public override void onMessage( QuickFix40.NewOrderSingle order, SessionID sessionID ) { Symbol symbol = new Symbol(); Side side = new Side(); OrdType ordType = new OrdType(); OrderQty orderQty = new OrderQty(); Price price = new Price(); ClOrdID clOrdID = new ClOrdID(); order.get( ordType ); if ( ordType.getValue() != OrdType.LIMIT ) throw new IncorrectTagValue( ordType.getField() ); order.get( symbol ); order.get( side ); order.get( orderQty ); order.get( price ); order.get( clOrdID ); QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport ( genOrderID(), genExecID(), new ExecTransType( ExecTransType.NEW ), new OrdStatus ( OrdStatus.FILLED ), symbol, side, orderQty, new LastShares ( orderQty.getValue() ), new LastPx ( price.getValue() ), new CumQty ( orderQty.getValue() ), new AvgPx ( price.getValue() ) ); executionReport.set( clOrdID ); if( order.isSetAccount() ) executionReport.set( order.getAccount() ); try { Session.sendToTarget( executionReport, sessionID ); } catch ( SessionNotFound ) {} }
private static OrderData TranslateOrderImpl(Symbol symbol, Side side, OrdType ordType, OrderQty orderQty, Price price, ClOrdID clOrdID, Account account) { switch (ordType.getValue()) { case OrdType.LIMIT: if (price.Obj == 0) { throw new IncorrectTagValue(price.Tag); } break; //case OrdType.MARKET: break; default: throw new IncorrectTagValue(ordType.Tag); } return(new OrderData { MarketSide = TranslateFixFields.Translate(side), Symbol = symbol.getValue(), OrderType = TranslateFixFields.Translate(ordType), Quantity = orderQty.getValue(), Price = price.getValue(), ClOrdID = clOrdID.getValue(), Account = account == null ? TradingAccount.None : new TradingAccount(account.getValue()) }); }