/// <summary>
/// Report after a request about orders is made
/// Possible cause:
/// - New order
/// - Cancel order
/// - Rejected order
/// - Requested order info
/// - Order filled or partially filled
/// </summary>
/// <param name="msg"></param>
/// <param name="sessionID"></param>
public void OnMessage(QuickFix.FIX44.ExecutionReport msg, SessionID sessionID)
{
char executionReportType = msg.GetChar(Tags.ExecType);
int clientOrderID = msg.GetInt(Tags.ClOrdID);
switch (executionReportType)
{
case ExecType.NEW:
{
// New order execution report
string avgPrice = msg.GetString(Tags.AvgPx);
char side = msg.GetChar(Tags.Side);
var order = new Order()
{
OrderID = msg.GetString(Tags.ExecID),
ClientOrderID = clientOrderID,
Price = double.Parse(avgPrice),
Side = side
};
CurrentOrders.Add(order);
OrderSubmitCallback?.Invoke(false);
OrderSubmitCallback = null;
Log.Write($"Submission confirmed {order}", 2);
break;
}
case ExecType.PARTIAL_FILL:
{
// Order executed
double executionPrice = (double)msg.GetDecimal(Tags.AvgPx);
int orderStatus = msg.GetInt(Tags.OrdStatus);
char side = msg.GetChar(Tags.Side);
double remainingQty = (double)msg.GetDecimal(Tags.LeavesQty);
var order = CurrentOrders.First(o => o.ClientOrderID == clientOrderID);
order.FilledVolume = order.Volume - remainingQty;
Log.Write($"Partial fill {order}", 2);
break;
}
case ExecType.FILL:
{
// Order executed
double executionPrice = (double)msg.GetDecimal(Tags.AvgPx);
int orderStatus = msg.GetInt(Tags.OrdStatus);
char side = msg.GetChar(Tags.Side);
var order = CurrentOrders.First(o => o.ClientOrderID == clientOrderID);
order.FilledVolume = order.Volume;
//CurrentOrders.Remove(order);
Log.Write($"Fill {order}", 2);
break;
}
case ExecType.CANCELED:
{
// Order cancel report
string orderID = msg.GetString(Tags.ExecID);
CurrentOrders.RemoveAll(o => o.ClientOrderID == clientOrderID);
OrderCancelCallback?.Invoke(false);
OrderCancelCallback = null;
break;
}
case ExecType.REJECTED:
{
// Rejected order execution report
OrderSubmitCallback?.Invoke(true);
OrderSubmitCallback = null;
string orderStatus = msg.GetString(Tags.OrdStatus);
string text = msg.GetString(Tags.Text);
Log.Write($"Order rejected | status: {orderStatus} | reason: {text}", 1);
break;
}
case ExecType.PENDING_NEW:
{
// Requested Order info
int numReports = msg.GetInt(Tags.TotNumReports);
if (!CurrentOrders.Exists(o => o.ClientOrderID.Equals(clientOrderID)))
{
CurrentOrders.Add(new Order()
{
OrderID = msg.GetString(Tags.OrderID),
ClientOrderID = clientOrderID,
Price = (double)msg.GetDecimal(Tags.AvgPx),
Side = msg.GetChar(Tags.Side)
});
}
break;
}
default:
Log.Write($"Unknown execution report type {executionReportType}", 0);
break;
}
}