public ExecutionReport(
QuickFix.OrderID aOrderID,
QuickFix.ExecID aExecID,
QuickFix.ExecTransType aExecTransType,
QuickFix.ExecType aExecType,
QuickFix.OrdStatus aOrdStatus,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.LastShares aLastShares,
QuickFix.LastPx aLastPx,
QuickFix.LeavesQty aLeavesQty,
QuickFix.CumQty aCumQty,
QuickFix.AvgPx aAvgPx)
: base(MsgType())
{
set(aOrderID);
set(aExecID);
set(aExecTransType);
set(aExecType);
set(aOrdStatus);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aLastShares);
set(aLastPx);
set(aLeavesQty);
set(aCumQty);
set(aAvgPx);
}
public QuickFix.LeavesQty getLeavesQty()
{ QuickFix.LeavesQty value = new QuickFix.LeavesQty();
getField(value); return value; }
public bool isSet(QuickFix.LeavesQty field)
{
return(isSetField(field));
}
public QuickFix.LeavesQty getLeavesQty()
{
QuickFix.LeavesQty value = new QuickFix.LeavesQty();
getField(value); return(value);
}
public QuickFix.LeavesQty get(QuickFix.LeavesQty value)
{
getField(value); return(value);
}
public void set(QuickFix.LeavesQty value)
{
setField(value);
}
/// <summary>
/// Process general purpose exec i.e. some type of order status change
/// </summary>
/// <param name="myOrder"></param>
/// <param name="myExec"></param>
private void processGeneralExecRep(ref KaiTrade.Interfaces.Order myOrder, QuickFix.Message myExec)
{
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("processGeneralExecRep:");
}
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
QuickFix.LeavesQty myLeavesQty = new QuickFix.LeavesQty();
QuickFix.CumQty myCumQty = new QuickFix.CumQty();
myExec.getField(myOrdStatus);
myOrder.OrdStatus = myOrdStatus;
switch (myOrdStatus.getValue())
{
case QuickFix.OrdStatus.CANCELED:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
myLeavesQty = new QuickFix.LeavesQty(0.0);
myOrder.LeavesQty = myLeavesQty;
break;
case QuickFix.OrdStatus.NEW:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else
{
m_Log.Error("HandleExecReport:OrderStatus new not expected");
}
myOrder.LeavesQty = new QuickFix.LeavesQty(myOrder.OrderQty.getValue());
myOrder.CumQty = new QuickFix.CumQty(0.0);
break;
case QuickFix.OrdStatus.REPLACED:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
if (myExec.isSetField(myLeavesQty))
{
myExec.getField(myLeavesQty);
myOrder.LeavesQty = myLeavesQty;
}
if (myExec.isSetField(myCumQty))
{
myExec.getField(myCumQty);
myOrder.CumQty = myCumQty;
}
break;
case QuickFix.OrdStatus.PENDING_REPLACE:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
m_ORLog.Error("Pending replace received but last command is not replace");
}
break;
case QuickFix.OrdStatus.REJECTED:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
break;
default:
break;
}
}
/// <summary>
/// Process partial or fully filled
/// </summary>
/// <param name="myOrder"></param>
/// <param name="myExec"></param>
private void processFill(ref KaiTrade.Interfaces.Order myOrder, QuickFix.Message myExec)
{
K2ServiceInterface.ITransaction myTrn = null;
try
{
// if the object supports transactions do the update as a trn
myTrn = myOrder as K2ServiceInterface.ITransaction;
if (myTrn != null)
{
myTrn.StartUpdate();
}
// Get the currently executed quantity for chain of orders.
QuickFix.CumQty myCumQty = new QuickFix.CumQty();
myExec.getField(myCumQty);
myOrder.CumQty = myCumQty;
// Get quantity open for further execution (order qty - cum qty)
QuickFix.LeavesQty myLeavesQty = new QuickFix.LeavesQty();
myExec.getField(myLeavesQty);
myOrder.LeavesQty = myLeavesQty;
QuickFix.LastPx myLastPx = new QuickFix.LastPx();
if (myExec.isSetField(myLastPx))
{
myExec.getField(myLastPx);
myOrder.LastPx = myLastPx;
}
QuickFix.AvgPx myAvgPx = new QuickFix.AvgPx();
if (myExec.isSetField(myAvgPx))
{
myExec.getField(myAvgPx);
myOrder.AvgPx = myAvgPx;
}
QuickFix.LastQty myLastQty = new QuickFix.LastQty();
if (myExec.isSetField(myLastQty))
{
myExec.getField(myLastQty);
myOrder.LastQty = myLastQty;
}
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myExec.getField(myOrdStatus);
myOrder.OrdStatus = myOrdStatus;
// always signal the end of the update
if (myTrn != null)
{
myTrn.EndUpdate();
}
}
catch (Exception myE)
{
m_Log.Error("processFill", myE);
// always signal the end of the update
if (myTrn != null)
{
myTrn.EndUpdate();
}
}
}