public void FromAdmin(QuickFix.Message message, QuickFix.SessionID sessionID)
{
if (message.Header.GetString(35) == QuickFix.FIX42.Reject.MsgType)
{
Console.WriteLine("REJECT RECEIVED: " + message.ToString());
}
Trace.WriteLine("## FromAdmin: " + message.ToString());
if (MessageEvent != null)
{
MessageEvent(message, true);
}
}
private static IEnumerable <FixField> ListFields(Message msg)
{
var str = msg.ToString();
var parts = str.Split(new[] { '\x01' }, StringSplitOptions.RemoveEmptyEntries);
foreach (var part in parts)
{
var i = part.IndexOf('=');
if (i < 0)
{
continue;
}
var name = part.Substring(0, i);
var value = part.Substring(i + 1);
int.TryParse(name, out var tag);
if (_Fields.TryGetValue(tag, out var tagName))
{
name = tagName;
}
if (_FieldFormatters.TryGetValue(tag, out var formatter))
{
value = formatter(value);
}
yield return(new FixField
{
Name = name,
Value = value
});
}
}
private void SendTheMessage(QuickFix.Message msg)
{
msg.Header.SetField(new QuickFix.Fields.TargetCompID(sessionID.SenderCompID));
msg.Header.SetField(new QuickFix.Fields.SenderCompID(sessionID.TargetCompID));
msg.Header.SetField(new QuickFix.Fields.MsgSeqNum(seqNum++));
session.Next(msg.ToString());
}
public void ToApp(QuickFix.Message message, QuickFix.SessionID sessionId)
{
_strategy.ProcessToApp(message, QuickFix.Session.LookupSession(sessionId));
Trace.WriteLine("## ToApp: " + message.ToString());
if (MessageEvent != null)
{
MessageEvent(message, false);
}
}
private void SendLogon(QuickFix.Message msg)
{
msg.Header.SetField(new QuickFix.Fields.TargetCompID(sessionID.SenderCompID));
msg.Header.SetField(new QuickFix.Fields.SenderCompID(sessionID.TargetCompID));
msg.Header.SetField(new QuickFix.Fields.MsgSeqNum(seqNum++));
msg.Header.SetField(new QuickFix.Fields.SendingTime(System.DateTime.UtcNow));
msg.SetField(new QuickFix.Fields.HeartBtInt(1));
session.Next(msg.ToString());
}
public void ToAdmin(QuickFix.Message msg, SessionID sessionID)
{
if (msg.Header.GetField(35).ToString() == "A")
{
msg.SetField(new QuickFix.Fields.Username(username));
msg.SetField(new QuickFix.Fields.Password(password));
}
AddToAdmin("TO ADMIN: " + msg.ToString(), null);
}
public void FromApp(QuickFix.Message message, QuickFix.SessionID sessionID)
{
Trace.WriteLine("## FromApp: " + message.ToString());
if (MessageEvent != null)
{
MessageEvent(message, true);
}
Crack(message, sessionID);
}
public static string ToString(this Message msg, bool parse = false)
{
if (!parse)
{
return(msg.ToString());
}
StringBuilder stringBuilder = new StringBuilder();
var ObjRef = msg.GetType();
stringBuilder.AppendLine(ObjRef.Name);
foreach (var property in ObjRef.GetProperties())
{
try
{
object upValue = property.GetValue(msg);
object value = property.PropertyType.GetProperty("Obj").GetValue(upValue);
//Check and fiil static fileds used like enum
var StaticFiels = property.PropertyType
.GetFields(BindingFlags.Public | BindingFlags.Static | BindingFlags.FlattenHierarchy)
.Where(p => p.IsLiteral && !p.IsInitOnly).GroupBy(p => p.GetRawConstantValue(), v => v.Name)
.ToDictionary(group => group.Key, group => group.Aggregate(
(res, add) => $"{add} or {res}"));
if (StaticFiels.Count > 0 && StaticFiels.ContainsKey(value))
{
value = $"{value} ({StaticFiels[value]})";
}
stringBuilder.AppendLine($"\t{property.Name}: {value}");
}
catch (Exception e)
{
}
}
return(stringBuilder.ToString());
}
/// <summary>
/// Cancel the order specified
/// </summary>
/// <param name="myID">ID of order to cancel</param>
public void CancelOrder(string myID)
{
try
{
// Get Order
KaiTrade.Interfaces.OrderManager myOM = AppFactory.Instance().GetOrderManager();
KaiTrade.Interfaces.Order myOrder = myOM.GetOrder(myID);
if (myOrder == null)
{
string myError = "Order not found cannot cancel:" + myID;
Exception myE = new Exception(myError);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("CancelOrder:" + myOrder.ToString());
}
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
string myError = "Order has already had a cancel processed - cannot recancel:" + myID;
Exception myE = new Exception(myError);
}
// Is this a triggered order
if (myOrder.TriggerOrderID.Length > 0)
{
KaiTrade.Interfaces.TriggeredOrder triggeredOrder = KTAFacade.Instance().Factory.GetTriggeredOrderManager().Get(myOrder.TriggerOrderID);
triggeredOrder.Cancel();
return;
}
// store the clordID's
//NOT USED? QuickFix.OrigClOrdID myOrigClOrdID;
QuickFix.ClOrdID myClOrdID;
if ((myOrder.OrdStatus.getValue() == QuickFix.OrdStatus.FILLED) || (myOrder.OrdStatus.getValue() == QuickFix.OrdStatus.CANCELED))
{
// cannot cancel the order - so return
return;
}
// Create a FIX cancel messsage
QuickFix.Message myFixMsg = new QuickFix.Message();
QuickFix.MsgType msgType = new QuickFix.MsgType("F");
myFixMsg.getHeader().setField(msgType);
QuickFix.BeginString myBeginString = new QuickFix.BeginString("FIX.4.4");
myFixMsg.getHeader().setField(myBeginString);
// set the original to the existing clordid
myOrder.OrigClOrdID = new QuickFix.OrigClOrdID(myOrder.ClOrdID.getValue());
myFixMsg.setField(myOrder.OrigClOrdID);
// save the existing clordid and set the new clordid
myClOrdID = myOrder.ClOrdID;
myOrder.ClOrdID = new QuickFix.ClOrdID(KaiUtil.Identities.Instance.genReqID());
myFixMsg.setField(myOrder.ClOrdID);
// Associate the CLOrdID with this order
AppFactory.Instance().GetOrderManager().AssociateClOrdID(myOrder.ClOrdID.getValue(), myOrder);
// OrderID
if (myOrder.OrderID != null)
{
myFixMsg.setField(myOrder.OrderID);
}
////Side
myFixMsg.setField(myOrder.Side);
// set up the product details in the message
myOrder.Product.Set(myFixMsg);
//// Transact Time
myOrder.TransactTime = new QuickFix.TransactTime(DateTime.Now.ToUniversalTime());
myFixMsg.setField(myOrder.TransactTime);
// Create the message wrapper used to send the order cancel to the driver
KaiTrade.Interfaces.Message myMsg = new KaiTCPComm.KaiMessageWrap();
myMsg.Label = "F";
string myDriverCode = "";
// A trade venue must be specified on the order
KaiTrade.Interfaces.Venue myVenue = null;
if (myOrder.Product.TradeVenue.Length > 0)
{
// get the driver code and session details from the venue manager
myVenue = AppFactory.Instance().GetVenueManager().GetVenue(myOrder.Product.TradeVenue);
if (myVenue != null)
{
myDriverCode = myVenue.DriverCode;
if (myVenue.TargetVenue.Length > 0)
{
myMsg.VenueCode = myVenue.TargetVenue;
}
if (myVenue.BeginString.Length > 0)
{
// this is the FIX version the server wants, we convert between
// versions in the FIX client
myMsg.Format = myVenue.BeginString;
}
if (myVenue.SID.Length > 0)
{
QuickFix.SenderCompID mySID = new QuickFix.SenderCompID(myVenue.SID);
myFixMsg.getHeader().setField(mySID);
myMsg.ClientID = myVenue.SID;
}
if (myVenue.TID.Length > 0)
{
QuickFix.TargetCompID myTID = new QuickFix.TargetCompID(myVenue.TID);
myFixMsg.getHeader().setField(myTID);
myMsg.TargetID = myVenue.TID;
}
}
else
{
string myErr = "Invalid Venue Code:" + myOrder.Product.TradeVenue;
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
}
else
{
string myErr = "No Venue Code specified on product:";
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
// process any venue field bags - do this prior to the order bags
// to allow the order setting to override the venues
List<KaiTrade.Interfaces.Field> myFieldBag;
KTAFacade.Instance().SetBag(out myFieldBag, myVenue.CancelBag, ",");
foreach (KaiTrade.Interfaces.Field myField in myFieldBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("cancel Extra tags from venue error:", myE);
}
}
// process any additional tags for the order
foreach (KaiTrade.Interfaces.Field myField in myOrder.CancelBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("cancel Extra tags error:", myE);
}
}
if (myOrder.Account != null)
{
if (myOrder.Account.getValue().Length > 0)
{
myFixMsg.setField(myOrder.Account);
}
}
// Set the FIX string as message data
myMsg.Data = myFixMsg.ToString();
// inform order manager clients that the order has changed
myOM.SetChanged(myOrder.Identity);
try
{
//Send the message
KaiTrade.Interfaces.Driver myDrv = AppFactory.Instance().GetDriverManager().GetDriver(myDriverCode);
if (myDrv != null)
{
// send the message for processing
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.cancel;
//SendDelegate mySend = new SendDelegate(myDrv.Send);
//IAsyncResult ar = mySend.BeginInvoke(myMsg, SRCallback, "123456789");
// send the message for processing
myDrv.Send(myMsg);
}
else
{
string myError = "Driver not found for code:" + myDriverCode;
m_Log.Error(myError);
Exception myE = new Exception(myError);
throw myE;
}
}
catch (Exception myE)
{
m_Log.Error("CanceltOrder:" + myOrder.Identity, myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
throw (myE);
}
}
catch (Exception myE)
{
m_Log.Error("CancelOrder:", myE);
throw (myE);
}
}
public void ToApp(QuickFix.Message msg, SessionID sessionID)
{
AddToLB("TO APP: " + msg.ToString(), null);
}
/// <summary>
/// Handle an incomming execution report
/// </summary>
/// <param name="myMsg"></param>
public void HandleExecReport(KaiTrade.Interfaces.Message myMsg)
{
try
{
if (m_Log.IsInfoEnabled)
{
m_Log.Info("OrderService:HandleExecReport:" + myMsg.Data);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("OrderService:HandleExecReport:" + myMsg.Data);
}
// Get order manager
KaiTrade.Interfaces.OrderManager myOM = KTAFacade.Instance().Factory.GetOrderManager();
//Create a quickfix message object
QuickFix.Message myFixMsg = new QuickFix.Message(myMsg.Data);
QuickFix.ExecID myExecID = new QuickFix.ExecID();
myFixMsg.getField(myExecID);
// check if we have already processed this report
if (!myOM.RecordExecutionReport(myExecID.getValue(), myFixMsg))
{
// we have processed this already
m_Log.Warn("HandleExecReport: Duplicate Exec Report:" + myMsg.Data);
return;
}
// these fields must be present
QuickFix.OrderID myOrderID = new QuickFix.OrderID();
myFixMsg.getField(myOrderID);
QuickFix.ExecType myExecType = new QuickFix.ExecType();
myFixMsg.getField(myExecType);
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myFixMsg.getField(myOrdStatus);
// we need the clordid to update an existing order - if
// it is not present or unknow we create a synthetic order
QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
KaiTrade.Interfaces.Order myOrder = null;
if (myFixMsg.isSetField(myClOrdID))
{
myFixMsg.getField(myClOrdID);
myOrder = myOM.GetOrderWithClOrdIDID(myClOrdID.getValue());
}
if (myOrder == null)
{
myOrder = CreateSyntheticOrder(myFixMsg);
}
// add the ExecRep to the Order
KaiTrade.Interfaces.Fill myFill = new K2DataObjects.FillData();
myFill.OrderID = myOrder.Identity;
myFill.SetUpFromFixExecReport(myFixMsg.ToString());
myOrder.FillsList.Add(myFill);
// update mandatory fields
myOrder.OrderID = myOrderID;
myOrder.OrdStatus = myOrdStatus;
QuickFix.Text myText = new QuickFix.Text();
if (myFixMsg.isSetField(myText))
{
myFixMsg.getField(myText);
myOrder.Text = myText.getValue();
}
QuickFix.Account myAccount = new QuickFix.Account();
if (myFixMsg.isSetField(myAccount))
{
myFixMsg.getField(myAccount);
myOrder.Account = myAccount;
}
// process the execution depanding on type of ExecReport
switch (myExecType.getValue())
{
case QuickFix.ExecType.NEW:
processGeneralExecRep(ref myOrder, myFixMsg);
/*
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else
{
m_Log.Error("HandleExecReport:OrderStatus new not expected");
}
* */
break;
case QuickFix.ExecType.FILL:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
processFill(ref myOrder, myFixMsg);
break;
case QuickFix.ExecType.PARTIAL_FILL:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
processFill(ref myOrder, myFixMsg);
break;
case QuickFix.ExecType.ORDER_STATUS:
processGeneralExecRep(ref myOrder, myFixMsg);
break;
default:
processGeneralExecRep(ref myOrder, myFixMsg);
break;
}
myOM.SetChanged(myOrder.Identity);
// Check if the order is part of a strategy
if (myOrder.ParentIdentity != null)
{
// get the strategy concerned
KaiTrade.Interfaces.IStrategy myStrat = KTAFacade.Instance().Factory.GetStrategyManager().GetStrategy(myOrder.ParentIdentity);
if (myStrat != null)
{
myStrat.HandleExecReport(myFixMsg, myOrder);
}
else
{
m_Log.Error("Strategy not found for:" + myOrder.ParentIdentity);
}
}
if (myOrder.OCAGroupName.Length > 0)
{
KTAFacade.Instance().Factory.GetOCOManager().OnOrderTraded(myOrder);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("OrderService:HandleExecRep:Exit:" + myOrder.ToString());
}
}
catch (Exception myE)
{
m_Log.Error("HandleExecReport", myE);
}
}
internal static void ReplicateFixMessage(QuickFix.Message msg)
{
try
{
lock (m_LockedObj)
{
string msgTypeString = msg.getHeader().getField(m_msgTypeTag);
Guid[] subscribersKeys = GetFixMsgSubscribers(msgTypeString);
if (subscribersKeys != null && subscribersKeys.Length > 0)
{
foreach (Guid key in subscribersKeys)
{
PushUpdates(new IReplicationResponse[] { new ReplicatedFixMsg()
{
ClientKey = key, FixMessage = msg.ToString(), ResponseDateTime = DateTime.Now, FixVersion = msg.getHeader().getField(m_fixMsgVersionTag)
} });
}
}
}
}
catch (Exception ex)
{
Counters.IncrementCounter(CountersConstants.ExceptionMessages);
SystemLogger.WriteOnConsoleAsync(true, string.Format("ReplicateFixMessage, Error: {0} ", ex.Message), ConsoleColor.Red, ConsoleColor.Black, true);
}
}
public void ToApp(QuickFix.Message msg, QuickFix.SessionID sessionID)
{
m_logger.Info(sessionID.SenderCompID, " ToApp msg : " + msg.ToString());
// Crack(msg, sessionID);
}
public void RenderOrderAsFix(out QuickFix.Message myNOS, out KaiTrade.Interfaces.Message myMsg, out string myDriverCode, KaiTrade.Interfaces.Order myOrder)
{
try
{
lock (this)
{
// do not actually submit triggered orders
// register the order as a publisher
KaiTrade.Interfaces.Publisher myPub = null;
myPub = AppFactory.Instance().GetPublisherManager().GetPublisher(myOrder.Identity);
if (myPub == null)
{
myPub = myOrder as KaiTrade.Interfaces.Publisher;
AppFactory.Instance().GetPublisherManager().Add(myPub);
}
// Check the limits for the order
string myTextErr;
if (LimitChecker.Instance().BreaksLimits(out myTextErr, myOrder))
{
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = "order failed order qty limit test";
Exception myE = new Exception("process order failed order qty limit test");
throw myE;
}
// Create the FIX order message
myNOS = new QuickFix.Message();
// pending new at this stage
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.PENDING_NEW);
myOrder.TransactTime = new QuickFix.TransactTime(DateTime.Now.ToUniversalTime());
myNOS.setField(myOrder.TransactTime);
//myOrder.ClOrdID = new QuickFix.ClOrdID(KaiUtil.Identities.Instance.genReqID());
// Associate the CLOrdID with this order
AppFactory.Instance().GetOrderManager().AssociateClOrdID(myOrder.ClOrdID.getValue(), myOrder);
// Set fix version
QuickFix.BeginString myBeginString = new QuickFix.BeginString("FIX.4.4");
myNOS.getHeader().setField(myBeginString);
// Set order message type
QuickFix.MsgType msgType = new QuickFix.MsgType();
msgType.setValue("D");
myNOS.getHeader().setField(msgType);
myNOS.setField(myOrder.ClOrdID);
// set up the product details in the message
myOrder.Product.Set(myNOS);
// Qty
myNOS.setField(myOrder.OrderQty);
// MaxFloor
if (myOrder.MaxFloor != null)
{
myNOS.setField(myOrder.MaxFloor);
}
// set the side
myNOS.setField(myOrder.Side);
// set the order type
myNOS.setField(myOrder.OrdType);
// Time in force
if (myOrder.TimeInForce != null)
{
myNOS.setField(myOrder.TimeInForce);
}
else
{
myOrder.TimeInForce = new QuickFix.TimeInForce(QuickFix.TimeInForce.DAY);
myNOS.setField(myOrder.TimeInForce);
}
// Validation - check they entered a date/time if needed
switch (myOrder.TimeInForce.getValue())
{
case QuickFix.TimeInForce.GOOD_TILL_DATE:
break;
default:
break;
}
// do not add the price to the fix message on Market orders
if (myOrder.OrdType.getValue() != QuickFix.OrdType.MARKET)
{
if (myOrder.Price.getValue() > 0)
{
myNOS.setField(myOrder.Price);
}
else
{
throw new Exception("Must specify price > 0 on Limit and other non Market orders");
}
}
if (myOrder.StopPx != null)
{
myNOS.setField(myOrder.StopPx);
}
// default the handlInst to automated
if (myOrder.HandlInst != null)
{
myNOS.setField(myOrder.HandlInst);
}
else
{
myOrder.HandlInst = new QuickFix.HandlInst(QuickFix.HandlInst.AUTOEXECPUB);
myNOS.setField(myOrder.HandlInst);
}
// Create the message wrapper used to send the order to the driver
myMsg = new KaiTCPComm.KaiMessageWrap();
myMsg.Label = "D";
myDriverCode = "";
// A trade venue must be specified on the order
KaiTrade.Interfaces.Venue myVenue = null;
if (myOrder.Product.TradeVenue.Length > 0)
{
// get the driver code and session details from the venue manager
myVenue = AppFactory.Instance().GetVenueManager().GetVenue(myOrder.Product.TradeVenue);
if (myVenue != null)
{
myDriverCode = myVenue.DriverCode;
if (myVenue.TargetVenue.Length > 0)
{
myMsg.VenueCode = myVenue.TargetVenue;
}
if (myVenue.BeginString.Length > 0)
{
// this is the FIX version the server wants, we convert between
// versions in the FIX client
myMsg.Format = myVenue.BeginString;
}
if (myVenue.SID.Length > 0)
{
QuickFix.SenderCompID mySID = new QuickFix.SenderCompID(myVenue.SID);
myNOS.getHeader().setField(mySID);
myMsg.ClientID = myVenue.SID;
}
if (myVenue.TID.Length > 0)
{
QuickFix.TargetCompID myTID = new QuickFix.TargetCompID(myVenue.TID);
myNOS.getHeader().setField(myTID);
myMsg.TargetID = myVenue.TID;
}
}
else
{
string myErr = "Invalid Venue Code:" + myOrder.Product.TradeVenue;
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
}
else
{
string myErr = "No Venue Code specified on product:";
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
// process any venue field bags - do this prior to the order bags
// to allow the order setting to override the venues
List<KaiTrade.Interfaces.Field> myFieldBag;
KTAFacade.Instance().SetBag(out myFieldBag, myVenue.NOSBag, ",");
foreach (KaiTrade.Interfaces.Field myField in myFieldBag)
{
try
{
myNOS.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("NOS Extra tags from venue error:", myE);
}
}
// process any additional tags for the order
foreach (KaiTrade.Interfaces.Field myField in myOrder.NOSBag)
{
try
{
myNOS.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("NOS Extra tags error:", myE);
}
}
// additional setting placed here will override the
// fields in the bags
if (myOrder.Account != null)
{
if (myOrder.Account.getValue().Length > 0)
{
myNOS.setField(myOrder.Account);
}
}
QuickFix.TargetStrategyParameters targetStrategyParameters = new QuickFix.TargetStrategyParameters(myOrder.StrategyName);
myNOS.setField(targetStrategyParameters);
// Process any strategy parameters
if (myOrder.K2Parameters.Count > 0)
{
QuickFix.NoStrategyParameters noStratParms = new QuickFix.NoStrategyParameters(myOrder.K2Parameters.Count);
myNOS.setField(noStratParms);
QuickFix50Sp2.NewOrderSingle.NoStrategyParameters group = new QuickFix50Sp2.NewOrderSingle.NoStrategyParameters();
QuickFix.StrategyParameterName strategyParameterName;
QuickFix.StrategyParameterType strategyParameterType;
QuickFix.StrategyParameterValue strategyParameterValue;
foreach (KaiTrade.Interfaces.K2Parameter param in myOrder.K2Parameters)
{
strategyParameterName = new QuickFix.StrategyParameterName(param.ParameterName);
group.setField(strategyParameterName);
strategyParameterType = new QuickFix.StrategyParameterType((int)param.ParameterType);
group.setField(strategyParameterType);
strategyParameterValue = new QuickFix.StrategyParameterValue(param.ParameterValue);
group.setField(strategyParameterValue);
myNOS.addGroup(group);
}
}
// Set the FIX string as message data
myMsg.Data = myNOS.ToString();
// inform order manager clients that the order has changed
AppFactory.Instance().GetOrderManager().SetChanged(myOrder.Identity);
}
}
catch (Exception myE)
{
m_Log.Error("RenderOrderAsFix:", myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = myE.Message;
// inform order manager clients that the order has changed
AppFactory.Instance().GetOrderManager().SetChanged(myOrder.Identity);
throw (myE);
}
}
/// <summary>
/// Edit the order for the ID specified - throws an exception if the order isnt working
/// </summary>
/// <param name="myID"></param>
/// <param name="newQty">new qty if specified</param>
/// <param name="newPrice">new price if specified</param>
public void ReplaceOrder(string myID, double? newQty, double? newPrice, double? newStopPx)
{
KaiTrade.Interfaces.Order myOrder = null;
try
{
// Get Order
KaiTrade.Interfaces.OrderManager myOM = AppFactory.Instance().GetOrderManager();
myOrder = myOM.GetOrder(myID);
if (myOrder == null)
{
string myError = "Order not found cannot edit:" + myID;
Exception myE = new Exception(myError);
throw myE;
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("ReplaceOrder:"+ myOrder.ToString());
}
// are these changes?
if (!newValueDifferentFromOld(myOrder, newQty, newPrice, newStopPx))
{
string myError = "The new fields in the Replace request are the same as the existing fields" + myID;
Exception myE = new Exception(myError);
throw myE;
}
// Is this a triggered order
if (myOrder.TriggerOrderID.Length > 0)
{
if (newQty.HasValue)
{
myOrder.OrderQty = new QuickFix.OrderQty((double)newQty);
}
if (newPrice.HasValue)
{
myOrder.Price = new QuickFix.Price((double)newPrice);
}
if (newStopPx.HasValue)
{
myOrder.StopPx = new QuickFix.StopPx((double)newStopPx);
}
return;
}
// store the clordID's
//NOT USED? QuickFix.OrigClOrdID myOrigClOrdID;
QuickFix.ClOrdID myClOrdID;
// check if we are pending cancel or pending mod
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
// we are currently doing a replace - cannot do another
string myError = "Order is already processing a replace cannot modify at this time:" + myID;
Exception myE = new Exception(myError);
throw myE;
}
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
// we are currently doing a cancel - cannot do a mod
string myError = "Order is already processing a cancel cannot modify" + myID;
Exception myE = new Exception(myError);
throw myE;
}
// check that the order is working
if (!myOrder.IsWorking())
{
if ((myOrder.OrdType.getValue() == QuickFix.OrdType.STOP) || (myOrder.OrdType.getValue() == QuickFix.OrdType.STOP_LIMIT))
{
// no action
}
else
{
string myError = "Order is not in a working state cannot replace:" + myID;
Exception myE = new Exception(myError);
throw myE;
}
}
// Check the limits for the order
string myTextErr;
double qty;
if (newQty.HasValue)
{
qty = newQty.Value;
}
else
{
qty = myOrder.OrderQty.getValue();
}
double px;
if (newPrice.HasValue)
{
px = newPrice.Value;
}
else
{
px = myOrder.Price.getValue();
}
if (LimitChecker.Instance().BreaksLimits(out myTextErr, myOrder, qty, px))
{
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = "You have exceeded the order qty limit - please re-enter";
Exception myE = new Exception("You have exceeded the order qty limit - please re-enter");
throw myE;
}
// Create a FIX cancel replace messsage
QuickFix.Message myFixMsg = new QuickFix.Message();
QuickFix.MsgType msgType = new QuickFix.MsgType("G");
myFixMsg.getHeader().setField(msgType);
QuickFix.BeginString myBeginString = new QuickFix.BeginString("FIX.4.4");
myFixMsg.getHeader().setField(myBeginString);
// OrderID
if (myOrder.OrderID == null)
{
myOrder.Text = "No order ID found cannot modify order";
Exception myE = new Exception("No order ID found cannot modify order");
throw myE;
}
// set the original to the existing clordid
myOrder.OrigClOrdID = new QuickFix.OrigClOrdID(myOrder.ClOrdID.getValue());
myFixMsg.setField(myOrder.OrigClOrdID);
myFixMsg.setField(myOrder.OrderID);
////Side
myFixMsg.setField(myOrder.Side);
// set up the product details in the message
myOrder.Product.Set(myFixMsg);
//// Transact Time
myOrder.TransactTime = new QuickFix.TransactTime(DateTime.Now.ToUniversalTime());
myFixMsg.setField(myOrder.TransactTime);
myFixMsg.setField(myOrder.OrdType);
// Create the message wrapper used to send the order cancel to the driver
KaiTrade.Interfaces.Message myMsg = new KaiTCPComm.KaiMessageWrap();
myMsg.Label = "G";
string myDriverCode = "";
// A trade venue must be specified on the order
KaiTrade.Interfaces.Venue myVenue = null;
if (myOrder.Product.TradeVenue.Length > 0)
{
// get the driver code and session details from the venue manager
myVenue = AppFactory.Instance().GetVenueManager().GetVenue(myOrder.Product.TradeVenue);
if (myVenue != null)
{
myDriverCode = myVenue.DriverCode;
if (myVenue.TargetVenue.Length > 0)
{
myMsg.VenueCode = myVenue.TargetVenue;
}
if (myVenue.BeginString.Length > 0)
{
// this is the FIX version the server wants, we convert between
// versions in the FIX client
myMsg.Format = myVenue.BeginString;
}
if (myVenue.SID.Length > 0)
{
QuickFix.SenderCompID mySID = new QuickFix.SenderCompID(myVenue.SID);
myFixMsg.getHeader().setField(mySID);
myMsg.ClientID = myVenue.SID;
}
if (myVenue.TID.Length > 0)
{
QuickFix.TargetCompID myTID = new QuickFix.TargetCompID(myVenue.TID);
myFixMsg.getHeader().setField(myTID);
myMsg.TargetID = myVenue.TID;
}
}
else
{
string myErr = "Invalid Venue Code:" + myOrder.Product.TradeVenue;
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
}
else
{
string myErr = "No Venue Code specified on product:";
m_Log.Error(myErr);
Exception myE = new Exception(myErr);
throw myE;
}
// process any venue field bags - do this prior to the order bags
// to allow the order setting to override the venues
List<KaiTrade.Interfaces.Field> myFieldBag;
KTAFacade.Instance().SetBag(out myFieldBag, myVenue.ReplaceBag, ",");
foreach (KaiTrade.Interfaces.Field myField in myFieldBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("replace Extra tags from venue error:", myE);
}
}
// process any additional tags for the order
foreach (KaiTrade.Interfaces.Field myField in myOrder.ReplaceBag)
{
try
{
myFixMsg.setString(int.Parse(myField.ID), myField.Value);
}
catch (Exception myE)
{
m_Log.Error("replace Extra tags error:", myE);
}
}
if (myOrder.Account != null)
{
if (myOrder.Account.getValue().Length > 0)
{
myFixMsg.setField(myOrder.Account);
}
}
try
{
//Send the message
KaiTrade.Interfaces.Driver myDrv = AppFactory.Instance().GetDriverManager().GetDriver(myDriverCode);
if (myDrv != null)
{
// save the existing clordid and set the new clordid
myClOrdID = myOrder.ClOrdID;
myOrder.ClOrdID = new QuickFix.ClOrdID(KaiUtil.Identities.Instance.genReqID());
myFixMsg.setField(myOrder.ClOrdID);
// Associate the CLOrdID with this order
AppFactory.Instance().GetOrderManager().AssociateClOrdID(myOrder.ClOrdID.getValue(), myOrder);
if (newQty.HasValue)
{
myOrder.OrderQty = new QuickFix.OrderQty((double)newQty);
myFixMsg.setField(myOrder.OrderQty);
}
if (newPrice.HasValue)
{
myOrder.Price = new QuickFix.Price((double)newPrice);
myFixMsg.setField(myOrder.Price);
}
if (newStopPx.HasValue)
{
myOrder.StopPx = new QuickFix.StopPx((double)newStopPx);
myFixMsg.setField(myOrder.StopPx);
}
// Set the FIX string as message data
myMsg.Data = myFixMsg.ToString();
// inform order manager clients that the order has changed
myOM.SetChanged(myOrder.Identity);
// send the message for processing
//myDrv.Send(myMsg);
// send the message for processing
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.replace;
//SendDelegate mySend = new SendDelegate(myDrv.Send);
//IAsyncResult ar = mySend.BeginInvoke(myMsg, SRCallback, "123456789");
myDrv.Send(myMsg);
}
else
{
string myError = "Driver not found for code:" + myDriverCode;
m_Log.Error(myError);
Exception myE = new Exception(myError);
throw myE;
}
}
catch (Exception myE)
{
m_Log.Error("EditOrder:Sendnessage part" + myOrder.Identity, myE);
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
throw (myE);
}
}
catch (Exception myE)
{
m_Log.Error("ReplaceOrder:", myE);
if (myOrder != null)
{
myOrder.OrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
myOrder.Text = myE.Message;
}
throw (myE);
}
}
public static string PrettyPrint(this Message msg)
{
return(msg.ToString().Replace(Message.SOH, "|"));
}
public void FromAdmin(QuickFix.Message msg, SessionID sessionID)
{
_form1.logListView.Items.Add(msg.ToString());
}
public MessageRecord(QuickFix.Message msg, bool isIncoming)
{
MsgText = msg.ToString().Replace(QuickFix.Message.SOH, "|");
Direction = isIncoming ? "IN" : "OUT";
Timestamp = msg.Header.GetDateTime(QuickFix.Fields.Tags.SendingTime);
}
public void FromAdmin(QuickFix.Message msg, SessionID sessionID)
{
AddToAdmin("FROM ADMIN: " + msg.ToString(), null);
}
public void DisplayMessageInfo(QuickFix.Message message, Entry entry = null)
{
if (message != null)
{
messageDetailsList.Items.Clear();
foreach (var h in message.Header)
{
var ddf = _fieldsBoxItems.ContainsKey(h.Key) ? (_fieldsBoxItems[h.Key].Tag as DDField) : null;
var ditem = messageDetailsList.Items.Add(h.Key.ToString());
if (ddf != null)
{
ditem.SubItems.Add(ddf.Name).ForeColor = Color.FromArgb(255, 22, 160, 133);
}
else
{
ditem.SubItems.Add(h.Key.ToString()).ForeColor = Color.FromArgb(255, 22, 160, 133);
}
ditem.SubItems.Add(h.Value.ToString()).ForeColor = Color.FromArgb(255, 22, 160, 133);
if (ddf != null)
{
ditem.SubItems.Add(ddf.FixFldType).ForeColor = Color.FromArgb(255, 22, 160, 133);
}
else
{
ditem.SubItems.Add("DEFAULT").ForeColor = Color.FromArgb(255, 22, 160, 133);
}
ditem.ForeColor = Color.FromArgb(255, 22, 160, 133);
}
foreach (var h in message)
{
var ddf = _fieldsBoxItems.ContainsKey(h.Key) ? (_fieldsBoxItems[h.Key].Tag as DDField) : null;
var ditem = messageDetailsList.Items.Add(h.Key.ToString());
if (ddf != null)
{
ditem.SubItems.Add(ddf.Name).ForeColor = Color.FromArgb(255, 192, 57, 43);
}
else
{
ditem.SubItems.Add(h.Key.ToString()).ForeColor = Color.FromArgb(255, 192, 57, 43);
}
ditem.SubItems.Add(h.Value.ToString()).ForeColor = Color.FromArgb(255, 192, 57, 43);
if (ddf != null)
{
ditem.SubItems.Add(ddf.FixFldType).ForeColor = Color.FromArgb(255, 192, 57, 43);
}
else
{
ditem.SubItems.Add("DEFAULT").ForeColor = Color.FromArgb(255, 192, 57, 43);
}
ditem.ForeColor = Color.FromArgb(255, 192, 57, 43);
}
foreach (var h in message.Trailer)
{
var ddf = _fieldsBoxItems.ContainsKey(h.Key) ? (_fieldsBoxItems[h.Key].Tag as DDField) : null;
var ditem = messageDetailsList.Items.Add(h.Key.ToString());
if (ddf != null)
{
ditem.SubItems.Add(ddf.Name).ForeColor = Color.FromArgb(255, 25, 42, 86);
}
else
{
ditem.SubItems.Add(h.Key.ToString()).ForeColor = Color.FromArgb(255, 25, 42, 86);
}
ditem.SubItems.Add(h.Value.ToString()).ForeColor = Color.FromArgb(255, 25, 42, 86);
if (ddf != null)
{
ditem.SubItems.Add(ddf.FixFldType).ForeColor = Color.FromArgb(255, 25, 42, 86);
}
else
{
ditem.SubItems.Add("DEFAULT").ForeColor = Color.FromArgb(255, 25, 42, 86);
}
ditem.ForeColor = Color.FromArgb(255, 25, 42, 86);
}
if (entry != null)
{
rawMessage.Text = entry.Content;
}
else
{
rawMessage.Text = message.ToString();
}
}
}
public void FromApp(QuickFix.Message msg, SessionID sessionID)
{
var sMsg = "FROM APP: " + msg.ToString();
AddToLB(sMsg, null);
if (msg.Header.GetField(35) == "TC") //Cash
{
DateTime dtTdate;
float fPrice;
int Qty;
int OrdType;
bool BPisBuyer;
DateTime.TryParse(msg.GetField(CustomConstants.TDATE), out dtTdate);
string BPSide = msg.GetField(CustomConstants.BP_SIDE);
float.TryParse(msg.GetField(CustomConstants.F_PRICE), out fPrice);
int.TryParse(msg.GetField(CustomConstants.QTY), out Qty);
string TCTReference = msg.GetField(CustomConstants.TCT_REF);
string BPAcct = msg.GetField(CustomConstants.BP_COMPANY);
int.TryParse(msg.GetField(CustomConstants.ORDER_TYPE), out OrdType);
string ExecBkr = msg.GetField(CustomConstants.EXEC_BKR);
string CounterParty = msg.GetField(CustomConstants.COUNTER_PARTY);
BPisBuyer = msg.GetField(CustomConstants.IS_BUYER) == "Y";
string BPTrader = msg.GetField(CustomConstants.BP_TRADER);
string CounterTrader = msg.GetField(CustomConstants.COUNTER_TRADER);
string Grade = msg.GetField(CustomConstants.GRADE);
string Location = msg.GetField(CustomConstants.LOCATION);
string CycDt = msg.GetField(CustomConstants.CYCLE_DATE);
string DelMo = msg.GetField(CustomConstants.DELIVER_MONTH);
string Terms = msg.GetField(CustomConstants.TERMS);
string Payment = msg.GetField(CustomConstants.PAYMENT);
string Origin = msg.GetField(CustomConstants.ORIGIN);
string NumOfCyc = msg.GetField(CustomConstants.NUM_OF_CYCLES);
string Via = msg.GetField(CustomConstants.VIA);
string MoveMo = msg.GetField(CustomConstants.MOVE_MONTH);
string Comment = msg.GetField(CustomConstants.COMMENT);
}
else if (msg.Header.GetField(35) == "TE") //EFP
{
DateTime dtTdate;
float fPrice;
int Qty;
int OrdType;
bool BPisBuyer;
bool IsWater;
DateTime.TryParse(msg.GetField(CustomConstants.TDATE), out dtTdate);
string BPSide = msg.GetField(CustomConstants.BP_SIDE);
float.TryParse(msg.GetField(CustomConstants.F_PRICE), out fPrice);
int.TryParse(msg.GetField(CustomConstants.QTY), out Qty);
string TCTReference = msg.GetField(CustomConstants.TCT_REF);
string BPAcct = msg.GetField(CustomConstants.BP_COMPANY);
int.TryParse(msg.GetField(CustomConstants.ORDER_TYPE), out OrdType);
string ExecBkr = msg.GetField(CustomConstants.EXEC_BKR);
string CounterParty = msg.GetField(CustomConstants.COUNTER_PARTY);
BPisBuyer = msg.GetField(CustomConstants.IS_BUYER) == "Y";
string BPTrader = msg.GetField(CustomConstants.BP_TRADER);
string CounterTrader = msg.GetField(CustomConstants.COUNTER_TRADER);
string Grade = msg.GetField(CustomConstants.GRADE);
string Location = msg.GetField(CustomConstants.LOCATION);
string CycDt = msg.GetField(CustomConstants.CYCLE_DATE);
string DelMo = msg.GetField(CustomConstants.DELIVER_MONTH);
string Terms = msg.GetField(CustomConstants.TERMS);
string Payment = msg.GetField(CustomConstants.PAYMENT);
string Origin = msg.GetField(CustomConstants.ORIGIN);
string NumOfCyc = msg.GetField(CustomConstants.NUM_OF_CYCLES);
string Via = msg.GetField(CustomConstants.VIA);
string MoveMo = msg.GetField(CustomConstants.MOVE_MONTH);
string Comment = msg.GetField(CustomConstants.COMMENT);
IsWater = msg.GetField(CustomConstants.ISWATER) == "Y";
string BPFloorBkr = msg.GetField(CustomConstants.BP_FLOOR_BKR);
string CounterFloorBkr = msg.GetField(CustomConstants.COUNTER_FLOOR_BKR);
string Diff = msg.GetField(CustomConstants.DIFFERENCE);
string MercMo = msg.GetField(CustomConstants.MERC_MO);
string MercPr = msg.GetField(CustomConstants.MERC_PRICE);
}
else if (msg.Header.GetField(35) == "TI") //Index
{
DateTime dtTdate;
float fPrice;
int Qty;
int OrdType;
bool BPisBuyer;
bool IsWater;
DateTime.TryParse(msg.GetField(CustomConstants.TDATE), out dtTdate);
string BPSide = msg.GetField(CustomConstants.BP_SIDE);
float.TryParse(msg.GetField(CustomConstants.F_PRICE), out fPrice);
int.TryParse(msg.GetField(CustomConstants.QTY), out Qty);
string TCTReference = msg.GetField(CustomConstants.TCT_REF);
string BPAcct = msg.GetField(CustomConstants.BP_COMPANY);
int.TryParse(msg.GetField(CustomConstants.ORDER_TYPE), out OrdType);
string ExecBkr = msg.GetField(CustomConstants.EXEC_BKR);
string CounterParty = msg.GetField(CustomConstants.COUNTER_PARTY);
BPisBuyer = msg.GetField(CustomConstants.IS_BUYER) == "Y";
string BPTrader = msg.GetField(CustomConstants.BP_TRADER);
string CounterTrader = msg.GetField(CustomConstants.COUNTER_TRADER);
string Grade = msg.GetField(CustomConstants.GRADE);
string Location = msg.GetField(CustomConstants.LOCATION);
string CycDt = msg.GetField(CustomConstants.CYCLE_DATE);
string DelMo = msg.GetField(CustomConstants.DELIVER_MONTH);
string Terms = msg.GetField(CustomConstants.TERMS);
string Payment = msg.GetField(CustomConstants.PAYMENT);
string Origin = msg.GetField(CustomConstants.ORIGIN);
string NumOfCyc = msg.GetField(CustomConstants.NUM_OF_CYCLES);
string Via = msg.GetField(CustomConstants.VIA);
string MoveMo = msg.GetField(CustomConstants.MOVE_MONTH);
string Comment = msg.GetField(CustomConstants.COMMENT);
IsWater = msg.GetField(CustomConstants.ISWATER) == "Y";
string BPFloorBkr = msg.GetField(CustomConstants.BP_FLOOR_BKR);
string CounterFloorBkr = msg.GetField(CustomConstants.COUNTER_FLOOR_BKR);
string Diff = msg.GetField(CustomConstants.DIFFERENCE);
string MercMo = msg.GetField(CustomConstants.MERC_MO);
string MercPr = msg.GetField(CustomConstants.MERC_PRICE);
}
}