public ExecutionReport(
QuickFix.OrderID aOrderID,
QuickFix.ExecID aExecID,
QuickFix.ExecTransType aExecTransType,
QuickFix.ExecType aExecType,
QuickFix.OrdStatus aOrdStatus,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.LastShares aLastShares,
QuickFix.LastPx aLastPx,
QuickFix.LeavesQty aLeavesQty,
QuickFix.CumQty aCumQty,
QuickFix.AvgPx aAvgPx)
: base(MsgType())
{
set(aOrderID);
set(aExecID);
set(aExecTransType);
set(aExecType);
set(aOrdStatus);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aLastShares);
set(aLastPx);
set(aLeavesQty);
set(aCumQty);
set(aAvgPx);
}
public OrderCancelReject(
QuickFix.OrderID aOrderID,
QuickFix.ClOrdID aClOrdID)
: base(MsgType())
{
set(aOrderID);
set(aClOrdID);
}
public OrderCancelReject(
QuickFix.OrderID aOrderID,
QuickFix.ClOrdID aClOrdID,
QuickFix.OrdStatus aOrdStatus,
QuickFix.CxlRejResponseTo aCxlRejResponseTo)
: base(MsgType())
{
set(aOrderID);
set(aClOrdID);
set(aOrdStatus);
set(aCxlRejResponseTo);
}
public DontKnowTrade(
QuickFix.OrderID aOrderID,
QuickFix.ExecID aExecID,
QuickFix.DKReason aDKReason,
QuickFix.Side aSide)
: base(MsgType())
{
set(aOrderID);
set(aExecID);
set(aDKReason);
set(aSide);
}
public QuickFix.OrderID getOrderID()
{ QuickFix.OrderID value = new QuickFix.OrderID();
getField(value); return value; }
public bool isSet(QuickFix.OrderID field)
{
return(isSetField(field));
}
public QuickFix.OrderID getOrderID()
{
QuickFix.OrderID value = new QuickFix.OrderID();
getField(value); return(value);
}
public QuickFix.OrderID get(QuickFix.OrderID value)
{
getField(value); return(value);
}
public void set(QuickFix.OrderID value)
{
setField(value);
}
/// <summary>
/// Handle an incomming execution report
/// </summary>
/// <param name="myMsg"></param>
public void HandleExecReport(KaiTrade.Interfaces.Message myMsg)
{
try
{
if (m_Log.IsInfoEnabled)
{
m_Log.Info("OrderService:HandleExecReport:" + myMsg.Data);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("OrderService:HandleExecReport:" + myMsg.Data);
}
// Get order manager
KaiTrade.Interfaces.OrderManager myOM = KTAFacade.Instance().Factory.GetOrderManager();
//Create a quickfix message object
QuickFix.Message myFixMsg = new QuickFix.Message(myMsg.Data);
QuickFix.ExecID myExecID = new QuickFix.ExecID();
myFixMsg.getField(myExecID);
// check if we have already processed this report
if (!myOM.RecordExecutionReport(myExecID.getValue(), myFixMsg))
{
// we have processed this already
m_Log.Warn("HandleExecReport: Duplicate Exec Report:" + myMsg.Data);
return;
}
// these fields must be present
QuickFix.OrderID myOrderID = new QuickFix.OrderID();
myFixMsg.getField(myOrderID);
QuickFix.ExecType myExecType = new QuickFix.ExecType();
myFixMsg.getField(myExecType);
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myFixMsg.getField(myOrdStatus);
// we need the clordid to update an existing order - if
// it is not present or unknow we create a synthetic order
QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
KaiTrade.Interfaces.Order myOrder = null;
if (myFixMsg.isSetField(myClOrdID))
{
myFixMsg.getField(myClOrdID);
myOrder = myOM.GetOrderWithClOrdIDID(myClOrdID.getValue());
}
if (myOrder == null)
{
myOrder = CreateSyntheticOrder(myFixMsg);
}
// add the ExecRep to the Order
KaiTrade.Interfaces.Fill myFill = new K2DataObjects.FillData();
myFill.OrderID = myOrder.Identity;
myFill.SetUpFromFixExecReport(myFixMsg.ToString());
myOrder.FillsList.Add(myFill);
// update mandatory fields
myOrder.OrderID = myOrderID;
myOrder.OrdStatus = myOrdStatus;
QuickFix.Text myText = new QuickFix.Text();
if (myFixMsg.isSetField(myText))
{
myFixMsg.getField(myText);
myOrder.Text = myText.getValue();
}
QuickFix.Account myAccount = new QuickFix.Account();
if (myFixMsg.isSetField(myAccount))
{
myFixMsg.getField(myAccount);
myOrder.Account = myAccount;
}
// process the execution depanding on type of ExecReport
switch (myExecType.getValue())
{
case QuickFix.ExecType.NEW:
processGeneralExecRep(ref myOrder, myFixMsg);
/*
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else
{
m_Log.Error("HandleExecReport:OrderStatus new not expected");
}
* */
break;
case QuickFix.ExecType.FILL:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
processFill(ref myOrder, myFixMsg);
break;
case QuickFix.ExecType.PARTIAL_FILL:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
processFill(ref myOrder, myFixMsg);
break;
case QuickFix.ExecType.ORDER_STATUS:
processGeneralExecRep(ref myOrder, myFixMsg);
break;
default:
processGeneralExecRep(ref myOrder, myFixMsg);
break;
}
myOM.SetChanged(myOrder.Identity);
// Check if the order is part of a strategy
if (myOrder.ParentIdentity != null)
{
// get the strategy concerned
KaiTrade.Interfaces.IStrategy myStrat = KTAFacade.Instance().Factory.GetStrategyManager().GetStrategy(myOrder.ParentIdentity);
if (myStrat != null)
{
myStrat.HandleExecReport(myFixMsg, myOrder);
}
else
{
m_Log.Error("Strategy not found for:" + myOrder.ParentIdentity);
}
}
if (myOrder.OCAGroupName.Length > 0)
{
KTAFacade.Instance().Factory.GetOCOManager().OnOrderTraded(myOrder);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("OrderService:HandleExecRep:Exit:" + myOrder.ToString());
}
}
catch (Exception myE)
{
m_Log.Error("HandleExecReport", myE);
}
}
/// <summary>
/// Create a synthetic order
/// </summary>
/// <param name="myMsg"></param>
/// <returns>n order</returns>
public KaiTrade.Interfaces.Order CreateSyntheticOrder(QuickFix.Message myFixMsg)
{
KaiTrade.Interfaces.Order myOrder = null;
try
{
if (m_Log.IsInfoEnabled)
{
m_Log.Info("exec report recd:" + myFixMsg.ToString());
}
// Get order manager
KaiTrade.Interfaces.OrderManager myOM = KTAFacade.Instance().Factory.GetOrderManager();
// these fields must be present
QuickFix.OrderID myOrderID = new QuickFix.OrderID();
myFixMsg.getField(myOrderID);
QuickFix.ExecType myExecType = new QuickFix.ExecType();
myFixMsg.getField(myExecType);
QuickFix.ExecID myExecID = new QuickFix.ExecID();
myFixMsg.getField(myExecID);
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myFixMsg.getField(myOrdStatus);
// Create the order
myOrder = myOM.CreateOrder();
// we need the clordid to update an existing order - if
// it is not present or unknow we create a synthetic order
QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
if (myFixMsg.isSetField(myClOrdID))
{
myOrder.ClOrdID = myClOrdID;
}
}
catch (Exception myE)
{
m_Log.Error("CreateSyntheticOrder", myE);
}
return myOrder;
}
