public Message CreateFillReport(OrderMatch match, string execID)
{
var symbol = new Symbol(match.Contract.Symbol);
var exReport = new ExecutionReport(
new OrderID(match.OrderID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(match.MatchType == MatchType.Full
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(match.MatchType == MatchType.Full
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
symbol,
TranslateFixFields.Translate(match.MarketSide),
new LeavesQty(match.RemainingQuantity),
new CumQty(match.OriginalOrderQuantity - match.RemainingQuantity),
new AvgPx(match.Price))
{
ClOrdID = new ClOrdID(match.ClOrdID),
Symbol = symbol,
OrderQty = new OrderQty(match.OriginalOrderQuantity),
LastQty = new LastQty(match.MatchedQuantity),
LastPx = new LastPx(match.Price)
};
if (TradingAccount.IsSet(match.Account))
exReport.SetField(new Account(match.Account.Name));
return exReport;
}
public Message CreateNewOrderExecutionReport(IOrder o, string execID)
{
var symbol = new Symbol(o.Contract.Symbol);
var exReport = new ExecutionReport(
new OrderID(o.ID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(ExecType.NEW),
new OrdStatus(OrdStatus.NEW),
symbol,
TranslateFixFields.Translate(o.MarketSide),
new LeavesQty(o.Quantity),
new CumQty(0m),
new AvgPx(o.Price))
{
ClOrdID = new ClOrdID(o.ClOrdID),
Symbol = symbol,
OrderQty = new OrderQty(o.Quantity),
LastQty = new LastQty(0m)
};
//exReport.Set(new LastPx(o.Price));
if (TradingAccount.IsSet(o.Account))
exReport.SetField(new Account(o.Account.Name));
return exReport;
}
public static ExecutionReport CreateRejectNewOrderExecutionReport(
NewOrderSingle n,
string execID,
string rejectionReason,
int? rejectionCode = null)
{
var exReport = new ExecutionReport(
new OrderID("unknown orderID"),
new ExecID(execID),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.REJECTED),
new OrdStatus(OrdStatus.REJECTED),
n.Symbol,
n.Side,
new LeavesQty(0m),
new CumQty(0m),
new AvgPx(0m));
if (rejectionCode.HasValue)
{
exReport.OrdRejReason = new OrdRejReason(rejectionCode.Value);
}
exReport.Set(n.ClOrdID);
exReport.Set(n.OrderQty);
if (n.IsSetAccount())
exReport.SetField(n.Account);
return exReport;
}
public Order OnExecutionReport(ExecutionReport report)
{
var order = this.orders[report.OrderId];
if (order == null)
return null;
report.Order = order;
order.OnExecutionReport(report);
return order;
}
internal ExecutionReportViewItem(ExecutionReport report)
{
Report = report;
ImageIndex = 1;
var priceFormat = report.Instrument.PriceFormat;
SubItems[0].Text = report.DateTime.ToString();
SubItems.AddRange(new[]
{
string.Empty, report.ExecType.ToString(), report.OrdStatus.ToString(),
report.Side.ToString(), report.OrdType.ToString(), report.Price.ToString(priceFormat),
report.StopPx.ToString(priceFormat),
report.OrdQty.ToString(), report.CumQty.ToString(), report.LeavesQty.ToString(),
report.LastQty.ToString(), report.LastPx.ToString(priceFormat), report.Text
});
}
/// <summary>
/// Converts an FXCM order to a QuantConnect order.
/// </summary>
/// <param name="fxcmOrder">The FXCM order</param>
private Order ConvertOrder(ExecutionReport fxcmOrder)
{
Order order;
if (fxcmOrder.getOrdType() == OrdTypeFactory.LIMIT)
{
order = new LimitOrder
{
LimitPrice = Convert.ToDecimal(fxcmOrder.getPrice())
};
}
else if (fxcmOrder.getOrdType() == OrdTypeFactory.MARKET)
{
order = new MarketOrder();
}
else if (fxcmOrder.getOrdType() == OrdTypeFactory.STOP)
{
order = new StopMarketOrder
{
StopPrice = Convert.ToDecimal(fxcmOrder.getPrice())
};
}
else
{
throw new NotSupportedException("FxcmBrokerage.ConvertOrder(): The FXCM order type " + fxcmOrder.getOrdType() + " is not supported.");
}
var securityType = _symbolMapper.GetBrokerageSecurityType(fxcmOrder.getInstrument().getSymbol());
order.Symbol = _symbolMapper.GetLeanSymbol(fxcmOrder.getInstrument().getSymbol(), securityType, Market.FXCM);
order.Quantity = Convert.ToInt32(fxcmOrder.getOrderQty() * (fxcmOrder.getSide() == SideFactory.BUY ? +1 : -1));
order.Status = ConvertOrderStatus(fxcmOrder.getFXCMOrdStatus());
order.BrokerId.Add(fxcmOrder.getOrderID());
order.Duration = ConvertDuration(fxcmOrder.getTimeInForce());
order.Time = FromJavaDate(fxcmOrder.getTransactTime().toDate());
return order;
}
public ExecutionReport(ExecutionReport report)
{
this.DateTime = report.DateTime;
this.Instrument = report.Instrument;
this.Order = report.Order;
this.CurrencyId = report.CurrencyId;
this.ExecType = report.ExecType;
this.OrdType = report.OrdType;
this.Side = report.Side;
this.TimeInForce = report.TimeInForce;
this.OrdStatus = report.OrdStatus;
this.LastPx = report.LastPx;
this.AvgPx = report.AvgPx;
this.OrdQty = report.OrdQty;
this.CumQty = report.CumQty;
this.LastQty = report.LastQty;
this.LeavesQty = report.LeavesQty;
this.Price = report.Price;
this.StopPx = report.StopPx;
this.Commission = report.Commission;
this.Text = report.Text;
}
public virtual void onMessage(ExecutionReport message, QuickFix.SessionID session)
{
throw new QuickFix.UnsupportedMessageType();
}
public Task ExternalOrder(ExecutionReport trade)
{
return(TryProduceMessageAsync(_settings.RabbitMqQueues.ExternalOrder.ExchangeName, trade));
}
public virtual void onExecutionReport(ExecutionReport report)
{
if (SwigDerivedClassHasMethod("onExecutionReport", swigMethodTypes3))
{
ContextModulePINVOKE.Application_onExecutionReportSwigExplicitApplication(swigCPtr, ExecutionReport.getCPtr(report));
}
else
{
ContextModulePINVOKE.Application_onExecutionReport(swigCPtr, ExecutionReport.getCPtr(report));
}
if (ContextModulePINVOKE.SWIGPendingException.Pending)
{
throw ContextModulePINVOKE.SWIGPendingException.Retrieve();
}
}
private bool _er_Update(ExecutionReport er, FixOrderStatus ordS, string desc, string bolsa)
{
try
{
int account;
if (bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
string acc = er.Account.getValue();
acc = (acc.Remove(acc.Length - 1));
account = Convert.ToInt32(acc);
}
else
{
account = Convert.ToInt32(er.Account.getValue());
}
// Buscar Ordem Original, de algum jeito!!!
// 1a. tentativa: Tentar via ExchangeNumber
// 2a. tentativa: Tentar via ClOrdID e OrigClOrdID
// 3a. tentativa: Tentar via ClOrdID no tb_fix_order_update e buscar a ordem pelo OrderID
// 4a. tentativa: ahhh foda-se, nao achou mesmo
OrderDbInfo orderOrig = null;
// 1a. tentativa
if (er.IsSetOrderID() && !er.OrderID.getValue().Equals("NONE"))
{
orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
}
// 2a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
// Se ordem nao encontrada, entao procurar pelo OrigClOrdID
if (er.IsSetOrigClOrdID())
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.OrigClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
else
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
}
}
else
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
}
}
// 3a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
// Buscar a partir de tb_fix_order_update
OrderDbUpdateInfo orderUpdate = _db.BuscarOrdemUpdate(er.ClOrdID.getValue());
// Buscar ordem original a partir do order ID
if (orderUpdate.OrderID != 0)
{
orderOrig = _db.BuscarOrdemPorOrderID(orderUpdate.OrderID);
}
else
{
logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
}
if (null == orderOrig || orderOrig.OrderID == 0)
{
logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
//}
//else
//{
// orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
// if (orderOrig.OrderID == 0)
// {
// logger.Info("ER - Nao achou a ordem em questao via exchange number (OrderID ER)!!!: " + er.OrderID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
// }
// }
// Adicionar OrdemDetalhe
OrderDbDetalheInfo detail = new OrderDbDetalheInfo();
detail.OrderID = orderOrig.OrderID;
detail.TransactID = er.ExecID.getValue();
detail.OrderQty = Convert.ToInt32(er.OrderQty.getValue());
detail.Price = er.IsSetField(Tags.Price) ? er.Price.getValue() : Decimal.Zero;
detail.OrderStatusID = (int)ordS;
detail.TransactTime = er.TransactTime.getValue();
if (er.IsSetField(Tags.Text))
{
detail.Description = desc + " - " + er.Text.getValue();
}
else
{
detail.Description = desc;
}
detail.TradeQty = er.IsSetField(Tags.LastQty) ? Convert.ToInt32(er.LastQty.getValue()) : 0;
detail.CumQty = er.IsSetField(Tags.CumQty) ? Convert.ToInt32(er.CumQty.getValue()) : 0;
detail.FixMsgSeqNum = Convert.ToInt32(er.Header.GetField(Tags.MsgSeqNum));
if (!_db.InserirOrdemDetalhe(detail, orderOrig.ClOrdID))
{
logger.Info("Erro ao inserir o registro na tabela tb_fix_order_update");
return(false);
}
// Atualizar Ordem
orderOrig.ExchangeNumberID = er.OrderID.getValue();
orderOrig.OrdStatus = (int)ordS;
orderOrig.TransactTime = er.TransactTime.getValue();
// orderOrig.ClOrdID = er.ClOrdID.getValue();
// if (er.IsSetOrigClOrdID())
// orderOrig.OrigClOrdID = er.OrigClOrdID.getValue();
if (er.IsSetField(Tags.LeavesQty))
{
orderOrig.OrderQtyRemaining = Convert.ToInt32(er.LeavesQty.getValue());
}
if (er.IsSetField(Tags.CumQty))
{
orderOrig.CumQty = Convert.ToInt32(er.CumQty.getValue());
}
orderOrig.Memo = er.IsSetField(Tags.Memo) ? er.GetField(Tags.Memo): string.Empty;
if (!_db.AtualizarOrdem(orderOrig))
{
logger.Info("Problemas na atualizacao da ordem. ClOrdID: " + orderOrig.ClOrdID);
return(false);
}
DropCopyCallbackManager.Instance.EnqueueCallback(orderOrig);
return(true);
}
catch (Exception ex)
{
logger.Error("_er_Update: Erro na atualizacao dos status da ordem: " + ex.Message, ex);
return(false);
}
}
public override void onExecutionReport(ExecutionReport report)
{
logInfo("onExecutionReport:-------------------->");
// report.dump();
try{
logInfo("Status:" + report.getOrderStatus().ToString());
logInfo("Instrument Name: " + report.getInstrumentName());
printOrder(
Portfolio.getInstance().getOrderBook().getOrder(
report.getClOrderId()
)
);
}
catch (Exception e)
{
logInfo(e.Message);
}
logInfo("Status:" + report.getOrderStatus().ToString());
logInfo("Instrument Name: " + report.getInstrumentName());
if (report.getInstrumentName() == (sd.firstLegSymbol))
{
logInfo("Here1");
if (report.getOrderStatus() == (OrderStatus.OrderStatus_CONFIRMED))
{
logInfo("Here2");
sd.firstLegOrder.setClOrdId(report.getClOrderId());
sd.firstLegOrder.setOrigClOrdId(report.getOriginalClOrderId());
sd.firstLegOrder.setOrderStatus(OrderStatus.OrderStatus_CONFIRMED);
sd.isOrderPending = false;
}
else if (report.getOrderStatus() == (OrderStatus.OrderStatus_REPLACED))
{
sd.firstLegOrder.setClOrdId(report.getClOrderId());
sd.firstLegOrder.setOrigClOrdId(report.getOriginalClOrderId());
sd.firstLegOrder.setOrderStatus(OrderStatus.OrderStatus_CONFIRMED);
sd.isOrderPending = false;
}
else if (report.getOrderStatus() == (OrderStatus.OrderStatus_FILLED))
{
try
{
TradeQue trades
= Portfolio.getInstance().getTradeBook().getTradeQue(report.getClOrderId());
logInfo("**************** Dumping Trades ***************** .\n");
long size = trades.size();
logInfo("size = ", size);
for (int i = 0; i < size; ++i)
{
printTrade(trades.getitem(i));
}
}
catch (Exception e)
{
logInfo(e.Message.ToString());
}
// Side side;
// if(report.getOrderMode().)
//
//
placeSecondLegMarket();
sd.isOrderPending = true;
// Position pos =Portfolio.getInstance().getNetPositions().getPosition(
// Context.getInstance().getInstrument(report.getInstrumentName()),
// report.getOrderMode());
// printPosition(pos);
printPortfolio(report.getInstrumentName(), report.getOrderMode());
// List trades = new ArrayList<Trade>();
// trades =ArrayList<Trade>Portfolio.getInstance().getTradeBook().getTrades(
// report.getClOrderId()
// );
// printTrade((Trade)trades.get(trades.size()-1));
}
}
else if (report.getInstrumentName() == (sd.secondLegSymbol))
{
if (report.getOrderStatus() == (OrderStatus.OrderStatus_CONFIRMED))
{
sd.secondLegOrder.setClOrdId(report.getClOrderId());
sd.secondLegOrder.setOrigClOrdId(report.getOriginalClOrderId());
sd.isOrderPending = false;
}
else if (report.getOrderStatus() == (OrderStatus.OrderStatus_FILLED))
{
logInfo("Strategy completed successfully.\n");
printPortfolio();
logInfo("Calling Logout.\n");
Context.getInstance().logout();
}
}
}
public virtual void onExecutionReport(ExecutionReport report)
{
if (SwigDerivedClassHasMethod("onExecutionReport", swigMethodTypes3)) ContextModulePINVOKE.Application_onExecutionReportSwigExplicitApplication(swigCPtr, ExecutionReport.getCPtr(report)); else ContextModulePINVOKE.Application_onExecutionReport(swigCPtr, ExecutionReport.getCPtr(report));
if (ContextModulePINVOKE.SWIGPendingException.Pending) throw ContextModulePINVOKE.SWIGPendingException.Retrieve();
}
internal void OnExecutionReport(ExecutionReport report) => OnEvent(report);
protected virtual void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
}
internal void SetExecutionReport(SingleOrder order, ExecutionReport report)
{
this.OnExecutionReport(order, report);
}
public void EmitExecutionReport(OrderRecord record, SQ.ExecType execType, SQ.OrderStatus orderStatus)
{
ExecutionReport report = CreateReport(record, execType, orderStatus);
provider.EmitExecutionReport(report);
}
public List <ExecutionReport> NewOrder(ExecutionReport order)
{
var client = GetProxy(order.Symbol);
return(client.NewOrder(order));
}
static void Main(string[] args)
{
const string senderCompID = "Acceptor";
const string targetCompID = "Initiator";
const ProtocolVersion version = ProtocolVersion.FIX44;
const string host = "localhost";
const int port = 4500;
Engine engine = Engine.Init(port);
using (Session acceptor = new Session(senderCompID, targetCompID, version))
{
FIX42.TypedMessageListener acceptorTypedMessageListener = new FIX42.TypedMessageListener(acceptor);
acceptorTypedMessageListener.OrderSingleReceived += new Action <OrderSingle>((order) =>
{
Console.WriteLine("Acceptor has received the Order Single message: ClOrdID=" + order.ClOrdID + "; Msg(" + ((Message)order) + ")\n");
Console.WriteLine("NoAllocs group size: " + order.NoAllocs.Count);
foreach (FIX42.OrderSingleNoAllocsInstance instance in order.NoAllocs)
{
Console.WriteLine("AllocAccount=" + instance.AllocAccount + "; AllocShares=" + instance.AllocShares);
}
ExecutionReport report = new ExecutionReport(order.ClOrdID, "Report1", FIX42.ExecTransType.New, FIX42.ExecType.Fill, FIX42.OrdStatus.Filled, order.Symbol, order.Side, 0, 10000, 100);
acceptor.Send(report);
Console.WriteLine("\n");
});
acceptor.LogonAsAcceptor();
using (Session initiator = new Session(targetCompID, senderCompID, version))
{
FIX42.TypedMessageListener initiatorTypedMessageListener = new FIX42.TypedMessageListener(initiator);
initiatorTypedMessageListener.ExecutionReportReceived += new Action <ExecutionReport>((report) =>
{
Console.WriteLine("Initiator has received the Execution Report message: OrderID=" + report.OrderID + "; Msg(" + ((Message)report) + ")\n");
Console.WriteLine("Press any key to disconnect the session and terminate the application.\n");
});
initiator.LogonAsInitiator(host, Engine.Instance.Settings.ListenPort);
OrderSingle order = new OrderSingle();
order.ClOrdID = "Order1";
order.HandlInst = FIX42.HandlInst.AutomatedExecutionNoIntervention;
order.Symbol = "Ticker symbol";
order.Side = FIX42.Side.Buy;
order.TransactTime = DateTime.UtcNow;
order.OrdType = FIX42.OrdType.Market;
order.OrderQty = 10000;
FIX42.OrderSingleNoAllocsInstance orderSingleNoAllocsInstance1 = order.NoAllocs.CreateNew();
orderSingleNoAllocsInstance1.AllocAccount = "AllocAccount1";
orderSingleNoAllocsInstance1.AllocShares = 10;
FIX42.OrderSingleNoAllocsInstance orderSingleNoAllocsInstance2 = order.NoAllocs.CreateNew();
orderSingleNoAllocsInstance2.AllocAccount = "AllocAccount2";
orderSingleNoAllocsInstance2.AllocShares = 20;
((Message)order).Validate();
Console.WriteLine("Press any key to send an order.\n");
Console.ReadKey();
initiator.Send(order);
Console.WriteLine("The order (" + ((Message)order) + ") was sent by the Initiator\n");
Console.ReadKey();
initiator.Logout();
}
acceptor.Logout();
}
engine.Shutdown();
}
public void ProcessExecutionReport(ExecutionReport report)
{
GetPosition(report.Instrument).ProcessExecutionReport(report, GetOrderFlags(report.Order));
}
protected override void OnExecutionReport(ExecutionReport report)
{
// 用于更新其中的持仓数量等信息
// 反手等事件的处理
StrategyHelper.OnExecutionReport(report);
}
private void ProcessExecutionReport(ExecutionReport executionReport)
{
this.lastUpdatedOrderList.Add((OrderViewItem)this.allOrders[(object)this.orderFactory.OnExecutionReport(executionReport)]);
if (executionReport.Order != this.reportedOrder)
return;
this.ltvReports.Items.Add((ListViewItem)new ExecutionReportViewItem(executionReport));
}
internal void SendExecutionReport(ExecutionReport report)
{
this.MetaStrategyBase.SendExecutionReport(this, report);
}
public virtual double GetPrice(ExecutionReport report) => report.LastPx*(1 + Slippage*(report.Side == OrderSide.Buy ? 1 : -1));
public List <ExecutionReport> Put(string id, [FromBody] ExecutionReport order)
{
var results = _orderbookService.NewOrder(order);
return(results);
}
protected override void OnExecutionReport(ExecutionReport report)
{
Console.WriteLine(report);
}
private void DispatcherExecutionReport(object sender, ExecutionReport report)
{
OrderManagerQueue.Enqueue(report);
}
public void ProcessExecutionReport(QuickFix.Message msg, string bolsa)
{
try
{
ExecutionReport er = (ExecutionReport)msg;
char execType = er.ExecType.getValue();
char ordStatus = er.OrdStatus.getValue();
switch (execType)
{
// Trade Bust Working order / Non-working order (TODO [FF]: Dificil de testar esta situacao)
case ExecType.TRADE_CANCEL:
this._er_Update(er, FixOrderStatus.NEGOCIO_CANCELADO, DescMsg.ER_TRADE_BUST, bolsa);
break;
// Iceberg restatement (TODO [FF]: Dificil de testar esta situacao)
case ExecType.RESTATED:
this._er_Update(er, FixOrderStatus.REAPRESENTADA, DescMsg.ER_ORDER_RESTATED, bolsa);
break;
}
switch (ordStatus)
{
// Order Entry Accepted
case OrdStatus.NEW:
this._er_Update(er, FixOrderStatus.NOVA, DescMsg.ER_NOS_TO_EXCHANGE, bolsa);
break;
// Order Entry rejected
// Nao necessario estabelecer informacoes da tb_fix_update, pois nao se trata de alteracao / cancelamento
case OrdStatus.REJECTED:
this._er_Update(er, FixOrderStatus.REJEITADA, DescMsg.ER_NOS_REJECTED, bolsa);
break;
// Modification Accepted
case OrdStatus.REPLACED:
this._er_Update(er, FixOrderStatus.SUBSTITUIDA, DescMsg.ER_OCRR_MODIFIED, bolsa);
break;
// Cancelation Accepted
case OrdStatus.CANCELED:
this._er_Update(er, FixOrderStatus.CANCELADA, DescMsg.ER_OCR_CANCELLED, bolsa);
break;
// Full Fill
case OrdStatus.FILLED:
this._er_Update(er, FixOrderStatus.EXECUTADA, DescMsg.ER_ORDER_FILLED, bolsa);
break;
// Partial Fill
case OrdStatus.PARTIALLY_FILLED:
this._er_Update(er, FixOrderStatus.PARCIALMENTEEXECUTADA, DescMsg.ER_ORDER_PARTIALLY_FILLED, bolsa);
break;
// Order Expiration (all time in forces, except FOK and IOC)
case OrdStatus.EXPIRED:
this._er_Update(er, FixOrderStatus.EXPIRADA, DescMsg.ER_ORDER_EXPIRED, bolsa);
break;
}
}
catch (Exception ex)
{
logger.Error("Problemas no processamento da mensagem ExecutionReport: " + ex.Message, ex);
}
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
CommType = commType,
Commission = commission,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(EFIXField.OrdType) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(EFIXField.TimeInForce) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(EFIXField.OrderQty) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(EFIXField.Price) ? record.Order.ReplaceOrder.Price : record.Order.Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(EFIXField.StopPx) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx;
record.LeavesQty = ((int)report.OrderQty) - record.CumQty;
}
else
{
report.OrdType = record.Order.OrdType;
report.TimeInForce = record.Order.TimeInForce;
report.OrderQty = record.Order.OrderQty;
report.Price = record.Order.Price;
report.StopPx = record.Order.StopPx;
}
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = CTPZQProvider.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
internal void OnMessage(ExecutionReport report)
{
_emitter.EmitExecutionReport(report);
}
private static void ProcessExecutionReport(FixMessage msg)
{
ExecutionReport execReport;
try
{
// отчет об исполнении может относиться не к клиентскому ордеру,
// а к инициированной брокером процедуре (в т.ч. - стопауту)
if (!msg.fieldValues.ContainsKey(FixMessage.TAG_CLIENT_ORDER_ID))
{
ProcessBrokerInitiatedExecutionReport(msg);
}
// промежуточный отчет по исполнению ордера, не учитывается
var ordStatusStr = msg[FixMessage.TAG_ORDER_STATUS];
if (ordStatusStr == FixMessage.VALUE_ORDER_NEW ||
ordStatusStr == FixMessage.VALUE_ORDER_PARTIALLY_FILLED ||
ordStatusStr == FixMessage.VALUE_ORDER_CALCULATED)
{
return;
}
// получить Id запроса
var clientIdStr = msg[FixMessage.TAG_CLIENT_ORDER_ID];
int clientId;
if (!int.TryParse(clientIdStr, out clientId))
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Debug,
LogMagicIncorrectId, 1000 * 60 * 15, "Отчет брокера: поле ClientOrderId не представлено целым [{0}]",
clientIdStr);
return;
}
execReport = new ExecutionReport {
brokerResponse = { RequestId = clientId, ValueDate = DateTime.Now }
};
if (ordStatusStr == FixMessage.VALUE_ORDER_FILLED)
{
execReport.brokerResponse.Status = OrderStatus.Исполнен;
}
else
if (ordStatusStr == FixMessage.VALUE_ORDER_REJECTED)
{
execReport.brokerResponse.Status = OrderStatus.Отклонен;
}
else
{
// ордер может быть либо исполнен, либо не исполнен, третьего не дано
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Debug,
LogMagicIncorrectStatus, 1000 * 60 * 15, "Отчет брокера по запросу [{0}]: статус ({1}) не поддерживается",
clientId,
ordStatusStr);
return;
}
var price = (decimal?)null;
if (msg.fieldValues.ContainsKey(FixMessage.TAG_ARG_PX))
{
price = msg.GetValueDecimal(FixMessage.TAG_ARG_PX);
}
else
if (msg.fieldValues.ContainsKey(FixMessage.TAG_PRICE))
{
price = msg.GetValueDecimal(FixMessage.TAG_PRICE);
}
// нет цены в положительной квитанции
if (!price.HasValue && execReport.brokerResponse.Status == OrderStatus.Исполнен)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Debug,
LogMagicNoQuoteInPositiveReport, 1000 * 60 * 15,
"Отчет брокера по запросу [{0}]: статус \"Исполнен\", нет цены",
clientId);
return;
}
execReport.brokerResponse.Price = price ?? 0;
// сообщение об ошибке
execReport.brokerResponse.RejectReason = OrderRejectReason.None;
if (execReport.brokerResponse.Status != OrderStatus.Исполнен)
{
if (msg.fieldValues.ContainsKey(FixMessage.TAG_ORD_REJECT_REASON))
{
var rejectReasonStr = msg[FixMessage.TAG_ORD_REJECT_REASON];
execReport.brokerResponse.RejectReason =
rejectReasonStr == FixMessage.VALUE_ORDER_REJECT_BROKER_EXCHANGE_OPT
? OrderRejectReason.BrokerExchangeOption
: rejectReasonStr == FixMessage.VALUE_ORDER_REJECT_DUPLICATE_ORDER
? OrderRejectReason.DuplicateClOrdID
: rejectReasonStr == FixMessage.VALUE_ORDER_REJECT_UNKNOWN_ORDER
? OrderRejectReason.UnknownOrder : OrderRejectReason.None;
execReport.brokerResponse.RejectReasonString = rejectReasonStr;
}
}
}
catch (Exception ex)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Debug,
LogMagicCommonReportParseError, 1000 * 60 * 15,
"Общая ошибка обработки ответа провайдера: {0}",
ex);
return;
}
// отправить отчет FIX-дилеру
try
{
execReport.SendToQueue(false);
}
catch (Exception ex)
{
loggerNoFlood.LogMessageFormatCheckFlood(LogEntryType.Debug,
LogMagicSendReportError, 1000 * 60 * 15,
"Ошибка отправки сообщения в очередь: {0}",
ex);
}
}
public override void onMessage(QuickFix42.ExecutionReport report, QuickFix.SessionID sessionID)
{
if (report.getExecType().getValue() == QuickFix.ExecType.PENDING_CANCEL ||
report.getExecType().getValue() == QuickFix.ExecType.CANCELED ||
report.getExecType().getValue() == QuickFix.ExecType.PENDING_REPLACE ||
report.getExecType().getValue() == QuickFix.ExecType.REPLACE)
{
object request = cancelRequests[report.getClOrdID().getValue()];
if (request == null)
{
report.set(new OrigClOrdID(report.getClOrdID().getValue()));
}
else
{
if (request is FIXOrderCancelRequest)
{
report.set(new OrigClOrdID((request as FIXOrderCancelRequest).OrigClOrdID));
}
if (request is FIXOrderCancelReplaceRequest)
{
report.set(new OrigClOrdID((request as FIXOrderCancelReplaceRequest).OrigClOrdID));
}
}
}
ExecutionReport Report = new ExecutionReport();
if (report.isSetOrderID())
{
Report.OrderID = report.getOrderID().getValue();
}
////if (report.isSetSecondaryOrderID()) Report.SecondaryOrderID = report.getSecondaryOrderID().getValue();
if (report.isSetClOrdID())
{
Report.ClOrdID = report.getClOrdID().getValue();
}
if (report.isSetOrigClOrdID())
{
Report.OrigClOrdID = report.getOrigClOrdID().getValue();
}
////if (report.isSetListID()) Report.ListID = report.getListID().getValue();
if (report.isSetExecID())
{
Report.ExecID = report.getExecID().getValue();
}
////if (report.isSetExecRefID()) Report.ExecRefID = report.getExecRefID().getValue();
if (report.isSetExecType())
{
(Report as FIXExecutionReport).ExecType = report.getExecType().getValue();
}
if (report.isSetOrdStatus())
{
(Report as FIXExecutionReport).OrdStatus = report.getOrdStatus().getValue();
}
if (report.isSetOrdRejReason())
{
Report.OrdRejReason = report.getOrdRejReason().getValue();
}
////if (report.isSetExecRestatementReason()) Report.ExecRestatementReason = report.getExecRestatementReason().getValue();
////if (report.isSetAccount()) Report.Account = report.getAccount().getValue();
////if (report.isSetSettlmntTyp()) Report.SettlType = report.getSettlmntTyp().getValue();
//if (report.isSetFutSettDate ()) Report.FutSettDate = report.getFutSettDate ().getValue();
if (report.isSetSymbol())
{
Report.Symbol = report.getSymbol().getValue();
}
////if (report.isSetSymbolSfx()) Report.SymbolSfx = report.getSymbolSfx().getValue();
////if (report.isSetSecurityID()) Report.SecurityID = report.getSecurityID().getValue();
//if (report.isSetIDSource ()) Report.IDSource = report.getIDSource ().getValue();
////if (report.isSetSecurityType()) Report.SecurityType = report.getSecurityType().getValue();
////if (report.isSetMaturityMonthYear()) Report.MaturityMonthYear = report.getMaturityMonthYear().getValue();
//if (report.isSetMaturityDay ()) Report.MaturityDate = DateTime.Parse(report.getMaturityDay ().getValue());
//if (report.isSetPutOrCall ()) Report.PutOrCall = report.getPutOrCall ().getValue();
////if (report.isSetStrikePrice()) Report.StrikePrice = report.getStrikePrice().getValue();
////if (report.isSetOptAttribute()) Report.OptAttribute = report.getOptAttribute().getValue();
////if (report.isSetContractMultiplier()) Report.ContractMultiplier = report.getContractMultiplier().getValue();
////if (report.isSetCouponRate()) Report.CouponRate = report.getCouponRate().getValue();
////if (report.isSetSecurityExchange()) Report.SecurityExchange = report.getSecurityExchange().getValue();
////if (report.isSetIssuer()) Report.Issuer = report.getIssuer().getValue();
////if (report.isSetEncodedIssuerLen()) Report.EncodedIssuerLen = report.getEncodedIssuerLen().getValue();
////if (report.isSetEncodedIssuer()) Report.EncodedIssuer = report.getEncodedIssuer().getValue();
////if (report.isSetSecurityDesc()) Report.SecurityDesc = report.getSecurityDesc().getValue();
////if (report.isSetEncodedSecurityDescLen()) Report.EncodedSecurityDescLen = report.getEncodedSecurityDescLen().getValue();
////if (report.isSetEncodedSecurityDesc()) Report.EncodedSecurityDesc = report.getEncodedSecurityDesc().getValue();
if (report.isSetSide())
{
(Report as FIXExecutionReport).Side = report.getSide().getValue();
}
if (report.isSetOrderQty())
{
Report.OrderQty = report.getOrderQty().getValue();
}
////if (report.isSetCashOrderQty()) Report.CashOrderQty = report.getCashOrderQty().getValue();
if (report.isSetOrdType())
{
(Report as FIXExecutionReport).OrdType = report.getOrdType().getValue();
}
if (report.isSetPrice())
{
Report.Price = report.getPrice().getValue();
}
////if (report.isSetStopPx()) Report.StopPx = report.getStopPx().getValue();
//if (report.isSetPegDifference ()) Report.PegDifference = report.getPegDifference ().getValue();
////if (report.isSetDiscretionInst()) Report.DiscretionInst = report.getDiscretionInst().getValue();
////if (report.isSetDiscretionOffset()) Report.DiscretionOffsetValue = report.getDiscretionOffset().getValue();
////if (report.isSetCurrency()) Report.Currency = report.getCurrency().getValue();
////if (report.isSetComplianceID()) Report.ComplianceID = report.getComplianceID().getValue();
//if (report.isSetSolicitedFlag ()) Report.SolicitedFlag = report.getSolicitedFlag ().getValue();
////if (report.isSetTimeInForce()) (Report as FIXExecutionReport).TimeInForce = report.getTimeInForce().getValue();
////if (report.isSetEffectiveTime()) Report.EffectiveTime = report.getEffectiveTime().getValue();
////if (report.isSetExpireDate()) Report.ExpireDate = DateTime.Parse(report.getExpireDate().getValue());
////if (report.isSetExpireTime()) Report.ExpireTime = report.getExpireTime().getValue();
////if (report.isSetExecInst()) Report.ExecInst = report.getExecInst().getValue();
//if (report.isSetRule80A ()) Report.Rule80A = report.getRule80A ().getValue();
if (report.isSetLastShares())
{
Report.LastQty = report.getLastShares().getValue();
}
if (report.isSetLastPx())
{
Report.LastPx = report.getLastPx().getValue();
}
////if (report.isSetLastSpotRate()) Report.LastSpotRate = report.getLastSpotRate().getValue();
////if (report.isSetLastForwardPoints()) Report.LastForwardPoints = report.getLastForwardPoints().getValue();
////if (report.isSetLastMkt()) Report.LastMkt = report.getLastMkt().getValue();
////if (report.isSetTradingSessionID()) Report.TradingSessionID = report.getTradingSessionID().getValue();
////if (report.isSetLastCapacity()) Report.LastCapacity = report.getLastCapacity().getValue();
if (report.isSetLeavesQty())
{
Report.LeavesQty = report.getLeavesQty().getValue();
}
if (report.isSetCumQty())
{
Report.CumQty = report.getCumQty().getValue();
}
if (report.isSetAvgPx())
{
Report.AvgPx = report.getAvgPx().getValue();
}
////if (report.isSetDayOrderQty()) Report.DayOrderQty = report.getDayOrderQty().getValue();
////if (report.isSetDayCumQty()) Report.DayCumQty = report.getDayCumQty().getValue();
////if (report.isSetDayAvgPx()) Report.DayAvgPx = report.getDayAvgPx().getValue();
////if (report.isSetGTBookingInst()) Report.GTBookingInst = report.getGTBookingInst().getValue();
////if (report.isSetTradeDate()) Report.TradeDate = DateTime.Parse(report.getTradeDate().getValue());
if (report.isSetTransactTime())
{
Report.TransactTime = report.getTransactTime().getValue();
}
//if (report.isSetReportToExch ()) Report.ReportToExch = report.getReportToExch ().getValue();
////if (report.isSetCommission()) Report.Commission = report.getCommission().getValue();
////if (report.isSetCommType()) (Report as FIXExecutionReport).CommType = report.getCommType().getValue();
////if (report.isSetGrossTradeAmt()) Report.GrossTradeAmt = report.getGrossTradeAmt().getValue();
////if (report.isSetSettlCurrAmt()) Report.SettlCurrAmt = report.getSettlCurrAmt().getValue();
////if (report.isSetSettlCurrency()) Report.SettlCurrency = report.getSettlCurrency().getValue();
////if (report.isSetHandlInst()) Report.HandlInst = report.getHandlInst().getValue();
////if (report.isSetMinQty()) Report.MinQty = report.getMinQty().getValue();
////if (report.isSetMaxFloor()) Report.MaxFloor = report.getMaxFloor().getValue();
//if (report.isSetOpenClose ()) Report.OpenClose = report.getOpenClose ().getValue();
////if (report.isSetMaxShow()) Report.MaxShow = report.getMaxShow().getValue();
if (report.isSetText())
{
Report.Text = report.getText().getValue();
}
////if (report.isSetEncodedTextLen()) Report.EncodedTextLen = report.getEncodedTextLen().getValue();
////if (report.isSetEncodedText()) Report.EncodedText = report.getEncodedText().getValue();
//if (report.isSetFutSettDate2 ()) Report.FutSettDate2 = report.getFutSettDate2 ().getValue();
////if (report.isSetOrderQty2()) Report.OrderQty2 = report.getOrderQty2().getValue();
//if (report.isSetClearingFirm ()) Report.ClearingFirm = report.getClearingFirm ().getValue();
//if (report.isSetClearingAccount ()) Report.ClearingAccount = report.getClearingAccount ().getValue();
////if (report.isSetMultiLegReportingType()) Report.MultiLegReportingType = report.getMultiLegReportingType().getValue();
//
SingleOrder order;
if (Report.ExecType == SmartQuant.FIX.ExecType.PendingCancel ||
Report.ExecType == SmartQuant.FIX.ExecType.Cancelled ||
Report.ExecType == SmartQuant.FIX.ExecType.PendingReplace ||
Report.ExecType == SmartQuant.FIX.ExecType.Replace)
{
order = OrderManager.Orders.All[Report.OrigClOrdID] as SingleOrder;
}
else
{
order = OrderManager.Orders.All[Report.ClOrdID] as SingleOrder;
}
Instrument instrument = order.Instrument;
Report.Symbol = instrument.Symbol;
Report.TransactTime = Clock.Now;
// emit execution report
EmitExecutionReport(Report);
}
/// <summary>
/// Returns the order expiry time if the given FIX message contains the tag (else null).
/// </summary>
/// <param name="message">The execution report FIX message.</param>
/// <returns>A <see cref="decimal"/>.</returns>
public static ZonedDateTime?GetExpireTime(ExecutionReport message)
{
return(message.IsSetField(Tags.ExpireTime)
? ParseTimestamp(message.GetField(Tags.ExpireTime))
: null);
}
/// <summary>
/// ExecutionReport message handler
/// </summary>
private void OnExecutionReport(ExecutionReport message)
{
var orderId = message.getOrderID();
var orderStatus = message.getFXCMOrdStatus();
if (orderId != "NONE" && message.getAccount() == _accountId)
{
if (_openOrders.ContainsKey(orderId) && OrderIsClosed(orderStatus.getCode()))
{
_openOrders.Remove(orderId);
}
else
{
_openOrders[orderId] = message;
}
Order order;
if (_mapFxcmOrderIdsToOrders.TryGetValue(orderId, out order))
{
// existing order
if (!OrderIsBeingProcessed(orderStatus.getCode()))
{
var status = ConvertOrderStatus(orderStatus);
int id;
// if we get a Submitted status and we had placed an order update, this new event is flagged as an update
var isUpdate = status == OrderStatus.Submitted && _orderUpdates.TryRemove(order.Id, out id);
var security = _securityProvider.GetSecurity(order.Symbol);
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
var orderEvent = new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero)
{
Status = isUpdate ? OrderStatus.UpdateSubmitted : status,
FillPrice = Convert.ToDecimal(message.getPrice()),
FillQuantity = Convert.ToInt32(message.getSide() == SideFactory.BUY ? message.getLastQty() : -message.getLastQty()),
};
// we're catching the first fill so we apply the fees only once
if ((int)message.getCumQty() == (int)message.getLastQty() && message.getLastQty() > 0)
{
orderEvent.OrderFee = security.FeeModel.GetOrderFee(
new OrderFeeParameters(security, order));
}
_orderEventQueue.Enqueue(orderEvent);
}
}
else if (_mapRequestsToOrders.TryGetValue(message.getRequestID(), out order))
{
_mapFxcmOrderIdsToOrders[orderId] = order;
order.BrokerId.Add(orderId);
order.PriceCurrency = _securityProvider.GetSecurity(order.Symbol).SymbolProperties.QuoteCurrency;
// new order
var orderEvent = new OrderEvent(order,
DateTime.UtcNow,
OrderFee.Zero)
{
Status = ConvertOrderStatus(orderStatus)
};
_orderEventQueue.Enqueue(orderEvent);
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.isLastRptRequested())
{
if (orderId == "NONE" && orderStatus.getCode() == IFixValueDefs.__Fields.FXCMORDSTATUS_REJECTED)
{
if (message.getSide() != SideFactory.UNDISCLOSED)
{
var messageText = message.getFXCMErrorDetails().Replace("\n", "");
Log.Trace("FxcmBrokerage.OnExecutionReport(): " + messageText);
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "OrderSubmitReject", messageText));
}
_isOrderSubmitRejected = true;
}
AutoResetEvent autoResetEvent;
if (_mapRequestsToAutoResetEvents.TryGetValue(_currentRequest, out autoResetEvent))
{
autoResetEvent.Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
}
}
}
}
public virtual void OnExecutionReport(ExecutionReport report)
{
// noop
}
public static void SetErrorId(this ExecutionReport report, int errorId, int rawErrorId)
{
report.Fields[QuantBoxConst.ReportErrorOffset] = new MakeLong(errorId, rawErrorId);
}
/// <summary>
/// ExecutionReport message handler
/// </summary>
private void OnExecutionReport(ExecutionReport message)
{
var orderId = message.getOrderID();
var orderStatus = message.getFXCMOrdStatus();
if (orderId != "NONE" && message.getAccount() == _accountId)
{
if (_openOrders.ContainsKey(orderId) && OrderIsClosed(orderStatus.getCode()))
{
_openOrders.Remove(orderId);
}
else
{
_openOrders[orderId] = message;
}
Order order;
if (_mapFxcmOrderIdsToOrders.TryGetValue(orderId, out order))
{
// existing order
if (!OrderIsBeingProcessed(orderStatus.getCode()))
{
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus),
FillPrice = Convert.ToDecimal(message.getPrice()),
FillQuantity = Convert.ToInt32(message.getSide() == SideFactory.BUY ? message.getLastQty() : -message.getLastQty())
};
_orderEventQueue.Enqueue(orderEvent);
}
}
else if (_mapRequestsToOrders.TryGetValue(message.getRequestID(), out order))
{
_mapFxcmOrderIdsToOrders[orderId] = order;
order.BrokerId.Add(Convert.ToInt64(orderId));
// new order
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus)
};
_orderEventQueue.Enqueue(orderEvent);
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.isLastRptRequested())
{
if (orderId == "NONE" && orderStatus.getCode() == IFixValueDefs.__Fields.FXCMORDSTATUS_REJECTED)
{
if (message.getSide() != SideFactory.UNDISCLOSED)
{
var messageText = message.getFXCMErrorDetails().Replace("\n", "");
Log.Trace("FxcmBrokerage.OnExecutionReport(): " + messageText);
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "OrderSubmitReject", messageText));
}
_isOrderSubmitRejected = true;
}
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
}
}
}
// ExecutionReport message handler
private void OnExecutionReport(ExecutionReport executionReport)
{
Console.WriteLine("OnExecutionReport()");
Console.WriteLine("\tRequestId = {0}", executionReport.getRequestID());
Console.WriteLine("\tgetOrderID() = " + executionReport.getOrderID());
Console.WriteLine("\tgetFXCMPosID() = " + executionReport.getFXCMPosID());
Console.WriteLine("\tgetAccount() = " + executionReport.getAccount());
Console.WriteLine("\tgetTransactTime() = " + executionReport.getTransactTime());
Console.WriteLine("\tgetExecType() = " + executionReport.getExecType());
Console.WriteLine("\tgetFXCMOrdStatus() = " + executionReport.getFXCMOrdStatus());
Console.WriteLine("\tgetOrdStatus() = " + executionReport.getOrdStatus());
Console.WriteLine("\tgetPrice() = " + executionReport.getPrice());
Console.WriteLine("\tgetStopPx() = " + executionReport.getStopPx());
Console.WriteLine("\tgetOrderQty() = " + executionReport.getOrderQty());
Console.WriteLine("\tgetCumQty() = " + executionReport.getCumQty());
Console.WriteLine("\tgetLastQty() = " + executionReport.getLastQty());
Console.WriteLine("\tgetLeavesQty() = " + executionReport.getLeavesQty());
Console.WriteLine("\tgetFXCMErrorDetails() = " + executionReport.getFXCMErrorDetails());
Console.WriteLine();
var orderId = executionReport.getOrderID();
if (orderId != "NONE")
{
_orders[orderId] = executionReport;
_orderRequests[executionReport.getRequestID()] = executionReport;
}
if (executionReport.getRequestID() == _currentRequest)
{
var status = executionReport.getFXCMOrdStatus().getCode();
if (executionReport.isLastRptRequested() &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_PENDING_CANCEL &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_EXECUTING &&
status != IFixValueDefs.__Fields.FXCMORDSTATUS_INPROCESS)
{
_requestOrderEvent.Set();
}
}
}
public override void onExecutionReport(ExecutionReport report)
{
Console.WriteLine("Got on onExecutionReport Event.");
report.dump();
Console.WriteLine("Status = %d",OrderStatus.OrderStatus_CONFIRMED);
if(report.getInstrumentName() == (_data.firstLegSymbol))
{
if( report.getOrderStatus() == OrderStatus.OrderStatus_CONFIRMED ||
report.getOrderStatus() == OrderStatus.OrderStatus_REPLACED )
{
_data.firstLegOrder.setClOrdId(report.getClOrderId());
_data.firstLegOrder.setOrigClOrdId(report.getOriginalClOrderId());
_data.firstLegOrder.setOrderStatus(OrderStatus.OrderStatus_CONFIRMED);
_data.isOrderPending = false;
}
else if(report.getOrderStatus() == OrderStatus.OrderStatus_FILLED)
{
placeSecondLegMarket();
_data.isOrderPending = false;
}
}
else if(report.getInstrumentName() == (_data.secondLegSymbol))
{
if(report.getOrderStatus() == OrderStatus.OrderStatus_CONFIRMED)
{
_data.secondLegOrder.setClOrdId(report.getClOrderId());
_data.secondLegOrder.setOrigClOrdId(report.getOriginalClOrderId());
_data.isOrderPending = false;
}
else if(report.getOrderStatus() == OrderStatus.OrderStatus_FILLED)
{
Console.WriteLine("Strategy completed successfully.");
}
}
}
/// <summary>
/// Returns the domain price for the given order type parsed from the given message.
/// </summary>
/// <param name="orderType">The order type.</param>
/// <param name="message">The execution report FIX message.</param>
/// <returns>A <see cref="decimal"/>.</returns>
public static Price GetOrderPrice(OrderType orderType, ExecutionReport message)
{
return(Price.Create(orderType == OrderType.Stop
? message.GetDecimal(Tags.StopPx)
: message.GetDecimal(Tags.Price)));
}
/// <summary>
///
/// </summary>
/// <param name="signal">交易信号（正向/反向）</param>
/// <param name="data">KLine格式的交易数据</param>
/// <param name="positions">头寸信息</param>
/// <param name="myAccount">账户信息</param>
/// <param name="now">交易日的时间信息</param>
/// <param name="nowIndex">当前索引值（不知道什么意思）</param>
/// <param name="slipPoint">滑点</param>
/// <returns></returns>
public static Dictionary <string, ExecutionReport> ComputePosition(Dictionary <string, MinuteSignal> signal, Dictionary <string, List <KLine> > data, ref SortedDictionary <DateTime, Dictionary <string, PositionsWithDetail> > positions, ref BasicAccount myAccount, DateTime now, int nowIndex, double slipPoint = 0.00)
{
//初始化记录成交回报的变量
Dictionary <string, ExecutionReport> tradingFeedback = new Dictionary <string, ExecutionReport>();
//初始化上一次头寸记录时间
DateTime lastTime = new DateTime(now.Year, now.Month, now.Day, 0, 0, 0);
//如果signal无信号，无法成交，直接返回空的成交回报。
if (signal == null || signal.Count == 0)
{
return(tradingFeedback);
}
if (positions.Count != 0)
{
lastTime = positions.Keys.Last();
}
//新建头寸变量，作为接受新仓位的容器
Dictionary <string, PositionsWithDetail> positionShot = new Dictionary <string, PositionsWithDetail>();
//如果持仓最后状态时间大于signal信号的时间，无成交，直接返回空的成交回报。
if (lastTime > now)
{
return(tradingFeedback);
}
//如果两者时间相等，则把总仓位变化数组positions中的最后一项，添加进新仓位的容器positionShot中
if (now == lastTime)
{
positionShot = positions[positions.Keys.Last()];
}
//如果交易信号时间在最后一次持仓变化时间点之后，则需要重新把最后持仓的仓位变化信息手工copy一份；
//然后添加进新仓位的容器positionShot中。
else if (positions.Count > 0) //如果持仓大于0
{
foreach (var item in positions[positions.Keys.Last()]) //循环 持仓最后状态时间的持仓数据
{
//这里必须手动copy一份，不可以直接传引用。因为最后持仓变化节点的仓位信息是不应该被改变的；
//如果直接传引用，交易信号时间点仓位变化会同时改变最后持仓变化节点的仓位信息。
PositionsWithDetail position0 = new PositionsWithDetail().myClone(item.Value);//复制一份新的
positionShot.Add(position0.code, position0);
}
}
//获取前一步的头寸信息，如果没有寸头就设为null
Dictionary <string, PositionsWithDetail> positionLast = (positions.Count == 0 ? null : positions[positions.Keys.Last()]);
//对信号进行遍历
foreach (var signal0 in signal.Values)
{
//整理成交信号，剔除不合理信号。
//①信号触发时间必须在positionLast的记录时间之后，在当前时间now之前。
//②信号必须有合理的交易数量。
//③信号必须有对应的数据。
if (signal0.time != now) //【？？？】不是说必须要在当前时间now之前么
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.status = "交易时间错误，无效信号";
tradingFeedback.Add(signal0.code, report0);
continue;
}
if (signal0.volume == 0 || signal0.price == 0)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.status = "交易数据错误，无效信号";
tradingFeedback.Add(signal0.code, report0);
continue;
}
if (data.ContainsKey(signal0.code) == false)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.status = "无法找到行情数据，无效信号";
tradingFeedback.Add(signal0.code, report0);
continue;
}
//根据K线来判断成交数量，有可能完全成交，也有可能部分成交
//开多头时，如果价格大于最低价，完全成交，否者不成交
//开空头时，如果价格小于最高价，完全成交，否者不成交
//找出对应的K线
KLine KLineData = data[signal0.code][nowIndex];
//确定滑点
double slip = Math.Max(slipPoint, signal0.bidAskSpread);
//开多头时，如果价格大于最低价，完全成交，否者不成交
if (signal0.volume > 0 && signal0.price >= KLineData.low)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.volume = signal0.volume;
report0.price = signal0.price + slip;
report0.status = "完全成交";
tradingFeedback.Add(signal0.code, report0);
}
if (signal0.volume > 0 && signal0.price < KLineData.low)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.price = signal0.price + slip;
report0.status = "无法成交";
tradingFeedback.Add(signal0.code, report0);
continue;
}
//开空头时，如果价格小于最高价，完全成交，否者不成交
if (signal0.volume < 0 && signal0.price <= KLineData.high)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.price = signal0.price - slip;
report0.volume = signal0.volume;
report0.status = "完全成交";
tradingFeedback.Add(signal0.code, report0);
}
if (signal0.volume < 0 && signal0.price > KLineData.high)
{
ExecutionReport report0 = new ExecutionReport();
report0.code = signal0.code;
report0.time = signal0.time;
report0.price = signal0.price - slip;
report0.status = "无法成交";
tradingFeedback.Add(signal0.code, report0);
continue;
}
///【解释：以下部分 position，positionShot和position0的关系】
/// position：是传入的参数，
///
//接下来处理能够成交的signal0，信号下单的时间只能是lastTime或者now。
PositionsWithDetail position0 = new PositionsWithDetail();
//查询当前持仓数量
double nowHoldingVolume;
//当前证券已有持仓
if (positionShot.Count > 0 && positionShot.ContainsKey(signal0.code))
{
//将当前证券持仓情况赋值给临时持仓变量
position0 = positionShot[signal0.code];
nowHoldingVolume = position0.volume;
}
else //若历史无持仓
{
//当前信号证券代码
position0.code = signal0.code;
//多空头寸初始化
position0.LongPosition = new PositionDetail();
position0.ShortPosition = new PositionDetail();
position0.record = new List <TransactionRecord>();
nowHoldingVolume = 0;
positionShot.Add(position0.code, position0);
}
//持仓和开仓方向一致
if (nowHoldingVolume * signal0.volume >= 0)
{
//开多仓
if (signal0.volume > 0)
{
//重新计算仓位和价格
double volume = signal0.volume + position0.LongPosition.volume;
double cost = (signal0.price + slip) * signal0.volume + position0.LongPosition.volume * position0.LongPosition.averagePrice;
double averagePrice = cost / volume;
position0.LongPosition = new PositionDetail {
volume = volume, totalCost = cost, averagePrice = averagePrice
};
}
else //开空仓
{
//重新计算仓位和价格
double volume = signal0.volume + position0.ShortPosition.volume;
double cost = (signal0.price - slip) * signal0.volume + position0.ShortPosition.volume * position0.ShortPosition.averagePrice;
double averagePrice = cost / volume;
position0.ShortPosition = new PositionDetail {
volume = volume, totalCost = cost, averagePrice = averagePrice
};
}
}
else //持仓和开仓方向不一致
{
if (nowHoldingVolume > 0) //原先持有多头头寸，现开空仓
{
//计算总头寸，分类讨论
double volume = signal0.volume + position0.LongPosition.volume;
if (volume > 0)
{
position0.LongPosition.volume = volume;
position0.LongPosition.totalCost = position0.LongPosition.volume * position0.LongPosition.averagePrice;
}
else if (volume < 0)
{
position0.ShortPosition.volume = volume;
position0.ShortPosition.totalCost = volume * (signal0.price - slip);
position0.ShortPosition.averagePrice = (signal0.price - slip);
position0.LongPosition = new PositionDetail();
}
else
{
position0.LongPosition = new PositionDetail();
}
}
else //原先持有空头头寸，现开多仓
{
//计算总头寸，分类讨论
double volume = signal0.volume + position0.ShortPosition.volume;
if (volume < 0)
{
position0.ShortPosition.volume = volume;
position0.ShortPosition.totalCost = position0.ShortPosition.volume * position0.ShortPosition.averagePrice;
}
else if (volume > 0)
{
position0.LongPosition.volume = volume;
position0.LongPosition.averagePrice = (signal0.price + slip);
position0.LongPosition.totalCost = (signal0.price - slip) * volume;
position0.ShortPosition = new PositionDetail();
}
else
{
position0.ShortPosition = new PositionDetail();
}
}
}
//更新其他信息
position0.record.Add(new TransactionRecord
{
time = now,
volume = signal0.volume,
price = signal0.price + slip * (signal0.volume > 0?1:-1),
code = position0.code
});
position0.totalCashFlow = position0.totalCashFlow - (signal0.price + (signal0.volume > 0 ? 1 : -1) * slip) * signal0.volume;
position0.transactionCost = position0.transactionCost + Math.Abs(slip * signal0.volume);
position0.volume = position0.volume + signal0.volume;
position0.time = now;
position0.code = signal0.code;
position0.currentPrice = KLineData.close;
position0.tradingVarieties = signal0.tradingVarieties;
//总资产=权益现值+现金盈亏
position0.totalAmt = position0.totalCashFlow + position0.volume * position0.currentPrice;
}
if (now > lastTime)
{
positions.Add(now, positionShot);
}
//更新持仓的头寸信息
if (positions.Count != 0)
{
AccountUpdatingWithMinuteBar.computeAccount(ref myAccount, positions, now, nowIndex, data);
}
return(tradingFeedback);
}
protected override void OnExecutionReport(ExecutionReport report)
{
}
public double GetExecutionPrice(ExecutionReport report)
{
//report.Price
report.Side = Side.Buy;
throw new Exception("The method or operation is not implemented.");
}
private void HandleOrderReport(ExecutionReport er)
{
_logger.LogInformation($"Execution report: {er}");
}
public Message CreateOrderCancelAccept(IOrder cancelledOrder, string execID)
{
var exReport = new ExecutionReport(
new OrderID(cancelledOrder.ID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(ExecType.CANCELED),
new OrdStatus(OrdStatus.CANCELED),
new Symbol(cancelledOrder.Contract.Symbol),
TranslateFixFields.Translate(cancelledOrder.MarketSide),
new LeavesQty(0m), // 0 because the order is being cancelled
new CumQty(cancelledOrder.FilledQuantity),
new AvgPx(cancelledOrder.Price))
{
OrderQty = new OrderQty(cancelledOrder.OriginalQuantity),
ClOrdID = new ClOrdID(cancelledOrder.ClOrdID)
};
return exReport;
}
public int update(ExecutionReport report)
{
int ret = ContextModulePINVOKE.OrderBook_update__SWIG_1(swigCPtr, ExecutionReport.getCPtr(report));
if (ContextModulePINVOKE.SWIGPendingException.Pending) throw ContextModulePINVOKE.SWIGPendingException.Retrieve();
return ret;
}
internal void method_28(ExecutionReport executionReport_0)
{
if (executionReport_0.order_0.strategyId == -1)
{
return;
}
if (this.strategy__0 != null && this.strategy__0.Status == StrategyStatus.Running)
{
this.idArray_0[executionReport_0.order_0.strategyId].vmethod_31(executionReport_0);
}
}
private void DispatcherExecutionReport(object sender, ExecutionReport report)
{
OrderManagerQueue.Enqueue(report);
}
private void HandleExecutionReport(ExecutionReport msg)
{
if (msg == null) throw new ArgumentNullException("msg");
var order = new OrderRecord(msg);
var status = TranslateFixFields.Translate(msg.OrdStatus);
var e = OrderExecutionEvent;
if (e != null)
e(status, order);
}
internal static HandleRef getCPtr(ExecutionReport obj)
{
return (obj == null) ? new HandleRef(null, IntPtr.Zero) : obj.swigCPtr;
}
public Message CreateRejectNewOrderExecutionReport(string symbol,
MarketSide marketSide,
string clOrdID,
decimal orderQuantity,
TradingAccount account,
string execID,
string rejectionReason,
int? rejectionCode = null)
{
var exReport = new ExecutionReport(
new OrderID("unknown orderID"),
new ExecID(execID),
new ExecType(ExecType.REJECTED),
new OrdStatus(OrdStatus.REJECTED),
new Symbol(symbol),
TranslateFixFields.Translate(marketSide),
new LeavesQty(0m),
new CumQty(0m),
new AvgPx(0m))
{
ClOrdID = new ClOrdID(clOrdID),
OrderQty = new OrderQty(orderQuantity)
};
if (rejectionCode.HasValue)
{
exReport.OrdRejReason = new OrdRejReason(rejectionCode.Value);
}
if (TradingAccount.IsSet(account))
{
exReport.Account = new Account(account.Name);
}
return exReport;
}
/// <summary>
/// ExecutionReport message handler
/// </summary>
private void OnExecutionReport(ExecutionReport message)
{
var orderId = message.getOrderID();
var orderStatus = message.getFXCMOrdStatus();
if (orderId != "NONE" && message.getAccount() == _accountId)
{
if (_openOrders.ContainsKey(orderId) && OrderIsClosed(orderStatus.getCode()))
{
_openOrders.Remove(orderId);
}
else
{
_openOrders[orderId] = message;
}
Order order;
if (_mapFxcmOrderIdsToOrders.TryGetValue(orderId, out order))
{
// existing order
if (!OrderIsBeingProcessed(orderStatus.getCode()))
{
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus),
FillPrice = Convert.ToDecimal(message.getPrice()),
FillQuantity = Convert.ToInt32(message.getSide() == SideFactory.BUY ? message.getLastQty() : -message.getLastQty())
};
_orderEventQueue.Enqueue(orderEvent);
}
}
else if (_mapRequestsToOrders.TryGetValue(message.getRequestID(), out order))
{
_mapFxcmOrderIdsToOrders[orderId] = order;
order.BrokerId.Add(Convert.ToInt64(orderId));
// new order
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus)
};
_orderEventQueue.Enqueue(orderEvent);
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.isLastRptRequested())
{
if (orderId == "NONE" && orderStatus.getCode() == IFixValueDefs.__Fields.FXCMORDSTATUS_REJECTED)
{
Log.Trace("Order submit rejected: {0}", message.getFXCMErrorDetails().Replace("\n", ""));
_isOrderSubmitRejected = true;
}
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
}
}
}
public virtual void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
}
/// <summary>
/// ExecutionReport message handler
/// </summary>
private void OnExecutionReport(ExecutionReport message)
{
var orderId = message.getOrderID();
var orderStatus = message.getFXCMOrdStatus();
if (orderId != "NONE" && message.getAccount() == _accountId)
{
if (_openOrders.ContainsKey(orderId) && OrderIsClosed(orderStatus.getCode()))
{
_openOrders.Remove(orderId);
}
else
{
_openOrders[orderId] = message;
}
Order order;
if (_mapFxcmOrderIdsToOrders.TryGetValue(orderId, out order))
{
// existing order
if (!OrderIsBeingProcessed(orderStatus.getCode()))
{
order.PriceCurrency = message.getCurrency();
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus),
FillPrice = Convert.ToDecimal(message.getPrice()),
FillQuantity = Convert.ToInt32(message.getSide() == SideFactory.BUY ? message.getLastQty() : -message.getLastQty())
};
// we're catching the first fill so we apply the fees only once
if ((int)message.getCumQty() == (int)message.getLastQty() && message.getLastQty() > 0)
{
var security = _securityProvider.GetSecurity(order.Symbol);
orderEvent.OrderFee = security.FeeModel.GetOrderFee(security, order);
}
_orderEventQueue.Enqueue(orderEvent);
}
}
else if (_mapRequestsToOrders.TryGetValue(message.getRequestID(), out order))
{
_mapFxcmOrderIdsToOrders[orderId] = order;
order.BrokerId.Add(orderId);
order.PriceCurrency = message.getCurrency();
// new order
var orderEvent = new OrderEvent(order, DateTime.UtcNow, 0)
{
Status = ConvertOrderStatus(orderStatus)
};
_orderEventQueue.Enqueue(orderEvent);
}
}
if (message.getRequestID() == _currentRequest)
{
if (message.isLastRptRequested())
{
if (orderId == "NONE" && orderStatus.getCode() == IFixValueDefs.__Fields.FXCMORDSTATUS_REJECTED)
{
if (message.getSide() != SideFactory.UNDISCLOSED)
{
var messageText = message.getFXCMErrorDetails().Replace("\n", "");
Log.Trace("FxcmBrokerage.OnExecutionReport(): " + messageText);
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, "OrderSubmitReject", messageText));
}
_isOrderSubmitRejected = true;
}
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
}
}
}
public OnExecutionReport(ExecutionReport report)
{
this.report = report;
}
