public void SendFill(MessageFIX4_2 packetFIX)
{
var clientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out clientOrderId);
var originalClientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out originalClientOrderId);
if (debug)
{
log.Debug("SendFill( " + packetFIX.ClientOrderId + ")");
}
var symbolInfo = Factory.Symbol.LookupSymbol(packetFIX.Symbol);
var timeZone = new SymbolTimeZone(symbolInfo);
SymbolAlgorithm algorithm;
if (!TryGetAlgorithm(symbolInfo.BinaryIdentifier, out algorithm))
{
log.Info("Fill received but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
return;
}
var fillPosition = packetFIX.LastQuantity * SideToSign(packetFIX.Side);
if (GetSymbolStatus(symbolInfo))
{
CreateOrChangeOrder order;
if (OrderStore.TryGetOrderById(clientOrderId, out order))
{
TimeStamp executionTime;
if (UseLocalFillTime)
{
executionTime = TimeStamp.UtcNow;
}
else
{
executionTime = new TimeStamp(packetFIX.TransactionTime);
}
var configTime = executionTime;
configTime.AddSeconds(timeZone.UtcOffset(executionTime));
var fill = Factory.Utility.PhysicalFill(fillPosition, packetFIX.LastPrice, configTime, executionTime, order.BrokerOrder, false, packetFIX.OrderQuantity, packetFIX.CumulativeQuantity, packetFIX.LeavesQuantity, IsRecovered, true);
if (debug)
{
log.Debug("Sending physical fill: " + fill);
}
algorithm.OrderAlgorithm.ProcessFill(fill);
algorithm.OrderAlgorithm.ProcessOrders();
TrySendStartBroker(symbolInfo, "position sync on fill");
}
else
{
algorithm.OrderAlgorithm.IncreaseActualPosition(fillPosition);
log.Notice("Fill id " + packetFIX.ClientOrderId + " not found. Must have been a manual trade.");
if (SyncTicks.Enabled)
{
var tickSync = SyncTicks.GetTickSync(symbolInfo.BinaryIdentifier);
tickSync.RemovePhysicalFill(packetFIX.ClientOrderId);
}
}
}
}
private void ExecutionReport(MessageFIX4_2 packetFIX)
{
var clientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out clientOrderId);
var originalClientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out originalClientOrderId);
if (packetFIX.Text == "END")
{
throw new ApplicationException("Unexpected END in FIX Text field. Never sent a 35=AF message.");
}
SymbolAlgorithm algorithm = null;
SymbolInfo symbolInfo = packetFIX.Symbol != null?Factory.Symbol.LookupSymbol(packetFIX.Symbol) : null;
if (symbolInfo != null)
{
TryGetAlgorithm(symbolInfo.BinaryIdentifier, out algorithm);
}
string orderStatus = packetFIX.OrderStatus;
switch (orderStatus)
{
case "0": // New
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport New: " + packetFIX);
}
if (algorithm == null)
{
log.Info("New order but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
CreateOrChangeOrder order = null;
OrderStore.TryGetOrderById(clientOrderId, out order);
if (order != null && symbolInfo.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder) // Stop Order
{
if (order.Type == OrderType.BuyStop || order.Type == OrderType.SellStop)
{
if (debug)
{
log.Debug("New order message for Forex Stop: " + packetFIX);
}
break;
}
}
algorithm.OrderAlgorithm.ConfirmCreate(clientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm cancel");
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "1": // Partial
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Partial: " + packetFIX);
}
//UpdateOrder(packetFIX, OrderState.Active, null);
SendFill(packetFIX);
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "2": // Filled
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Filled: " + packetFIX);
}
if (packetFIX.CumulativeQuantity < packetFIX.LastQuantity)
{
log.Warn("Ignoring message due to CumQty " + packetFIX.CumulativeQuantity + " less than " + packetFIX.LastQuantity + ". This is a workaround for a MBT FIX server which sends an extra invalid fill message on occasion.");
break;
}
SendFill(packetFIX);
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "5": // Replaced
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Replaced: " + packetFIX);
}
if (algorithm == null)
{
log.Info("ConfirmChange but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
algorithm.OrderAlgorithm.ConfirmChange(clientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm change");
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "4": // Canceled
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Canceled: " + packetFIX);
}
if (algorithm == null)
{
log.Info("Order Canceled but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
if (clientOrderId != 0)
{
algorithm.OrderAlgorithm.ConfirmCancel(clientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm cancel");
}
else if (originalClientOrderId != 0)
{
algorithm.OrderAlgorithm.ConfirmCancel(originalClientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm cancel orig order");
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "6": // Pending Cancel
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Pending Cancel: " + packetFIX);
}
if (!string.IsNullOrEmpty(packetFIX.Text) && packetFIX.Text.Contains("multifunction order"))
{
if (debug && (LogRecovery || IsRecovered))
{
log.Debug("Pending cancel of multifunction order, so removing " + packetFIX.ClientOrderId + " and " + packetFIX.OriginalClientOrderId);
}
if (clientOrderId != 0L)
{
OrderStore.RemoveOrder(clientOrderId);
}
if (originalClientOrderId != 0L)
{
OrderStore.RemoveOrder(originalClientOrderId);
}
break;
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
TryHandlePiggyBackFill(packetFIX);
break;
case "8": // Rejected
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Reject: " + packetFIX);
}
RejectOrder(packetFIX);
break;
case "9": // Suspended
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Suspended: " + packetFIX);
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "A": // PendingNew
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Pending New: " + packetFIX);
}
if (algorithm == null)
{
log.Info("PendingNew but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
OrderStore.TryGetOrderById(clientOrderId, out order);
if (order != null && symbolInfo.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
(order.Type == OrderType.BuyStop || order.Type == OrderType.SellStop))
{
if (packetFIX.ExecutionType == "D") // Restated
{
if (debug)
{
log.Debug("Ignoring restated message 150=D for Forex stop execution report 39=A.");
}
}
else
{
algorithm.OrderAlgorithm.ConfirmCreate(originalClientOrderId, IsRecovered);
}
}
else
{
algorithm.OrderAlgorithm.ConfirmActive(originalClientOrderId, IsRecovered);
}
TrySendStartBroker(symbolInfo, "sync on confirm cancel orig order");
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "E": // Pending Replace
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Pending Replace: " + packetFIX);
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
TryHandlePiggyBackFill(packetFIX);
break;
case "R": // Resumed.
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Resumed: " + packetFIX);
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
//UpdateOrder(packetFIX, OrderState.Active, null);
// Ignore
break;
default:
throw new ApplicationException("Unknown order status: '" + orderStatus + "'");
}
}
private void CancelRejected(MessageFIX4_2 packetFIX)
{
var clientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out clientOrderId);
var originalClientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out originalClientOrderId);
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("CancelRejected: " + packetFIX);
}
string orderStatus = packetFIX.OrderStatus;
switch (orderStatus)
{
case "2": //Filled
var rejectReason = false;
if (packetFIX.Text.Contains("Unknown order") || packetFIX.Text.Contains("Order is completed"))
{
rejectReason = true;
log.Warn("RemoveOriginal=FALSE for: " + packetFIX.Text);
//removeOriginal = true;
}
else
{
log.Error("Unknown text meesage in CancelReject: " + packetFIX.Text);
}
CreateOrChangeOrder order;
if (OrderStore.TryGetOrderById(clientOrderId, out order))
{
var symbol = order.Symbol;
SymbolAlgorithm algorithm;
if (!TryGetAlgorithm(symbol.BinaryIdentifier, out algorithm))
{
log.Info("Cancel rejected but OrderAlgorithm not found for " + symbol + ". Ignoring.");
break;
}
var retryImmediately = true;
algorithm.OrderAlgorithm.RejectOrder(clientOrderId, IsRecovered, retryImmediately);
}
else
{
if (debug)
{
log.Debug("Order not found for " + clientOrderId + ". Probably allready filled or canceled.");
}
}
if (!rejectReason && IsRecovered)
{
var message = "Order Rejected: " + packetFIX.Text + "\n" + packetFIX;
var stopping = "The cancel reject error message '" + packetFIX.Text + "' was unrecognized. ";
log.Warn(message);
log.Error(stopping);
}
else
{
if (LogRecovery || !IsRecovery)
{
log.Info("CancelReject(" + packetFIX.Text + ") Removed cancel order: " + packetFIX.ClientOrderId);
}
}
break;
default:
throw new ApplicationException("Unknown cancel rejected order status: '" + orderStatus + "'");
}
}
private void OnCreateOrChangeBrokerOrder(CreateOrChangeOrder order, bool resend)
{
var fixMsg = (FIXMessage4_2)(resend ? FixFactory.Create(order.Sequence) : FixFactory.Create());
order.Sequence = fixMsg.Sequence;
OrderStore.SetOrder(order);
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
if (order.Size > order.Symbol.MaxOrderSize)
{
throw new ApplicationException("Order was greater than MaxOrderSize of " + order.Symbol.MaxPositionSize + " for:\n" + order);
}
var orderHandler = GetAlgorithm(order.Symbol.BinaryIdentifier);
var orderSize = order.Type == OrderType.SellLimit || order.Type == OrderType.SellMarket || order.Type == OrderType.SellStop ? -order.Size : order.Size;
if (Math.Abs(orderHandler.OrderAlgorithm.ActualPosition + orderSize) > order.Symbol.MaxPositionSize)
{
throw new ApplicationException("Order was greater than MaxPositionSize of " + order.Symbol.MaxPositionSize + " for:\n" + order);
}
if (debug)
{
log.Debug("Adding Order to open order list: " + order);
}
if (order.Action == OrderAction.Change)
{
var origBrokerOrder = order.OriginalOrder.BrokerOrder;
fixMsg.SetClientOrderId(order.BrokerOrder.ToString());
fixMsg.SetOriginalClientOrderId(origBrokerOrder.ToString());
CreateOrChangeOrder origOrder;
if (OrderStore.TryGetOrderById(origBrokerOrder, out origOrder))
{
origOrder.ReplacedBy = order;
if (debug)
{
log.Debug("Setting replace property of " + origBrokerOrder + " to " + order.BrokerOrder);
}
}
}
else
{
fixMsg.SetClientOrderId(order.BrokerOrder.ToString());
}
if (order.Action == OrderAction.Change)
{
fixMsg.AddHeader("G");
}
else
{
fixMsg.AddHeader("D");
if (order.Symbol.Destination.ToLower() == "default")
{
fixMsg.SetDestination(Destination);
}
else
{
fixMsg.SetDestination(order.Symbol.Destination);
}
}
fixMsg.SetSymbol(order.Symbol.Symbol);
fixMsg.SetSide(order.Side == OrderSide.Buy ? 1 : 5);
switch (order.Type)
{
case OrderType.BuyLimit:
fixMsg.SetOrderType(2);
fixMsg.SetPrice(order.Price);
switch (order.Symbol.TimeInForce)
{
case TimeInForce.Day:
fixMsg.SetTimeInForce(0);
break;
case TimeInForce.GTC:
throw new LimeException("Lime does not accept GTC Buy Lime Orders");
default:
throw new ArgumentOutOfRangeException();
}
break;
case OrderType.BuyMarket:
fixMsg.SetOrderType(1);
//fixMsg.SetTimeInForce(0);
break;
case OrderType.BuyStop:
// throw new LimeException("Lime does not accept Buy Stop Orders");
log.Error("Lime: Buy Stops not supproted");
break;
case OrderType.SellLimit:
fixMsg.SetOrderType(2);
fixMsg.SetPrice(order.Price);
switch (order.Symbol.TimeInForce)
{
case TimeInForce.Day:
fixMsg.SetTimeInForce(0);
break;
case TimeInForce.GTC:
throw new LimeException("Lime does not accept GTC Buy Lime Orders");
default:
throw new ArgumentOutOfRangeException();
}
break;
case OrderType.SellMarket:
fixMsg.SetOrderType(1);
//fixMsg.SetTimeInForce(0);
break;
case OrderType.SellStop:
//throw new LimeException("Lime does not accept Sell Stop Orders");
log.Error("Lime: Sell Stops not supproted");
break;
default:
throw new LimeException("Unknown OrderType");
}
fixMsg.SetOrderQuantity((int)order.Size);
if (order.Action == OrderAction.Change)
{
if (verbose)
{
log.Verbose("Change order: \n" + fixMsg);
}
}
else
{
if (verbose)
{
log.Verbose("Create new order: \n" + fixMsg);
}
}
if (resend)
{
fixMsg.SetDuplicate(true);
}
#if NOT_LIME
fixMsg.SetAccount(AccountNumber);
fixMsg.SetHandlingInstructions(1);
fixMsg.SetLocateRequired("N");
fixMsg.SetTransactTime(order.UtcCreateTime);
fixMsg.SetOrderCapacity("A");
fixMsg.SetUserName();
#endif
fixMsg.SetSendTime(order.UtcCreateTime);
SendMessage(fixMsg);
}
