public override void onMessage(QuickFix40.NewOrderSingle order, SessionID sessionID)
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get(ordType);
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.getField());
}
order.get(symbol);
order.get(side);
order.get(orderQty);
order.get(price);
order.get(clOrdID);
QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport
(genOrderID(),
genExecID(),
new ExecTransType(ExecTransType.NEW),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
orderQty,
new LastShares(orderQty.getValue()),
new LastPx(price.getValue()),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
executionReport.set(clOrdID);
if (order.isSetAccount())
{
executionReport.set(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
public override void onMessage( QuickFix40.NewOrderSingle order, SessionID sessionID )
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get( ordType );
if ( ordType.getValue() != OrdType.LIMIT )
throw new IncorrectTagValue( ordType.getField() );
order.get( symbol );
order.get( side );
order.get( orderQty );
order.get( price );
order.get( clOrdID );
QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new OrdStatus ( OrdStatus.FILLED ),
symbol,
side,
orderQty,
new LastShares ( orderQty.getValue() ),
new LastPx ( price.getValue() ),
new CumQty ( orderQty.getValue() ),
new AvgPx ( price.getValue() ) );
executionReport.set( clOrdID );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
