private OrderFilled GenerateOrderFilledEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var executionId = new ExecutionId(message.GetField(Tags.ExecID));
var positionIdBroker = new PositionIdBroker(message.GetField(FxcmTags.PosID));
var symbol = this.GetSymbol(message.GetString(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var filledQuantity = Quantity.Create(message.GetDecimal(Tags.CumQty));
var averagePrice = Price.Create(message.GetDecimal(Tags.AvgPx));
var quoteCurrency = this.GetQuoteCurrency(symbol, message.GetField(Tags.Currency));
var executionTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderFilled(
this.accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
averagePrice,
quoteCurrency,
executionTime,
this.NewGuid(),
this.TimeNow()));
}
public override object GetField(Fields field)
{
if (ExecutionReport == null)
{
return(ExecutionReportFields.NULL);
}
if (field == Fields.KEY)
{
return(Key);
}
else
{
ExecutionReportFields xrField = (ExecutionReportFields)field;
if (xrField == ExecutionReportFields.OrderID)
{
return(GetOrdId(ExecutionReport, QuickFix.Fields.Tags.OrderID));
}
else if (xrField == ExecutionReportFields.ClOrdID)
{
return(GetOrdId(ExecutionReport, QuickFix.Fields.Tags.ClOrdID));
}
else if (xrField == ExecutionReportFields.OrigClOrdID)
{
return(GetOrdId(ExecutionReport, QuickFix.Fields.Tags.OrigClOrdID));
}
else if (xrField == ExecutionReportFields.ExecType)
{
return(GetExecType(ExecutionReport.GetChar(QuickFix.Fields.Tags.ExecType)));
}
else if (xrField == ExecutionReportFields.ExecID)
{
return(ExecutionReport.GetString(QuickFix.Fields.Tags.ExecID));
}
else if (xrField == ExecutionReportFields.OrdStatus)
{
return(GetOrdStatus(ExecutionReport.GetChar(QuickFix.Fields.Tags.OrdStatus)));
}
else if (xrField == ExecutionReportFields.OrdRejReason)
{
return(FixHelper.GetNullIntFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.OrdRejReason));
}
else if (xrField == ExecutionReportFields.LeavesQty)
{
return(ExecutionReport.GetInt(QuickFix.Fields.Tags.LeavesQty));
}
else if (xrField == ExecutionReportFields.CumQty)
{
return(ExecutionReport.GetInt(QuickFix.Fields.Tags.CumQty));
}
else if (xrField == ExecutionReportFields.AvgPx)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.AvgPx));
}
else if (xrField == ExecutionReportFields.Commission)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Commission));
}
else if (xrField == ExecutionReportFields.Text)
{
return(ExecutionReport.GetField(QuickFix.Fields.Tags.Text));
}
else if (xrField == ExecutionReportFields.TransactTime)
{
return(DateTime.Now);
}
else if (xrField == ExecutionReportFields.LastQty)
{
return(FixHelper.GetNullIntFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.LastQty));
}
else if (xrField == ExecutionReportFields.LastPx)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.LastPx));
}
else if (xrField == ExecutionReportFields.LastMkt)
{
return(FixHelper.GetNullFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.LastMkt));
}
else if (xrField == ExecutionReportFields.Symbol)
{
return(FixHelper.GetNullFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Symbol));
}
else if (xrField == ExecutionReportFields.OrderQty)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.OrderQty));
}
else if (xrField == ExecutionReportFields.CashOrderQty)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.CashOrderQty));
}
else if (xrField == ExecutionReportFields.OrdType)
{
return(GetOrdType(ExecutionReport.GetChar(QuickFix.Fields.Tags.OrdType)));
}
else if (xrField == ExecutionReportFields.Price)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Price));
}
else if (xrField == ExecutionReportFields.StopPx)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.StopPx));
}
else if (xrField == ExecutionReportFields.Currency)
{
return(FixHelper.GetNullFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Currency));
}
else if (xrField == ExecutionReportFields.ExpireDate)
{
return(FixHelper.GetDateTimeFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.ExpireDate));
}
else if (xrField == ExecutionReportFields.MinQty)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.MinQty));
}
else if (xrField == ExecutionReportFields.Side)
{
GetSide(ExecutionReport.GetChar(QuickFix.Fields.Tags.Side));
}
else if (xrField == ExecutionReportFields.QuantityType)
{
return(QuantityType.SHARES);
}
else if (xrField == ExecutionReportFields.PriceType)
{
return(PriceType.FixedAmount);
}
else if (xrField == ExecutionReportFields.Account)
{
return(ExecutionReport.GetField(QuickFix.Fields.Tags.Account));
}
else if (xrField == ExecutionReportFields.ExecInst)
{
return(ExecutionReport.GetField(QuickFix.Fields.Tags.ExecInst));
}
}
return(ExecutionReportFields.NULL);
}
private async void Handle(ExecutionReport msg)
{
var clOrderId = msg.ClOrdID.Obj;
string origClOrderId = null;
if (msg.IsSetOrigClOrdID())
{
origClOrderId = msg.OrigClOrdID.Obj;
}
var state = msg.IsSetOrdStatus() ? ConvertOrderState(msg.OrdStatus) : null;
var price = msg.IsSetPrice() ? msg.Price.Obj : (decimal?)null;
price = price != 0M ? price : null;
var qty = msg.IsSetOrderQty() ? (uint)msg.OrderQty.Obj : (uint?)null;
var filledQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
var activeQty = msg.IsSetLeavesQty() ? (uint)msg.LeavesQty.Obj : (uint?)null;
var time = msg.IsSetTransactTime() ? ParseTransactTime() : DateTime.Now;
var orderExchangeId = msg.IsSetOrderID() ? msg.OrderID.Obj : null;
var transactionId = _orders.GetOrCreateOrderTransactionId(origClOrderId ?? clOrderId);
var oscm = new OrderStateChangeMessage
{
TransactionId = transactionId,
State = state,
Price = price,
Quantity = qty,
FilledQuantity = filledQty,
ActiveQuantity = activeQty,
ChangeTime = time,
OrderExchangeId = orderExchangeId
};
switch (msg.ExecType.Obj)
{
case ExecType.NEW:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
break;
case ExecType.TRADE:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
if (oscm.State == OrderState.Filled)
{
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
}
break;
case ExecType.PARTIAL_FILL:
_newOrderTransactions.Accept(clOrderId);
_orders.SaveOrderExchangeId(transactionId, orderExchangeId);
SendMessage(oscm);
await EmitFillAsync();
break;
case ExecType.REJECTED:
string rejectReason;
switch (msg.OrdRejReason.Obj)
{
case OrdRejReason.UNKNOWN_SYMBOL:
rejectReason = "Unknown symbol";
break;
case OrdRejReason.EXCHANGE_CLOSED:
rejectReason = "Exchange closed";
break;
case OrdRejReason.ORDER_EXCEEDS_LIMIT:
rejectReason = "Order exceeds limit";
break;
case OrdRejReason.DUPLICATE_ORDER:
rejectReason = "Duplicate order";
break;
default:
rejectReason = $"#{msg.OrdRejReason.Obj}";
break;
}
if (!string.IsNullOrEmpty(msg.Text?.Obj))
{
rejectReason = $"{rejectReason}. {msg.Text?.Obj}";
}
_newOrderTransactions.Reject(clOrderId, rejectReason);
_orders.ForgetOrder(transactionId);
break;
case ExecType.PENDING_CANCEL:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
SendMessage(oscm);
break;
case ExecType.CANCELED:
_killOrderTransactions.Accept(msg.ClOrdID.Obj);
_newOrderTransactions.Forget(transactionId);
_killOrderTransactions.Forget(msg.ClOrdID.Obj);
_orders.ForgetOrder(transactionId);
SendMessage(oscm);
break;
case ExecType.PENDING_REPLACE:
_modifyOrderTransactions.Accept(clOrderId);
break;
case ExecType.REPLACED:
_newOrderTransactions.Forget(origClOrderId);
_killOrderTransactions.Forget(clOrderId);
_orders.UpdateOrderParams(
orderExchangeId: orderExchangeId,
origClOrderId: origClOrderId,
clOrderId: clOrderId,
symbol: msg.Symbol.Obj,
qty: msg.OrderQty.Obj,
side: msg.Side.Obj);
SendMessage(oscm);
break;
default:
_Log.Warn().PrintFormat("Unknown ExecType: {0}", msg.ExecType.Obj);
break;
}
OrderState?ConvertOrderState(OrdStatus field)
{
switch (field.Obj)
{
case OrdStatus.PENDING_NEW: return(OrderState.New);
case OrdStatus.NEW: return(OrderState.Active);
case OrdStatus.CANCELED: return(OrderState.Cancelled);
case OrdStatus.FILLED: return(OrderState.Filled);
case OrdStatus.PARTIALLY_FILLED: return(OrderState.PartiallyFilled);
case OrdStatus.REJECTED: return(OrderState.Error);
case OrdStatus.PENDING_CANCEL: return(null);
case OrdStatus.PENDING_REPLACE: return(null);
default:
_Log.Warn().PrintFormat("Unknown OrdStatus: {0}", field.Obj);
return(null);
}
}
DateTime ParseTransactTime()
{
var maxLen = "20170912-09:39:57.2761221".Length;
var str = msg.GetString(60 /*TransactTime*/);
if (str.Length > maxLen)
{
str = str.Substring(0, maxLen);
}
var t = DateTime.ParseExact(str, "yyyyMMdd-HH:mm:ss.fffffff", null, DateTimeStyles.AssumeUniversal);
return(t);
}
async Task EmitFillAsync()
{
if (!msg.IsSetSecondaryExecID())
{
return;
}
var fillExchangeId = msg.SecondaryExecID.Obj;
var fillPrice = msg.IsSetLastPx() ? msg.LastPx.Obj : (decimal?)null;
price = price != 0M ? price : null;
var fillQty = msg.IsSetLastQty() ? (uint)msg.LastQty.Obj : (uint?)null;
if (fillPrice == null || fillQty == null)
{
return;
}
Instrument instrument;
try
{
instrument = await _settings.InstrumentConverter.ResolveSymbolAsync(this, msg.Symbol.Obj);
}
catch (Exception e)
{
_Log.Error().Print(e, $"Failed to resolve instrument {msg.Symbol.Obj}");
return;
}
var fill = new FillMessage
{
Price = fillPrice.Value,
Quantity = fillQty.Value,
DateTime = time,
Instrument = instrument,
Account = msg.Account.Obj,
Operation = msg.Side.Obj == Side.BUY ? OrderOperation.Buy : OrderOperation.Sell,
ExchangeId = fillExchangeId,
ExchangeOrderId = orderExchangeId
};
SendMessage(fill);
}
}