/// <summary>
/// Create a NewOrderSingle message.
/// </summary>
/// <param name="customFields"></param>
/// <param name="orderType"></param>
/// <param name="side"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="tif"></param>
/// <param name="price">ignored if orderType=Market</param>
/// <returns></returns>
static public QuickFix.FIX42.NewOrderSingle NewOrderSingle(
Dictionary <int, string> customFields,
OrderType orderType, Side side, string symbol,
int orderQty, TimeInForce tif, decimal price)
{
// hard-coded fields
QuickFix.Fields.HandlInst fHandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
// from params
QuickFix.Fields.OrdType fOrdType = FixEnumTranslator.ToField(orderType);
QuickFix.Fields.Side fSide = FixEnumTranslator.ToField(side);
QuickFix.Fields.Symbol fSymbol = new QuickFix.Fields.Symbol(symbol);
QuickFix.Fields.TransactTime fTransactTime = new QuickFix.Fields.TransactTime(DateTime.Now);
QuickFix.Fields.ClOrdID fClOrdID = GenerateClOrdID();
QuickFix.FIX42.NewOrderSingle nos = new QuickFix.FIX42.NewOrderSingle(
fClOrdID, fHandlInst, fSymbol, fSide, fTransactTime, fOrdType);
nos.OrderQty = new QuickFix.Fields.OrderQty(orderQty);
nos.TimeInForce = FixEnumTranslator.ToField(tif);
if (orderType == OrderType.Limit)
{
nos.Price = new QuickFix.Fields.Price(price);
}
// add custom fields
foreach (KeyValuePair <int, string> p in customFields)
{
nos.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
}
return(nos);
}
/// <summary>
/// Create a NewOrderSingle message.
/// </summary>
/// <param name="customFields"></param>
/// <param name="orderType"></param>
/// <param name="side"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="tif"></param>
/// <param name="price">ignored if orderType=Market</param>
/// <returns></returns>
static public QuickFix.FIX42.NewOrderSingle NewOrderSingle(
Dictionary<int,string> customFields,
OrderType orderType, Side side, string symbol,
int orderQty, TimeInForce tif, decimal price)
{
// hard-coded fields
QuickFix.Fields.HandlInst fHandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
// from params
QuickFix.Fields.OrdType fOrdType = FixEnumTranslator.ToField(orderType);
QuickFix.Fields.Side fSide = FixEnumTranslator.ToField(side);
QuickFix.Fields.Symbol fSymbol = new QuickFix.Fields.Symbol(symbol);
QuickFix.Fields.TransactTime fTransactTime = new QuickFix.Fields.TransactTime(DateTime.Now);
QuickFix.Fields.ClOrdID fClOrdID = GenerateClOrdID();
QuickFix.FIX42.NewOrderSingle nos = new QuickFix.FIX42.NewOrderSingle(
fClOrdID, fHandlInst, fSymbol, fSide, fTransactTime, fOrdType);
nos.OrderQty = new QuickFix.Fields.OrderQty(orderQty);
nos.TimeInForce = FixEnumTranslator.ToField(tif);
if (orderType == OrderType.Limit)
nos.Price = new QuickFix.Fields.Price(price);
// add custom fields
foreach (KeyValuePair<int,string> p in customFields)
nos.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
return nos;
}
/// <summary>
/// Creates a FIX4.3 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX43.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX43.MarketDataRequest marketDataRequest = new QuickFix.FIX43.MarketDataRequest();
QuickFix.Fields.SenderSubID senderSubId = new QuickFix.Fields.SenderSubID(this._senderSubId);
marketDataRequest.SetField(senderSubId);
QuickFix.Fields.DeliverToCompID deliverToCompId = new QuickFix.Fields.DeliverToCompID(this._deliverToCompId);
marketDataRequest.SetField(deliverToCompId);
QuickFix.Fields.NoRelatedSym noRelatedSym = new QuickFix.Fields.NoRelatedSym(1);
marketDataRequest.SetField(noRelatedSym);
QuickFix.Fields.MDReqID mdReqId = new QuickFix.Fields.MDReqID(id);
marketDataRequest.SetField(mdReqId);
QuickFix.Fields.SubscriptionRequestType subscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(subscriptionType);
marketDataRequest.SetField(subscriptionRequestType);
QuickFix.Fields.MarketDepth marketDepth = new QuickFix.Fields.MarketDepth(depth);
marketDataRequest.SetField(marketDepth);
QuickFix.Fields.MDUpdateType mdUpdateType = new QuickFix.Fields.MDUpdateType(MarketDataUpdateType.FullRefresh);
marketDataRequest.SetField(mdUpdateType);
// Indicates '2' requested fields i.e. OFFER/ASK and BID
QuickFix.Fields.NoMDEntryTypes noMdEntryType = new QuickFix.Fields.NoMDEntryTypes(2);
marketDataRequest.SetField(noMdEntryType);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(security.Symbol);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(Product.Currency);
QuickFix.FIX43.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX43.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
relatedSymbols.SetField(product);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX43.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX43.MarketDataRequest.NoMDEntryTypesGroup();
{
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Bid));
marketDataRequest.AddGroup(mdEntryTypes);
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Offer));
marketDataRequest.AddGroup(mdEntryTypes);
}
return(marketDataRequest);
}
/// <summary>
/// Creates a FIX4.2 MarketDataRequest message.
/// </summary>
/// <param name="id"></param>
/// <param name="security"></param>
/// <param name="subscriptionType"></param>
/// <param name="depth"></param>
/// <returns></returns>
public QuickFix.FIX42.MarketDataRequest MarketDataRequest(string id, Security security, char subscriptionType, int depth)
{
QuickFix.FIX42.MarketDataRequest marketDataRequest = new QuickFix.FIX42.MarketDataRequest();
QuickFix.Fields.SenderSubID senderSubId = new QuickFix.Fields.SenderSubID(this._senderSubId);
marketDataRequest.SetField(senderSubId);
QuickFix.Fields.DeliverToCompID deliverToCompId = new QuickFix.Fields.DeliverToCompID(this._deliverToCompId);
marketDataRequest.SetField(deliverToCompId);
QuickFix.Fields.NoRelatedSym noRelatedSym = new QuickFix.Fields.NoRelatedSym(1);
marketDataRequest.SetField(noRelatedSym);
QuickFix.Fields.MDReqID mdReqId = new QuickFix.Fields.MDReqID(id);
marketDataRequest.SetField(mdReqId);
QuickFix.Fields.SubscriptionRequestType subscriptionRequestType = new QuickFix.Fields.SubscriptionRequestType(subscriptionType);
marketDataRequest.SetField(subscriptionRequestType);
QuickFix.Fields.MarketDepth marketDepth = new QuickFix.Fields.MarketDepth(depth);
marketDataRequest.SetField(marketDepth);
QuickFix.Fields.MDUpdateType mdUpdateType = new QuickFix.Fields.MDUpdateType(MarketDataUpdateType.FullRefresh);
marketDataRequest.SetField(mdUpdateType);
QuickFix.Fields.NoMDEntryTypes noMdEntryType = new QuickFix.Fields.NoMDEntryTypes(2);
marketDataRequest.SetField(noMdEntryType);
QuickFix.Fields.AggregatedBook aggregatedBook = new QuickFix.Fields.AggregatedBook(true);
marketDataRequest.SetField(aggregatedBook);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(security.Symbol);
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup relatedSymbols = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
relatedSymbols.SetField(symbol);
marketDataRequest.AddGroup(relatedSymbols);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup mdEntryTypes = new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
{
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Bid));
marketDataRequest.AddGroup(mdEntryTypes);
mdEntryTypes.SetField(new QuickFix.Fields.MDEntryType(MarketDataEntryType.Offer));
marketDataRequest.AddGroup(mdEntryTypes);
}
return(marketDataRequest);
}
public void Set(QuickFix.Fields.Symbol val)
{
this.Symbol = val;
}
/// <summary>
/// Helper Method to process data from message for updating positions
/// </summary>
/// <param name="message"></param>
/// <param name="session"></param>
private void posTableUpdate(QuickFix.FIX42.Message message, SessionID session)
{
string MGT = null;
string acct = null;
string SecEx = null;
string symbol = null;
string secID = null;
string gateway = null;
int tradesize = 0;
char side = char.MinValue;
decimal price = 0.00M;
bool OK2Update = true;
try
{
QuickFix.Fields.SenderSubID subID = new QuickFix.Fields.SenderSubID();
if (message.Header.IsSetField(subID))
{
MGT = message.Header.GetField(subID).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.Account a = new QuickFix.Fields.Account();
if (message.IsSetField(a))
{
acct = message.GetField(a).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{
SecEx = message.GetField(se).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{
symbol = message.GetField(s).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{
secID = message.GetField(sid).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.ExchangeGateway eg = new Fields.ExchangeGateway();
if (message.IsSetField(eg))
{
gateway = message.GetField(eg).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.LastShares q = new QuickFix.Fields.LastShares();
if (message.IsSetField(q))
{
tradesize = (int)message.GetField(q).getValue();
}
QuickFix.Fields.Side bs = new QuickFix.Fields.Side();
if (message.IsSetField(bs))
{
side = message.GetField(bs).getValue();
}
else
{
if (tradesize < 0)
{
tradesize = Math.Abs(tradesize);
side = QuickFix.Fields.Side.SELL;
}
else
{ side = QuickFix.Fields.Side.BUY; }
}
QuickFix.Fields.LastPx fill = new QuickFix.Fields.LastPx();
if (message.IsSetField(fill))
{
price = message.GetField(fill).getValue();
}
if (OK2Update)
{
//MGT, acct, SecEx, symbol, secID, tradesize, side, price, gateway
updatePosition(MGT, acct, SecEx, symbol, secID, tradesize, side, price, gateway);
}
else
{
updateDisplay("Position not updated by following message");
ProcessMessage(message, session);
}
}
catch (Exception ex)
{
updateDisplay("QuickFIX Error");
log.WriteLog("MGT: " + MGT);
log.WriteLog("acct: " + acct);
log.WriteLog("SecEx: " + SecEx);
log.WriteLog("symbol: " + symbol);
log.WriteLog("secID: " + secID);
log.WriteLog("tradesize: " + tradesize.ToString());
log.WriteLog("side: " + side.ToString());
log.WriteLog("price: " + price.ToString());
log.WriteLog("gateway: " + gateway);
log.WriteLog("Start Exception--------------------");
log.WriteLog("Source: " + ex.Source);
log.WriteLog("Message: " + ex.Message);
log.WriteLog("TargetSite: " + ex.TargetSite);
log.WriteLog("InnerException: " + ex.InnerException);
log.WriteLog("HelpLink: " + ex.HelpLink);
log.WriteLog("Data: " + ex.Data);
log.WriteLog("StackTrace: " + ex.StackTrace);
log.WriteLog("Stop Exception details-------------");
}
}
//receive contract parameters
public void OnMessage(QuickFix.FIX42.SecurityDefinition message, QuickFix.SessionID session)
{
//parseMessage(message, session);
string SecEx = null;
string symbol = null;
string secID = null;
try
{
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{ SecEx = message.GetField(se).ToString(); }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{ symbol = message.GetField(s).ToString(); }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{ secID = message.GetField(sid).ToString(); }
string cur = null;
decimal exPtVal = 0.00M;
QuickFix.Fields.ExchPointValue epv = new QuickFix.Fields.ExchPointValue();
if (message.IsSetField(epv))
{ exPtVal = message.GetField(epv).getValue(); }
QuickFix.Fields.Currency ccy = new QuickFix.Fields.Currency();
if (message.IsSetField(ccy))
{ cur = message.GetField(ccy).getValue(); }
updateSecurity(SecEx, symbol, secID, cur, exPtVal);
}
catch (Exception ex)
{
updateDisplay("QuickFIX Error");
log.WriteLog(ex.ToString());
}
}
//Receive market data
public void OnMessage(QuickFix.FIX42.MarketDataSnapshotFullRefresh message, SessionID session)
{
decimal _bidPrice = 0.00M;
decimal _askPrice = 0.00M;
try
{
QuickFix.Group noMDEntriesGrp = new QuickFix.FIX42.MarketDataSnapshotFullRefresh.NoMDEntriesGroup();
for (int grpIndex = 1; grpIndex <= message.GetInt(QuickFix.Fields.Tags.NoMDEntries); grpIndex += 1)
{
noMDEntriesGrp = message.GetGroup(grpIndex, QuickFix.Fields.Tags.NoMDEntries);
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.BidPx))
{
_bidPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.BidPx));
}
if (noMDEntriesGrp.IsSetField(QuickFix.Fields.Tags.OfferPx))
{
_askPrice = QuickFix.Fields.Converters.DecimalConverter.Convert(noMDEntriesGrp.GetField(QuickFix.Fields.Tags.OfferPx));
}
}
string SecEx = null;
string symbol = null;
string secID = null;
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{ SecEx = message.GetField(se).ToString(); }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{ symbol = message.GetField(s).ToString(); }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{ secID = message.GetField(sid).ToString(); }
updatePrices(SecEx, symbol, secID, _bidPrice, _askPrice);
}
catch (Exception ex)
{
updateDisplay(string.Format("QuickFIX Error: {0}", System.Reflection.MethodBase.GetCurrentMethod().Name));
log.WriteLog(string.Format("{0} : {1}", System.Reflection.MethodBase.GetCurrentMethod().Name, ex.ToString()));
}
}
