public void HandleExecutionReport(QuickFix.FIX44.ExecutionReport msg)
{
try
{
string clOrdId = msg.ClOrdID.Obj;
string status = FixEnumTranslator.Translate(msg.OrdStatus);
Trace.WriteLine("OVM: Handling ExecutionReport: " + clOrdId + " / " + status);
lock (_ordersLock)
{
foreach (OrderRecord r in Orders)
{
if (r.ClOrdID == clOrdId)
{
r.Status = status;
if (msg.IsSetLastPx())
{
r.Price = msg.LastPx.Obj;
}
if (msg.IsSetOrderID())
{
r.OrderID = msg.OrderID.Obj;
}
r.LeavesQty = msg.LeavesQty.getValue();
r.TotalFilledQty = msg.CumQty.getValue();
r.LastQty = msg.LastQty.getValue();
return;
}
}
}
Trace.WriteLine("OVM: No order corresponds to ClOrdID '" + clOrdId + "'");
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
public static OrdemInfo Fix44ExecutionReport2OrdemInfo(QuickFix.FIX44.ExecutionReport er, FixSessionItem cfg)
{
try
{
OrdemInfo order = new OrdemInfo();
string descricao = string.Empty;
// order = new OrdemInfo();
order.Account = Convert.ToInt32(er.IsSetAccount() ? er.Account.getValue() : "0");
order.Exchange = cfg.Bolsa;
order.ChannelID = cfg.Operador;
order.ClOrdID = er.ClOrdID.ToString();//chaveClOrdId;
order.OrigClOrdID = er.IsSetOrigClOrdID() ? er.OrigClOrdID.getValue() : null;
order.ExecBroker = "227";
if (er.IsSetExpireDate())
{
string expdate = er.ExpireDate.getValue() + "235959";
order.ExpireDate = DateTime.ParseExact(expdate, "yyyyMMddHHmmss", CultureInfo.InvariantCulture);
}
else
{
order.ExpireDate = DateTime.MinValue;
}
order.MaxFloor = er.IsSetMaxFloor() ? Convert.ToDouble(er.MaxFloor.getValue()) : 0;
order.MinQty = er.IsSetMinQty() ? Convert.ToDouble(er.MinQty.getValue()) : 0;
order.OrderQty = Convert.ToInt32(er.IsSetOrderQty() ? er.OrderQty.getValue() : 0);
order.OrdType = FixMessageUtilities.TraduzirOrdemTipo(er.OrdType.getValue());
order.Price = er.IsSetPrice() ? Convert.ToDouble(er.Price.getValue()) : 0;
order.SecurityID = er.IsSetSecurityID() ? er.SecurityID.ToString() : null;
order.Side = er.IsSetSide() ? (OrdemDirecaoEnum)Convert.ToInt32(er.Side.ToString()) : OrdemDirecaoEnum.NaoInformado;
order.Symbol = er.IsSetSymbol() ? er.Symbol.ToString() : null;
order.TimeInForce = er.IsSetTimeInForce() ? FixMessageUtilities.deTimeInForceParaOrdemValidade(er.TimeInForce) : OrdemValidadeEnum.NaoInformado;
//}
order.ExchangeNumberID = er.IsSetOrderID() ? er.OrderID.getValue() : null;
order.OrderQtyRemmaining = Convert.ToInt32(er.IsSetLeavesQty() ? er.LeavesQty.getValue() : 0);
order.CumQty = Convert.ToInt32(er.IsSetCumQty() ? er.CumQty.getValue() : 0);
order.OrdStatus = FixMessageUtilities.TraduzirOrdemStatus(er.OrdStatus.getValue());
order.Memo5149 = er.IsSetField(5149) ? er.GetField(5149) : String.Empty;
order.PossDupFlag = er.Header.IsSetField(Tags.PossDupFlag) ? er.Header.GetBoolean(Tags.PossDupFlag) : false;
order.PossResend = er.Header.IsSetField(Tags.PossResend) ? er.Header.GetBoolean(Tags.PossResend) : false;
order.CompIDBolsa = er.Header.IsSetField(Tags.SenderCompID) ? er.Header.GetString(Tags.SenderCompID) : cfg.SenderCompID;
order.CompIDOMS = er.Header.IsSetField(Tags.TargetCompID) ? er.Header.GetString(Tags.TargetCompID) : cfg.TargetCompID;
switch (order.OrdStatus)
{
case OrdemStatusEnum.NOVA:
descricao = "Ordem aberta";
order.RegisterTime = DateTime.Now;
break;
case OrdemStatusEnum.CANCELADA:
descricao = "Ordem cancelada";
break;
case OrdemStatusEnum.PARCIALMENTEEXECUTADA:
descricao = "Ordem com execucao parcial";
break;
case OrdemStatusEnum.SUSPENSA:
descricao = "Ordem suspensa";
break;
case OrdemStatusEnum.EXECUTADA:
descricao = "Ordem executada";
break;
case OrdemStatusEnum.SUBSTITUIDA:
descricao = "Ordem substituida";
break;
case OrdemStatusEnum.REJEITADA:
if (er.IsSetText())
{
descricao = er.Text.getValue();
}
break;
}
order.TransactTime = DateTime.Now;
// Try get the msg seq number
order.FixMsgSeqNum = er.Header.IsSetField(Tags.MsgSeqNum) ? er.Header.GetInt(Tags.MsgSeqNum) : 0;
order.ProtectionPrice = Convert.ToDecimal(er.IsSetField(35001) ? er.GetString(35001) : "0");
// Setando informações de acompanhamento
AcompanhamentoOrdemInfo acompanhamento = new AcompanhamentoOrdemInfo();
acompanhamento.NumeroControleOrdem = order.ClOrdID;
acompanhamento.CodigoDoCliente = order.Account;
acompanhamento.CodigoResposta = order.ExchangeNumberID;
acompanhamento.CodigoTransacao = er.IsSetExecID() ? er.ExecID.getValue() : null;
acompanhamento.Instrumento = order.Symbol;
acompanhamento.SecurityID = order.SecurityID;
acompanhamento.CanalNegociacao = order.ChannelID;
acompanhamento.Direcao = order.Side;
acompanhamento.QuantidadeSolicitada = order.OrderQty;
acompanhamento.QuantidadeExecutada = (int)er.CumQty.getValue();
acompanhamento.QuantidadeRemanescente = (int)er.LeavesQty.getValue();
acompanhamento.QuantidadeNegociada = er.IsSetLastQty() ? (int)er.LastQty.getValue() : 0;
acompanhamento.Preco = new Decimal(order.Price);
acompanhamento.StatusOrdem = FixMessageUtilities.TraduzirOrdemStatus(er.OrdStatus.getValue());
acompanhamento.DataOrdemEnvio = order.TransactTime;
acompanhamento.DataAtualizacao = DateTime.Now;
acompanhamento.CodigoRejeicao = er.IsSetOrdRejReason() ? er.OrdRejReason.ToString() : "0";
acompanhamento.Descricao = descricao;
// Try get the msg seq number
acompanhamento.FixMsgSeqNum = er.Header.IsSetField(Tags.MsgSeqNum) ? er.Header.GetInt(Tags.MsgSeqNum) : 0;
acompanhamento.LastPx = er.IsSetLastPx() ? (Decimal)er.LastPx.getValue() : new Decimal(order.Price);
acompanhamento.TradeDate = er.IsSetTradeDate() ? er.TradeDate.getValue() : DateTime.Now.ToString("yyyyMMdd");
//BEI Fields
//Added in 2012-Nov-13 by ATP
acompanhamento.ExchangeOrderID = er.IsSetField(35022) ? er.GetString(35022) : String.Empty;
acompanhamento.ExchangeExecID = er.IsSetField(35023) ? er.GetString(35023) : String.Empty;
acompanhamento.LastPxInIssuedCurrency = Convert.ToDecimal(er.IsSetField(35024) ? er.GetString(35024) : "0");
acompanhamento.PriceInIssuedCurrency = Convert.ToDecimal(er.IsSetField(35025) ? er.GetString(35025) : "0");
acompanhamento.ExchangeSecondaryOrderID = er.IsSetField(35026) ? er.GetString(35026) : String.Empty;
acompanhamento.TradeLinkID = er.IsSetField(820) ? er.GetString(820) : String.Empty;
acompanhamento.OrderLinkID = er.IsSetField(5975) ? er.GetString(5975) : String.Empty;
acompanhamento.ExchangeQuoteID = er.IsSetField(5001) ? er.GetString(5001) : String.Empty;
acompanhamento.PossDupFlag = er.Header.IsSetField(Tags.PossDupFlag) ? er.Header.GetBoolean(Tags.PossDupFlag) : false;
acompanhamento.PossResend = er.Header.IsSetField(Tags.PossResend) ? er.Header.GetBoolean(Tags.PossResend) : false;
acompanhamento.CompIDBolsa = er.Header.IsSetField(Tags.SenderCompID) ? er.Header.GetString(Tags.SenderCompID) : cfg.SenderCompID;
acompanhamento.CompIDOMS = er.Header.IsSetField(Tags.TargetCompID) ? er.Header.GetString(Tags.TargetCompID) : cfg.TargetCompID;
if (er.IsSetNoMiscFees())
{
int ocorr = er.GetInt(Tags.NoMiscFees);// noMiscFees.getValue();
for (uint i = 0; i < ocorr; i++)
{
EmolumentoInfo emol = new EmolumentoInfo();
Group feeGroup = er.GetGroup((int)i, Tags.NoMiscFees);
emol.Valor = Convert.ToDecimal(feeGroup.IsSetField(Tags.MiscFeeAmt) ? feeGroup.GetString(Tags.MiscFeeAmt) : "0");
emol.BaseEmolumento = Convert.ToInt32(feeGroup.IsSetField(Tags.MiscFeeBasis) ? feeGroup.GetString(Tags.MiscFeeBasis) : "0");
emol.Currency = feeGroup.GetString(Tags.MiscFeeCurr);
emol.Tipo = (EmolumentoTipoEnum)feeGroup.GetInt(Tags.MiscFeeType);
}
}
// Adicionando informações de acompanhamento ao OrdemInfo
order.Acompanhamentos.Clear();
order.Acompanhamentos.Add(acompanhamento);
return(order);
}
catch (Exception ex)
{
logger.Error("Fix44ExecutionReport2OrdemInfo(): " + ex.Message, ex);
}
return(null);
}
public static QuickFix.FIX42.ExecutionReport Fix44ER_2_Fix42ER(QuickFix.FIX44.ExecutionReport er44)
{
try
{
QuickFix.FIX42.ExecutionReport er42 = new QuickFix.FIX42.ExecutionReport();
// if (er44.IsSetApplID()) er42.Set(new ApplID(er44.ApplID.getValue()));
// if (er44.IsSetApplSeqNum()) er42.Set(new ApplSeqNum(er44.ApplSeqNum.getValue()));
if (er44.IsSetOrderID())
{
er42.Set(new OrderID(er44.OrderID.getValue()));
}
if (er44.IsSetSecondaryOrderID())
{
er42.Set(new SecondaryOrderID(er44.SecondaryOrderID.getValue()));
}
// if (er44.IsSetSecondaryExecID()) er42.Set(new SecondaryExecID(er44.SecondaryExecID.getValue()));
if (er44.IsSetClOrdID())
{
er42.Set(new ClOrdID(er44.ClOrdID.getValue()));
}
if (er44.IsSetOrigClOrdID())
{
er42.Set(new OrigClOrdID(er44.OrigClOrdID.getValue()));
}
//if (er44.IsSetNoPartyIDs()) er42.Set(new NoPartyIDs(er44.NoPartyIDs.getValue()));
//if (er44.IsSetPartyID()) er42.Set(new PartyID(er44.PartyID.getValue()));
//if (er44.IsSetPartyIDSource()) er42.Set(new PartyIDSource(er44.PartyIDSource.getValue()));
//if (er44.IsSetPartyRole()) er42.Set(new PartyRole(er44.PartyRole.getValue()));
// TODO[FF] - Montagem dos grupos
if (er44.IsSetNoContraBrokers())
{
er42.Set(new NoContraBrokers(er44.NoContraBrokers.getValue()));
int len = er44.NoContraBrokers.getValue();
for (int i = 1; i <= len; i++)
{
Group grp = er44.GetGroup(i, Tags.NoContraBrokers);
er42.AddGroup(grp);
}
}
//if (er44.IsSetContra ContraBroker()) er42.Set(new ContraBroker(er44.ContraBroker.getValue()));
// if (er44.IsSetCrossID()) er42.Set(new CrossID(er44.CrossID.getValue()));
if (er44.IsSetExecID())
{
er42.Set(new ExecID(er44.ExecID.getValue()));
}
if (er44.IsSetExecRefID())
{
er42.Set(new ExecRefID(er44.ExecRefID.getValue()));
}
if (er44.IsSetExecType())
{
er42.Set(new ExecType(er44.ExecType.getValue()));
}
if (er44.IsSetOrdStatus())
{
er42.Set(new OrdStatus(er44.OrdStatus.getValue()));
}
// if (er44.IsSetWorkingIndicator()) er42.Set(new WorkingIndicator(er44.WorkingIndicator.getValue()));
//if (er44.IsSetOrdRejReason()) er42.Set(new OrdRejReason(er44.OrdRejReason.getValue()));
if (er44.IsSetOrdRejReason())
{
er42.Set(new OrdRejReason(99)); // Will always set "99" - other
}
if (er44.IsSetExecRestatementReason())
{
er42.Set(new ExecRestatementReason(er44.ExecRestatementReason.getValue()));
}
if (er44.IsSetAccount())
{
er42.Set(new Account(er44.Account.getValue()));
}
// if (er44.IsSetAccountType()) er42.Set(new AccountType(er44.AccountType.getValue()));
if (er44.IsSetSettlType())
{
er42.Set(new SettlmntTyp(er44.SettlType.getValue()[0]));
}
// if (er44.IsSetDaysToSettlement()) er42.Set(new DaysToSettlement(er44.DaysToSettlement.getValue()));
// if (er44.IsSetFixedRate()) er42.Set(new FixedRate(er44.FixedRate.getValue()));
if (er44.IsSetSymbol())
{
er42.Set(new Symbol(er44.Symbol.getValue()));
}
if (er44.IsSetSecurityID())
{
er42.Set(new SecurityID(er44.SecurityID.getValue()));
}
// if (er44.IsSetSecurityIDSource()) er42.Set(new SecurityIDSource(er44.SecurityIDSource.getValue()));
if (er44.IsSetSecurityExchange())
{
er42.Set(new SecurityExchange(er44.SecurityExchange.getValue()));
}
if (er44.IsSetSide())
{
er42.Set(new Side(er44.Side.getValue()));
}
if (er44.IsSetOrderQty())
{
er42.Set(new OrderQty(er44.OrderQty.getValue()));
}
if (er44.IsSetOrdType())
{
er42.Set(new OrdType(er44.OrdType.getValue()));
}
if (er44.IsSetPrice())
{
er42.Set(new Price(er44.Price.getValue()));
}
if (er44.IsSetStopPx())
{
er42.Set(new StopPx(er44.StopPx.getValue()));
}
// if (er44.IsSetProtectionPrice()) er42.Set(new ProtectionPrice(er44.ProtectionPrice.getValue()));
if (er44.IsSetCurrency())
{
er42.Set(new Currency(er44.Currency.getValue()));
}
if (er44.IsSetTimeInForce())
{
er42.Set(new TimeInForce(er44.TimeInForce.getValue()));
}
if (er44.IsSetExpireDate())
{
er42.Set(new ExpireDate(er44.ExpireDate.getValue()));
}
if (er44.IsSetLastQty())
{
er42.Set(new LastShares(er44.LastQty.getValue()));
}
if (er44.IsSetLastPx())
{
er42.Set(new LastPx(er44.LastPx.getValue()));
}
if (er44.IsSetLeavesQty())
{
er42.Set(new LeavesQty(er44.LeavesQty.getValue()));
}
if (er44.IsSetCumQty())
{
er42.Set(new CumQty(er44.CumQty.getValue()));
}
if (er44.IsSetAvgPx())
{
er42.Set(new AvgPx(er44.AvgPx.getValue()));
}
if (er44.IsSetTradeDate())
{
er42.Set(new TradeDate(er44.TradeDate.getValue()));
}
if (er44.IsSetTransactTime())
{
er42.Set(new TransactTime(er44.TransactTime.getValue()));
}
// if (er44.IsSetAggressorIndicator()) er42.Set(new AggressorIndicator(er44.AggressorIndicator.getValue()));
if (er44.IsSetMinQty())
{
er42.Set(new MinQty(er44.MinQty.getValue()));
}
if (er44.IsSetMaxFloor())
{
er42.Set(new MaxFloor(er44.MaxFloor.getValue()));
}
if (er44.IsSetText())
{
er42.Set(new Text(er44.Text.getValue()));
}
if (er44.IsSetMultiLegReportingType())
{
er42.Set(new MultiLegReportingType(er44.MultiLegReportingType.getValue()));
}
// if (er44.IsSetTotNoRelatedSym()) er42.Set(new TotNoRelatedSym(er44.TotNoRelatedSym.getValue()));
// if (er44.IsSetNoMiscFees()) er42.Set(new NoMiscFees(er44.NoMiscFees.getValue()));
// if (er44.IsSetMiscFeeAmt()) er42.Set(new MiscFeeAmt(er44.MiscFeeAmt.getValue()));
// if (er44.IsSetMiscFeeCurr()) er42.Set(new MiscFeeCurr(er44.MiscFeeCurr.getValue()));
// if (er44.IsSetMiscFeeType()) er42.Set(new MiscFeeType(er44.MiscFeeType.getValue()));
// if (er44.IsSetMiscFeeBasis()) er42.Set(new MiscFeeBasis(er44.MiscFeeBasis.getValue()));
// if (er44.IsSetUniqueTradeID()) er42.Set(new UniqueTradeID(er44.UniqueTradeID.getValue()));
// if (er44.IsSetTradeLinkID()) er42.Set(new TradeLinkID(er44.TradeLinkID.getValue()));
// if (er44.IsSetOrderLinkID()) er42.Set(new OrderLinkID(er44.OrderLinkID.getValue()));
// if (er44.IsSetExchangeQuoteID()) er42.Set(new ExchangeQuoteID(er44.ExchangeQuoteID.getValue()));
// if (er44.IsSetExchangeOrderID()) er42.Set(new ExchangeOrderID(er44.ExchangeOrderID.getValue()));
// if (er44.IsSetExchangeExecID()) er42.Set(new ExchangeExecID(er44.ExchangeExecID.getValue()));
// if (er44.IsSetLastPxInIssuedCurrency()) er42.Set(new LastPxInIssuedCurrency(er44.LastPxInIssuedCurrency.getValue()));
// if (er44.IsSetPriceInIssuedCurrency()) er42.Set(new PriceInIssuedCurrency(er44.PriceInIssuedCurrency.getValue()));
// if (er44.IsSetExchangeSecondaryOrderID()) er42.Set(new ExchangeSecondaryOrderID(er44.ExchangeSecondaryOrderID.getValue()));
// if (er44.IsSetOrderCategory()) er42.Set(new OrderCategory(er44.OrderCategory.getValue()));
if (er44.IsSetField(Tags.Memo))
{
er42.SetField(new Memo(er44.GetField(Tags.Memo)));
}
// Validacao campo ExecTransType
switch (er44.OrdStatus.getValue())
{
case OrdStatus.NEW:
er42.Set(new ExecTransType(ExecTransType.NEW));
break;
case OrdStatus.CANCELED:
case OrdStatus.REPLACED: // TODO [FF] - Rever se o tratamento esta correto
er42.Set(new ExecTransType(ExecTransType.STATUS));
// er42.Set(new ExecRefID(er44.ExecRefID.getValue()));
break;
case OrdStatus.REJECTED:
case OrdStatus.FILLED:
case OrdStatus.PARTIALLY_FILLED:
er42.Set(new ExecTransType(ExecTransType.STATUS));
er42.Set(new ExecType(er44.OrdStatus.getValue())); // 4.2 nao aceita ExecType=F
break;
case OrdStatus.EXPIRED:
er42.Set(new ExecTransType(ExecTransType.STATUS));
er42.Set(new OrdStatus(OrdStatus.DONE_FOR_DAY));
er42.Set(new ExecType(ExecType.DONE_FOR_DAY));
break;
}
// Validacao campo
/*
* if (er44.IsSetAvgPx()) er42.Set(new AvgPx(er44.AvgPx.getValue()));
* if (er44.IsSetClOrdID()) er42.Set(new ClOrdID(er44.ClOrdID.getValue()));
* if (er44.IsSetCommission()) er42.Set(new Commission(er44.Commission.getValue()));
* if (er44.IsSetCommType()) er42.Set(new CommType(er44.CommType.getValue()));
* if (er44.IsSetCumQty()) er42.Set(new CumQty(er44.CumQty.getValue()));
* if (er44.IsSetCurrency()) er42.Set(new Currency(er44.Currency.getValue()));
* if (er44.IsSetExecID()) er42.Set(new ExecID(er44.ExecID.getValue()));
* if (er44.IsSetExecRefID()) er42.Set(new ExecRefID(er44.ExecRefID.getValue()));
*
* //if (er44.IsSetExecTransType()) er42.Set(new ExecTransType(er44.ExecTransType.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo
* if (er44.IsSetExecType()) er42.Set(new ExecType(er44.ExecType.getValue()));
* // if (er44.IsSetIDSource()) er42.Set(new IDSource(er44.IDSource.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo
* if (er44.IsSetLastPx()) er42.Set(new LastPx(er44.LastPx.getValue()));
* // if (er44.IsSetLastShares()) er42.Set(new LastShares(er44.LastShares.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo
* if (er44.IsSetLeavesQty()) er42.Set(new LeavesQty(er44.LeavesQty.getValue()));
* //if (er44.IsSetNoMiscFees()) er42.Set(new NoMiscFees(er44.NoMiscFees.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo por ser group
* //if (er44.IsSetMiscFeeAmt()) er42.Set(new MiscFeeAmt(er44.MiscFeeAmt.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo por ser elemento do group
* if (er44.IsSetOrderID()) er42.Set(new OrderID(er44.OrderID.getValue()));
* if (er44.IsSetOrderQty()) er42.Set(new OrderQty(er44.OrderQty.getValue()));
* if (er44.IsSetOrdStatus()) er42.Set(new OrdStatus(er44.OrdStatus.getValue()));
* if (er44.IsSetOrdType()) er42.Set(new OrdType(er44.OrdType.getValue()));
* if (er44.IsSetOrigClOrdID()) er42.Set(new OrigClOrdID(er44.OrigClOrdID.getValue()));
* if (er44.IsSetSecurityID()) er42.Set(new SecurityID(er44.SecurityID.getValue()));
* if (er44.IsSetSide()) er42.Set(new Side(er44.Side.getValue()));
* if (er44.IsSetSymbol()) er42.Set(new Symbol(er44.Symbol.getValue()));
* if (er44.IsSetTransactTime()) er42.Set(new TransactTime(er44.TransactTime.getValue()));
* if (er44.IsSetSecurityType()) er42.Set(new SecurityType(er44.SecurityType.getValue()));
* if (er44.IsSetSecurityExchange()) er42.Set(new SecurityExchange(er44.SecurityExchange.getValue()));
*/
return(er42);
}
catch (Exception ex)
{
logger.Error("Fix44ER_2_Fix42ER(): " + ex.Message, ex);
return(null);
}
}