public void NewOrder(string clrID, char handinst, char sideID, char orderType, string symbolID, string exchange, float?price, long Quantity)
{
ClOrdID clOrdID = new ClOrdID(clrID);
HandlInst inst = new HandlInst('1');//似乎国信只支持直通私有
Side side = new Side(sideID);
OrdType ordType = new OrdType(orderType);
Symbol symbol = new Symbol(symbolID);
TransactTime time = new TransactTime();
QuickFix42.NewOrderSingle message = new QuickFix42.NewOrderSingle(clOrdID, inst, symbol, side, time, ordType);
message.setString(38, Quantity.ToString());
if (ordType.getValue() == OrdType.LIMIT)
{
message.setString(44, price.Value.ToString());
}
message.setString(15, "CNY");
if (exchange == "SH")
{
message.setString(207, "XSHG");
}
else if (exchange == "SZ")
{
message.setString(207, "XSHE");
}
SendToServer(message);
}
public Message NewOrder(MDEntryGroup entryGroup, double quantity)
{
bool isInvertedSecurity = entryGroup.OwnerEntry.IsInverted;
Message message = null;
Account account = new Account(GetOrderSession().getSenderCompID().ToLower());
ClOrdID clOrdId = new ClOrdID("ClOrd_" + Guid.NewGuid());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
OrdType ordType = new OrdType(OrdType.LIMIT);
TimeInForce timeInForce = new TimeInForce(TimeInForce.FILL_OR_KILL);
TransactTime transactTime = new TransactTime();
Price price = new Price(entryGroup.MDEntryPx);
SecurityExchange securityExchange = new SecurityExchange(entryGroup.OwnerEntry.SecurityExchange);
SecurityType securityType = new SecurityType(entryGroup.OwnerEntry.SecurityType);
Symbol symbol = new Symbol(entryGroup.OwnerEntry.Symbol);
SecurityID securityId = new SecurityID(entryGroup.OwnerEntry.SecurityID);
OrderQty orderQty = new OrderQty(quantity);
Side side = null;
switch (entryGroup.MDEntryType)
{
case MDEntryType.BID:
side = new Side(Side.SELL);
break;
case MDEntryType.OFFER:
side = new Side(Side.BUY);
break;
default:
throw new Exception("Undefined entry type.");
}
//if (isInvertedSecurity && side.getValue() == Side.BUY)
// price = new Price(-price.getValue());
message = new QuickFix42.NewOrderSingle();
((QuickFix42.NewOrderSingle) message).set(account);
((QuickFix42.NewOrderSingle) message).set(clOrdId);
((QuickFix42.NewOrderSingle) message).set(side);
((QuickFix42.NewOrderSingle) message).set(transactTime);
((QuickFix42.NewOrderSingle) message).set(ordType);
((QuickFix42.NewOrderSingle) message).set(price);
((QuickFix42.NewOrderSingle) message).set(orderQty);
((QuickFix42.NewOrderSingle) message).set(securityId);
((QuickFix42.NewOrderSingle) message).set(securityExchange);
((QuickFix42.NewOrderSingle) message).set(timeInForce);
((QuickFix42.NewOrderSingle) message).set(securityType);
return message;
}
private Queue <QuickFix.FIX42.NewOrderSingle> CreateOrders(int n)
{
Queue <QuickFix.FIX42.NewOrderSingle> orders = new Queue <QuickFix.FIX42.NewOrderSingle>(n);
for (int i = 0; i < n; i++)
{
ClOrdID cloudOrderId = new ClOrdID(Guid.NewGuid().ToString());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
Symbol symbol = new Symbol("MSFT");
Side side = new Side(Side.BUY);
TransactTime time = new TransactTime();
OrdType orderType = new OrdType(OrdType.LIMIT);
QuickFix.FIX42.NewOrderSingle order = new QuickFix.FIX42.NewOrderSingle(cloudOrderId, handlInst, symbol, side, time, orderType);
order.Account = new Account("Account");
order.OrderQty = new OrderQty(100);
order.ExDestination = new ExDestination("*");
order.TimeInForce = new TimeInForce(TimeInForce.DAY);
order.Price = new Price(50m);
order.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
orders.Enqueue(order);
}
return(orders);
}
public Message CreateNewOrderSingleMessage(string symbol,
MarketSide marketSide,
string clOrdID,
TradingAccount account,
decimal price,
decimal quantity,
OrderType orderType,
string execID)
{
// hard-coded fields
var fHandlInst =
new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
var fOrdType = TranslateFixFields.Translate(orderType);
var fSide = TranslateFixFields.Translate(marketSide);
var fSymbol = new Symbol(symbol);
var fTransactTime = new TransactTime(DateTime.Now);
var fClOrdID = new ClOrdID(clOrdID);
var nos = new NewOrderSingle(fClOrdID,
fHandlInst,
fSymbol,
fSide,
fTransactTime,
fOrdType)
{
OrderQty = new OrderQty(quantity),
TimeInForce = new TimeInForce(TimeInForce.GOOD_TILL_CANCEL)
};
if (orderType == OrderType.Limit)
{
nos.Price = new Price(price);
}
return(nos);
}
/// <summary>
/// Converts a HandlInst to a string.
/// </summary>
/// <returns>A HandlInst value.</returns>
/// <param name="value">The FIX string representation of a HandlInst.</param>
public static string ConvertTo(HandlInst messageType)
{
return((string)HandlInstConverter.toTable[messageType]);
}
public Field(int tag, HandlInst value)
: this(tag, ((char)value).ToString())
{
}
public Field(Dictionary.Field definition, HandlInst value)
: this(definition.Tag, value)
{
Definition = definition;
}
