public void RenderOrderAsFix(out QuickFix.Message myNOS, out KaiTrade.Interfaces.Message myMsg, out string myDriverCode, KaiTrade.Interfaces.Order myOrder)
{
try
{
lock (this)
{
// do not actually submit triggered orders
// register the order as a publisher
KaiTrade.Interfaces.Publisher myPub = null;
myPub = AppFactory.Instance().GetPublisherManager().GetPublisher(myOrder.Identity);
if (myPub == null)
{
myPub = myOrder as KaiTrade.Interfaces.Publisher;
AppFactory.Instance().GetPublisherManager().Add(myPub);
}
// Check the limits for the order
string myTextErr;
if (LimitChecker.Instance().BreaksLimits(out myTextErr, myOrder))
{
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = "order failed order qty limit test";
Exception myE = new Exception("process order failed order qty limit test");
throw myE;
}
// Create the FIX order message
myNOS = new QuickFix.Message();
// pending new at this stage
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.PENDING_NEW);
myOrder.TransactTime = new QuickFix.TransactTime(DateTime.Now.ToUniversalTime());
myNOS.setField(myOrder.TransactTime);
//myOrder.ClOrdID = new QuickFix.ClOrdID(KaiUtil.Identities.Instance.genReqID());
// Associate the CLOrdID with this order
AppFactory.Instance().GetOrderManager().AssociateClOrdID(myOrder.ClOrdID.getValue(), myOrder);
// Set fix version
QuickFix.BeginString myBeginString = new QuickFix.BeginString("FIX.4.4");
myNOS.getHeader().setField(myBeginString);
// Set order message type
QuickFix.MsgType msgType = new QuickFix.MsgType();
msgType.setValue("D");
myNOS.getHeader().setField(msgType);
myNOS.setField(myOrder.ClOrdID);
// set up the product details in the message
myOrder.Product.Set(myNOS);
// Qty
myNOS.setField(myOrder.OrderQty);
// MaxFloor
if (myOrder.MaxFloor != null)
{
myNOS.setField(myOrder.MaxFloor);
}
// set the side
myNOS.setField(myOrder.Side);
// set the order type
myNOS.setField(myOrder.OrdType);
// Time in force
if (myOrder.TimeInForce != null)
{
myNOS.setField(myOrder.TimeInForce);
}
else
{
myOrder.TimeInForce = new QuickFix.TimeInForce(QuickFix.TimeInForce.DAY);
myNOS.setField(myOrder.TimeInForce);
}
// Validation - check they entered a date/time if needed
switch (myOrder.TimeInForce.getValue())
{
case QuickFix.TimeInForce.GOOD_TILL_DATE:
break;
default:
break;
}
// do not add the price to the fix message on Market orders
if (myOrder.OrdType.getValue() != QuickFix.OrdType.MARKET)
{
if (myOrder.Price.getValue() > 0)
{
myNOS.setField(myOrder.Price);
}
else
{
throw new Exception("Must specify price > 0 on Limit and other non Market orders");
}
}
if (myOrder.StopPx != null)
{
myNOS.setField(myOrder.StopPx);
}
// default the handlInst to automated
if (myOrder.HandlInst != null)
{
myNOS.setField(myOrder.HandlInst);
}
else
{
myOrder.HandlInst = new QuickFix.HandlInst(QuickFix.HandlInst.AUTOEXECPUB);
myNOS.setField(myOrder.HandlInst);
}
// Create the message wrapper used to send the order to the driver
myMsg = new KaiTCPComm.KaiMessageWrap();
myMsg.Label = "D";
myDriverCode = "";
// A trade venue must be specified on the order
KaiTrade.Interfaces.Venue myVenue = null;
if (myOrder.Product.TradeVenue.Length > 0)
{
// get the driver code and session details from the venue manager
myVenue = AppFactory.Instance().GetVenueManager().GetVenue(myOrder.Product.TradeVenue);
if (myVenue != null)
{
myDriverCode = myVenue.DriverCode;
if (myVenue.TargetVenue.Length > 0)
{
myMsg.VenueCode = myVenue.TargetVenue;
}
if (myVenue.BeginString.Length > 0)
{
// this is the FIX version the server wants, we convert between
// versions in the FIX client
myMsg.Format = myVenue.BeginString;
}
if (myVenue.SID.Length > 0)
{
QuickFix.SenderCompID mySID = new QuickFix.SenderCompID(myVenue.SID);
myNOS.getHeader().setField(mySID);
myMsg.ClientID = myVenue.SID;
}
if (myVenue.TID.Length > 0)
{
QuickFix.TargetCompID myTID = new QuickFix.TargetCompID(myVenue.TID);
myNOS.getHeader().setField(myTID);
myMsg.TargetID = myVenue.TID;
}
}
else
{
string myErr = "Invalid Venue Code:" + myOrder.Product.TradeVenue;
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
}
else
{
string myErr = "No Venue Code specified on product:";
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
// process any venue field bags - do this prior to the order bags
// to allow the order setting to override the venues
List<KaiTrade.Interfaces.Field> myFieldBag;
KTAFacade.Instance().SetBag(out myFieldBag, myVenue.NOSBag, ",");
foreach (KaiTrade.Interfaces.Field myField in myFieldBag)
{
try
{
myNOS.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("NOS Extra tags from venue error:", myE);
}
}
// process any additional tags for the order
foreach (KaiTrade.Interfaces.Field myField in myOrder.NOSBag)
{
try
{
myNOS.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("NOS Extra tags error:", myE);
}
}
// additional setting placed here will override the
// fields in the bags
if (myOrder.Account != null)
{
if (myOrder.Account.getValue().Length > 0)
{
myNOS.setField(myOrder.Account);
}
}
QuickFix.TargetStrategyParameters targetStrategyParameters = new QuickFix.TargetStrategyParameters(myOrder.StrategyName);
myNOS.setField(targetStrategyParameters);
// Process any strategy parameters
if (myOrder.K2Parameters.Count > 0)
{
QuickFix.NoStrategyParameters noStratParms = new QuickFix.NoStrategyParameters(myOrder.K2Parameters.Count);
myNOS.setField(noStratParms);
QuickFix50Sp2.NewOrderSingle.NoStrategyParameters group = new QuickFix50Sp2.NewOrderSingle.NoStrategyParameters();
QuickFix.StrategyParameterName strategyParameterName;
QuickFix.StrategyParameterType strategyParameterType;
QuickFix.StrategyParameterValue strategyParameterValue;
foreach (KaiTrade.Interfaces.K2Parameter param in myOrder.K2Parameters)
{
strategyParameterName = new QuickFix.StrategyParameterName(param.ParameterName);
group.setField(strategyParameterName);
strategyParameterType = new QuickFix.StrategyParameterType((int)param.ParameterType);
group.setField(strategyParameterType);
strategyParameterValue = new QuickFix.StrategyParameterValue(param.ParameterValue);
group.setField(strategyParameterValue);
myNOS.addGroup(group);
}
}
// Set the FIX string as message data
myMsg.Data = myNOS.ToString();
// inform order manager clients that the order has changed
AppFactory.Instance().GetOrderManager().SetChanged(myOrder.Identity);
}
}
catch (Exception myE)
{
m_Log.Error("RenderOrderAsFix:", myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = myE.Message;
// inform order manager clients that the order has changed
AppFactory.Instance().GetOrderManager().SetChanged(myOrder.Identity);
throw (myE);
}
}