public void fromApp(QuickFix.Message message, SessionID sessionID)
{
// receiving messages
Symbol sym = new Symbol();
message.getField(sym);
Tick k = new TickImpl(sym.getValue());
{
// bid
BidPx bp = new BidPx();
BidSize bs = new BidSize();
k.bid = (decimal)bp.getValue();
k.bs = (int)message.getField(bs).getValue();
}
{
// ask
OfferPx op = new OfferPx();
OfferSize os = new OfferSize();
k.ask = (decimal)op.getValue();
k.os = (int)message.getField(os).getValue();
}
{
// last
Price price = new Price();
message.getField(price);
k.trade = (decimal)price.getValue();
}
tl.newTick(k);
//ClOrdID clOrdID = new ClOrdID();
//message.getField(clOrdID);
}
/// <summary>
/// Process general purpose exec i.e. some type of order status change
/// </summary>
/// <param name="myOrder"></param>
/// <param name="myExec"></param>
private void processGeneralExecRep(ref KaiTrade.Interfaces.Order myOrder, QuickFix.Message myExec)
{
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("processGeneralExecRep:");
}
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
QuickFix.LeavesQty myLeavesQty = new QuickFix.LeavesQty();
QuickFix.CumQty myCumQty = new QuickFix.CumQty();
myExec.getField(myOrdStatus);
myOrder.OrdStatus = myOrdStatus;
switch (myOrdStatus.getValue())
{
case QuickFix.OrdStatus.CANCELED:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
myLeavesQty = new QuickFix.LeavesQty(0.0);
myOrder.LeavesQty = myLeavesQty;
break;
case QuickFix.OrdStatus.NEW:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else
{
m_Log.Error("HandleExecReport:OrderStatus new not expected");
}
myOrder.LeavesQty = new QuickFix.LeavesQty(myOrder.OrderQty.getValue());
myOrder.CumQty = new QuickFix.CumQty(0.0);
break;
case QuickFix.OrdStatus.REPLACED:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
if (myExec.isSetField(myLeavesQty))
{
myExec.getField(myLeavesQty);
myOrder.LeavesQty = myLeavesQty;
}
if (myExec.isSetField(myCumQty))
{
myExec.getField(myCumQty);
myOrder.CumQty = myCumQty;
}
break;
case QuickFix.OrdStatus.PENDING_REPLACE:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
m_ORLog.Error("Pending replace received but last command is not replace");
}
break;
case QuickFix.OrdStatus.REJECTED:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.cancel)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.replace)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
break;
default:
break;
}
}
/// <summary>
/// Create a synthetic order
/// </summary>
/// <param name="myMsg"></param>
/// <returns>n order</returns>
public KaiTrade.Interfaces.Order CreateSyntheticOrder(QuickFix.Message myFixMsg)
{
KaiTrade.Interfaces.Order myOrder = null;
try
{
if (m_Log.IsInfoEnabled)
{
m_Log.Info("exec report recd:" + myFixMsg.ToString());
}
// Get order manager
KaiTrade.Interfaces.OrderManager myOM = KTAFacade.Instance().Factory.GetOrderManager();
// these fields must be present
QuickFix.OrderID myOrderID = new QuickFix.OrderID();
myFixMsg.getField(myOrderID);
QuickFix.ExecType myExecType = new QuickFix.ExecType();
myFixMsg.getField(myExecType);
QuickFix.ExecID myExecID = new QuickFix.ExecID();
myFixMsg.getField(myExecID);
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myFixMsg.getField(myOrdStatus);
// Create the order
myOrder = myOM.CreateOrder();
// 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();
if (myFixMsg.isSetField(myClOrdID))
{
myOrder.ClOrdID = myClOrdID;
}
}
catch (Exception myE)
{
m_Log.Error("CreateSyntheticOrder", myE);
}
return myOrder;
}
/// <summary>
/// Process partial or fully filled
/// </summary>
/// <param name="myOrder"></param>
/// <param name="myExec"></param>
private void processFill(ref KaiTrade.Interfaces.Order myOrder, QuickFix.Message myExec)
{
K2ServiceInterface.ITransaction myTrn = null;
try
{
// if the object supports transactions do the update as a trn
myTrn = myOrder as K2ServiceInterface.ITransaction;
if (myTrn != null)
{
myTrn.StartUpdate();
}
// Get the currently executed quantity for chain of orders.
QuickFix.CumQty myCumQty = new QuickFix.CumQty();
myExec.getField(myCumQty);
myOrder.CumQty = myCumQty;
// Get quantity open for further execution (order qty - cum qty)
QuickFix.LeavesQty myLeavesQty = new QuickFix.LeavesQty();
myExec.getField(myLeavesQty);
myOrder.LeavesQty = myLeavesQty;
QuickFix.LastPx myLastPx = new QuickFix.LastPx();
if (myExec.isSetField(myLastPx))
{
myExec.getField(myLastPx);
myOrder.LastPx = myLastPx;
}
QuickFix.AvgPx myAvgPx = new QuickFix.AvgPx();
if (myExec.isSetField(myAvgPx))
{
myExec.getField(myAvgPx);
myOrder.AvgPx = myAvgPx;
}
QuickFix.LastQty myLastQty = new QuickFix.LastQty();
if (myExec.isSetField(myLastQty))
{
myExec.getField(myLastQty);
myOrder.LastQty = myLastQty;
}
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myExec.getField(myOrdStatus);
myOrder.OrdStatus = myOrdStatus;
// always signal the end of the update
if (myTrn != null)
{
myTrn.EndUpdate();
}
}
catch (Exception myE)
{
m_Log.Error("processFill", myE);
// always signal the end of the update
if (myTrn != null)
{
myTrn.EndUpdate();
}
}
}