public QuickFix42.NewOrderSingle sendKnightMarketOrder(string OrderID, string route, string symbol)
{
//int id = rand.Next(100000000, 200000000);
//limitID = "t" + id.ToString();
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(OrderID), new HandlInst('1'), new Symbol(symbol), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
//Additional required Fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
//RMG Routing
msg2.setField(57, route);
if (route.Contains("ALGO"))
{
msg2.setField(9102, "T");
}
else
{
msg2.setField(9102, "X");
}
//msg2.setField(6210, "0");
//Session.sendToTarget(msg2, oKnightSessionID);
return(msg2);
}
public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0, 6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
{
order.set(new QuickFix.Price(Order.Price));
}
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
{
order.set(new QuickFix.StopPx(Order.StopPx));
}
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}
public QuickFix42.NewOrderSingle SendKnightMarketOrder(string orderId, string route, string symbol)
{
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(orderId), new HandlInst('1'), new Symbol(symbol), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
//Additional required Fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
msg2.setField(57, route);
msg2.setField(9102, route.Contains("ALGO") ? "T" : "X");
return(msg2);
}
public QuickFix42.NewOrderSingle SendKnightMarketOrder(string orderId)
{
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(orderId), new HandlInst('1'), new Symbol("BAC"), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
//Additional required Fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
//RMG Routing
msg2.setField(57, "ALGO1");
msg2.setField(9102, "T");
Handler.Add(msg2);
return(msg2);
}
public QuickFix42.NewOrderSingle SendMarketOrder(string clOrdId, string symbol, int qty, string side, string route, string clientid, string channel = "X")
{
Side sd = new Side(Side.BUY);
LocateReqd lReqd = new LocateReqd(true);
bool isLocateReqd = false;
if (side.Equals("B") || side.Equals("b") || side.Equals("buy") || side.Equals("BUY"))
{
sd = new Side(Side.BUY);
}
else if (side.Equals("S") || side.Equals("s") || side.Equals("sell") || side.Equals("SELL"))
{
sd = new Side(Side.SELL);
}
else if (side.Equals("SS") || side.Equals("ss") || side.Equals("ssell") || side.Equals("SSELL") || side.Equals("SHORT") || side.Equals("short"))
{
sd = new Side(Side.SELL_SHORT);
isLocateReqd = true;
}
QuickFix42.NewOrderSingle msg = new QuickFix42.NewOrderSingle(new ClOrdID(clOrdId), new HandlInst('1'), new Symbol(symbol), sd, new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
if (isLocateReqd)
{
msg.set(lReqd);
}
msg.set(new OrderQty(qty));
msg.set(new Account("54321"));
msg.set(new TimeInForce(TimeInForce.DAY));
msg.setField(57, route);
// msg.setField(50, route);
msg.setField(9102, channel);
if (route.Equals("JPMVWAP") || route.Equals("RAVAT") || route.Equals("TWAPJP") || route.Equals("MISMTW") || route.Equals("SGMISMTW"))
{
msg.setField(6203, DateTime.UtcNow.ToString());
msg.setField(6205, DateTime.UtcNow.Add(new TimeSpan(0, 5, 0)).ToString());
}
Handler.Add(msg);
return(msg);
}
public QuickFix42.NewOrderSingle SendKnightLimitOrder(string orderId, ref string limitId, double price)
{
limitId = orderId;
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(orderId), new HandlInst('1'), new Symbol("BAC"), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.LIMIT));
//additional required fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
Price p = new Price(price);
msg2.set(p);
//For RMG Routing
msg2.setField(57, "ALGO1");
msg2.setField(9102, "T");
//Session.sendToTarget(msg2, oKnightSessionID);
return(msg2);
}
public QuickFix42.NewOrderSingle SendLimitOrder(string clOrdId, string symbol, int qty, string side, double price, string route = "NEFAN", string channel = "X")
{
Side sd = new Side(Side.BUY);
LocateReqd lReqd = new LocateReqd(true);
bool isLocateReqd = false;
if (side.Equals("B") || side.Equals("b") || side.Equals("buy") || side.Equals("BUY"))
{
sd = new Side(Side.BUY);
}
else if (side.Equals("S") || side.Equals("s") || side.Equals("sell") || side.Equals("SELL"))
{
sd = new Side(Side.SELL);
}
else if (side.Equals("SS") || side.Equals("ss") || side.Equals("ssell") || side.Equals("SSELL") || side.Equals("SHORT") || side.Equals("short"))
{
sd = new Side(Side.SELL_SHORT);
isLocateReqd = true;
}
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(clOrdId), new HandlInst('1'), new Symbol(symbol), sd, new TransactTime(DateTime.UtcNow), new OrdType(OrdType.LIMIT));
//additional required fields
if (isLocateReqd)
{
msg2.set(lReqd);
}
msg2.set(new OrderQty(qty));
msg2.set(new Account("12345"));
msg2.set(new TimeInForce(TimeInForce.DAY));
msg2.set(new Price(price));
//For RMG Routing
msg2.setField(57, route);
msg2.setField(9102, channel);
Handler.Add(msg2);
return(msg2);
}
public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0,6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
order.set(new QuickFix.Price(Order.Price));
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
order.set(new QuickFix.StopPx(Order.StopPx));
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}
