public void Handle(QuickFix.Message msg)
{
// check message type tag, if execution report then push execution report update
QuickFix.MsgType msgType = new QuickFix.MsgType();
string msgTypeString = msg.getHeader().getField(m_msgTypeTag);
if (msgTypeString == m_MsgTypeTagValueToHandle)
{
Counters.IncrementCounter(CountersConstants.RejectionMsgs);
string txt = string.Empty;
if (msg.isSetField(58))
{
txt = msg.getField(58);
}
try
{
if (msg.isSetField(373))
{
string rejectReasonValue = string.Empty;
rejectReasonValue = msg.getField(373);
txt += ", " + Lookups.GetSessionRejectReason(rejectReasonValue).MessageEn;
}
}
catch (Exception ex)
{
Counters.IncrementCounter(CountersConstants.ExceptionMessages);
SystemLogger.WriteOnConsoleAsync(true, string.Format("Error getting reason of rejected message: {0}", ex.Message), ConsoleColor.Red, ConsoleColor.Black, false);
}
// create IResponseMessage
SystemLogger.WriteOnConsoleAsync(true, string.Format("Order Rejected, Details {0} , Reason: {1} ", msg.ToXML(), txt), ConsoleColor.Red, ConsoleColor.White, false);
}
}
public virtual void fromApp(QuickFix.Message message, QuickFix.SessionID sessionID)
{
try
{
QuickFix.MsgType msgType = new QuickFix.MsgType();
message.getHeader().getField(msgType);
string msgTypeValue = msgType.getValue();
log.WriteLog(string.Format("fromApp: {0}", msgTypeValue));
switch (msgTypeValue)
{
case "UAT":
onGatewayStatusMessage((QuickFix42.Message)message, sessionID);
break;
case "UAP":
onPositionReportMessage((QuickFix42.Message)message, sessionID);
break;
default:
crack(message, sessionID);
break;
}
}
catch (QuickFix.UnsupportedMessageType umt)
{
log.WriteLog("UnsupportedMessageType: " + umt.Message);
parseMessage(message, sessionID);
}
catch (Exception ex)
{
log.WriteLog(ex.ToString());
}
}
public void Handle(QuickFix.Message msg)
{
// check message type tag, if execution report then push execution report update
QuickFix.MsgType msgType = new QuickFix.MsgType();
string msgTypeString = msg.getHeader().getField(m_msgTypeTag);
if (msgTypeString == m_MsgTypeTagValueToHandle)
{
//SystemLogger.WriteOnConsole(true, string.Format("new message recieved, Type: {0}, Message: '{1}'", msgTypeString, msg.ToXML()), ConsoleColor.Cyan, ConsoleColor.Black, false);
//string reason = string.Empty;
//if (msg.isSetField(58))
//{
// reason = msg.getField(58);
//}
//int sequence = int.Parse(msg.getHeader().getField(34));
//if (reason.ToLower().Contains("expected sequence") && reason.ToLower().Contains("upper"))
//{
//}
//else if (reason.ToLower().Contains("expected sequence") && reason.ToLower().Contains("lower"))
//{
//}
////{8=FIX.4.29=10735=534=1149=CRDTEST52=20110127-08:07:04.64856=BELTONE58=MsgSeqNum too low, expecting 9 but received 110=251}
//// create IResponseMessage
}
}
public void Handle(QuickFix.Message msg)
{
// check message type tag, if execution report then push execution report update
QuickFix.MsgType msgType = new QuickFix.MsgType();
string msgTypeString = msg.getHeader().getField(m_msgTypeTag);
if (msgTypeString == m_MsgTypeTagValueToHandle)
{
//SystemLogger.WriteOnConsole(true, string.Format("new message recieved, Type: {0}, Message: '{1}'", msgTypeString, msg.ToXML()), ConsoleColor.Cyan, ConsoleColor.Black, false);
// create IResponseMessage
}
}
public virtual void toAdmin(QuickFix.Message message, QuickFix.SessionID sessionID)
{
Console.WriteLine("toAdmin: " + message);
QuickFix.MsgType mt = new QuickFix.MsgType();
message.getHeader().getField(mt);
if (mt.getValue() == QuickFix.MsgType.Logon)
{
if (!_password.Equals(""))
{
message.setField(new QuickFix.RawData(_password));
}
if (_resetSession)
{
message.setField(new QuickFix.ResetSeqNumFlag(true));
}
}
else
{
updateDisplay("toAdmin: " + DateTime.Now.ToString("hh:mm:ss.fff"));
}
}
public void set(QuickFix.MsgType value)
{
setField(value);
}
public Message(QuickFix.MsgType msgType) : base(new QuickFix.BeginString("FIXT.1.1"), msgType)
{
m_header = new Header(this);
m_trailer = new Trailer(this);
getHeader().setField(new QuickFix.ApplVerID("9"));
}
public new void crack(QuickFix.Message message,
QuickFix.SessionID sessionID)
{
QuickFix.MsgType msgType = new QuickFix.MsgType();
message.getHeader().getField(msgType);
String msgTypeValue = msgType.getValue();
if (msgTypeValue == "0")
{
onMessage((Heartbeat)(message), sessionID);
}
else
if (msgTypeValue == "A")
{
onMessage((Logon)(message), sessionID);
}
else
if (msgTypeValue == "1")
{
onMessage((TestRequest)(message), sessionID);
}
else
if (msgTypeValue == "2")
{
onMessage((ResendRequest)(message), sessionID);
}
else
if (msgTypeValue == "3")
{
onMessage((Reject)(message), sessionID);
}
else
if (msgTypeValue == "4")
{
onMessage((SequenceReset)(message), sessionID);
}
else
if (msgTypeValue == "5")
{
onMessage((Logout)(message), sessionID);
}
else
if (msgTypeValue == "j")
{
onMessage((BusinessMessageReject)(message), sessionID);
}
else
if (msgTypeValue == "BE")
{
onMessage((UserRequest)(message), sessionID);
}
else
if (msgTypeValue == "BF")
{
onMessage((UserResponse)(message), sessionID);
}
else
if (msgTypeValue == "7")
{
onMessage((Advertisement)(message), sessionID);
}
else
if (msgTypeValue == "6")
{
onMessage((IndicationOfInterest)(message), sessionID);
}
else
if (msgTypeValue == "B")
{
onMessage((News)(message), sessionID);
}
else
if (msgTypeValue == "C")
{
onMessage((Email)(message), sessionID);
}
else
if (msgTypeValue == "R")
{
onMessage((QuoteRequest)(message), sessionID);
}
else
if (msgTypeValue == "AJ")
{
onMessage((QuoteResponse)(message), sessionID);
}
else
if (msgTypeValue == "AG")
{
onMessage((QuoteRequestReject)(message), sessionID);
}
else
if (msgTypeValue == "AH")
{
onMessage((RFQRequest)(message), sessionID);
}
else
if (msgTypeValue == "S")
{
onMessage((Quote)(message), sessionID);
}
else
if (msgTypeValue == "Z")
{
onMessage((QuoteCancel)(message), sessionID);
}
else
if (msgTypeValue == "a")
{
onMessage((QuoteStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "AI")
{
onMessage((QuoteStatusReport)(message), sessionID);
}
else
if (msgTypeValue == "i")
{
onMessage((MassQuote)(message), sessionID);
}
else
if (msgTypeValue == "b")
{
onMessage((MassQuoteAcknowledgement)(message), sessionID);
}
else
if (msgTypeValue == "V")
{
onMessage((MarketDataRequest)(message), sessionID);
}
else
if (msgTypeValue == "W")
{
onMessage((MarketDataSnapshotFullRefresh)(message), sessionID);
}
else
if (msgTypeValue == "X")
{
onMessage((MarketDataIncrementalRefresh)(message), sessionID);
}
else
if (msgTypeValue == "Y")
{
onMessage((MarketDataRequestReject)(message), sessionID);
}
else
if (msgTypeValue == "c")
{
onMessage((SecurityDefinitionRequest)(message), sessionID);
}
else
if (msgTypeValue == "d")
{
onMessage((SecurityDefinition)(message), sessionID);
}
else
if (msgTypeValue == "v")
{
onMessage((SecurityTypeRequest)(message), sessionID);
}
else
if (msgTypeValue == "w")
{
onMessage((SecurityTypes)(message), sessionID);
}
else
if (msgTypeValue == "x")
{
onMessage((SecurityListRequest)(message), sessionID);
}
else
if (msgTypeValue == "y")
{
onMessage((SecurityList)(message), sessionID);
}
else
if (msgTypeValue == "z")
{
onMessage((DerivativeSecurityListRequest)(message), sessionID);
}
else
if (msgTypeValue == "AA")
{
onMessage((DerivativeSecurityList)(message), sessionID);
}
else
if (msgTypeValue == "e")
{
onMessage((SecurityStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "f")
{
onMessage((SecurityStatus)(message), sessionID);
}
else
if (msgTypeValue == "g")
{
onMessage((TradingSessionStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "h")
{
onMessage((TradingSessionStatus)(message), sessionID);
}
else
if (msgTypeValue == "D")
{
onMessage((NewOrderSingle)(message), sessionID);
}
else
if (msgTypeValue == "8")
{
onMessage((ExecutionReport)(message), sessionID);
}
else
if (msgTypeValue == "Q")
{
onMessage((DontKnowTrade)(message), sessionID);
}
else
if (msgTypeValue == "G")
{
onMessage((OrderCancelReplaceRequest)(message), sessionID);
}
else
if (msgTypeValue == "F")
{
onMessage((OrderCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "9")
{
onMessage((OrderCancelReject)(message), sessionID);
}
else
if (msgTypeValue == "H")
{
onMessage((OrderStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "q")
{
onMessage((OrderMassCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "r")
{
onMessage((OrderMassCancelReport)(message), sessionID);
}
else
if (msgTypeValue == "AF")
{
onMessage((OrderMassStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "s")
{
onMessage((NewOrderCross)(message), sessionID);
}
else
if (msgTypeValue == "t")
{
onMessage((CrossOrderCancelReplaceRequest)(message), sessionID);
}
else
if (msgTypeValue == "u")
{
onMessage((CrossOrderCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "AB")
{
onMessage((NewOrderMultileg)(message), sessionID);
}
else
if (msgTypeValue == "AC")
{
onMessage((MultilegOrderCancelReplaceRequest)(message), sessionID);
}
else
if (msgTypeValue == "k")
{
onMessage((BidRequest)(message), sessionID);
}
else
if (msgTypeValue == "l")
{
onMessage((BidResponse)(message), sessionID);
}
else
if (msgTypeValue == "E")
{
onMessage((NewOrderList)(message), sessionID);
}
else
if (msgTypeValue == "m")
{
onMessage((ListStrikePrice)(message), sessionID);
}
else
if (msgTypeValue == "N")
{
onMessage((ListStatus)(message), sessionID);
}
else
if (msgTypeValue == "L")
{
onMessage((ListExecute)(message), sessionID);
}
else
if (msgTypeValue == "K")
{
onMessage((ListCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "M")
{
onMessage((ListStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "J")
{
onMessage((AllocationInstruction)(message), sessionID);
}
else
if (msgTypeValue == "P")
{
onMessage((AllocationInstructionAck)(message), sessionID);
}
else
if (msgTypeValue == "AS")
{
onMessage((AllocationReport)(message), sessionID);
}
else
if (msgTypeValue == "AT")
{
onMessage((AllocationReportAck)(message), sessionID);
}
else
if (msgTypeValue == "AK")
{
onMessage((Confirmation)(message), sessionID);
}
else
if (msgTypeValue == "AU")
{
onMessage((ConfirmationAck)(message), sessionID);
}
else
if (msgTypeValue == "BH")
{
onMessage((ConfirmationRequest)(message), sessionID);
}
else
if (msgTypeValue == "T")
{
onMessage((SettlementInstructions)(message), sessionID);
}
else
if (msgTypeValue == "AV")
{
onMessage((SettlementInstructionRequest)(message), sessionID);
}
else
if (msgTypeValue == "AD")
{
onMessage((TradeCaptureReportRequest)(message), sessionID);
}
else
if (msgTypeValue == "AQ")
{
onMessage((TradeCaptureReportRequestAck)(message), sessionID);
}
else
if (msgTypeValue == "AE")
{
onMessage((TradeCaptureReport)(message), sessionID);
}
else
if (msgTypeValue == "AR")
{
onMessage((TradeCaptureReportAck)(message), sessionID);
}
else
if (msgTypeValue == "o")
{
onMessage((RegistrationInstructions)(message), sessionID);
}
else
if (msgTypeValue == "p")
{
onMessage((RegistrationInstructionsResponse)(message), sessionID);
}
else
if (msgTypeValue == "AL")
{
onMessage((PositionMaintenanceRequest)(message), sessionID);
}
else
if (msgTypeValue == "AM")
{
onMessage((PositionMaintenanceReport)(message), sessionID);
}
else
if (msgTypeValue == "AN")
{
onMessage((RequestForPositions)(message), sessionID);
}
else
if (msgTypeValue == "AO")
{
onMessage((RequestForPositionsAck)(message), sessionID);
}
else
if (msgTypeValue == "AP")
{
onMessage((PositionReport)(message), sessionID);
}
else
if (msgTypeValue == "AW")
{
onMessage((AssignmentReport)(message), sessionID);
}
else
if (msgTypeValue == "AX")
{
onMessage((CollateralRequest)(message), sessionID);
}
else
if (msgTypeValue == "AY")
{
onMessage((CollateralAssignment)(message), sessionID);
}
else
if (msgTypeValue == "AZ")
{
onMessage((CollateralResponse)(message), sessionID);
}
else
if (msgTypeValue == "BA")
{
onMessage((CollateralReport)(message), sessionID);
}
else
if (msgTypeValue == "BB")
{
onMessage((CollateralInquiry)(message), sessionID);
}
else
if (msgTypeValue == "BC")
{
onMessage((NetworkStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "BD")
{
onMessage((NetworkStatusResponse)(message), sessionID);
}
else
if (msgTypeValue == "BG")
{
onMessage((CollateralInquiryAck)(message), sessionID);
}
else
{
onMessage(message, sessionID);
}
}
public void crack(QuickFix.Message message,
QuickFix.SessionID sessionID)
{
QuickFix.MsgType msgType = new QuickFix.MsgType();
message.getHeader().getField(msgType);
String msgTypeValue = msgType.getValue();
if (msgTypeValue == "0")
{
onMessage((Heartbeat)(message), sessionID);
}
else
if (msgTypeValue == "A")
{
onMessage((Logon)(message), sessionID);
}
else
if (msgTypeValue == "1")
{
onMessage((TestRequest)(message), sessionID);
}
else
if (msgTypeValue == "2")
{
onMessage((ResendRequest)(message), sessionID);
}
else
if (msgTypeValue == "3")
{
onMessage((Reject)(message), sessionID);
}
else
if (msgTypeValue == "4")
{
onMessage((SequenceReset)(message), sessionID);
}
else
if (msgTypeValue == "5")
{
onMessage((Logout)(message), sessionID);
}
else
if (msgTypeValue == "7")
{
onMessage((Advertisement)(message), sessionID);
}
else
if (msgTypeValue == "6")
{
onMessage((IndicationofInterest)(message), sessionID);
}
else
if (msgTypeValue == "B")
{
onMessage((News)(message), sessionID);
}
else
if (msgTypeValue == "C")
{
onMessage((Email)(message), sessionID);
}
else
if (msgTypeValue == "R")
{
onMessage((QuoteRequest)(message), sessionID);
}
else
if (msgTypeValue == "S")
{
onMessage((Quote)(message), sessionID);
}
else
if (msgTypeValue == "D")
{
onMessage((NewOrderSingle)(message), sessionID);
}
else
if (msgTypeValue == "8")
{
onMessage((ExecutionReport)(message), sessionID);
}
else
if (msgTypeValue == "Q")
{
onMessage((DontKnowTrade)(message), sessionID);
}
else
if (msgTypeValue == "G")
{
onMessage((OrderCancelReplaceRequest)(message), sessionID);
}
else
if (msgTypeValue == "F")
{
onMessage((OrderCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "9")
{
onMessage((OrderCancelReject)(message), sessionID);
}
else
if (msgTypeValue == "H")
{
onMessage((OrderStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "J")
{
onMessage((Allocation)(message), sessionID);
}
else
if (msgTypeValue == "P")
{
onMessage((AllocationACK)(message), sessionID);
}
else
if (msgTypeValue == "E")
{
onMessage((NewOrderList)(message), sessionID);
}
else
if (msgTypeValue == "N")
{
onMessage((ListStatus)(message), sessionID);
}
else
if (msgTypeValue == "L")
{
onMessage((ListExecute)(message), sessionID);
}
else
if (msgTypeValue == "K")
{
onMessage((ListCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "M")
{
onMessage((ListStatusRequest)(message), sessionID);
}
else
{
onMessage(message, sessionID);
}
}
public bool isSet(QuickFix.MsgType field)
{
return(isSetField(field));
}
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>
/// 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 Handle(QuickFix.Message msg)
{
long orderID = -1;
// check message type tag, if execution report then push execution report update
QuickFix.MsgType msgType = new QuickFix.MsgType();
string msgTypeString = msg.getHeader().getField(m_msgTypeTag);
if (msgTypeString == m_MsgTypeTagValueToHandle)
{
Counters.IncrementCounter(CountersConstants.OrderCancelRejectRspMsgs);
//SystemLogger.WriteOnConsole(true, string.Format("new message recieved, Type: {0}, Message: '{1}'", msgTypeString, msg.ToXML()), ConsoleColor.Cyan, ConsoleColor.Black, false);
SingleOrder order = null;
// get order id
if (msg.isSetField(11))
{
orderID = long.Parse(msg.getField(11).Split(new char[] { '-' })[0]);
try
{
order = OrdersManager.GetOrder(orderID);
}
catch (Exception ex) // order not found
{
// get borse order id
string bourseOrderID = msg.getField(37);
order = OrdersManager.GetOrder(bourseOrderID);
if (order == null)
{
SystemLogger.WriteOnConsoleAsync(true, string.Format("order BourseOrderID {0} not found !", bourseOrderID), ConsoleColor.Red, ConsoleColor.Black, true);
return;
}
}
} // then search by borse order id
else if (msg.isSetField(37))
{
string bourseOrderID = msg.getField(37);
order = OrdersManager.GetOrder(bourseOrderID);
if (order == null)
{
SystemLogger.WriteOnConsoleAsync(true, string.Format("order BourseOrderID {0} not found !", bourseOrderID), ConsoleColor.Red, ConsoleColor.Black, true);
return;
}
}
lock (order)
{
string reason = string.Empty;
if (msg.isSetField(102))
{
try
{
reason = Lookups.GetOrderCancelRejectReasonsLookup(msg.getField(102)).MessageEn + " ,";
}
catch (Exception ex)
{
Counters.IncrementCounter(CountersConstants.ExceptionMessages);
SystemLogger.WriteOnConsoleAsync(true, string.Format("Error getting order cancel reject reason: {0}", ex.Message), ConsoleColor.Red, ConsoleColor.Black, false);
}
}
if (msg.isSetField(58))
{
reason += msg.getField(58) + " ";
}
Nullable <DateTime> transactionDateTime = null;
if (msg.isSetField(60))
{
transactionDateTime = msg.getUtcTimeStamp(60);
}
LookupItem statusLookup = Lookups.GetOrderStatusLookup(msg.getField(39));
string status = statusLookup.CodeValue;
Guid requesterOrderID = (Guid)order[SingleOrderProperties.RequesterOrderID];
// find subscribed callbacks
//order[SingleOrderProperties.OrderStatus] = status;
bool isPendingCancel = false;
bool isPendingReplace = false;
string orderNote = string.Empty;
if (order[SingleOrderProperties.OrderStatus].ToString() == ORD_STATUS.PendingCancel)
{
isPendingCancel = true;
orderNote = "Order cancel has been refused by bourse: " + reason;
}
else if (order[SingleOrderProperties.OrderStatus].ToString() == ORD_STATUS.PendingReplace)
{
// handle diff allocation cancellation
isPendingReplace = true;
orderNote = "Order replace has been refused by bourse: " + reason;
#region Handle Mcsd Reset Allocation
try
{
if (order[SingleOrderProperties.IsMcsdAllocRequired] != null)
{
if (Convert.ToBoolean(order[SingleOrderProperties.IsMcsdAllocRequired]) == true)
{
order[SingleOrderProperties.ActionOnAllocResponse] = ActionOnAllocResponse.DoNothing;
int mcsdQty = Convert.ToInt32(order[SingleOrderProperties.McsdrAllocQty]);
// orderid = Convert.ToInt64(order[SingleOrderProperties.OrderID]);
OrdersManager.HandleRejectedOrderAllocation(orderID, mcsdQty);
}
}
}
catch (Exception exp)
{
Counters.IncrementCounter(CountersConstants.ExceptionMessages);
SystemLogger.LogErrorAsync(string.Format("Error, Reset MCSD allocation of Order {0}, Error : {1}", orderID, exp.ToString()));
}
#endregion
}
else
{
orderNote = "Order cancel/replace has been refused by bourse: " + reason;
}
// create IResponseMessage
string username = OrdersManager.GetOrdSessionIfAvailable((long)order[SingleOrderProperties.OrderID]);
if (username != null)
{
try
{
if (isPendingCancel)
{
Sessions.Push(username, new IResponseMessage[] { new Fix_OrderCancelRejected()
{
Message = reason, RequesterOrderID = requesterOrderID, OrderStatus = order[SingleOrderProperties.OriginalOrderStatus].ToString()
} });
}
else if (isPendingReplace)
{
Sessions.Push(username, new IResponseMessage[] { new Fix_OrderReplaceRejected()
{
Message = reason, RequesterOrderID = requesterOrderID, OrderStatus = order[SingleOrderProperties.OriginalOrderStatus].ToString()
} });
}
else
{
Sessions.Push(username, new IResponseMessage[] { new Fix_OrderReplaceCancelReject()
{
Message = reason, RequesterOrderID = requesterOrderID, OrderStatus = order[SingleOrderProperties.OriginalOrderStatus].ToString()
} });
}
}
catch (Exception ex)
{
Counters.IncrementCounter(CountersConstants.ExceptionMessages);
SystemLogger.WriteOnConsoleAsync(true, string.Format("error sending order cancel reject to clients: {0}", ex.Message), ConsoleColor.Red, ConsoleColor.Black, true);
}
}
// update databse
try
{
DatabaseMethods db = new DatabaseMethods();
order[SingleOrderProperties.OrderStatus] = order[SingleOrderProperties.OriginalOrderStatus];
order[SingleOrderProperties.IsPending] = false;
order[SingleOrderProperties.Note] =
order[SingleOrderProperties.Note2] = "Action Status: " + status;
order[SingleOrderProperties.ModifiedDateTime] = transactionDateTime == null ? DateTime.Now : transactionDateTime;
Dictionary <string, object> orders_Columns = new Dictionary <string, object>();
orders_Columns.Add(SingleOrderProperties.OrderStatus, order[SingleOrderProperties.OriginalOrderStatus]);
orders_Columns.Add(SingleOrderProperties.Note, order[SingleOrderProperties.Note]);
orders_Columns.Add(SingleOrderProperties.Note2, order[SingleOrderProperties.Note2]);
orders_Columns.Add(SingleOrderProperties.ActionOnAllocResponse, ActionOnAllocResponse.DoNothing);
orders_Columns.Add(SingleOrderProperties.ModifiedDateTime, transactionDateTime == null ? DateTime.Now : transactionDateTime);
orders_Columns.Add(SingleOrderProperties.IsPending, false);
Dictionary <string, object> orders_Filters = new Dictionary <string, object>();
orders_Filters.Add(SingleOrderProperties.OrderID, order[SingleOrderProperties.OrderID]);
Dictionary <string, object> ordersDetails_Columns = new Dictionary <string, object>();
ordersDetails_Columns.Add(SingleOrdDetailsProps.OrderID, order[SingleOrderProperties.OrderID]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.ClOrderID, order[SingleOrderProperties.ClOrderID]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.OrigClOrdID, order[SingleOrderProperties.OrigClOrdID]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.ExecutionMsgType, msgTypeString);
ordersDetails_Columns.Add(SingleOrdDetailsProps.AvgPrice, order[SingleOrderProperties.AvgPrice]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.CurrentPrice, order[SingleOrderProperties.CurrentPrice]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.ExecPrice, order[SingleOrderProperties.LastExecPrice]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.CurrentQuantity, order[SingleOrderProperties.CurrentQuantity]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.ExecutedQuantity, order[SingleOrderProperties.ExecutedQuantity]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.LastExecQuantity, order[SingleOrderProperties.LastExecQuantity]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.RemainingQuantity, order[SingleOrderProperties.RemainingQuantity]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.ExecType, order[SingleOrderProperties.ExecType]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.OrderStatus, order[SingleOrderProperties.OrderStatus]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.Note, order[SingleOrderProperties.Note]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.OrderType, order[SingleOrderProperties.OrderType]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.TimeInForce, order[SingleOrderProperties.TimeInForce]);
ordersDetails_Columns.Add(SingleOrdDetailsProps.IsResponse, true);
if (order[SingleOrderProperties.OrderStatus].ToString() == ORD_STATUS.PendingCancel)
{
ordersDetails_Columns.Add(SingleOrdDetailsProps.IsCancelResponse, true);
}
else if (order[SingleOrderProperties.OrderStatus].ToString() == ORD_STATUS.PendingReplace)
{
ordersDetails_Columns.Add(SingleOrdDetailsProps.IsModifyResponse, true);
}
else
{
ordersDetails_Columns.Add(SingleOrdDetailsProps.IsModifyResponse, true);
ordersDetails_Columns.Add(SingleOrdDetailsProps.IsCancelResponse, true);
}
ordersDetails_Columns.Add(SingleOrdDetailsProps.DateTime, DateTime.Now);
ordersDetails_Columns.Add(SingleOrdDetailsProps.ExecutionDate, transactionDateTime == null ? DateTime.Now : transactionDateTime);
ordersDetails_Columns.Add(SingleOrdDetailsProps.ExecutionRecievedDateTime, DateTime.Now);
db.UpdateOrderDetails(orders_Columns, orders_Filters, ordersDetails_Columns);
db = null;
}
catch (Exception ex)
{
Counters.IncrementCounter(CountersConstants.ExceptionMessages);
SystemLogger.WriteOnConsoleAsync(true, string.Format("error updating order cancel reject into the db error: {0}", ex.Message), ConsoleColor.Red, ConsoleColor.Black, true);
}
}
}
}
public new void crack( QuickFix.Message message,
QuickFix.SessionID sessionID )
{
QuickFix.MsgType msgType = new QuickFix.MsgType();
message.getHeader().getField(msgType);
String msgTypeValue = msgType.getValue();
if( msgTypeValue == "0" )
onMessage( (Heartbeat)(message), sessionID );
else
if( msgTypeValue == "A" )
onMessage( (Logon)(message), sessionID );
else
if( msgTypeValue == "1" )
onMessage( (TestRequest)(message), sessionID );
else
if( msgTypeValue == "2" )
onMessage( (ResendRequest)(message), sessionID );
else
if( msgTypeValue == "3" )
onMessage( (Reject)(message), sessionID );
else
if( msgTypeValue == "4" )
onMessage( (SequenceReset)(message), sessionID );
else
if( msgTypeValue == "5" )
onMessage( (Logout)(message), sessionID );
else
if( msgTypeValue == "7" )
onMessage( (Advertisement)(message), sessionID );
else
if( msgTypeValue == "6" )
onMessage( (IndicationofInterest)(message), sessionID );
else
if( msgTypeValue == "B" )
onMessage( (News)(message), sessionID );
else
if( msgTypeValue == "C" )
onMessage( (Email)(message), sessionID );
else
if( msgTypeValue == "R" )
onMessage( (QuoteRequest)(message), sessionID );
else
if( msgTypeValue == "S" )
onMessage( (Quote)(message), sessionID );
else
if( msgTypeValue == "i" )
onMessage( (MassQuote)(message), sessionID );
else
if( msgTypeValue == "Z" )
onMessage( (QuoteCancel)(message), sessionID );
else
if( msgTypeValue == "a" )
onMessage( (QuoteStatusRequest)(message), sessionID );
else
if( msgTypeValue == "b" )
onMessage( (QuoteAcknowledgement)(message), sessionID );
else
if( msgTypeValue == "V" )
onMessage( (MarketDataRequest)(message), sessionID );
else
if( msgTypeValue == "W" )
onMessage( (MarketDataSnapshotFullRefresh)(message), sessionID );
else
if( msgTypeValue == "X" )
onMessage( (MarketDataIncrementalRefresh)(message), sessionID );
else
if( msgTypeValue == "Y" )
onMessage( (MarketDataRequestReject)(message), sessionID );
else
if( msgTypeValue == "c" )
onMessage( (SecurityDefinitionRequest)(message), sessionID );
else
if( msgTypeValue == "d" )
onMessage( (SecurityDefinition)(message), sessionID );
else
if( msgTypeValue == "e" )
onMessage( (SecurityStatusRequest)(message), sessionID );
else
if( msgTypeValue == "f" )
onMessage( (SecurityStatus)(message), sessionID );
else
if( msgTypeValue == "g" )
onMessage( (TradingSessionStatusRequest)(message), sessionID );
else
if( msgTypeValue == "h" )
onMessage( (TradingSessionStatus)(message), sessionID );
else
if( msgTypeValue == "D" )
onMessage( (NewOrderSingle)(message), sessionID );
else
if( msgTypeValue == "8" )
onMessage( (ExecutionReport)(message), sessionID );
else
if( msgTypeValue == "Q" )
onMessage( (DontKnowTrade)(message), sessionID );
else
if( msgTypeValue == "G" )
onMessage( (OrderCancelReplaceRequest)(message), sessionID );
else
if( msgTypeValue == "F" )
onMessage( (OrderCancelRequest)(message), sessionID );
else
if( msgTypeValue == "9" )
onMessage( (OrderCancelReject)(message), sessionID );
else
if( msgTypeValue == "H" )
onMessage( (OrderStatusRequest)(message), sessionID );
else
if( msgTypeValue == "J" )
onMessage( (Allocation)(message), sessionID );
else
if( msgTypeValue == "P" )
onMessage( (AllocationACK)(message), sessionID );
else
if( msgTypeValue == "T" )
onMessage( (SettlementInstructions)(message), sessionID );
else
if( msgTypeValue == "k" )
onMessage( (BidRequest)(message), sessionID );
else
if( msgTypeValue == "l" )
onMessage( (BidResponse)(message), sessionID );
else
if( msgTypeValue == "E" )
onMessage( (NewOrderList)(message), sessionID );
else
if( msgTypeValue == "m" )
onMessage( (ListStrikePrice)(message), sessionID );
else
if( msgTypeValue == "N" )
onMessage( (ListStatus)(message), sessionID );
else
if( msgTypeValue == "L" )
onMessage( (ListExecute)(message), sessionID );
else
if( msgTypeValue == "K" )
onMessage( (ListCancelRequest)(message), sessionID );
else
if( msgTypeValue == "M" )
onMessage( (ListStatusRequest)(message), sessionID );
else
if( msgTypeValue == "j" )
onMessage( (BusinessMessageReject)(message), sessionID );
else onMessage( message, sessionID );
}
public QuickFix.MsgType get(QuickFix.MsgType value)
{
getField(value); return(value);
}
public QuickFix.MsgType getMsgType()
{
QuickFix.MsgType value = new QuickFix.MsgType();
getField(value); return(value);
}
/// <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 QuickFix.MsgType getMsgType()
{ QuickFix.MsgType value = new QuickFix.MsgType();
getField(value); return value; }
public new void crack(QuickFix.Message message,
QuickFix.SessionID sessionID)
{
QuickFix.MsgType msgType = new QuickFix.MsgType();
message.getHeader().getField(msgType);
String msgTypeValue = msgType.getValue();
if (msgTypeValue == "0")
{
onMessage((Heartbeat)(message), sessionID);
}
else
if (msgTypeValue == "A")
{
onMessage((Logon)(message), sessionID);
}
else
if (msgTypeValue == "1")
{
onMessage((TestRequest)(message), sessionID);
}
else
if (msgTypeValue == "2")
{
onMessage((ResendRequest)(message), sessionID);
}
else
if (msgTypeValue == "3")
{
onMessage((Reject)(message), sessionID);
}
else
if (msgTypeValue == "4")
{
onMessage((SequenceReset)(message), sessionID);
}
else
if (msgTypeValue == "5")
{
onMessage((Logout)(message), sessionID);
}
else
if (msgTypeValue == "7")
{
onMessage((Advertisement)(message), sessionID);
}
else
if (msgTypeValue == "6")
{
onMessage((IndicationofInterest)(message), sessionID);
}
else
if (msgTypeValue == "B")
{
onMessage((News)(message), sessionID);
}
else
if (msgTypeValue == "C")
{
onMessage((Email)(message), sessionID);
}
else
if (msgTypeValue == "R")
{
onMessage((QuoteRequest)(message), sessionID);
}
else
if (msgTypeValue == "S")
{
onMessage((Quote)(message), sessionID);
}
else
if (msgTypeValue == "i")
{
onMessage((MassQuote)(message), sessionID);
}
else
if (msgTypeValue == "Z")
{
onMessage((QuoteCancel)(message), sessionID);
}
else
if (msgTypeValue == "a")
{
onMessage((QuoteStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "b")
{
onMessage((QuoteAcknowledgement)(message), sessionID);
}
else
if (msgTypeValue == "V")
{
onMessage((MarketDataRequest)(message), sessionID);
}
else
if (msgTypeValue == "W")
{
onMessage((MarketDataSnapshotFullRefresh)(message), sessionID);
}
else
if (msgTypeValue == "X")
{
onMessage((MarketDataIncrementalRefresh)(message), sessionID);
}
else
if (msgTypeValue == "Y")
{
onMessage((MarketDataRequestReject)(message), sessionID);
}
else
if (msgTypeValue == "c")
{
onMessage((SecurityDefinitionRequest)(message), sessionID);
}
else
if (msgTypeValue == "d")
{
onMessage((SecurityDefinition)(message), sessionID);
}
else
if (msgTypeValue == "e")
{
onMessage((SecurityStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "f")
{
onMessage((SecurityStatus)(message), sessionID);
}
else
if (msgTypeValue == "g")
{
onMessage((TradingSessionStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "h")
{
onMessage((TradingSessionStatus)(message), sessionID);
}
else
if (msgTypeValue == "D")
{
onMessage((NewOrderSingle)(message), sessionID);
}
else
if (msgTypeValue == "8")
{
onMessage((ExecutionReport)(message), sessionID);
}
else
if (msgTypeValue == "Q")
{
onMessage((DontKnowTrade)(message), sessionID);
}
else
if (msgTypeValue == "G")
{
onMessage((OrderCancelReplaceRequest)(message), sessionID);
}
else
if (msgTypeValue == "F")
{
onMessage((OrderCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "9")
{
onMessage((OrderCancelReject)(message), sessionID);
}
else
if (msgTypeValue == "H")
{
onMessage((OrderStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "J")
{
onMessage((Allocation)(message), sessionID);
}
else
if (msgTypeValue == "P")
{
onMessage((AllocationACK)(message), sessionID);
}
else
if (msgTypeValue == "T")
{
onMessage((SettlementInstructions)(message), sessionID);
}
else
if (msgTypeValue == "k")
{
onMessage((BidRequest)(message), sessionID);
}
else
if (msgTypeValue == "l")
{
onMessage((BidResponse)(message), sessionID);
}
else
if (msgTypeValue == "E")
{
onMessage((NewOrderList)(message), sessionID);
}
else
if (msgTypeValue == "m")
{
onMessage((ListStrikePrice)(message), sessionID);
}
else
if (msgTypeValue == "N")
{
onMessage((ListStatus)(message), sessionID);
}
else
if (msgTypeValue == "L")
{
onMessage((ListExecute)(message), sessionID);
}
else
if (msgTypeValue == "K")
{
onMessage((ListCancelRequest)(message), sessionID);
}
else
if (msgTypeValue == "M")
{
onMessage((ListStatusRequest)(message), sessionID);
}
else
if (msgTypeValue == "j")
{
onMessage((BusinessMessageReject)(message), sessionID);
}
else
{
onMessage(message, sessionID);
}
}
public Message(QuickFix.MsgType msgType) : base(new QuickFix.BeginString("FIXT.1.1"), msgType)
{
m_header = new Header(this);
m_trailer = new Trailer(this);
}
public new void crack( QuickFix.Message message,
QuickFix.SessionID sessionID )
{
QuickFix.MsgType msgType = new QuickFix.MsgType();
message.getHeader().getField(msgType);
String msgTypeValue = msgType.getValue();
if( msgTypeValue == "0" )
onMessage( (Heartbeat)(message), sessionID );
else
if( msgTypeValue == "A" )
onMessage( (Logon)(message), sessionID );
else
if( msgTypeValue == "1" )
onMessage( (TestRequest)(message), sessionID );
else
if( msgTypeValue == "2" )
onMessage( (ResendRequest)(message), sessionID );
else
if( msgTypeValue == "3" )
onMessage( (Reject)(message), sessionID );
else
if( msgTypeValue == "4" )
onMessage( (SequenceReset)(message), sessionID );
else
if( msgTypeValue == "5" )
onMessage( (Logout)(message), sessionID );
else
if( msgTypeValue == "j" )
onMessage( (BusinessMessageReject)(message), sessionID );
else
if( msgTypeValue == "BE" )
onMessage( (UserRequest)(message), sessionID );
else
if( msgTypeValue == "BF" )
onMessage( (UserResponse)(message), sessionID );
else
if( msgTypeValue == "7" )
onMessage( (Advertisement)(message), sessionID );
else
if( msgTypeValue == "6" )
onMessage( (IndicationOfInterest)(message), sessionID );
else
if( msgTypeValue == "B" )
onMessage( (News)(message), sessionID );
else
if( msgTypeValue == "C" )
onMessage( (Email)(message), sessionID );
else
if( msgTypeValue == "R" )
onMessage( (QuoteRequest)(message), sessionID );
else
if( msgTypeValue == "AJ" )
onMessage( (QuoteResponse)(message), sessionID );
else
if( msgTypeValue == "AG" )
onMessage( (QuoteRequestReject)(message), sessionID );
else
if( msgTypeValue == "AH" )
onMessage( (RFQRequest)(message), sessionID );
else
if( msgTypeValue == "S" )
onMessage( (Quote)(message), sessionID );
else
if( msgTypeValue == "Z" )
onMessage( (QuoteCancel)(message), sessionID );
else
if( msgTypeValue == "a" )
onMessage( (QuoteStatusRequest)(message), sessionID );
else
if( msgTypeValue == "AI" )
onMessage( (QuoteStatusReport)(message), sessionID );
else
if( msgTypeValue == "i" )
onMessage( (MassQuote)(message), sessionID );
else
if( msgTypeValue == "b" )
onMessage( (MassQuoteAcknowledgement)(message), sessionID );
else
if( msgTypeValue == "V" )
onMessage( (MarketDataRequest)(message), sessionID );
else
if( msgTypeValue == "W" )
onMessage( (MarketDataSnapshotFullRefresh)(message), sessionID );
else
if( msgTypeValue == "X" )
onMessage( (MarketDataIncrementalRefresh)(message), sessionID );
else
if( msgTypeValue == "Y" )
onMessage( (MarketDataRequestReject)(message), sessionID );
else
if( msgTypeValue == "c" )
onMessage( (SecurityDefinitionRequest)(message), sessionID );
else
if( msgTypeValue == "d" )
onMessage( (SecurityDefinition)(message), sessionID );
else
if( msgTypeValue == "v" )
onMessage( (SecurityTypeRequest)(message), sessionID );
else
if( msgTypeValue == "w" )
onMessage( (SecurityTypes)(message), sessionID );
else
if( msgTypeValue == "x" )
onMessage( (SecurityListRequest)(message), sessionID );
else
if( msgTypeValue == "y" )
onMessage( (SecurityList)(message), sessionID );
else
if( msgTypeValue == "z" )
onMessage( (DerivativeSecurityListRequest)(message), sessionID );
else
if( msgTypeValue == "AA" )
onMessage( (DerivativeSecurityList)(message), sessionID );
else
if( msgTypeValue == "e" )
onMessage( (SecurityStatusRequest)(message), sessionID );
else
if( msgTypeValue == "f" )
onMessage( (SecurityStatus)(message), sessionID );
else
if( msgTypeValue == "g" )
onMessage( (TradingSessionStatusRequest)(message), sessionID );
else
if( msgTypeValue == "h" )
onMessage( (TradingSessionStatus)(message), sessionID );
else
if( msgTypeValue == "D" )
onMessage( (NewOrderSingle)(message), sessionID );
else
if( msgTypeValue == "8" )
onMessage( (ExecutionReport)(message), sessionID );
else
if( msgTypeValue == "Q" )
onMessage( (DontKnowTrade)(message), sessionID );
else
if( msgTypeValue == "G" )
onMessage( (OrderCancelReplaceRequest)(message), sessionID );
else
if( msgTypeValue == "F" )
onMessage( (OrderCancelRequest)(message), sessionID );
else
if( msgTypeValue == "9" )
onMessage( (OrderCancelReject)(message), sessionID );
else
if( msgTypeValue == "H" )
onMessage( (OrderStatusRequest)(message), sessionID );
else
if( msgTypeValue == "q" )
onMessage( (OrderMassCancelRequest)(message), sessionID );
else
if( msgTypeValue == "r" )
onMessage( (OrderMassCancelReport)(message), sessionID );
else
if( msgTypeValue == "AF" )
onMessage( (OrderMassStatusRequest)(message), sessionID );
else
if( msgTypeValue == "s" )
onMessage( (NewOrderCross)(message), sessionID );
else
if( msgTypeValue == "t" )
onMessage( (CrossOrderCancelReplaceRequest)(message), sessionID );
else
if( msgTypeValue == "u" )
onMessage( (CrossOrderCancelRequest)(message), sessionID );
else
if( msgTypeValue == "AB" )
onMessage( (NewOrderMultileg)(message), sessionID );
else
if( msgTypeValue == "AC" )
onMessage( (MultilegOrderCancelReplaceRequest)(message), sessionID );
else
if( msgTypeValue == "k" )
onMessage( (BidRequest)(message), sessionID );
else
if( msgTypeValue == "l" )
onMessage( (BidResponse)(message), sessionID );
else
if( msgTypeValue == "E" )
onMessage( (NewOrderList)(message), sessionID );
else
if( msgTypeValue == "m" )
onMessage( (ListStrikePrice)(message), sessionID );
else
if( msgTypeValue == "N" )
onMessage( (ListStatus)(message), sessionID );
else
if( msgTypeValue == "L" )
onMessage( (ListExecute)(message), sessionID );
else
if( msgTypeValue == "K" )
onMessage( (ListCancelRequest)(message), sessionID );
else
if( msgTypeValue == "M" )
onMessage( (ListStatusRequest)(message), sessionID );
else
if( msgTypeValue == "J" )
onMessage( (AllocationInstruction)(message), sessionID );
else
if( msgTypeValue == "P" )
onMessage( (AllocationInstructionAck)(message), sessionID );
else
if( msgTypeValue == "AS" )
onMessage( (AllocationReport)(message), sessionID );
else
if( msgTypeValue == "AT" )
onMessage( (AllocationReportAck)(message), sessionID );
else
if( msgTypeValue == "AK" )
onMessage( (Confirmation)(message), sessionID );
else
if( msgTypeValue == "AU" )
onMessage( (ConfirmationAck)(message), sessionID );
else
if( msgTypeValue == "BH" )
onMessage( (ConfirmationRequest)(message), sessionID );
else
if( msgTypeValue == "T" )
onMessage( (SettlementInstructions)(message), sessionID );
else
if( msgTypeValue == "AV" )
onMessage( (SettlementInstructionRequest)(message), sessionID );
else
if( msgTypeValue == "AD" )
onMessage( (TradeCaptureReportRequest)(message), sessionID );
else
if( msgTypeValue == "AQ" )
onMessage( (TradeCaptureReportRequestAck)(message), sessionID );
else
if( msgTypeValue == "AE" )
onMessage( (TradeCaptureReport)(message), sessionID );
else
if( msgTypeValue == "AR" )
onMessage( (TradeCaptureReportAck)(message), sessionID );
else
if( msgTypeValue == "o" )
onMessage( (RegistrationInstructions)(message), sessionID );
else
if( msgTypeValue == "p" )
onMessage( (RegistrationInstructionsResponse)(message), sessionID );
else
if( msgTypeValue == "AL" )
onMessage( (PositionMaintenanceRequest)(message), sessionID );
else
if( msgTypeValue == "AM" )
onMessage( (PositionMaintenanceReport)(message), sessionID );
else
if( msgTypeValue == "AN" )
onMessage( (RequestForPositions)(message), sessionID );
else
if( msgTypeValue == "AO" )
onMessage( (RequestForPositionsAck)(message), sessionID );
else
if( msgTypeValue == "AP" )
onMessage( (PositionReport)(message), sessionID );
else
if( msgTypeValue == "AW" )
onMessage( (AssignmentReport)(message), sessionID );
else
if( msgTypeValue == "AX" )
onMessage( (CollateralRequest)(message), sessionID );
else
if( msgTypeValue == "AY" )
onMessage( (CollateralAssignment)(message), sessionID );
else
if( msgTypeValue == "AZ" )
onMessage( (CollateralResponse)(message), sessionID );
else
if( msgTypeValue == "BA" )
onMessage( (CollateralReport)(message), sessionID );
else
if( msgTypeValue == "BB" )
onMessage( (CollateralInquiry)(message), sessionID );
else
if( msgTypeValue == "BC" )
onMessage( (NetworkStatusRequest)(message), sessionID );
else
if( msgTypeValue == "BD" )
onMessage( (NetworkStatusResponse)(message), sessionID );
else
if( msgTypeValue == "BG" )
onMessage( (CollateralInquiryAck)(message), sessionID );
else onMessage( message, sessionID );
}