/// <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);
}
/// <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.OrdStatus.getValue() == FixCommon.Constants.FixOrderStatus.Filled
? Constants.ExecutionType.Fill
: Constants.ExecutionType.Partial,
ExecutionId = executionReport.ExecID.getValue(),
ExecutionPrice = Convert.ToDecimal(executionReport.AvgPx.getValue(), CultureInfo.InvariantCulture),
ExecutionSize =
Convert.ToInt32(executionReport.CumQty.getValue(), CultureInfo.InvariantCulture) -
Convert.ToInt32(executionReport.LeavesQty.getValue(), CultureInfo.InvariantCulture),
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 m, SessionID s)
{
_mainform._addMsg("Received execution report (4.2)\r\n");
string msg = "Order Dump Begin =======================\r\n";
msg += "\r\n";
msg += "OrdemInfo:\r\n";
msg += "==========\r\n";
msg += "Account .........: " + m.Account.getValue() + "\r\n";
msg += "Numero da ordem .: " + m.ClOrdID.getValue() + "\r\n";
msg += "Symbol ..........: " + m.Symbol.getValue() + "\r\n";
msg += "ExchangeNumber ..: " + m.OrderID.getValue() + "\r\n";
msg += "Status ..........: " + m.OrdStatus.getValue() + "\r\n";
msg += "Status ..........: " + FixMessageUtilities.TraduzirOrdemStatus(m.OrdStatus.getValue()) + "\r\n";
msg += "Quantidade ......: " + m.OrderQty.getValue() + "\r\n";
msg += "Qtde restante ...: " + (m.OrderQty.getValue() - m.CumQty.getValue()) + "\r\n";
if (m.IsSetLastPx())
{
msg += "Preco ...........: " + m.LastPx.getValue() + "\r\n";
}
if (m.IsSetText())
{
msg += "Text ............: [" + m.Text.getValue() + "]\r\n";
}
if (m.IsSetField(5149))
{
msg += "Memo5149 ........: " + m.GetString(5149) + "\r\n";
}
msg += "\r\n";
msg += "\r\nOrder Dump End =========================\r\n";
_mainform._addMsg(msg);
}
/// <summary>
/// Execution Report
/// </summary>
/// <param name="message"></param>
/// <param name="sessionID"></param>
private void OnMessage(QuickFix.FIX42.ExecutionReport message, SessionID sessionID)
{
try
{
if (Logger.IsDebugEnabled)
{
Logger.Debug(
"Execution Report, OrderId=" + message.ClOrdID.getValue() + ", Exec Type=" +
message.ExecType.getValue(), _type.FullName, "OnMessage");
}
Order getOrder =
(from order in _orders where order.OrderID == message.ClOrdID.getValue() select order)
.FirstOrDefault();
switch (message.ExecType.getValue())
{
case ExecType.NEW:
if (getOrder != null)
{
if (NewArrived != null)
{
NewArrived((Order)getOrder.Clone());
}
}
break;
case ExecType.REJECTED:
if (getOrder != null)
{
Rejection rejection = new Rejection(getOrder.Security, getOrder.OrderExecutionProvider,
message.TransactTime.getValue());
rejection.OrderId = getOrder.OrderID;
if (OrderRejectionArrived != null)
{
OrderRejectionArrived(rejection);
}
}
break;
case ExecType.CANCELED:
if (getOrder != null)
{
if (CancellationArrived != null)
{
CancellationArrived((Order)getOrder.Clone());
}
_orders.Remove(getOrder);
}
break;
case ExecType.PARTIAL_FILL:
if (getOrder != null)
{
Fill fill = new Fill(new Security()
{
Symbol = message.Symbol.getValue()
},
getOrder.OrderExecutionProvider, getOrder.OrderID);
fill.ExecutionId = message.ExecID.getValue();
fill.ExecutionType = ExecutionType.Partial;
fill.LeavesQuantity = Convert.ToInt32(message.LeavesQty.getValue());
fill.CummalativeQuantity = Convert.ToInt32(message.CumQty.getValue());
fill.ExecutionSize = Convert.ToInt32(message.LastShares.getValue());
fill.AverageExecutionPrice = Convert.ToInt32(message.AvgPx.getValue());
fill.ExecutionPrice = message.LastPx.getValue();
fill.ExecutionDateTime = message.TransactTime.getValue();
fill.ExecutionSide = getOrder.OrderSide;
Order orderClone = (Order)getOrder.Clone();
orderClone.OrderStatus = OrderStatus.PARTIALLY_EXECUTED;
Execution execution = new Execution(fill, orderClone);
execution.OrderExecutionProvider = _provider;
if (ExecutionArrived != null)
{
ExecutionArrived(execution);
}
}
break;
case ExecType.FILL:
if (getOrder != null)
{
Fill fill = new Fill(new Security()
{
Symbol = message.Symbol.getValue()
},
getOrder.OrderExecutionProvider, getOrder.OrderID);
fill.ExecutionId = message.ExecID.getValue();
fill.ExecutionType = ExecutionType.Fill;
fill.LeavesQuantity = Convert.ToInt32(message.LeavesQty.getValue());
fill.CummalativeQuantity = Convert.ToInt32(message.CumQty.getValue());
fill.ExecutionSize = Convert.ToInt32(message.LastShares.getValue());
fill.AverageExecutionPrice = Convert.ToInt32(message.AvgPx.getValue());
fill.ExecutionPrice = message.LastPx.getValue();
fill.ExecutionDateTime = message.TransactTime.getValue();
fill.ExecutionSide = getOrder.OrderSide;
Order orderClone = (Order)getOrder.Clone();
orderClone.OrderStatus = OrderStatus.EXECUTED;
Execution execution = new Execution(fill, orderClone);
execution.OrderExecutionProvider = _provider;
if (ExecutionArrived != null)
{
ExecutionArrived(execution);
}
_orders.Remove(getOrder);
}
break;
}
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "OnMessage");
}
}
/// <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 '2': // Currenex has its own Trade Tag
{
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");
}
}
