/// <summary>
/// Makes an execution object
/// </summary>
/// <param name="executionReport"></param>
/// <returns></returns>
private Execution PopulateExecution(QuickFix.FIX42.ExecutionReport executionReport)
{
string orderSide = FixCommon.Converter.ConvertOrderSide.GetLocalOrderSide(executionReport.Side.getValue());
// Extract Fill information
Fill fill = new Fill(new Security {
Symbol = executionReport.Symbol.getValue()
},
_provider, executionReport.ClOrdID.getValue())
{
ExecutionDateTime = executionReport.TransactTime.getValue(),
ExecutionType =
executionReport.ExecType.getValue() == ExecType.FILL
? Constants.ExecutionType.Fill
: Constants.ExecutionType.Partial,
ExecutionId = executionReport.ExecID.getValue(),
ExecutionPrice = Convert.ToDecimal(executionReport.AvgPx.getValue(), CultureInfo.InvariantCulture),
ExecutionSize = Convert.ToInt32(executionReport.LastShares.getValue()),
ExecutionSide = orderSide,
AverageExecutionPrice = Convert.ToDecimal(executionReport.AvgPx.getValue(), CultureInfo.InvariantCulture),
LeavesQuantity = Convert.ToInt32(executionReport.LeavesQty.getValue(), CultureInfo.InvariantCulture),
CummalativeQuantity = Convert.ToInt32(executionReport.CumQty.getValue(), CultureInfo.InvariantCulture)
};
// Extract Order information
Order order = new Order(_provider)
{
OrderID = executionReport.ClOrdID.getValue(),
OrderSide = orderSide,
OrderSize = Convert.ToInt32(executionReport.OrderQty.getValue(), CultureInfo.InvariantCulture),
OrderTif = FixCommon.Converter.ConvertTif.GetLocalValue(executionReport.TimeInForce.getValue())
};
return(new Execution(fill, order));
}
public void OnMessage(QuickFix.FIX42.ExecutionReport msg, QuickFix.SessionID s)
{
if (Fix42ExecReportEvent != null)
{
Fix42ExecReportEvent(msg);
}
}
public void HandleExecutionReport(QuickFix.FIX42.ExecutionReport msg)
{
try
{
string execId = msg.ExecID.Obj;
string transType = FixEnumTranslator.Translate(msg.ExecTransType);
string execType = FixEnumTranslator.Translate(msg.ExecType);
Trace.WriteLine("EVM: Handling ExecutionReport: " + execId + " / " + transType + " / " + execType);
ExecutionRecord exRec = new ExecutionRecord(
msg.ExecID.Obj,
msg.OrderID.Obj,
transType,
execType,
msg.Symbol.Obj,
FixEnumTranslator.Translate(msg.Side));
SmartDispatcher.Invoke(new Action <ExecutionRecord>(AddExecution), exRec);
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
//public void OnMessage(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s)
//{
// var noMdEntries = message.NoLegs.getValue();
// var group = new QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup();
// SendNewExecutionReport(message, s, noMdEntries, group);
// Thread.Sleep(100);
// SendFilledExecutionReport(message, s, noMdEntries, group);
//}
//private void SendNewExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group)
//{
// Symbol symbol = new Symbol("L");
// Side side = new Side('L');
// OrdType ordType = message.OrdType;
// QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport(
// new OrderID(GenOrderID()),
// new ExecID(""),
// new ExecTransType(ExecTransType.NEW),
// new ExecType(ExecType.NEW),
// new OrdStatus(OrdStatus.NEW),
// symbol,
// side,
// new LeavesQty(0),
// new CumQty(0),
// new AvgPx(0));
// exReport.Set(message.ClOrdID);
// exReport.Set(message.TimeInForce);
// if (message.IsSetAccount())
// exReport.SetField(message.Account);
// for (int i = 1; i <= noMdEntries; i++)
// {
// var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group);
// var Exgroup = new QuickFix.FIX42.ExecutionReport.NoLegsGroup();
// Exgroup.LegOrderQty = new LegOrderQty(n.LegOrderQty.getValue());
// Exgroup.LegPrice = new LegPrice(n.LegPrice.getValue());
// Exgroup.LegSecurityID = new LegSecurityID(n.LegSecurityID.getValue());
// Exgroup.LegProduct = new LegProduct(n.LegProduct.getValue());
// message.AddGroup(Exgroup);
// }
// try
// {
// Session.SendToTarget(exReport, s);
// }
// catch (SessionNotFound ex)
// {
// Console.WriteLine("==session not found exception!==");
// Console.WriteLine(ex.ToString());
// }
// catch (Exception ex)
// {
// Console.WriteLine(ex.ToString());
// }
//}
//private void SendFilledExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group)
//{
// for (int i = 1; i <= noMdEntries; i++)
// {
// var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group);
// SecurityID security = new SecurityID(n.LegSecurityID.getValue());
// Symbol symbol = new Symbol(n.LegSymbol.getValue());
// Side side = new Side(n.IsSetLegSide() ? n.LegSide.getValue() : 'B');
// OrdType ordType = message.OrdType;
// OrderQty orderQty = new OrderQty(n.LegOrderQty.getValue());
// ClOrdID clOrdID = message.ClOrdID;
// Price price = new Price(DEFAULT_MARKET_PRICE);
// TimeInForce tm = message.TimeInForce;
// switch (ordType.getValue())
// {
// case OrdType.LIMIT:
// price = new Price(n.LegPrice.getValue());
// if (price.Obj == 0)
// throw new IncorrectTagValue(price.Tag);
// break;
// case OrdType.MARKET:
// break;
// default:
// throw new IncorrectTagValue(ordType.Tag);
// }
// QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport(
// new OrderID(GenOrderID()),
// new ExecID(DateTime.Now.ToString("yyyyMMddHHmmss") + GenExecID()),
// new ExecTransType(ExecTransType.NEW),
// new ExecType(ExecType.FILL),
// new OrdStatus(OrdStatus.FILLED),
// symbol,
// side,
// new LeavesQty(0),
// new CumQty(orderQty.getValue()),
// new AvgPx(price.getValue()));
// exReport.Set(security);
// exReport.Set(clOrdID);
// exReport.Set(orderQty);
// exReport.Set(new LastShares(orderQty.getValue()));
// exReport.Set(new LastPx(price.getValue()));
// exReport.Set(message.TimeInForce);
// if (message.IsSetAccount())
// exReport.SetField(message.Account);
// try
// {
// Session.SendToTarget(exReport, s);
// }
// catch (SessionNotFound ex)
// {
// Console.WriteLine("==session not found exception!==");
// Console.WriteLine(ex.ToString());
// }
// catch (Exception ex)
// {
// Console.WriteLine(ex.ToString());
// }
// }
//}
public void OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
ClOrdID clOrdID = n.ClOrdID;
Price price = new Price(DEFAULT_MARKET_PRICE);
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(orderQty);
exReport.Set(new LastShares(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void OnMessage(QuickFix.FIX42.ExecutionReport m, SessionID s)
{
Console.WriteLine("Received execution report");
if (Fix42ExecReportEvent != null)
{
Fix42ExecReportEvent(m);
}
}
/// <summary>
/// Extracts the rejection details from the incoming message
/// </summary>
/// <param name="executionReport"></param>
/// <returns></returns>
private Rejection ExtractOrderRejection(QuickFix.FIX42.ExecutionReport executionReport)
{
Rejection rejection = new Rejection(new Security()
{
Symbol = executionReport.Symbol.getValue()
}, _provider,
executionReport.TransactTime.getValue());
rejection.OrderId = executionReport.OrderID.getValue();
rejection.RejectioReason = executionReport.OrdRejReason.getValue().ToString();
return(rejection);
}
public void OneIncomingExecution()
{
UnitTestContext context = new UnitTestContext();
context.Login();
ExecutionViewModel vm = new ExecutionViewModel(context.App);
QuickFix.FIX42.ExecutionReport ex = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.NEW,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "IBM", QuickFix.Fields.Side.BUY, 1.23m, 4.56m, 7.89m);
context.App.FromApp(ex, context.Session.SessionID);
Assert.AreEqual(1, vm.Executions.Count);
}
/// <summary>
/// Makes an order object
/// </summary>
/// <param name="executionReport"></param>
/// <returns></returns>
private Order PopulateOder(QuickFix.FIX42.ExecutionReport executionReport)
{
string orderSide = FixCommon.Converter.ConvertOrderSide.GetLocalOrderSide(executionReport.Side.getValue());
// Extract Order information
Order order = new Order(_provider)
{
OrderID = executionReport.ExecType.getValue().Equals(ExecType.NEW) ? executionReport.ClOrdID.getValue() : executionReport.OrigClOrdID.getValue(),
OrderSide = orderSide,
OrderSize = Convert.ToInt32(executionReport.OrderQty.getValue(), CultureInfo.InvariantCulture),
OrderTif = FixCommon.Converter.ConvertTif.GetLocalValue(executionReport.TimeInForce.getValue())
};
return(order);
}
private void SendExecReport(QuickFix.FIX42.ExecutionReport exReport)
{
try
{
_session.Send(exReport);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void FromApp(QuickFix.Message msg, SessionID sessionID)
{
logMe("\r\n \r\n" + "FromApp :" + msg.ToString());
if (msg is QuickFix.FIX42.ExecutionReport)
{
QuickFix.FIX42.ExecutionReport er = (QuickFix.FIX42.ExecutionReport)msg;
logMe("\r\n \r\n" + "Got execution Report - ExecType = " + er.ExecType.getValue());
if (er.ExecType.getValue() == ExecType.FILL)
{
logMe("\r\n \r\n" + "FromApp : order Filled");
}
}
}
private void SendAck(NewOrderSingle newOrderSingle)
{
var exReport = new QuickFix.FIX42.ExecutionReport();
OrderQty orderQty = newOrderSingle.OrderQty;
exReport.CopyFromOrder(newOrderSingle);
exReport.Set(new OrderID(GenOrderID()));
exReport.Set(new ExecID(GenExecID()));
exReport.Set(new ExecTransType(ExecTransType.NEW));
exReport.Set(new ExecType(ExecType.NEW));
exReport.Set(new OrdStatus(OrdStatus.NEW));
exReport.Set(new LeavesQty(orderQty.getValue()));
exReport.Set(new CumQty(0));
exReport.Set(new AvgPx(0));
SendExecReport(exReport);
}
public void HandleExecutionReport(QuickFix.FIX42.ExecutionReport msg)
{
try
{
string execId = msg.ExecID.Obj;
string transType = FixEnumTranslator.Translate(msg.ExecTransType);
string execType = FixEnumTranslator.Translate(msg.ExecType);
Trace.WriteLine("EVM: Handling ExecutionReport: " + execId + " / " + transType + " / " + execType);
String securityType = "";
if (msg.IsSetField(167))
{
securityType = FixEnumTranslator.Translate(msg.SecurityType);
}
String putOrCall = "";
if (msg.IsSetField(201))
{
putOrCall = FixEnumTranslator.Translate(msg.PutOrCall);
}
decimal strikePrice = 0;
if (msg.IsSetField(202))
{
strikePrice = msg.StrikePrice.Obj;
}
ExecutionRecord exRec = new ExecutionRecord(
msg.ExecID.Obj,
msg.OrderID.Obj,
transType,
execType,
msg.Symbol.Obj,
FixEnumTranslator.Translate(msg.Side),
securityType,
putOrCall,
strikePrice);
SmartDispatcher.Invoke(new Action <ExecutionRecord>(AddExecution), exRec);
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
public void HandleExecutionReport(QuickFix.FIX42.ExecutionReport msg)
{
try
{
if (msg.IsSetField(11) && msg.ClOrdID != null)
{
string clOrdId = msg.ClOrdID.Obj;
string status = FixEnumTranslator.Translate(msg.OrdStatus);
//Trace.WriteLine("OVM: Handling ExecutionReport: " + clOrdId + " / " + status);
lock (_ordersLock)
{
foreach (OrderRecord r in Orders)
{
if (r.ClOrdID == clOrdId)
{
r.Status = status;
if (msg.IsSetLastPx())
{
r.Price = msg.LastPx.Obj;
}
if (msg.IsSetOrderID())
{
r.OrderID = msg.OrderID.Obj;
}
return;
}
}
}
//Trace.WriteLine("OVM: No order corresponds to ClOrdID '" + clOrdId + "'");
}
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
private void OnExecutionReport(QuickFix.FIX42.ExecutionReport executionReport)
{
lock (m_OpenOrderIds) {
m_NumOfExeReportsReceived++;
bool flag = m_OpenOrderIds.Remove(executionReport.OrderID.getValue());
if (!flag)
{
Console.WriteLine("Unexpecpted OrderID. Something must be wrong.");
}
if (m_OpenOrderIds.Count == 0)
{
m_Stopwatch.Stop();
Console.WriteLine("\nTotal Time in ms: " + m_Stopwatch.ElapsedMilliseconds);
Console.WriteLine("Average Time in ms: " + (double)m_Stopwatch.ElapsedMilliseconds / (double)m_NumOfExeReportsReceived);
Console.WriteLine("Execution report received: " + m_NumOfExeReportsReceived);
m_OpenOrderIds.Clear();
m_NumOfExeReportsReceived = 0;
}
}
}
public void OrderUpdate()
{
UnitTestContext context = new UnitTestContext();
context.Login();
OrderViewModel vm = new OrderViewModel(context.App, new FIXApplication.NullFixStrategy());
// send an order with default arguments
vm.SendBuyCommand.Execute(null);
Assert.AreEqual(1, context.Session.MsgLookup[QuickFix.FIX42.NewOrderSingle.MsgType].Count);
QuickFix.FIX42.NewOrderSingle msg = context.Session.MsgLookup[QuickFix.FIX42.NewOrderSingle.MsgType][0] as QuickFix.FIX42.NewOrderSingle;
// verify grid content (redundant with earlier tests, but whatever)
Assert.AreEqual(1, vm.Orders.Count);
OrderRecord or = vm.Orders.First();
Assert.AreEqual("IBM", or.Symbol);
Assert.AreEqual(-1, or.Price);
Assert.AreEqual("Market", or.OrdType);
Assert.AreEqual("Buy", or.Side);
Assert.AreEqual("New", or.Status);
// send an execution report that will update the grid
QuickFix.FIX42.ExecutionReport r = CreateExReport(
or.ClOrdID, "foo", QuickFix.Fields.ExecTransType.NEW, QuickFix.Fields.ExecType.FILL,
QuickFix.Fields.OrdStatus.FILLED, "IBM", QuickFix.Fields.Side.BUY, 0, 0, 0);
r.LastPx = new QuickFix.Fields.LastPx(999m);
r.ClOrdID = new QuickFix.Fields.ClOrdID(msg.ClOrdID.Obj);
context.App.FromApp(r, context.Session.SessionID);
// check that it got changed
Assert.AreEqual(1, vm.Orders.Count);
Assert.AreEqual(999, or.Price);
Assert.AreEqual("Filled", or.Status);
}
public void ManyExecutions()
{
UnitTestContext context = new UnitTestContext();
context.Login();
ExecutionViewModel vm = new ExecutionViewModel(context.App);
QuickFix.FIX42.ExecutionReport ex1 = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.NEW,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "IBM", QuickFix.Fields.Side.BUY, 1.23m, 4.56m, 7.89m);
QuickFix.FIX42.ExecutionReport ex2 = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.CORRECT,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "ABC", QuickFix.Fields.Side.SELL, 1.23m, 4.56m, 7.89m);
QuickFix.FIX42.ExecutionReport ex3 = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.CANCEL,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "XYZ", QuickFix.Fields.Side.BUY, 1.23m, 4.56m, 7.89m);
context.App.FromApp(ex1, context.Session.SessionID);
context.App.FromApp(ex2, context.Session.SessionID);
context.App.FromApp(ex3, context.Session.SessionID);
Assert.AreEqual(3, vm.Executions.Count);
Assert.AreEqual("order1", vm.Executions[0].OrderID);
Assert.AreEqual("New", vm.Executions[0].ExecTransType);
Assert.AreEqual("IBM", vm.Executions[0].Symbol);
Assert.AreEqual("Buy", vm.Executions[0].Side);
Assert.AreEqual("order1", vm.Executions[1].OrderID);
Assert.AreEqual("Correct", vm.Executions[1].ExecTransType);
Assert.AreEqual("ABC", vm.Executions[1].Symbol);
Assert.AreEqual("Sell", vm.Executions[1].Side);
Assert.AreEqual("order1", vm.Executions[2].OrderID);
Assert.AreEqual("Cancel", vm.Executions[2].ExecTransType);
Assert.AreEqual("XYZ", vm.Executions[2].Symbol);
Assert.AreEqual("Buy", vm.Executions[2].Side);
}
public void OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
ClOrdID clOrdID = n.ClOrdID;
Price price = new Price(DEFAULT_MARKET_PRICE);
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
throw new IncorrectTagValue(price.Tag);
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(orderQty);
exReport.Set(new LastShares(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
exReport.SetField(n.Account);
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
/// <summary>
///
/// </summary>
/// <param name="executionReport">Execution report</param>
/// <param name="sessionId">Session ID</param>
private void OnMessage(QuickFix.FIX42.ExecutionReport executionReport, SessionID sessionId)
{
try
{
switch (executionReport.ExecType.getValue())
{
case ExecType.NEW:
{
Order order = PopulateOder(executionReport);
if (Logger.IsDebugEnabled)
{
Logger.Debug("New arrived : " + order, _type.FullName, "OnMessage");
}
if (NewArrived != null)
{
NewArrived(order);
}
break;
}
case ExecType.CANCELED:
{
Order order = PopulateOder(executionReport);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Cancellation arrived : " + order, _type.FullName, "OnMessage");
}
if (CancellationArrived != null)
{
CancellationArrived(order);
}
break;
}
case ExecType.REJECTED:
var rejection = ExtractOrderRejection(executionReport);
if (OrderRejectionArrived != null)
{
OrderRejectionArrived(rejection);
}
break;
case '1':
{
Execution execution = PopulateExecution(executionReport);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Trade arrived : " + execution, _type.FullName, "OnMessage");
}
if (ExecutionArrived != null)
{
ExecutionArrived(execution);
}
break;
}
case '2':
{
Execution execution = PopulateExecution(executionReport);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Trade arrived : " + execution, _type.FullName, "OnMessage");
}
if (ExecutionArrived != null)
{
ExecutionArrived(execution);
}
break;
}
}
}
catch (Exception exception)
{
Logger.Error(exception.ToString(), _type.FullName, "OnMessage");
}
}
private void OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s)
{
QuickFix.FIX42.ExecutionReport executionReport = new QuickFix.FIX42.ExecutionReport(new OrderID(n.ClOrdID.getValue()), new ExecID(Guid.NewGuid().ToString()), new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.NEW), n.Symbol, n.Side, new LeavesQty(n.OrderQty.getValue()), new CumQty(0), new AvgPx());
Session.SendToTarget(executionReport, s);
}
public static QuickFix.FIX42.ExecutionReport Fix42Rejection2ExecutionReport(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX42.ExecutionReport er = new QuickFix.FIX42.ExecutionReport();
if (msgOri.IsSetField(Tags.OrderID))
{
er.SetField(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.IsSetField(Tags.NoPartyIDs)? msgOri.GetInt(Tags.NoPartyIDs): 0;
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 (msgReject.IsSetField(Tags.Text))
{
er.Set(new Text(msgReject.GetField(Tags.Text)));
}
if (msgOri.IsSetField(Tags.Memo))
{
er.SetField(new Memo(msgOri.GetString(Tags.Memo)));
}
// Validacao da tag ExecTransType. Para rejeicao, atribuindo default STATUS
er.Set(new ExecTransType(ExecTransType.STATUS));
return(er);
}
catch (Exception ex)
{
logger.Error("Fix44Rejection2ExecutionReport(): " + ex.Message, ex);
return(null);
}
}
protected void SendExecutionReport(OrderFixBridge order, string symbol, double execQty, double execPrice, string text)
{
if (order == null)
{
throw new Exception("[QuickFixApp.SendExecutionReport] OrderFixBridge order is null ");
}
IOrder o = order.Order;
if (o == null)
{
throw new Exception("[QuickFixApp.SendExecutionReport] IOrder is null ");
}
if (string.IsNullOrEmpty(symbol))
{
throw new Exception("[QuickFixApp.SendExecutionReport] symbol is empty");
}
QuickFix.SessionID session = order.OrderSessionID;
if (session == null)
{
throw new Exception("[QuickFixApp.SendExecutionReport] session is null ");
}
QuickFix.FIX42.ExecutionReport msg = new QuickFix.FIX42.ExecutionReport();
msg.OrderID = new QuickFix.Fields.OrderID(Helper.GetUniqueID("EXECID"));
msg.HandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
msg.Symbol = new QuickFix.Fields.Symbol(symbol);
msg.Side = Converter.c(o.OrderAction);
msg.LeavesQty = new QuickFix.Fields.LeavesQty(Convert.ToDecimal(Math.Max(0, o.Quantity - o.Filled)));
msg.CumQty = new QuickFix.Fields.CumQty(Convert.ToDecimal(o.Filled));
msg.AvgPx = new QuickFix.Fields.AvgPx(Convert.ToDecimal(o.AvgFillPrice));
msg.TransactTime = new QuickFix.Fields.TransactTime(o.Time, true);
msg.Text = new QuickFix.Fields.Text(text);
msg.ExecTransType = new QuickFix.Fields.ExecTransType(QuickFix.Fields.ExecTransType.NEW);
switch (o.OrderState)
{
// pending : ignored
case OrderState.Accepted:
case OrderState.PendingChange:
case OrderState.PendingSubmit:
case OrderState.PendingCancel:
return;
case OrderState.Working:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.NEW);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("NEW"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.NEW);
break;
case OrderState.Cancelled:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.CANCELED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("CANCELED"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.CANCELED);
break;
case OrderState.Filled:
case OrderState.PartFilled:
if (double.IsNaN(execQty))
{
return;
}
if (double.IsNaN(execPrice))
{
return;
}
bool full = o.OrderState == OrderState.Filled;
msg.OrdStatus = new QuickFix.Fields.OrdStatus(full ? QuickFix.Fields.OrdStatus.FILLED : QuickFix.Fields.OrdStatus.PARTIALLY_FILLED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("EXEC"));
msg.ExecType = new QuickFix.Fields.ExecType(full ? QuickFix.Fields.ExecType.FILL : QuickFix.Fields.ExecType.PARTIAL_FILL);
msg.LastShares = new QuickFix.Fields.LastShares(Convert.ToDecimal(execQty));
msg.LastPx = new QuickFix.Fields.LastPx(Convert.ToDecimal(execPrice));
break;
case OrderState.Rejected:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.REJECTED);
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.REJECTED);
msg.OrigClOrdID = new QuickFix.Fields.OrigClOrdID(order.QuickFixId);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("REJ"));
break;
case OrderState.Unknown:
throw new Exception("[QuickFixApp.SendExecutionReport] IOrder should not have unknown status at this point !");
}
QuickFix.Session.SendToTarget(msg, session);
}
public static QuickFix.FIX42.ExecutionReport Fix44ER_2_Fix42ER(QuickFix.FIX44.ExecutionReport er44)
{
try
{
QuickFix.FIX42.ExecutionReport er42 = new QuickFix.FIX42.ExecutionReport();
// if (er44.IsSetApplID()) er42.Set(new ApplID(er44.ApplID.getValue()));
// if (er44.IsSetApplSeqNum()) er42.Set(new ApplSeqNum(er44.ApplSeqNum.getValue()));
if (er44.IsSetOrderID())
{
er42.Set(new OrderID(er44.OrderID.getValue()));
}
if (er44.IsSetSecondaryOrderID())
{
er42.Set(new SecondaryOrderID(er44.SecondaryOrderID.getValue()));
}
// if (er44.IsSetSecondaryExecID()) er42.Set(new SecondaryExecID(er44.SecondaryExecID.getValue()));
if (er44.IsSetClOrdID())
{
er42.Set(new ClOrdID(er44.ClOrdID.getValue()));
}
if (er44.IsSetOrigClOrdID())
{
er42.Set(new OrigClOrdID(er44.OrigClOrdID.getValue()));
}
//if (er44.IsSetNoPartyIDs()) er42.Set(new NoPartyIDs(er44.NoPartyIDs.getValue()));
//if (er44.IsSetPartyID()) er42.Set(new PartyID(er44.PartyID.getValue()));
//if (er44.IsSetPartyIDSource()) er42.Set(new PartyIDSource(er44.PartyIDSource.getValue()));
//if (er44.IsSetPartyRole()) er42.Set(new PartyRole(er44.PartyRole.getValue()));
// TODO[FF] - Montagem dos grupos
if (er44.IsSetNoContraBrokers())
{
er42.Set(new NoContraBrokers(er44.NoContraBrokers.getValue()));
int len = er44.NoContraBrokers.getValue();
for (int i = 1; i <= len; i++)
{
Group grp = er44.GetGroup(i, Tags.NoContraBrokers);
er42.AddGroup(grp);
}
}
//if (er44.IsSetContra ContraBroker()) er42.Set(new ContraBroker(er44.ContraBroker.getValue()));
// if (er44.IsSetCrossID()) er42.Set(new CrossID(er44.CrossID.getValue()));
if (er44.IsSetExecID())
{
er42.Set(new ExecID(er44.ExecID.getValue()));
}
if (er44.IsSetExecRefID())
{
er42.Set(new ExecRefID(er44.ExecRefID.getValue()));
}
if (er44.IsSetExecType())
{
er42.Set(new ExecType(er44.ExecType.getValue()));
}
if (er44.IsSetOrdStatus())
{
er42.Set(new OrdStatus(er44.OrdStatus.getValue()));
}
// if (er44.IsSetWorkingIndicator()) er42.Set(new WorkingIndicator(er44.WorkingIndicator.getValue()));
//if (er44.IsSetOrdRejReason()) er42.Set(new OrdRejReason(er44.OrdRejReason.getValue()));
if (er44.IsSetOrdRejReason())
{
er42.Set(new OrdRejReason(99)); // Will always set "99" - other
}
if (er44.IsSetExecRestatementReason())
{
er42.Set(new ExecRestatementReason(er44.ExecRestatementReason.getValue()));
}
if (er44.IsSetAccount())
{
er42.Set(new Account(er44.Account.getValue()));
}
// if (er44.IsSetAccountType()) er42.Set(new AccountType(er44.AccountType.getValue()));
if (er44.IsSetSettlType())
{
er42.Set(new SettlmntTyp(er44.SettlType.getValue()[0]));
}
// if (er44.IsSetDaysToSettlement()) er42.Set(new DaysToSettlement(er44.DaysToSettlement.getValue()));
// if (er44.IsSetFixedRate()) er42.Set(new FixedRate(er44.FixedRate.getValue()));
if (er44.IsSetSymbol())
{
er42.Set(new Symbol(er44.Symbol.getValue()));
}
if (er44.IsSetSecurityID())
{
er42.Set(new SecurityID(er44.SecurityID.getValue()));
}
// if (er44.IsSetSecurityIDSource()) er42.Set(new SecurityIDSource(er44.SecurityIDSource.getValue()));
if (er44.IsSetSecurityExchange())
{
er42.Set(new SecurityExchange(er44.SecurityExchange.getValue()));
}
if (er44.IsSetSide())
{
er42.Set(new Side(er44.Side.getValue()));
}
if (er44.IsSetOrderQty())
{
er42.Set(new OrderQty(er44.OrderQty.getValue()));
}
if (er44.IsSetOrdType())
{
er42.Set(new OrdType(er44.OrdType.getValue()));
}
if (er44.IsSetPrice())
{
er42.Set(new Price(er44.Price.getValue()));
}
if (er44.IsSetStopPx())
{
er42.Set(new StopPx(er44.StopPx.getValue()));
}
// if (er44.IsSetProtectionPrice()) er42.Set(new ProtectionPrice(er44.ProtectionPrice.getValue()));
if (er44.IsSetCurrency())
{
er42.Set(new Currency(er44.Currency.getValue()));
}
if (er44.IsSetTimeInForce())
{
er42.Set(new TimeInForce(er44.TimeInForce.getValue()));
}
if (er44.IsSetExpireDate())
{
er42.Set(new ExpireDate(er44.ExpireDate.getValue()));
}
if (er44.IsSetLastQty())
{
er42.Set(new LastShares(er44.LastQty.getValue()));
}
if (er44.IsSetLastPx())
{
er42.Set(new LastPx(er44.LastPx.getValue()));
}
if (er44.IsSetLeavesQty())
{
er42.Set(new LeavesQty(er44.LeavesQty.getValue()));
}
if (er44.IsSetCumQty())
{
er42.Set(new CumQty(er44.CumQty.getValue()));
}
if (er44.IsSetAvgPx())
{
er42.Set(new AvgPx(er44.AvgPx.getValue()));
}
if (er44.IsSetTradeDate())
{
er42.Set(new TradeDate(er44.TradeDate.getValue()));
}
if (er44.IsSetTransactTime())
{
er42.Set(new TransactTime(er44.TransactTime.getValue()));
}
// if (er44.IsSetAggressorIndicator()) er42.Set(new AggressorIndicator(er44.AggressorIndicator.getValue()));
if (er44.IsSetMinQty())
{
er42.Set(new MinQty(er44.MinQty.getValue()));
}
if (er44.IsSetMaxFloor())
{
er42.Set(new MaxFloor(er44.MaxFloor.getValue()));
}
if (er44.IsSetText())
{
er42.Set(new Text(er44.Text.getValue()));
}
if (er44.IsSetMultiLegReportingType())
{
er42.Set(new MultiLegReportingType(er44.MultiLegReportingType.getValue()));
}
// if (er44.IsSetTotNoRelatedSym()) er42.Set(new TotNoRelatedSym(er44.TotNoRelatedSym.getValue()));
// if (er44.IsSetNoMiscFees()) er42.Set(new NoMiscFees(er44.NoMiscFees.getValue()));
// if (er44.IsSetMiscFeeAmt()) er42.Set(new MiscFeeAmt(er44.MiscFeeAmt.getValue()));
// if (er44.IsSetMiscFeeCurr()) er42.Set(new MiscFeeCurr(er44.MiscFeeCurr.getValue()));
// if (er44.IsSetMiscFeeType()) er42.Set(new MiscFeeType(er44.MiscFeeType.getValue()));
// if (er44.IsSetMiscFeeBasis()) er42.Set(new MiscFeeBasis(er44.MiscFeeBasis.getValue()));
// if (er44.IsSetUniqueTradeID()) er42.Set(new UniqueTradeID(er44.UniqueTradeID.getValue()));
// if (er44.IsSetTradeLinkID()) er42.Set(new TradeLinkID(er44.TradeLinkID.getValue()));
// if (er44.IsSetOrderLinkID()) er42.Set(new OrderLinkID(er44.OrderLinkID.getValue()));
// if (er44.IsSetExchangeQuoteID()) er42.Set(new ExchangeQuoteID(er44.ExchangeQuoteID.getValue()));
// if (er44.IsSetExchangeOrderID()) er42.Set(new ExchangeOrderID(er44.ExchangeOrderID.getValue()));
// if (er44.IsSetExchangeExecID()) er42.Set(new ExchangeExecID(er44.ExchangeExecID.getValue()));
// if (er44.IsSetLastPxInIssuedCurrency()) er42.Set(new LastPxInIssuedCurrency(er44.LastPxInIssuedCurrency.getValue()));
// if (er44.IsSetPriceInIssuedCurrency()) er42.Set(new PriceInIssuedCurrency(er44.PriceInIssuedCurrency.getValue()));
// if (er44.IsSetExchangeSecondaryOrderID()) er42.Set(new ExchangeSecondaryOrderID(er44.ExchangeSecondaryOrderID.getValue()));
// if (er44.IsSetOrderCategory()) er42.Set(new OrderCategory(er44.OrderCategory.getValue()));
if (er44.IsSetField(Tags.Memo))
{
er42.SetField(new Memo(er44.GetField(Tags.Memo)));
}
// Validacao campo ExecTransType
switch (er44.OrdStatus.getValue())
{
case OrdStatus.NEW:
er42.Set(new ExecTransType(ExecTransType.NEW));
break;
case OrdStatus.CANCELED:
case OrdStatus.REPLACED: // TODO [FF] - Rever se o tratamento esta correto
er42.Set(new ExecTransType(ExecTransType.STATUS));
// er42.Set(new ExecRefID(er44.ExecRefID.getValue()));
break;
case OrdStatus.REJECTED:
case OrdStatus.FILLED:
case OrdStatus.PARTIALLY_FILLED:
er42.Set(new ExecTransType(ExecTransType.STATUS));
er42.Set(new ExecType(er44.OrdStatus.getValue())); // 4.2 nao aceita ExecType=F
break;
case OrdStatus.EXPIRED:
er42.Set(new ExecTransType(ExecTransType.STATUS));
er42.Set(new OrdStatus(OrdStatus.DONE_FOR_DAY));
er42.Set(new ExecType(ExecType.DONE_FOR_DAY));
break;
}
// Validacao campo
/*
* if (er44.IsSetAvgPx()) er42.Set(new AvgPx(er44.AvgPx.getValue()));
* if (er44.IsSetClOrdID()) er42.Set(new ClOrdID(er44.ClOrdID.getValue()));
* if (er44.IsSetCommission()) er42.Set(new Commission(er44.Commission.getValue()));
* if (er44.IsSetCommType()) er42.Set(new CommType(er44.CommType.getValue()));
* if (er44.IsSetCumQty()) er42.Set(new CumQty(er44.CumQty.getValue()));
* if (er44.IsSetCurrency()) er42.Set(new Currency(er44.Currency.getValue()));
* if (er44.IsSetExecID()) er42.Set(new ExecID(er44.ExecID.getValue()));
* if (er44.IsSetExecRefID()) er42.Set(new ExecRefID(er44.ExecRefID.getValue()));
*
* //if (er44.IsSetExecTransType()) er42.Set(new ExecTransType(er44.ExecTransType.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo
* if (er44.IsSetExecType()) er42.Set(new ExecType(er44.ExecType.getValue()));
* // if (er44.IsSetIDSource()) er42.Set(new IDSource(er44.IDSource.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo
* if (er44.IsSetLastPx()) er42.Set(new LastPx(er44.LastPx.getValue()));
* // if (er44.IsSetLastShares()) er42.Set(new LastShares(er44.LastShares.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo
* if (er44.IsSetLeavesQty()) er42.Set(new LeavesQty(er44.LeavesQty.getValue()));
* //if (er44.IsSetNoMiscFees()) er42.Set(new NoMiscFees(er44.NoMiscFees.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo por ser group
* //if (er44.IsSetMiscFeeAmt()) er42.Set(new MiscFeeAmt(er44.MiscFeeAmt.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo por ser elemento do group
* if (er44.IsSetOrderID()) er42.Set(new OrderID(er44.OrderID.getValue()));
* if (er44.IsSetOrderQty()) er42.Set(new OrderQty(er44.OrderQty.getValue()));
* if (er44.IsSetOrdStatus()) er42.Set(new OrdStatus(er44.OrdStatus.getValue()));
* if (er44.IsSetOrdType()) er42.Set(new OrdType(er44.OrdType.getValue()));
* if (er44.IsSetOrigClOrdID()) er42.Set(new OrigClOrdID(er44.OrigClOrdID.getValue()));
* if (er44.IsSetSecurityID()) er42.Set(new SecurityID(er44.SecurityID.getValue()));
* if (er44.IsSetSide()) er42.Set(new Side(er44.Side.getValue()));
* if (er44.IsSetSymbol()) er42.Set(new Symbol(er44.Symbol.getValue()));
* if (er44.IsSetTransactTime()) er42.Set(new TransactTime(er44.TransactTime.getValue()));
* if (er44.IsSetSecurityType()) er42.Set(new SecurityType(er44.SecurityType.getValue()));
* if (er44.IsSetSecurityExchange()) er42.Set(new SecurityExchange(er44.SecurityExchange.getValue()));
*/
return(er42);
}
catch (Exception ex)
{
logger.Error("Fix44ER_2_Fix42ER(): " + ex.Message, ex);
return(null);
}
}
private void SendExecReport(NewOrderSingle newOrderSingle, IExecutionEngineSettings settings)
{
OrdType ordType = newOrderSingle.OrdType;
Price price = new Price(10);
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = newOrderSingle.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET:
break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
OrderQty orderQty = newOrderSingle.OrderQty;
var exReport = new QuickFix.FIX42.ExecutionReport();
exReport.CopyFromOrder(newOrderSingle);
exReport.Set(new ExecTransType(ExecTransType.NEW));
exReport.Set(new ExecType(ExecType.FILL));
exReport.Set(new LastPx(price.getValue()));
exReport.Set(new AvgPx(price.getValue()));
decimal qtyPerSlice = orderQty.getValue() *
((settings.EachFillPercentange ?? 100) / 100m);
decimal leaves = orderQty.getValue();
decimal cumQty = 0;
while (leaves != 0)
{
if (leaves <= qtyPerSlice)
{
leaves = 0;
qtyPerSlice = leaves;
exReport.Set(new OrdStatus(OrdStatus.FILLED));
}
else
{
leaves -= qtyPerSlice;
exReport.Set(new OrdStatus(OrdStatus.PARTIALLY_FILLED));
}
cumQty += qtyPerSlice;
exReport.Set(new OrderID(GenOrderID()));
exReport.Set(new ExecID(GenExecID()));
exReport.Set(new LeavesQty(leaves));
exReport.Set(new CumQty(cumQty));
exReport.Set(new LastShares(qtyPerSlice));
SendExecReport(exReport);
Thread.Sleep(Convert.ToInt32(settings.SecondsBetweenFills * 1000));
}
}
public void FromApp(QuickFix.Message msg, SessionID sessionID)
{
logMe("\r\n \r\n" + "FromApp :" + msg.ToString());
try
{
if (msg is QuickFix.FIX42.OrderCancelReject)
{
Console.WriteLine("Order Cancel Reject event raised");
QuickFix.FIX42.OrderCancelReject er = (QuickFix.FIX42.OrderCancelReject)msg;
if (er.IsSetClOrdID())
{
Console.WriteLine("ClOrdID : " + er.ClOrdID);
}
if (er.IsSetOrigClOrdID())
{
Console.WriteLine("OrigClOrdID : " + er.OrigClOrdID);
}
if (er.IsSetOrdStatus())
{
Console.WriteLine("OrderStatus : " + er.OrdStatus);
}
if (er.IsSetCxlRejResponseTo())
{
Console.WriteLine("CxlRejResponseTo : " + er.CxlRejResponseTo);
}
if (er.IsSetCxlRejReason())
{
Console.WriteLine("CxlRejReason : " + er.CxlRejReason);
}
if (er.IsSetOrderID())
{
Console.WriteLine("OrderID : " + er.OrderID);
}
if (er.CxlRejResponseTo.getValue() == CxlRejResponseTo.ORDER_CANCEL_REQUEST)
{
// Order Cancel Rejected reason
// 1= UNKNOWN_ORDER, 2 = Broker Option, 3 = Order already in Pending Cancel or Pending Replace status
string orderDetails = "CANCEL_REJECTED";
Int32 origOrderID = -1;
if (er.IsSetOrigClOrdID())
{
origOrderID = Convert.ToInt32(er.OrigClOrdID.getValue());
}
Orders o = new Orders();
if (er.IsSetEncodedText())
{
orderDetails += " : " + er.EncodedText.getValue();
}
o.FIXResponseCanModRejectHandler(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), origOrderID, er.CxlRejResponseTo.getValue(), "CANCEL_" + getRejectType(er.CxlRejReason), orderDetails);
}
else if (er.CxlRejResponseTo.getValue() == CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST)
{
// Order modification Rejected reason
// 1 = Broker Option
// 3 = Order already in Pending Cancel or Pending Replace status
string orderDetails = "MODIFY_REJECTED";
Int32 origOrderID = -1;
if (er.IsSetOrigClOrdID())
{
origOrderID = Convert.ToInt32(er.OrigClOrdID.getValue());
}
Orders o = new Orders();
if (er.IsSetEncodedText())
{
orderDetails += " : " + er.EncodedText.getValue();
}
o.FIXResponseCanModRejectHandler(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), origOrderID, er.CxlRejResponseTo.getValue(), "MODIFY_" + getRejectType(er.CxlRejReason), orderDetails);
}
}
else if (msg is QuickFix.FIX42.ExecutionReport)
{
string ordTypeField = msg.GetField(40);
if (ordTypeField == "1")
{
IField field = new DecimalField(44, 0);
msg.SetField(field);
}
QuickFix.FIX42.ExecutionReport er = (QuickFix.FIX42.ExecutionReport)msg;
string orderDetails = Convert.ToString(er.ExecType.getValue()) + "|" + er.OrderQty.getValue() + "|" + er.Price.getValue() + "|" + er.LastShares.getValue() + "|" + er.LastPx.getValue() + "|" + er.CumQty.getValue() + "|" + er.AvgPx.getValue() + "|" + er.OrdType.getValue() + "|";
if (er.IsSetText())
{
orderDetails = orderDetails + er.Text + "|";
}
else
{
orderDetails = orderDetails + "NULL|";
}
logMe("\r\n \r\n" + "Got execution Report - ExecType = " + orderDetails);
Console.WriteLine("\r\n \r\n" + "Got execution Report - ExecType = " + orderDetails);
Orders o = new Orders();
if (er.ExecType.getValue() == ExecType.FILL || er.ExecType.getValue() == ExecType.PARTIAL_FILL)
{
o.FIXResponseHandlerForFill(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), (float)Convert.ToDouble(er.OrderQty.getValue()), (float)Convert.ToDouble(er.LastPx.getValue()), (float)Convert.ToDouble(er.LastShares.getValue()), getExecType(er.ExecType), er.ExecType.getValue());
}
else
{
Int32 origOrderID = -1;
float price = -1;
char orderType = '2';
if (er.IsSetOrigClOrdID())
{
origOrderID = Convert.ToInt32(er.OrigClOrdID.getValue());
}
if (er.IsSetPrice())
{
price = (float)Convert.ToDouble(er.Price.getValue());
}
if (er.IsSetOrdType())
{
orderType = er.OrdType.getValue();
}
//orderid is string since value is too large for int variable
o.FIXResponseHandler(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), origOrderID, er.ExecType.getValue(), getExecType(er.ExecType), orderDetails, price, orderType);
}
}
}
catch (Exception e)
{
Console.WriteLine("exception(FixClient FromAPP) " + e.Message);
}
}
private void OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s)
{
QuickFix.FIX42.ExecutionReport executionReport = new QuickFix.FIX42.ExecutionReport(new OrderID(n.ClOrdID.getValue()), new ExecID(Guid.NewGuid().ToString()), new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.NEW), n.Symbol, n.Side, new LeavesQty(n.OrderQty.getValue()), new CumQty(0), new AvgPx());
Session.SendToTarget(executionReport, s);
}
protected void SendExecutionReport(OrderFixBridge order, string symbol, double execQty, double execPrice, string text)
{
if (order == null) throw new Exception("[QuickFixApp.SendExecutionReport] OrderFixBridge order is null ");
IOrder o = order.Order;
if (o == null) throw new Exception("[QuickFixApp.SendExecutionReport] IOrder is null ");
if (string.IsNullOrEmpty(symbol)) throw new Exception("[QuickFixApp.SendExecutionReport] symbol is empty");
QuickFix.SessionID session = order.OrderSessionID;
if (session == null) throw new Exception("[QuickFixApp.SendExecutionReport] session is null ");
QuickFix.FIX42.ExecutionReport msg = new QuickFix.FIX42.ExecutionReport();
msg.OrderID = new QuickFix.Fields.OrderID(Helper.GetUniqueID("EXECID"));
msg.HandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
msg.Symbol = new QuickFix.Fields.Symbol(symbol);
msg.Side = Converter.c(o.OrderAction);
msg.LeavesQty = new QuickFix.Fields.LeavesQty(Convert.ToDecimal(Math.Max(0,o.Quantity-o.Filled)));
msg.CumQty = new QuickFix.Fields.CumQty(Convert.ToDecimal(o.Filled));
msg.AvgPx = new QuickFix.Fields.AvgPx(Convert.ToDecimal(o.AvgFillPrice));
msg.TransactTime = new QuickFix.Fields.TransactTime(o.Time, true);
msg.Text = new QuickFix.Fields.Text(text);
msg.ExecTransType = new QuickFix.Fields.ExecTransType(QuickFix.Fields.ExecTransType.NEW);
switch (o.OrderState)
{
// pending : ignored
case OrderState.Accepted:
case OrderState.PendingChange:
case OrderState.PendingSubmit:
case OrderState.PendingCancel:
return;
case OrderState.Working:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.NEW);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("NEW"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.NEW);
break;
case OrderState.Cancelled:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.CANCELED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("CANCELED"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.CANCELED);
break;
case OrderState.Filled:
case OrderState.PartFilled:
if (double.IsNaN(execQty)) return;
if (double.IsNaN(execPrice)) return;
bool full = o.OrderState == OrderState.Filled;
msg.OrdStatus = new QuickFix.Fields.OrdStatus(full ? QuickFix.Fields.OrdStatus.FILLED : QuickFix.Fields.OrdStatus.PARTIALLY_FILLED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("EXEC"));
msg.ExecType = new QuickFix.Fields.ExecType(full ? QuickFix.Fields.ExecType.FILL : QuickFix.Fields.ExecType.PARTIAL_FILL);
msg.LastShares = new QuickFix.Fields.LastShares(Convert.ToDecimal(execQty));
msg.LastPx = new QuickFix.Fields.LastPx(Convert.ToDecimal(execPrice));
break;
case OrderState.Rejected:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.REJECTED);
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.REJECTED);
msg.OrigClOrdID = new QuickFix.Fields.OrigClOrdID(order.QuickFixId);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("REJ"));
break;
case OrderState.Unknown:
throw new Exception("[QuickFixApp.SendExecutionReport] IOrder should not have unknown status at this point !");
}
QuickFix.Session.SendToTarget(msg, session);
}
public void OnMessage(QuickFix.FIX42.ExecutionReport m, SessionID s)
{
Console.WriteLine("Received execution report");
}