public void UnwrapMessage_AsMsgType_Ok_Sandbox()
{
// arrange
var jsonFixMsg = new JsonFixMessageReceived
{
localPseudoHeader = "myPseudoHeader",
messageTypeCode35 = "D",
rawFixPayload = "8=FIX.4.2\u00019=00\u000135=D\u000149=Sender\u000156=Target\u000134=0\u000152=99990909-17:17:17.777\u000154=1\u000155=ABC\u000111=BUY000000001\u000138=1000\u000140=2\u000144=1001.000\u000159=3\u0001117=A001\u000146=A001\u000110=000\u0001"
};
// act
QuickFix.Message fixMsg = _jsonFixWrapper.Unwrap(jsonFixMsg);
// QuickFix.FIX42.NewOrderSingle newOrderD = new QuickFix.FIX42.NewOrderSingle();
QuickFix.FIX42.NewOrderSingle newOrderD = _jsonFixWrapper.UnwrapAsType <NewOrderSingle>(jsonFixMsg);
// issue how to downcast
// assert
var expectedTicker = "ABC";
var expectedTarget = "Target";
var actualTarget = newOrderD.Header.GetField(new QuickFix.Fields.TargetCompID()).getValue();
var actualTicker = newOrderD.Header.GetField(new QuickFix.Fields.Symbol()).getValue();
Assert.Equal(expectedTicker, actualTicker);
Assert.Equal(expectedTarget, actualTarget);
}
public bool DummyTest()
{
try
{
QuickFix.FIX42.NewOrderSingle nos42 = new QuickFix.FIX42.NewOrderSingle();
nos42.SetField(new Account("319400"));
nos42.SetField(new OrderQty(1M));
nos42.SetField(new OrdType('1'));
nos42.SetField(new ClOrdID(DateTime.Now.ToString("hhMMss")));
nos42.SetField(new Currency("BRL"));
nos42.SetField(new SecurityID("B7XL5Q9"));
nos42.SetField(new HandlInst('1'));
nos42.SetField(new IDSource("2"));
nos42.SetField(new Side('1'));
nos42.SetField(new Symbol("OIBR4F"));
nos42.SetField(new SecurityExchange("BZ"));
nos42.SetField(new TimeInForce('1'));
nos42.SetField(new TransactTime(DateTime.Now));
bool bRet = Session.SendToTarget(nos42, _session.SessionID);
return(bRet);
}
catch
{
return(false);
}
}
public void OnMessage(QuickFix.FIX42.NewOrderSingle order, SessionID sessionId)
{
Console.WriteLine("ClOrdID: {0}", order.ClOrdID);
Console.WriteLine("HandlInst: {0}", order.HandlInst);
Console.WriteLine("Symbol: {0}", order.Symbol);
Console.WriteLine("Side: {0}", order.Side);
Console.WriteLine("TransactTime: {0}", order.TransactTime);
Console.WriteLine("OrdType: {0}", order.OrdType);
Console.WriteLine("Amount: {0}", order.OrderQty);
//Console.WriteLine("Duration: {0}", order.); // Duration???
Console.WriteLine("Price: {0}", order.Price);
//Console.WriteLine("Limit Price: {0}", order.StopPx);
//Console.WriteLine("Notes: {0}", order.); // Notes???
}
public QuickFix.FIX42.NewOrderSingle NewOrderSingle()
{
var order = new QuickFix.FIX42.NewOrderSingle(
new ClOrdID("1234"),
new HandlInst('1'),
new Symbol("ZVZZT"),
new Side(Side.BUY),
new TransactTime(DateTime.Now),
new OrdType(OrdType.MARKET)
);
order.Price = new Price(new decimal(25.05));
order.Account = new Account("123456789");
order.OrderQty = new OrderQty(new decimal(500));
//order.StopPx = new StopPx(new decimal(28.00));
return(order);
}
public void WrapMessage_Ok()
{
// get fixMessage
// wrap into jsonfix
// assert on jsonfix order
var orderQty = 10m;
var ticker = "AAPL";
var clientOrderId = "0001";
var handlingInst = "";
var transactTime = new DateTime(2018, 10, 13).Date;
// arrange
var fm = new QuickFix.FIX42.NewOrderSingle(
new QuickFix.Fields.ClOrdID(clientOrderId),
new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION),
new QuickFix.Fields.Symbol(ticker),
new QuickFix.Fields.Side(QuickFix.Fields.Side.BUY),
new QuickFix.Fields.TransactTime(transactTime),
new QuickFix.Fields.OrdType(QuickFix.Fields.OrdType.MARKET)
);
fm.SetField(new QuickFix.Fields.OrderQty(orderQty));
// dbg
Console.WriteLine($"fix message fm: {fm.ToString()}");
// act
var jsonFixMsg = _jsonFixWrapper.Wrap(fm, "myHeaderInfo");
// assert
var rawfix = jsonFixMsg.rawFixPayload;
Assert.False(string.IsNullOrEmpty(rawfix));
var separator = _jsonFixWrapper.GetSeparator();
var byParts = rawfix.Split(separator).ToList();
var symbolPart = byParts.FirstOrDefault(x => x.StartsWith("55"));
Assert.True(symbolPart.EndsWith(ticker));
Assert.Equal("myHeaderInfo", jsonFixMsg.localPseudoHeader);
}
// public bool EnviarOrdemCross(OrdemCrossInfo info) { return false; }
public bool EnviarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, int delay = 0, string mnemonic = "", string senderSubID = "", string extraTags = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.NewOrderSingle ordersingle = new QuickFix.FIX42.NewOrderSingle();
ordersingle.Set(new Account(ordem.Account.ToString()));
if (!string.IsNullOrEmpty(mnemonic))
{
ordersingle.SetField(new Account(mnemonic), true);
}
if (!string.IsNullOrEmpty(senderSubID))
{
ordersingle.Header.SetField(new SenderSubID(senderSubID));
}
ordersingle.Set(new Symbol(ordem.Symbol));
ordersingle.Set(new ClOrdID(ordem.ClOrdID));
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordersingle.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordersingle.Set(new Side(Side.SELL));
}
else
{
ordersingle.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordersingle.Set(tif);
}
ordersingle.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordersingle.Set(ordType);
}
// Para versao 4.2, os novos tipos de OrdType a serem enviados (5, A ou B);
if (!string.IsNullOrEmpty(ordem.Memo5149))
{
ordersingle.SetField(new OrdType(Convert.ToChar(ordem.Memo5149)), true);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopLimitada:
case OrdemTipoEnum.StopStart:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
default:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordersingle.Set(new TransactTime(DateTime.Now));
ordersingle.Set(new HandlInst('1'));
ordersingle.Set(new ExecBroker("227"));
if (ordem.MaxFloor > 0)
{
ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
// Tags Customizadas Bloomberg
if (!string.IsNullOrEmpty(extraTags))
{
string[] arr = extraTags.Split(';');
for (int i = 0; i < arr.Length; i++)
{
if (!string.IsNullOrEmpty(arr[i]))
{
string [] valor = arr[i].Split('=');
StringField fld = new StringField(Convert.ToInt32(valor[0]), valor[1]);
ordersingle.SetField(fld);
}
}
}
QuickFix.FIX42.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.NewOrderSingle.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount("67"));
ordersingle.AddGroup(noAllocsGrp);
bool bRet = false;
if (ini == 0)
{
bRet = Session.SendToTarget(ordersingle, _session.SessionID);
}
else
{
long times = fim - ini;
logger.Info("=====================================> INICIO ========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
ordersingle.ClOrdID = xx;
bRet = Session.SendToTarget(ordersingle, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
}
logger.Info("=====================================> FIM ========> Qtd: " + times);
}
return(bRet);
}
public void Run()
{
QuickFix.FIX42.NewOrderSingle order = NewOrderSingle();
order.Header.GetField(Tags.BeginString);
SendMessage(order);
}
/// <summary>
/// Creates a FIX4.2 NewOrderSingle message for Currenex
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX42.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract);
newOrderSingle.SetField(securityType);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
newOrderSingle.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
newOrderSingle.Set(new Side(Side.SELL));
}
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var minQty = new QuickFix.Fields.MinQty(order.OrderSize);
newOrderSingle.SetField(minQty);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType('F'));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType('C'));
}
//if (order.OrderSize != order.OrderSizeToShow)
//{
// var maxShow = new QuickFix.Fields.MaxShow(order.OrderSizeToShow);
// newOrderSingle.SetField(maxShow);
//}
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION);
newOrderSingle.SetField(execInst);
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
return(newOrderSingle);
}
public bool EnviarOrdem(OrdemInfo ordem)
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.NewOrderSingle ordersingle = new QuickFix.FIX42.NewOrderSingle();
ordersingle.Set(new Account(ordem.Account.ToString()));
ordersingle.Set(new Symbol(ordem.Symbol));
ordersingle.Set(new ClOrdID(ordem.ClOrdID));
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordersingle.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordersingle.Set(new Side(Side.SELL));
}
else
{
ordersingle.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordersingle.Set(tif);
}
ordersingle.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordersingle.Set(ordType);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
case OrdemTipoEnum.StopLimitada:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopStart:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
default:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordersingle.Set(new TransactTime(DateTime.Now));
ordersingle.Set(new HandlInst('1'));
ordersingle.Set(new ExecBroker("227"));
if (ordem.MaxFloor > 0)
{
ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
QuickFix.FIX42.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.NewOrderSingle.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount("67"));
ordersingle.AddGroup(noAllocsGrp);
bool bRet = Session.SendToTarget(ordersingle, _session.SessionID);
return(bRet);
}
