public override void onMessage(QuickFix44.ExecutionReport message, SessionID session)
{
OrderID orderID = message.getOrderID();
ClOrdID clOrdID = message.getClOrdID();
OrdStatus ordStatus = message.getOrdStatus();
Symbol symbol = message.getSymbol();
// firing event
Console.WriteLine("QuickFix44.ExecutionReport: {0}, {1}, {2}, {3}", orderID, clOrdID, ordStatus, symbol);
this.fixServices.NotifyExecutionInfo(Counterpart.Dukascopy, DataAdaptors.AdaptExecutionReport(new DukascopyExecutionReportToAdapt(message)));
}
public override void onMessage(QuickFix44.NewOrderSingle order, SessionID sessionID)
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get(ordType);
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.getField());
}
order.get(symbol);
order.get(side);
order.get(orderQty);
order.get(price);
order.get(clOrdID);
QuickFix44.ExecutionReport executionReport = new QuickFix44.ExecutionReport
(genOrderID(),
genExecID(),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
executionReport.set(clOrdID);
executionReport.set(symbol);
executionReport.set(orderQty);
executionReport.set(new LastQty(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
if (order.isSetAccount())
{
executionReport.setField(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
/**
* Process the Execution reports, adding them to the internal orders map
*/
public override void onMessage(QuickFix44.ExecutionReport report, QuickFix.SessionID session)
{
// fire an event that a new message arrived
if (this.messageRecieved != null)
{
this.messageRecieved(report);
}
// add a note regarding the order to the log window
Console.WriteLine(
"An order for {0:N0} {1} on {2} placed on {3} with ID {4} updated as {5}",
report.getOrderQty().getValue(),
((report.getSide().getValue() == 2) ? "Sell" : "Buy"),
report.getSymbol().getValue(),
report.getAccount().getValue(),
report.getOrderID().getValue(),
report.getString(9051) // FXCMOrdStatus
);
}
protected void ProcesssNewOrderSingleThread(object param)
{
QuickFix44.NewOrderSingle order = (QuickFix44.NewOrderSingle)param;
while (true)
{
string clOrdId = order.getString(ClOrdID.FIELD);
string account = order.getString(Account.FIELD);
string symbol = order.getString(Symbol.FIELD);
double lvsQty = order.getDouble(OrderQty.FIELD);
char ordType = order.getChar(OrdType.FIELD);
char side = order.getChar(Side.FIELD);
QuickFix44.ExecutionReport exReport = new QuickFix44.ExecutionReport();
int i = 0;
exReport.setField(new ExecID(i.ToString()));
exReport.setField(new ExecTransType(ExecTransType.NEW));
exReport.setField(new ClOrdID(clOrdId));
exReport.setField(new OrderID(Guid.NewGuid().ToString()));
exReport.setField(new ExecType(ExecType.NEW));
exReport.setField(new OrdStatus(OrdStatus.NEW));
exReport.setField(new TransactTime(DateTime.Now));
exReport.setField(new LeavesQty(lvsQty));
exReport.setField(new CumQty(0));
exReport.setField(new AvgPx(0));
exReport.setField(new MultiLegReportingType(MultiLegReportingType.SINGLE));
exReport.setField(new Symbol(symbol));
exReport.setField(new Account(account));
//exReport.setField(new OrderCapacity(OrderCapacity.PRINCIPAL));
//exReport.setField(new CustOrderCapacity(CustOrderCapacity.MEMBER_TRADING_FOR_THEIR_OWN_ACCOUNT));
exReport.setField(new Side(side));
exReport.setField(new OrdType(ordType));
exReport.setField(new OpenClose(OpenClose.OPEN));
exReport.setField(new TimeInForce(TimeInForce.GOOD_TILL_CANCEL));
Session.sendToTarget(exReport, SessionID);
Thread.Sleep(1000);
}
}
/**
* Update the DataGridView based on the given ExecutionReport, thread-safe
*/
public void update(QuickFix44.ExecutionReport report)
{
if (grdOrders.InvokeRequired)
{
updateCallback1 d = new updateCallback1(update);
this.Invoke(d, new object[] { report });
}
else
{
String reportID = report.getOrderID().getValue();
// if the order is already in the DataGridView
if (orderMap.ContainsKey(reportID))
{
// update the cells with the values that changed
DataGridViewRow row = grdOrders.Rows[orderMap[reportID]];
row.Cells["Status"].Value = report.getString(9051); // FXCMOrdStatus
row.Cells["Open"].Value = report.getPrice().getValue();
// scroll to the updated row
grdOrders.CurrentCell = grdOrders[0, orderMap[reportID]];
}
else // otherwise add it to the DataGridView
{
orderMap.Add(reportID, orderMap.Count);
grdOrders.Rows.Add(
report.getAccount().getValue(),
report.getString(9051), // FXCMOrdStatus
reportID,
report.getSymbol().getValue(),
report.getOrderID().getValue(),
report.getPrice().getValue()
);
// scroll to the added row
grdOrders.CurrentCell = grdOrders[0, orderMap.Count - 1];
}
// force the interface to refresh
Application.DoEvents();
}
}
public DukascopyExecutionReportToAdapt(QuickFix44.ExecutionReport message)
{
this.OrderID = message.isSetOrderID() ? message.getOrderID() : null;
this.ClOrdID = message.isSetClOrdID() ? message.getClOrdID() : null;
this.ExecID = message.isSetExecID() ? message.getExecID() : null;
this.OrdStatus = message.isSetOrdStatus() ? message.getOrdStatus() : null;
this.ExecType = message.isSetExecType() ? message.getExecType() : null;
this.Symbol = message.isSetSymbol() ? message.getSymbol() : null;
this.TimeInForce = message.isSetTimeInForce() ? message.getTimeInForce() : null;
this.CumQty = message.isSetCumQty() ? message.getCumQty() : null;
this.LeavesQty = message.isSetLeavesQty() ? message.getLeavesQty() : null;
this.OrderQty = message.isSetOrderQty() ? message.getOrderQty() : null;
this.Side = message.isSetSide() ? message.getSide() : null;
this.OrdType = message.isSetOrdType() ? message.getOrdType() : null;
this.AvgPx = message.isSetAvgPx() ? message.getAvgPx() : null;
this.ExpireTime = message.isSetExpireTime() ? message.getExpireTime() : null;
this.TransactTime = message.isSetTransactTime() ? message.getTransactTime() : null;
this.LastRptRequested = message.isSetLastRptRequested() ? message.getLastRptRequested() : null;
this.Account = message.isSetAccount() ? message.getAccount() : null;
this.Slippage = message.isSetField(Slippage.FIELD) ? new Slippage(message.getDouble(Slippage.FIELD)) : null;
this.OrdRejReason = message.isSetOrdRejReason() ? message.getOrdRejReason() : null;
this.CashMargin = message.isSetCashMargin() ? message.getCashMargin() : null;
}
public override void onMessage( QuickFix44.NewOrderSingle order, SessionID sessionID )
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get( ordType );
if ( ordType.getValue() != OrdType.LIMIT )
throw new IncorrectTagValue( ordType.getField() );
order.get( symbol );
order.get( side );
order.get( orderQty );
order.get( price );
order.get( clOrdID );
QuickFix44.ExecutionReport executionReport = new QuickFix44.ExecutionReport
( genOrderID(),
genExecID(),
new ExecType ( ExecType.FILL ),
new OrdStatus ( OrdStatus.FILLED ),
side,
new LeavesQty ( 0 ),
new CumQty ( orderQty.getValue() ),
new AvgPx ( price.getValue() ) );
executionReport.set( clOrdID );
executionReport.set( symbol );
executionReport.set( orderQty );
executionReport.set( new LastQty( orderQty.getValue() ) );
executionReport.set( new LastPx( price.getValue() ) );
if( order.isSetAccount() )
executionReport.setField( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
public override void onMessage(QuickFix44.ExecutionReport message, SessionID sessionID)
{
Logger.InfoFormat("Execution report (Sender = {0}, Target = {1})",
sessionID.getSenderCompID(), sessionID.getTargetCompID());
}