private SymbolAlgorithm CreateAlgorithm(long symbol)
{
SymbolAlgorithm symbolAlgorithm;
lock ( orderAlgorithmsLocker) {
if (!orderAlgorithms.TryGetValue(symbol, out symbolAlgorithm))
{
var symbolInfo = Factory.Symbol.LookupSymbol(symbol);
var orderCache = Factory.Engine.LogicalOrderCache(symbolInfo, false);
var algorithm = Factory.Utility.OrderAlgorithm("limefix", symbolInfo, this, orderCache, OrderStore);
algorithm.EnableSyncTicks = SyncTicks.Enabled;
symbolAlgorithm = new SymbolAlgorithm {
OrderAlgorithm = algorithm
};
orderAlgorithms.Add(symbol, symbolAlgorithm);
algorithm.OnProcessFill = ProcessFill;
}
}
return(symbolAlgorithm);
}
private void ExecutionReport(MessageFIX4_2 packetFIX)
{
var clientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out clientOrderId);
var originalClientOrderId = 0L;
long.TryParse(packetFIX.ClientOrderId, out originalClientOrderId);
if (packetFIX.Text == "END")
{
throw new ApplicationException("Unexpected END in FIX Text field. Never sent a 35=AF message.");
}
SymbolAlgorithm algorithm = null;
SymbolInfo symbolInfo = packetFIX.Symbol != null?Factory.Symbol.LookupSymbol(packetFIX.Symbol) : null;
if (symbolInfo != null)
{
TryGetAlgorithm(symbolInfo.BinaryIdentifier, out algorithm);
}
string orderStatus = packetFIX.OrderStatus;
switch (orderStatus)
{
case "0": // New
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport New: " + packetFIX);
}
if (algorithm == null)
{
log.Info("New order but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
CreateOrChangeOrder order = null;
OrderStore.TryGetOrderById(clientOrderId, out order);
if (order != null && symbolInfo.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder) // Stop Order
{
if (order.Type == OrderType.BuyStop || order.Type == OrderType.SellStop)
{
if (debug)
{
log.Debug("New order message for Forex Stop: " + packetFIX);
}
break;
}
}
algorithm.OrderAlgorithm.ConfirmCreate(clientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm cancel");
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "1": // Partial
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Partial: " + packetFIX);
}
//UpdateOrder(packetFIX, OrderState.Active, null);
SendFill(packetFIX);
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "2": // Filled
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Filled: " + packetFIX);
}
if (packetFIX.CumulativeQuantity < packetFIX.LastQuantity)
{
log.Warn("Ignoring message due to CumQty " + packetFIX.CumulativeQuantity + " less than " + packetFIX.LastQuantity + ". This is a workaround for a MBT FIX server which sends an extra invalid fill message on occasion.");
break;
}
SendFill(packetFIX);
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "5": // Replaced
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Replaced: " + packetFIX);
}
if (algorithm == null)
{
log.Info("ConfirmChange but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
algorithm.OrderAlgorithm.ConfirmChange(clientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm change");
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "4": // Canceled
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Canceled: " + packetFIX);
}
if (algorithm == null)
{
log.Info("Order Canceled but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
if (clientOrderId != 0)
{
algorithm.OrderAlgorithm.ConfirmCancel(clientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm cancel");
}
else if (originalClientOrderId != 0)
{
algorithm.OrderAlgorithm.ConfirmCancel(originalClientOrderId, IsRecovered);
TrySendStartBroker(symbolInfo, "sync on confirm cancel orig order");
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "6": // Pending Cancel
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Pending Cancel: " + packetFIX);
}
if (!string.IsNullOrEmpty(packetFIX.Text) && packetFIX.Text.Contains("multifunction order"))
{
if (debug && (LogRecovery || IsRecovered))
{
log.Debug("Pending cancel of multifunction order, so removing " + packetFIX.ClientOrderId + " and " + packetFIX.OriginalClientOrderId);
}
if (clientOrderId != 0L)
{
OrderStore.RemoveOrder(clientOrderId);
}
if (originalClientOrderId != 0L)
{
OrderStore.RemoveOrder(originalClientOrderId);
}
break;
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
TryHandlePiggyBackFill(packetFIX);
break;
case "8": // Rejected
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Reject: " + packetFIX);
}
RejectOrder(packetFIX);
break;
case "9": // Suspended
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Suspended: " + packetFIX);
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "A": // PendingNew
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Pending New: " + packetFIX);
}
if (algorithm == null)
{
log.Info("PendingNew but OrderAlgorithm not found for " + symbolInfo + ". Ignoring.");
break;
}
OrderStore.TryGetOrderById(clientOrderId, out order);
if (order != null && symbolInfo.FixSimulationType == FIXSimulationType.BrokerHeldStopOrder &&
(order.Type == OrderType.BuyStop || order.Type == OrderType.SellStop))
{
if (packetFIX.ExecutionType == "D") // Restated
{
if (debug)
{
log.Debug("Ignoring restated message 150=D for Forex stop execution report 39=A.");
}
}
else
{
algorithm.OrderAlgorithm.ConfirmCreate(originalClientOrderId, IsRecovered);
}
}
else
{
algorithm.OrderAlgorithm.ConfirmActive(originalClientOrderId, IsRecovered);
}
TrySendStartBroker(symbolInfo, "sync on confirm cancel orig order");
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
break;
case "E": // Pending Replace
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Pending Replace: " + packetFIX);
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
TryHandlePiggyBackFill(packetFIX);
break;
case "R": // Resumed.
if (debug && (LogRecovery || !IsRecovery))
{
log.Debug("ExecutionReport Resumed: " + packetFIX);
}
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
//UpdateOrder(packetFIX, OrderState.Active, null);
// Ignore
break;
default:
throw new ApplicationException("Unknown order status: '" + orderStatus + "'");
}
}
