Ejemplo n.º 1
0
        /// <summary>
        /// create message for new order
        /// создать сообщение для нового ордера
        /// </summary>
        public string NewOrderSingleMsg(string clOrdId, string securityId, string side,
                                        string orderQty, string ordType, string price)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "D", true, _settings);

            var newOrder = new List <Field>
            {
                new Field((int)Tags.ClOrdID, clOrdId),
                new Field((int)Tags.SecurityID, securityId),
                new Field((int)Tags.SecurityIDSource, "8"),
                new Field((int)Tags.Side, side),
                new Field((int)Tags.ExecInst, "H"),
                new Field((int)Tags.TransactTime, DateTime.UtcNow.ToString("yyyyMMdd-HH:mm:ss")),
                new Field((int)Tags.OrderQty, orderQty),
                new Field((int)Tags.OrdType, ordType)
            };

            if (ordType == "2")// if limit order / если лимитный
            {
                newOrder.Add(new Field((int)Tags.Price, price));
                newOrder.Add(new Field((int)Tags.TimeInForce, "1"));
            }

            newMessage.AddBody(newOrder);

            var res = newMessage.ToString();

            return(res);
        }
Ejemplo n.º 2
0
 /// <summary>
 /// The OnSessionTxAppMessage callback is invoked by a session
 /// when it is ready to dispatch an application message to the
 /// peer session it's interacting with.
 /// </summary>
 /// <param name="session">
 /// The IVfxFixSession implementation that is issuing the
 /// callback to the handler.
 /// </param>
 /// <param name="msg">
 /// The application message that the session wants to have sent
 /// to its corresponding peer session.
 /// </param>
 public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
 {
     // REC: Forward the app message to the application:
     _fixApplication.OnSessionTxAppMessage(_appSession, msg);
     // REC: Send the app message to the peer system:
     _ipcEndpoint.Send(null, new VfxMsgBlock(msg.ToString()));
 }
Ejemplo n.º 3
0
        /// <summary>
        /// message for exit
        /// сообщение для выхода
        /// </summary>
        /// <param name="isTrading">true - if the exit from the trading session, false for market data / true - если выход из торговой сессии, false для market data</param>
        /// <returns>message in fix format / сообщение в формате fix</returns>
        public string LogOutMsg(bool isTrading)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "5", isTrading, _settings);

            var res = newMessage.ToString();

            return(res);
        }
Ejemplo n.º 4
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        public void ToString()
        {
            var sessionId = new SessionIdentity("FIX.4.2", "EXECUTOR", "CLIENT1");
            var target    = new FixMessage(sessionId, 'A');

            target.Header.Add(34, "1");
            target.Header.Add(52, "20200925-11:05:13.797");
            target.Add(98, "0");
            target.Add(108, "30");

            var str = target.ToString();

            Assert.AreEqual("8=FIX.4.2\u00019=70\u000135=A\u000149=EXECUTOR\u000156=CLIENT1\u000134=1\u000152=20200925-11:05:13.797\u000198=0\u0001108=30\u000110=096\u0001", str);
        }
Ejemplo n.º 5
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        /// <summary>
        /// create message for test request
        /// создать сообщение для тестового запроса
        /// </summary>
        /// <param name="reqId"></param>
        /// <param name="isTrading"></param>
        /// <returns></returns>
        public string TestRequestMsg(string reqId, bool isTrading)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "1", isTrading, _settings);

            var logOnFields = new List <Field> {
                new Field((int)Tags.TestReqID, reqId)
            };

            newMessage.AddBody(logOnFields);

            var res = newMessage.ToString();

            return(res);
        }
Ejemplo n.º 6
0
        /// <summary>
        /// The OnSessionTxAppMessage callback is invoked by a session
        /// when it is ready to dispatch an application message to the
        /// peer session it's interacting with.
        /// </summary>
        /// <param name="session">
        /// The IVfxFixSession implementation that is issuing the
        /// callback to the handler.
        /// </param>
        /// <param name="msg">
        /// The application message that the session wants to have sent
        /// to its corresponding peer session.
        /// </param>
        public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
        {
            if (_mapAppSessions.ContainsKey(session.InstanceId))
            {
                IVfxFixAppSession appSession = _mapAppSessions[session.InstanceId];
                _application.OnSessionTxAppMessage(appSession, msg);

                // REC: Locate the IPC session identifier of the IPC session
                // that is associated with the service that is generating the
                // event and use that to send the message to the peer:
                if (_mapFixToIpc.ContainsKey(session.InstanceId))
                {
                    string ipcIdentifier = _mapFixToIpc[session.InstanceId];
                    _endpoint.Send(ipcIdentifier, new VfxMsgBlock(msg.ToString()));
                }
            }
        }
Ejemplo n.º 7
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        /// <summary>
        /// create a message for request status
        /// создать сообщение для запроса статуса ордера
        /// </summary>
        /// <param name="clOrdId">order number specified by the user when creating/номер ордера заданный пользователем при создании</param>
        /// <param name="side">order side/направление ордера</param>
        /// <param name="securityId">instrument id/id инструмента</param>
        public string OrderStatusRequestMsg(string clOrdId, string securityId, string side)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "H", true, _settings);

            var newOrder = new List <Field>
            {
                new Field((int)Tags.ClOrdID, clOrdId),
                new Field((int)Tags.SecurityID, securityId),
                new Field((int)Tags.SecurityIDSource, "8"),
                new Field((int)Tags.Side, side)
            };

            newMessage.AddBody(newOrder);

            var res = newMessage.ToString();

            return(res);
        }
Ejemplo n.º 8
0
        /// <summary>
        /// create message for cancelling order
        /// создать сообщение для отмены ордера
        /// </summary>
        public string OrderCancelRequestMsg(string origClOrdId, string clOrdId, string securityId)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "F", true, _settings);

            var newOrder = new List <Field>
            {
                new Field((int)Tags.OrigClOrdID, clOrdId),
                new Field((int)Tags.ClOrdID, origClOrdId),
                new Field((int)Tags.SecurityID, securityId),
                new Field((int)Tags.SecurityIDSource, "8"),
                new Field((int)Tags.TransactTime, DateTime.UtcNow.ToString("yyyyMMdd-HH:mm:ss"))
            };

            newMessage.AddBody(newOrder);

            var res = newMessage.ToString();

            return(res);
        }
Ejemplo n.º 9
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        /// <summary>
        /// message for entering
        /// сообщение для входа
        /// </summary>
        /// <param name="isTrading">true - if the entrance to the trading session, false for market data / true - если вход в торговую сессию, false для market data</param>
        /// <param name="heartbeatInterval"></param>
        /// <returns>сообщение в формате fix</returns>
        public string LogOnMsg(bool isTrading, int heartbeatInterval)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "A", isTrading, _settings);

            var logOnFields = new List <Field>
            {
                new Field((int)Tags.EncryptMethod, "0"),
                new Field((int)Tags.HeartBtInt, heartbeatInterval.ToString()),
                new Field((int)Tags.ResetSeqNumFlag, "Y"),
                new Field((int)Tags.Username, _settings.Username),
                new Field((int)Tags.Password, _settings.Password)
            };

            newMessage.AddBody(logOnFields);

            var res = newMessage.ToString();

            return(res);
        }
Ejemplo n.º 10
0
        public string TradeCaptureReportRequestMsg(string tradeRequestId, string tradeRequestType, string subscriptionRequestType, DateTime starTime, DateTime endTime)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "AD", true, _settings);

            var newOrder = new List <Field>
            {
                new Field((int)Tags.TradeRequestID, tradeRequestId),
                new Field((int)Tags.TradeRequestType, tradeRequestType),
                new Field((int)Tags.SubscriptionRequestType, subscriptionRequestType),
                new Field((int)Tags.NoDates, "2"),
                new Field((int)Tags.TransactTime, starTime.ToString("yyyyMMdd-HH:mm:ss")),
                new Field((int)Tags.TransactTime, endTime.ToString("yyyyMMdd-HH:mm:ss"))
            };


            newMessage.AddBody(newOrder);

            var res = newMessage.ToString();

            return(res);
        }
Ejemplo n.º 11
0
        public void OnMessage(FixMessage msg)
        {
            Console.WriteLine(">" + msg.ToString());
            var msgType = msg.Header[Tags.MsgType] as FixField <char>;

            switch (msgType.Value)
            {
            case 'D':
                var accept = new FixMessage(_session.RevertID, '8');
                accept.Header.Add(52, DateTime.UtcNow.ToString(FixSettings.DateTimeFormat));
                accept.Add(6, 0);
                accept.Add(14, 0);
                accept.Add(17, _execId++);
                accept.Add(37, _orderId++);
                accept.Add(msg[11]);
                accept.Add(39, 2);
                accept.Add(msg[54]);
                accept.Add(msg[55]);
                accept.Add(150, 0);
                accept.Add(151, 0);
                _session.SendAsync(accept);
                return;
            }
        }
Ejemplo n.º 12
0
 public void OnSessionRxAdmMessage(IVfxFixAppSession session, FixMessage msg)
 {
     FixField fixSCID = msg.Header.GetField(49);
     Console.WriteLine(string.Format("FIX CLIENT: {0} SENT: {1}", fixSCID.Content, msg.ToString()));
 }
Ejemplo n.º 13
0
 /// <summary>
 /// The OnSessionTxAppMessage callback is invoked by a session
 /// when it is ready to dispatch an application message to the
 /// peer session it's interacting with.
 /// </summary>
 /// <param name="session">
 /// The IVfxFixSession implementation that is issuing the
 /// callback to the handler.
 /// </param>
 /// <param name="msg">
 /// The application message that the session wants to have sent
 /// to its corresponding peer session.
 /// </param>
 public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
 {
     // REC: Forward the app message to the application:
     _fixApplication.OnSessionTxAppMessage(_appSession, msg);
     // REC: Send the app message to the peer system:
     _ipcEndpoint.Send(null, new VfxMsgBlock(msg.ToString()));
 }
Ejemplo n.º 14
0
        /// <summary>
        /// heartbeat message
        /// сообщение пулься
        /// </summary>
        public string HeartbeatMsg(bool isTrading)
        {
            var newMessage = new FixMessage(++_msgSeqNum, "0", isTrading, _settings);

            return(newMessage.ToString());
        }
Ejemplo n.º 15
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 public void OnMessage(FixMessage msg)
 {
     Console.WriteLine(">" + msg.ToString());
 }
Ejemplo n.º 16
0
        public void OnSessionRxAppMessage(IVfxFixAppSession session, FixMessage msg)
        {
            FixField fixSCID = msg.Header.GetField(49);

            Console.WriteLine(string.Format("FIX SERVER: {0} SENT: {1}", fixSCID.Content, msg.ToString()));
        }
Ejemplo n.º 17
0
        /// <summary>
        /// The OnSessionTxAppMessage callback is invoked by a session
        /// when it is ready to dispatch an application message to the
        /// peer session it's interacting with.
        /// </summary>
        /// <param name="session">
        /// The IVfxFixSession implementation that is issuing the
        /// callback to the handler.
        /// </param>
        /// <param name="msg">
        /// The application message that the session wants to have sent
        /// to its corresponding peer session.
        /// </param>
        public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
        {
            if (_mapAppSessions.ContainsKey(session.InstanceId))
            {
                IVfxFixAppSession appSession = _mapAppSessions[session.InstanceId];
                _application.OnSessionTxAppMessage(appSession, msg);

                // REC: Locate the IPC session identifier of the IPC session
                // that is associated with the service that is generating the
                // event and use that to send the message to the peer:
                if (_mapFixToIpc.ContainsKey(session.InstanceId))
                {
                    string ipcIdentifier = _mapFixToIpc[session.InstanceId];
                    _endpoint.Send(ipcIdentifier, new VfxMsgBlock(msg.ToString()));
                }
            }
        }