
// pois ainda não foi atualizado
dic.GetOrder(strChave, out ord);
//ord.ExchangeNumberID = msg.OrderID.getValue() + "-" + msg.Account.getValue() + "-" + msg.Symbol.getValue();
}
// Retornar o TOOrderSession correspondente para
if (o == OrdStatus.FILLED || o == OrdStatus.PARTIALLY_FILLED)
{
dic.GetOrder(strChave, out ord, strExchNumberChave);
//ord.ExchangeNumberID = msg.OrderID.getValue() + "-" + msg.Account.getValue() + "-" + msg.Symbol.getValue();
}
// Stop Order Entry, Exec: New, OrdStatus: New - nao faz nada
// No request stop order trigger, Exec: New, OrdStatus: New - nao faz nada
// Order with on close, Exec: New, OrdStatus: New
// Order with on close attribute is activated when the closing auction starts, Exec: New, Order: New
// MinQty order entry, not enough quantity, Exec: new, Order: new
// New Order, Exec: Rejected, OrdStatus: Rejected - excluir a chave
// New Order, Exec: Suspended, OrdStatus: Suspended
// No request, Exec: Trade, OrdStatus: Filled
if ((e == ExecType.REJECTED && o == OrdStatus.REJECTED) ||
(e == ExecType.SUSPENDED && o == OrdStatus.SUSPENDED) ||
(e == ExecType.TRADE && o == OrdStatus.FILLED) ||
(e == ExecType.EXPIRED && o == OrdStatus.EXPIRED))
{
lock (dic)
{
TOOrderSession toOS = null;
int ret = dic.GetOrder(strChave, out toOS, strExchNumberChave);
ord = toOS;
toOS = null;
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(ord.ChaveDicionario);
}
else
{
dic.RemoveOrder(strChave);
}
}
}
// Order Modify, Exec: Replace, OrdStatus: Replaced
if (e == ExecType.REPLACE && o == OrdStatus.REPLACED)
{
strOrigClChave = msg.OrigClOrdID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
lock (dic)
{
//if (dic.ExistOrder(strOrigClChave))
//{
TOOrderSession toOS = null;
int ret = dic.GetOrder(strOrigClChave, out toOS, strExchNumberChave, KeyType.ORIGCLORDID);
ord = toOS;
toOS = null;
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(ord.ChaveDicionario);
}
else
{
dic.RemoveOrder(strOrigClChave);
}
//}
}
}
// Cancelation, Exec: Cancelled, OrdStatus: Cancelled
// No request FAK Partially Filled, Exec: Canceled, OrdStatus: Canceled
// No request FOK Partially Filled, Exec: Canceled, OrdStatus: Canceled
// MinQty order entry, not enough quantity rejected, Exec: Cancelled, Order: Cancelled
if (e == ExecType.CANCELED && o == OrdStatus.CANCELED)
{
bool processOrig = true;
// Tratamento de outros tipos de timeinforce (para execucao e cancelamento, o orig clord id não é fornecido)
if (msg.IsSetField(Tags.TimeInForce))
{
switch (msg.TimeInForce.getValue())
{
case TimeInForce.IMMEDIATE_OR_CANCEL:
case TimeInForce.FILL_OR_KILL:
processOrig = false;
strOrigClChave = msg.ClOrdID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
break;
default:
{
// Caso o cancelamento tenha partido da bolsa, tambem nao eh fornecido o OrigClOrdID
// entao tenta-se utilizar o ClOrdID vindo do ExecutionReport
string aux1 = msg.IsSetOrigClOrdID() ? msg.OrigClOrdID.ToString() : msg.ClOrdID.ToString();
strOrigClChave = aux1 + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
}
break;
}
}
else
{
// TimeInForce = 0 (DAY) - Default
// Caso o Orig nao esteja na mensagem, tenta-se buscar pelo ClOrdID
string aux1 = msg.IsSetOrigClOrdID() ? msg.OrigClOrdID.ToString() : msg.ClOrdID.ToString();
strOrigClChave = aux1 + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
}
lock (dic)
{
TOOrderSession toOS = null;
int ret = 0;
ret = dic.GetOrder(strOrigClChave, out toOS, strExchNumberChave, KeyType.ORIGCLORDID);
if (null != toOS)
{
ord = toOS;
toOS = null;
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(ord.ChaveDicionario);
}
else
{
dic.RemoveOrder(strOrigClChave);
}
}
if (processOrig)
{
ret = dic.GetOrder(strChave, out toOS, strExchNumberChave);
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(toOS.ChaveDicionario);
}
else
{
dic.RemoveOrder(strChave);
}
toOS = null;
}
}
}
}
}
catch (Exception ex)
{
logger.Error("VerifyOrderSituationER(): " + ex.Message, ex);
}
}