//public void OnMessage(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s)
//{
// var noMdEntries = message.NoLegs.getValue();
// var group = new QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup();
// SendNewExecutionReport(message, s, noMdEntries, group);
// Thread.Sleep(100);
// SendFilledExecutionReport(message, s, noMdEntries, group);
//}
//private void SendNewExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group)
//{
// Symbol symbol = new Symbol("L");
// Side side = new Side('L');
// OrdType ordType = message.OrdType;
// QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport(
// new OrderID(GenOrderID()),
// new ExecID(""),
// new ExecTransType(ExecTransType.NEW),
// new ExecType(ExecType.NEW),
// new OrdStatus(OrdStatus.NEW),
// symbol,
// side,
// new LeavesQty(0),
// new CumQty(0),
// new AvgPx(0));
// exReport.Set(message.ClOrdID);
// exReport.Set(message.TimeInForce);
// if (message.IsSetAccount())
// exReport.SetField(message.Account);
// for (int i = 1; i <= noMdEntries; i++)
// {
// var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group);
// var Exgroup = new QuickFix.FIX42.ExecutionReport.NoLegsGroup();
// Exgroup.LegOrderQty = new LegOrderQty(n.LegOrderQty.getValue());
// Exgroup.LegPrice = new LegPrice(n.LegPrice.getValue());
// Exgroup.LegSecurityID = new LegSecurityID(n.LegSecurityID.getValue());
// Exgroup.LegProduct = new LegProduct(n.LegProduct.getValue());
// message.AddGroup(Exgroup);
// }
// try
// {
// Session.SendToTarget(exReport, s);
// }
// catch (SessionNotFound ex)
// {
// Console.WriteLine("==session not found exception!==");
// Console.WriteLine(ex.ToString());
// }
// catch (Exception ex)
// {
// Console.WriteLine(ex.ToString());
// }
//}
//private void SendFilledExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group)
//{
// for (int i = 1; i <= noMdEntries; i++)
// {
// var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group);
// SecurityID security = new SecurityID(n.LegSecurityID.getValue());
// Symbol symbol = new Symbol(n.LegSymbol.getValue());
// Side side = new Side(n.IsSetLegSide() ? n.LegSide.getValue() : 'B');
// OrdType ordType = message.OrdType;
// OrderQty orderQty = new OrderQty(n.LegOrderQty.getValue());
// ClOrdID clOrdID = message.ClOrdID;
// Price price = new Price(DEFAULT_MARKET_PRICE);
// TimeInForce tm = message.TimeInForce;
// switch (ordType.getValue())
// {
// case OrdType.LIMIT:
// price = new Price(n.LegPrice.getValue());
// if (price.Obj == 0)
// throw new IncorrectTagValue(price.Tag);
// break;
// case OrdType.MARKET:
// break;
// default:
// throw new IncorrectTagValue(ordType.Tag);
// }
// QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport(
// new OrderID(GenOrderID()),
// new ExecID(DateTime.Now.ToString("yyyyMMddHHmmss") + GenExecID()),
// new ExecTransType(ExecTransType.NEW),
// new ExecType(ExecType.FILL),
// new OrdStatus(OrdStatus.FILLED),
// symbol,
// side,
// new LeavesQty(0),
// new CumQty(orderQty.getValue()),
// new AvgPx(price.getValue()));
// exReport.Set(security);
// exReport.Set(clOrdID);
// exReport.Set(orderQty);
// exReport.Set(new LastShares(orderQty.getValue()));
// exReport.Set(new LastPx(price.getValue()));
// exReport.Set(message.TimeInForce);
// if (message.IsSetAccount())
// exReport.SetField(message.Account);
// try
// {
// Session.SendToTarget(exReport, s);
// }
// catch (SessionNotFound ex)
// {
// Console.WriteLine("==session not found exception!==");
// Console.WriteLine(ex.ToString());
// }
// catch (Exception ex)
// {
// Console.WriteLine(ex.ToString());
// }
// }
//}
public void OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
ClOrdID clOrdID = n.ClOrdID;
Price price = new Price(DEFAULT_MARKET_PRICE);
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(orderQty);
exReport.Set(new LastShares(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
/// <summary>
/// Translate FIX42 NewOrderSingle message to OrderData
/// </summary>
/// <param name="n">The message</param>
/// <returns>The order data</returns>
/// <exception cref="QuickFix.IncorrectTagValue"></exception>
public static OrderData Translate(QuickFix.FIX42.NewOrderSingle n)
{
ValidateIsSupportedOrderType(n.OrdType);
return(TranslateOrderImpl(n.Symbol,
n.Side,
n.OrdType,
n.OrderQty,
n.Price,
n.ClOrdID,
n.IsSetAccount() ? n.Account : null));
}