public static NewOrderMultileg MakeNewOrderMultileg() { string localMktDate = "20170122"; var utcTimeStamp = new System.DateTime(2017, 01, 22, 06, 54, 00); var msg = new NewOrderMultileg(); // instrument component fields msg.Symbol = new Symbol("RSWQE"); // odd values were generated by FsCheck msg.SymbolSfx = new SymbolSfx(SymbolSfx.WHEN_ISSUED); msg.SecurityID = new SecurityID("FJXY"); msg.SecurityIDSource = new SecurityIDSource(SecurityIDSource.VALOREN); msg.CFICode = new CFICode("WAUIJ"); msg.SecurityType = new SecurityType(SecurityType.TREASURY_INFLATION_PROTECTED_SECURITIES); msg.SecuritySubType = new SecuritySubType("JXYCWAL"); msg.MaturityMonthYear = new MaturityMonthYear("201701w1"); // msg.MaturityDate = new MaturityDate(localMktDate); msg.PutOrCall = new PutOrCall(PutOrCall.PUT); msg.CouponPaymentDate = new CouponPaymentDate(localMktDate); msg.RepoCollateralSecurityType = new RepoCollateralSecurityType(0); msg.RepurchaseTerm = new RepurchaseTerm(1); msg.RepurchaseRate = new RepurchaseRate(-5534023222112865484.7M); // odd values generated by FsCheck msg.Factor = new Factor(79228162477.370849433239945M); msg.CreditRating = new CreditRating("ESTXRVJK"); msg.InstrRegistry = new InstrRegistry("YSWHLF"); msg.CountryOfIssue = new CountryOfIssue("IMGKYZT"); msg.LocaleOfIssue = new LocaleOfIssue("VZNO"); msg.RedemptionDate = new RedemptionDate(localMktDate); msg.StrikePrice = new StrikePrice(79228162458924105376.710262785M); msg.StrikeCurrency = new StrikeCurrency("CWKL"); msg.OptAttribute = new OptAttribute('4'); msg.ContractMultiplier = new ContractMultiplier(-3689348814312413.5939M); msg.CouponRate = new CouponRate(-792281.625142643375807M); msg.Issuer = new Issuer("GHBFTU"); msg.EncodedIssuer = new EncodedIssuer("aa"); msg.SecurityDesc = new SecurityDesc("QUOJDHBP"); msg.Pool = new Pool("DRSWQEF"); msg.CPProgram = new CPProgram(-2); msg.CPRegType = new CPRegType("UVZTX"); //msg.NoEvents = new NoEvents(0); msg.DatedDate = new DatedDate(localMktDate); msg.InterestAccrualDate = new InterestAccrualDate(localMktDate); // msg fields msg.ClOrdID = new ClOrdID("PZXWQ"); msg.SecondaryClOrdID = new SecondaryClOrdID("EFZDRSMQ"); //msg.NoPartyIDs = new NoPartyIDs(0); msg.TradeOriginationDate = new TradeOriginationDate(localMktDate); msg.TradeDate = new TradeDate(localMktDate); msg.Account = new Account("PKNOIWA"); msg.AcctIDSource = new AcctIDSource(AcctIDSource.TFM); msg.AccountType = new AccountType(AccountType.ACCOUNT_IS_CARRIED_ON_NON_CUSTOMER_SIDE_OF_BOOKS); msg.DayBookingInst = new DayBookingInst(DayBookingInst.CAN_TRIGGER_BOOKING_WITHOUT_REFERENCE_TO_THE_ORDER_INITIATOR); msg.BookingUnit = new BookingUnit(BookingUnit.AGGREGATE_PARTIAL_EXECUTIONS_ON_THIS_ORDER_AND_BOOK_ONE_TRADE_PER_ORDER); msg.AllocID = new AllocID("ZNOSMQBF"); //msg.NoAllocs = new NoAllocs(0); msg.SettlType = new SettlType(SettlType.T_PLUS_5); msg.SettlDate = new SettlDate(localMktDate); msg.CashMargin = new CashMargin(CashMargin.MARGIN_OPEN); msg.ClearingFeeIndicator = new ClearingFeeIndicator(ClearingFeeIndicator.FIRMS_106H_AND_106J); msg.HandlInst = new HandlInst(HandlInst.MANUAL_ORDER); msg.MinQty = new MinQty(792281624589241053767102627.85M); msg.MaxFloor = new MaxFloor(3.689348814312414M); msg.ExDestination = new ExDestination("UYJN"); //msg.NoTradingSessions = new NoTradingSessions(0); msg.ProcessCode = new ProcessCode(ProcessCode.REGULAR); msg.Side = new Side(Side.LEND); msg.PrevClosePx = new PrevClosePx(-7922816249581759353.2719300611M); //msg.NoLegs = new NoLegs(0); msg.LocateReqd = new LocateReqd(false); msg.TransactTime = new TransactTime(utcTimeStamp); msg.QtyType = new QtyType(QtyType.CONTRACTS); // orderQty component msg.CashOrderQty = new CashOrderQty(-0.000000003689349M); msg.OrderPercent = new OrderPercent(-5534.023223401355674M); msg.RoundingDirection = new RoundingDirection(RoundingDirection.ROUND_DOWN); msg.RoundingModulus = new RoundingModulus(792281.624958175935327M); // a randomly chosen value, that is bonkers but should be parseable // msg fields msg.OrdType = new OrdType(OrdType.NEXT_FUND_VALUATION_POINT); msg.Price = new Price(36.893488143124136M); msg.StopPx = new StopPx(79228162477370849459009.748992M); msg.Currency = new Currency("USD"); msg.ComplianceID = new ComplianceID("NHVWAUY"); msg.SolicitedFlag = new SolicitedFlag(true); msg.IOIid = new IOIid("ALPJNB"); msg.QuoteID = new QuoteID("KOCDXBP"); msg.EffectiveTime = new EffectiveTime(utcTimeStamp); msg.ExpireDate = new ExpireDate(localMktDate); msg.ExpireTime = new ExpireTime(utcTimeStamp); msg.GTBookingInst = new GTBookingInst(GTBookingInst.ACCUMULATE_UNTIL_VERBALLY_NOTIFIED_OTHERWISE); msg.Commission = new Commission(-79228.162495817593533M); msg.CommType = new CommType(CommType.PERCENTAGE_WAIVED_CASH_DISCOUNT); msg.CommCurrency = new CommCurrency("VZTHIMGU"); msg.FundRenewWaiv = new FundRenewWaiv(FundRenewWaiv.NO); msg.OrderRestrictions = new OrderRestrictions(OrderRestrictions.FOREIGN_ENTITY); msg.CustOrderCapacity = new CustOrderCapacity(CustOrderCapacity.ALL_OTHER); msg.ForexReq = new ForexReq(true); msg.SettlCurrency = new SettlCurrency("ZTXLMG"); msg.BookingType = new BookingType(BookingType.REGULAR_BOOKING); msg.Text = new Text("MGBVZT"); msg.EncodedText = new EncodedText("aa"); msg.PositionEffect = new PositionEffect(PositionEffect.CLOSE); msg.CoveredOrUncovered = new CoveredOrUncovered(CoveredOrUncovered.COVERED); msg.MaxShow = new MaxShow(-792281.624773708494590M); // PegInstructions component msg.PegOffsetValue = new PegOffsetValue(-79228162477370849.454714781696M); msg.PegOffsetType = new PegOffsetType(PegOffsetType.BASIS_POINTS); msg.PegLimitType = new PegLimitType(PegLimitType.OR_WORSE); msg.PegRoundDirection = new PegRoundDirection(PegRoundDirection.MORE_PASSIVE); // DiscressionInstructions component msg.PegScope = new PegScope(PegScope.LOCAL); msg.DiscretionInst = new DiscretionInst(DiscretionInst.RELATED_TO_VWAP); msg.DiscretionOffsetValue = new DiscretionOffsetValue(-79228162514264337580659048.449M); msg.DiscretionMoveType = new DiscretionMoveType(DiscretionMoveType.FIXED); msg.DiscretionOffsetType = new DiscretionOffsetType(DiscretionOffsetType.PRICE); msg.DiscretionLimitType = new DiscretionLimitType(DiscretionLimitType.OR_BETTER); msg.DiscretionRoundDirection = new DiscretionRoundDirection(DiscretionRoundDirection.MORE_AGGRESSIVE); msg.DiscretionScope = new DiscretionScope(DiscretionScope.LOCAL); msg.TargetStrategy = new TargetStrategy(-3); msg.TargetStrategyParameters = new TargetStrategyParameters("UOSMHBFZ"); msg.ParticipationRate = new ParticipationRate(-55.340232221128655M); msg.CancellationRights = new CancellationRights(CancellationRights.NO_EXECUTION_ONLY); msg.MoneyLaunderingStatus = new MoneyLaunderingStatus(MoneyLaunderingStatus.EXEMPT_BELOW_THE_LIMIT); msg.RegistID = new RegistID("EFJDHS"); msg.MultiLegRptTypeReq = new MultiLegRptTypeReq(MultiLegRptTypeReq.REPORT_BY_MULTILEG_SECURITY_AND_BY_INSTRUMENT_LEGS_BELONGING_TO_THE_MULTILEG_SECURITY); return(msg); }
public virtual void onMessage(NewOrderMultileg message, QuickFix.SessionID session) { throw new QuickFix.UnsupportedMessageType(); }