public void RenderOrderAsFix(out QuickFix.Message myNOS, out KaiTrade.Interfaces.Message myMsg, out string myDriverCode, KaiTrade.Interfaces.Order myOrder)
{
try
{
lock (this)
{
// do not actually submit triggered orders
// register the order as a publisher
KaiTrade.Interfaces.Publisher myPub = null;
myPub = AppFactory.Instance().GetPublisherManager().GetPublisher(myOrder.Identity);
if (myPub == null)
{
myPub = myOrder as KaiTrade.Interfaces.Publisher;
AppFactory.Instance().GetPublisherManager().Add(myPub);
}
// Check the limits for the order
string myTextErr;
if (LimitChecker.Instance().BreaksLimits(out myTextErr, myOrder))
{
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = "order failed order qty limit test";
Exception myE = new Exception("process order failed order qty limit test");
throw myE;
}
// Create the FIX order message
myNOS = new QuickFix.Message();
// pending new at this stage
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.PENDING_NEW);
myOrder.TransactTime = new QuickFix.TransactTime(DateTime.Now.ToUniversalTime());
myNOS.setField(myOrder.TransactTime);
//myOrder.ClOrdID = new QuickFix.ClOrdID(KaiUtil.Identities.Instance.genReqID());
// Associate the CLOrdID with this order
AppFactory.Instance().GetOrderManager().AssociateClOrdID(myOrder.ClOrdID.getValue(), myOrder);
// Set fix version
QuickFix.BeginString myBeginString = new QuickFix.BeginString("FIX.4.4");
myNOS.getHeader().setField(myBeginString);
// Set order message type
QuickFix.MsgType msgType = new QuickFix.MsgType();
msgType.setValue("D");
myNOS.getHeader().setField(msgType);
myNOS.setField(myOrder.ClOrdID);
// set up the product details in the message
myOrder.Product.Set(myNOS);
// Qty
myNOS.setField(myOrder.OrderQty);
// MaxFloor
if (myOrder.MaxFloor != null)
{
myNOS.setField(myOrder.MaxFloor);
}
// set the side
myNOS.setField(myOrder.Side);
// set the order type
myNOS.setField(myOrder.OrdType);
// Time in force
if (myOrder.TimeInForce != null)
{
myNOS.setField(myOrder.TimeInForce);
}
else
{
myOrder.TimeInForce = new QuickFix.TimeInForce(QuickFix.TimeInForce.DAY);
myNOS.setField(myOrder.TimeInForce);
}
// Validation - check they entered a date/time if needed
switch (myOrder.TimeInForce.getValue())
{
case QuickFix.TimeInForce.GOOD_TILL_DATE:
break;
default:
break;
}
// do not add the price to the fix message on Market orders
if (myOrder.OrdType.getValue() != QuickFix.OrdType.MARKET)
{
if (myOrder.Price.getValue() > 0)
{
myNOS.setField(myOrder.Price);
}
else
{
throw new Exception("Must specify price > 0 on Limit and other non Market orders");
}
}
if (myOrder.StopPx != null)
{
myNOS.setField(myOrder.StopPx);
}
// default the handlInst to automated
if (myOrder.HandlInst != null)
{
myNOS.setField(myOrder.HandlInst);
}
else
{
myOrder.HandlInst = new QuickFix.HandlInst(QuickFix.HandlInst.AUTOEXECPUB);
myNOS.setField(myOrder.HandlInst);
}
// Create the message wrapper used to send the order to the driver
myMsg = new KaiTCPComm.KaiMessageWrap();
myMsg.Label = "D";
myDriverCode = "";
// A trade venue must be specified on the order
KaiTrade.Interfaces.Venue myVenue = null;
if (myOrder.Product.TradeVenue.Length > 0)
{
// get the driver code and session details from the venue manager
myVenue = AppFactory.Instance().GetVenueManager().GetVenue(myOrder.Product.TradeVenue);
if (myVenue != null)
{
myDriverCode = myVenue.DriverCode;
if (myVenue.TargetVenue.Length > 0)
{
myMsg.VenueCode = myVenue.TargetVenue;
}
if (myVenue.BeginString.Length > 0)
{
// this is the FIX version the server wants, we convert between
// versions in the FIX client
myMsg.Format = myVenue.BeginString;
}
if (myVenue.SID.Length > 0)
{
QuickFix.SenderCompID mySID = new QuickFix.SenderCompID(myVenue.SID);
myNOS.getHeader().setField(mySID);
myMsg.ClientID = myVenue.SID;
}
if (myVenue.TID.Length > 0)
{
QuickFix.TargetCompID myTID = new QuickFix.TargetCompID(myVenue.TID);
myNOS.getHeader().setField(myTID);
myMsg.TargetID = myVenue.TID;
}
}
else
{
string myErr = "Invalid Venue Code:" + myOrder.Product.TradeVenue;
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
}
else
{
string myErr = "No Venue Code specified on product:";
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
// process any venue field bags - do this prior to the order bags
// to allow the order setting to override the venues
List<KaiTrade.Interfaces.Field> myFieldBag;
KTAFacade.Instance().SetBag(out myFieldBag, myVenue.NOSBag, ",");
foreach (KaiTrade.Interfaces.Field myField in myFieldBag)
{
try
{
myNOS.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("NOS Extra tags from venue error:", myE);
}
}
// process any additional tags for the order
foreach (KaiTrade.Interfaces.Field myField in myOrder.NOSBag)
{
try
{
myNOS.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("NOS Extra tags error:", myE);
}
}
// additional setting placed here will override the
// fields in the bags
if (myOrder.Account != null)
{
if (myOrder.Account.getValue().Length > 0)
{
myNOS.setField(myOrder.Account);
}
}
QuickFix.TargetStrategyParameters targetStrategyParameters = new QuickFix.TargetStrategyParameters(myOrder.StrategyName);
myNOS.setField(targetStrategyParameters);
// Process any strategy parameters
if (myOrder.K2Parameters.Count > 0)
{
QuickFix.NoStrategyParameters noStratParms = new QuickFix.NoStrategyParameters(myOrder.K2Parameters.Count);
myNOS.setField(noStratParms);
QuickFix50Sp2.NewOrderSingle.NoStrategyParameters group = new QuickFix50Sp2.NewOrderSingle.NoStrategyParameters();
QuickFix.StrategyParameterName strategyParameterName;
QuickFix.StrategyParameterType strategyParameterType;
QuickFix.StrategyParameterValue strategyParameterValue;
foreach (KaiTrade.Interfaces.K2Parameter param in myOrder.K2Parameters)
{
strategyParameterName = new QuickFix.StrategyParameterName(param.ParameterName);
group.setField(strategyParameterName);
strategyParameterType = new QuickFix.StrategyParameterType((int)param.ParameterType);
group.setField(strategyParameterType);
strategyParameterValue = new QuickFix.StrategyParameterValue(param.ParameterValue);
group.setField(strategyParameterValue);
myNOS.addGroup(group);
}
}
// Set the FIX string as message data
myMsg.Data = myNOS.ToString();
// inform order manager clients that the order has changed
AppFactory.Instance().GetOrderManager().SetChanged(myOrder.Identity);
}
}
catch (Exception myE)
{
m_Log.Error("RenderOrderAsFix:", myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = myE.Message;
// inform order manager clients that the order has changed
AppFactory.Instance().GetOrderManager().SetChanged(myOrder.Identity);
throw (myE);
}
}
/// <summary>
/// Edit the order for the ID specified - throws an exception if the order isnt working
/// </summary>
/// <param name="myID"></param>
/// <param name="newQty">new qty if specified</param>
/// <param name="newPrice">new price if specified</param>
public void ReplaceOrder(string myID, double? newQty, double? newPrice, double? newStopPx)
{
KaiTrade.Interfaces.Order myOrder = null;
try
{
// Get Order
KaiTrade.Interfaces.OrderManager myOM = AppFactory.Instance().GetOrderManager();
myOrder = myOM.GetOrder(myID);
if (myOrder == null)
{
string myError = "Order not found cannot edit:" + myID;
Exception myE = new Exception(myError);
throw myE;
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("ReplaceOrder:"+ myOrder.ToString());
}
// are these changes?
if (!newValueDifferentFromOld(myOrder, newQty, newPrice, newStopPx))
{
string myError = "The new fields in the Replace request are the same as the existing fields" + myID;
Exception myE = new Exception(myError);
throw myE;
}
// Is this a triggered order
if (myOrder.TriggerOrderID.Length > 0)
{
if (newQty.HasValue)
{
myOrder.OrderQty = new QuickFix.OrderQty((double)newQty);
}
if (newPrice.HasValue)
{
myOrder.Price = new QuickFix.Price((double)newPrice);
}
if (newStopPx.HasValue)
{
myOrder.StopPx = new QuickFix.StopPx((double)newStopPx);
}
return;
}
// store the clordID's
//NOT USED? QuickFix.OrigClOrdID myOrigClOrdID;
QuickFix.ClOrdID myClOrdID;
// check if we are pending cancel or pending mod
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
// we are currently doing a replace - cannot do another
string myError = "Order is already processing a replace cannot modify at this time:" + myID;
Exception myE = new Exception(myError);
throw myE;
}
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
// we are currently doing a cancel - cannot do a mod
string myError = "Order is already processing a cancel cannot modify" + myID;
Exception myE = new Exception(myError);
throw myE;
}
// check that the order is working
if (!myOrder.IsWorking())
{
if ((myOrder.OrdType.getValue() == QuickFix.OrdType.STOP) || (myOrder.OrdType.getValue() == QuickFix.OrdType.STOP_LIMIT))
{
// no action
}
else
{
string myError = "Order is not in a working state cannot replace:" + myID;
Exception myE = new Exception(myError);
throw myE;
}
}
// Check the limits for the order
string myTextErr;
double qty;
if (newQty.HasValue)
{
qty = newQty.Value;
}
else
{
qty = myOrder.OrderQty.getValue();
}
double px;
if (newPrice.HasValue)
{
px = newPrice.Value;
}
else
{
px = myOrder.Price.getValue();
}
if (LimitChecker.Instance().BreaksLimits(out myTextErr, myOrder, qty, px))
{
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = "You have exceeded the order qty limit - please re-enter";
Exception myE = new Exception("You have exceeded the order qty limit - please re-enter");
throw myE;
}
// Create a FIX cancel replace messsage
QuickFix.Message myFixMsg = new QuickFix.Message();
QuickFix.MsgType msgType = new QuickFix.MsgType("G");
myFixMsg.getHeader().setField(msgType);
QuickFix.BeginString myBeginString = new QuickFix.BeginString("FIX.4.4");
myFixMsg.getHeader().setField(myBeginString);
// OrderID
if (myOrder.OrderID == null)
{
myOrder.Text = "No order ID found cannot modify order";
Exception myE = new Exception("No order ID found cannot modify order");
throw myE;
}
// set the original to the existing clordid
myOrder.OrigClOrdID = new QuickFix.OrigClOrdID(myOrder.ClOrdID.getValue());
myFixMsg.setField(myOrder.OrigClOrdID);
myFixMsg.setField(myOrder.OrderID);
////Side
myFixMsg.setField(myOrder.Side);
// set up the product details in the message
myOrder.Product.Set(myFixMsg);
//// Transact Time
myOrder.TransactTime = new QuickFix.TransactTime(DateTime.Now.ToUniversalTime());
myFixMsg.setField(myOrder.TransactTime);
myFixMsg.setField(myOrder.OrdType);
// Create the message wrapper used to send the order cancel to the driver
KaiTrade.Interfaces.Message myMsg = new KaiTCPComm.KaiMessageWrap();
myMsg.Label = "G";
string myDriverCode = "";
// A trade venue must be specified on the order
KaiTrade.Interfaces.Venue myVenue = null;
if (myOrder.Product.TradeVenue.Length > 0)
{
// get the driver code and session details from the venue manager
myVenue = AppFactory.Instance().GetVenueManager().GetVenue(myOrder.Product.TradeVenue);
if (myVenue != null)
{
myDriverCode = myVenue.DriverCode;
if (myVenue.TargetVenue.Length > 0)
{
myMsg.VenueCode = myVenue.TargetVenue;
}
if (myVenue.BeginString.Length > 0)
{
// this is the FIX version the server wants, we convert between
// versions in the FIX client
myMsg.Format = myVenue.BeginString;
}
if (myVenue.SID.Length > 0)
{
QuickFix.SenderCompID mySID = new QuickFix.SenderCompID(myVenue.SID);
myFixMsg.getHeader().setField(mySID);
myMsg.ClientID = myVenue.SID;
}
if (myVenue.TID.Length > 0)
{
QuickFix.TargetCompID myTID = new QuickFix.TargetCompID(myVenue.TID);
myFixMsg.getHeader().setField(myTID);
myMsg.TargetID = myVenue.TID;
}
}
else
{
string myErr = "Invalid Venue Code:" + myOrder.Product.TradeVenue;
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
}
else
{
string myErr = "No Venue Code specified on product:";
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
// process any venue field bags - do this prior to the order bags
// to allow the order setting to override the venues
List<KaiTrade.Interfaces.Field> myFieldBag;
KTAFacade.Instance().SetBag(out myFieldBag, myVenue.ReplaceBag, ",");
foreach (KaiTrade.Interfaces.Field myField in myFieldBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("replace Extra tags from venue error:", myE);
}
}
// process any additional tags for the order
foreach (KaiTrade.Interfaces.Field myField in myOrder.ReplaceBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("replace Extra tags error:", myE);
}
}
if (myOrder.Account != null)
{
if (myOrder.Account.getValue().Length > 0)
{
myFixMsg.setField(myOrder.Account);
}
}
try
{
//Send the message
KaiTrade.Interfaces.Driver myDrv = AppFactory.Instance().GetDriverManager().GetDriver(myDriverCode);
if (myDrv != null)
{
// save the existing clordid and set the new clordid
myClOrdID = myOrder.ClOrdID;
myOrder.ClOrdID = new QuickFix.ClOrdID(KaiUtil.Identities.Instance.genReqID());
myFixMsg.setField(myOrder.ClOrdID);
// Associate the CLOrdID with this order
AppFactory.Instance().GetOrderManager().AssociateClOrdID(myOrder.ClOrdID.getValue(), myOrder);
if (newQty.HasValue)
{
myOrder.OrderQty = new QuickFix.OrderQty((double)newQty);
myFixMsg.setField(myOrder.OrderQty);
}
if (newPrice.HasValue)
{
myOrder.Price = new QuickFix.Price((double)newPrice);
myFixMsg.setField(myOrder.Price);
}
if (newStopPx.HasValue)
{
myOrder.StopPx = new QuickFix.StopPx((double)newStopPx);
myFixMsg.setField(myOrder.StopPx);
}
// Set the FIX string as message data
myMsg.Data = myFixMsg.ToString();
// inform order manager clients that the order has changed
myOM.SetChanged(myOrder.Identity);
// send the message for processing
//myDrv.Send(myMsg);
// send the message for processing
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.replace;
//SendDelegate mySend = new SendDelegate(myDrv.Send);
//IAsyncResult ar = mySend.BeginInvoke(myMsg, SRCallback, "123456789");
myDrv.Send(myMsg);
}
else
{
string myError = "Driver not found for code:" + myDriverCode;
m_Log.Error(myError);
Exception myE = new Exception(myError);
throw myE;
}
}
catch (Exception myE)
{
m_Log.Error("EditOrder:Sendnessage part" + myOrder.Identity, myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
throw (myE);
}
}
catch (Exception myE)
{
m_Log.Error("ReplaceOrder:", myE);
if (myOrder != null)
{
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = myE.Message;
}
throw (myE);
}
}
/// <summary>
/// Cancel the order specified
/// </summary>
/// <param name="myID">ID of order to cancel</param>
public void CancelOrder(string myID)
{
try
{
// Get Order
KaiTrade.Interfaces.OrderManager myOM = AppFactory.Instance().GetOrderManager();
KaiTrade.Interfaces.Order myOrder = myOM.GetOrder(myID);
if (myOrder == null)
{
string myError = "Order not found cannot cancel:" + myID;
Exception myE = new Exception(myError);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("CancelOrder:" + myOrder.ToString());
}
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
string myError = "Order has already had a cancel processed - cannot recancel:" + myID;
Exception myE = new Exception(myError);
}
// Is this a triggered order
if (myOrder.TriggerOrderID.Length > 0)
{
KaiTrade.Interfaces.TriggeredOrder triggeredOrder = KTAFacade.Instance().Factory.GetTriggeredOrderManager().Get(myOrder.TriggerOrderID);
triggeredOrder.Cancel();
return;
}
// store the clordID's
//NOT USED? QuickFix.OrigClOrdID myOrigClOrdID;
QuickFix.ClOrdID myClOrdID;
if ((myOrder.OrdStatus.getValue() == QuickFix.OrdStatus.FILLED) || (myOrder.OrdStatus.getValue() == QuickFix.OrdStatus.CANCELED))
{
// cannot cancel the order - so return
return;
}
// Create a FIX cancel messsage
QuickFix.Message myFixMsg = new QuickFix.Message();
QuickFix.MsgType msgType = new QuickFix.MsgType("F");
myFixMsg.getHeader().setField(msgType);
QuickFix.BeginString myBeginString = new QuickFix.BeginString("FIX.4.4");
myFixMsg.getHeader().setField(myBeginString);
// set the original to the existing clordid
myOrder.OrigClOrdID = new QuickFix.OrigClOrdID(myOrder.ClOrdID.getValue());
myFixMsg.setField(myOrder.OrigClOrdID);
// save the existing clordid and set the new clordid
myClOrdID = myOrder.ClOrdID;
myOrder.ClOrdID = new QuickFix.ClOrdID(KaiUtil.Identities.Instance.genReqID());
myFixMsg.setField(myOrder.ClOrdID);
// Associate the CLOrdID with this order
AppFactory.Instance().GetOrderManager().AssociateClOrdID(myOrder.ClOrdID.getValue(), myOrder);
// OrderID
if (myOrder.OrderID != null)
{
myFixMsg.setField(myOrder.OrderID);
}
////Side
myFixMsg.setField(myOrder.Side);
// set up the product details in the message
myOrder.Product.Set(myFixMsg);
//// Transact Time
myOrder.TransactTime = new QuickFix.TransactTime(DateTime.Now.ToUniversalTime());
myFixMsg.setField(myOrder.TransactTime);
// Create the message wrapper used to send the order cancel to the driver
KaiTrade.Interfaces.Message myMsg = new KaiTCPComm.KaiMessageWrap();
myMsg.Label = "F";
string myDriverCode = "";
// A trade venue must be specified on the order
KaiTrade.Interfaces.Venue myVenue = null;
if (myOrder.Product.TradeVenue.Length > 0)
{
// get the driver code and session details from the venue manager
myVenue = AppFactory.Instance().GetVenueManager().GetVenue(myOrder.Product.TradeVenue);
if (myVenue != null)
{
myDriverCode = myVenue.DriverCode;
if (myVenue.TargetVenue.Length > 0)
{
myMsg.VenueCode = myVenue.TargetVenue;
}
if (myVenue.BeginString.Length > 0)
{
// this is the FIX version the server wants, we convert between
// versions in the FIX client
myMsg.Format = myVenue.BeginString;
}
if (myVenue.SID.Length > 0)
{
QuickFix.SenderCompID mySID = new QuickFix.SenderCompID(myVenue.SID);
myFixMsg.getHeader().setField(mySID);
myMsg.ClientID = myVenue.SID;
}
if (myVenue.TID.Length > 0)
{
QuickFix.TargetCompID myTID = new QuickFix.TargetCompID(myVenue.TID);
myFixMsg.getHeader().setField(myTID);
myMsg.TargetID = myVenue.TID;
}
}
else
{
string myErr = "Invalid Venue Code:" + myOrder.Product.TradeVenue;
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
}
else
{
string myErr = "No Venue Code specified on product:";
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
// process any venue field bags - do this prior to the order bags
// to allow the order setting to override the venues
List<KaiTrade.Interfaces.Field> myFieldBag;
KTAFacade.Instance().SetBag(out myFieldBag, myVenue.CancelBag, ",");
foreach (KaiTrade.Interfaces.Field myField in myFieldBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("cancel Extra tags from venue error:", myE);
}
}
// process any additional tags for the order
foreach (KaiTrade.Interfaces.Field myField in myOrder.CancelBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("cancel Extra tags error:", myE);
}
}
if (myOrder.Account != null)
{
if (myOrder.Account.getValue().Length > 0)
{
myFixMsg.setField(myOrder.Account);
}
}
// Set the FIX string as message data
myMsg.Data = myFixMsg.ToString();
// inform order manager clients that the order has changed
myOM.SetChanged(myOrder.Identity);
try
{
//Send the message
KaiTrade.Interfaces.Driver myDrv = AppFactory.Instance().GetDriverManager().GetDriver(myDriverCode);
if (myDrv != null)
{
// send the message for processing
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.cancel;
//SendDelegate mySend = new SendDelegate(myDrv.Send);
//IAsyncResult ar = mySend.BeginInvoke(myMsg, SRCallback, "123456789");
// send the message for processing
myDrv.Send(myMsg);
}
else
{
string myError = "Driver not found for code:" + myDriverCode;
m_Log.Error(myError);
Exception myE = new Exception(myError);
throw myE;
}
}
catch (Exception myE)
{
m_Log.Error("CanceltOrder:" + myOrder.Identity, myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
throw (myE);
}
}
catch (Exception myE)
{
m_Log.Error("CancelOrder:", myE);
throw (myE);
}
}