protected void RejectNew(QuickFix.SessionID session, string symbol, string order_id, int qty, OrderAction side, string reply_text)
{
IOrder fake_order = new FakeOrderForRejectReport(qty, side);
OrderFixBridge order = new OrderFixBridge(fake_order, order_id, session);
SendExecutionReport(order, symbol, 0, 0, reply_text);
}
public static void FromFIX_SendOrder(OrderFixBridge orderFixBridge, string instrumentId, OrderAction orderAction, OrderType orderType, int quantity, double limitPrice, double stopPrice, string signalName)
{
lock (locker_)
{
MarketDataDef mdd = s_fixConnectors.GetMarketDataDefForSymbol(instrumentId);
if (mdd == null)
{
throw new Exception("No FixConnector available for symbol to create order on '" + instrumentId + "'.");
}
mdd.fixConnector.FromFIX_SendOrder(orderFixBridge, mdd.internal_barinprogress, orderAction, orderType, quantity, limitPrice, stopPrice, signalName);
}
}
public static void FromFIX_SendOrder(OrderFixBridge orderFixBridge, string instrumentId, OrderAction orderAction, OrderType orderType, int quantity, double limitPrice, double stopPrice, string signalName)
{
lock (locker_)
{
MarketDataDef mdd = s_fixConnectors.GetMarketDataDefForSymbol(instrumentId);
if (mdd == null)
{
throw new Exception("No FixConnector available for symbol to create order on '" + instrumentId + "'.");
}
mdd.fixConnector.FromFIX_SendOrder(orderFixBridge, mdd.internal_barinprogress, orderAction, orderType, quantity, limitPrice, stopPrice, signalName);
}
}
public OrderFixBridge AddOrGet(IOrder order, string clordid, QuickFix.SessionID session)
{
if (order == null && string.IsNullOrEmpty(clordid))
{
throw new Exception("internal error: order is null and clordid empty");
}
OrderFixBridge r = null;
if (order == null) // lookup by clordid
{
r = m_orders.Find(s => s.QuickFixId == clordid);
if (r == null)
{
m_orders.Add(r = new OrderFixBridge(null, clordid, session));
}
}
else // lookup by order
{
r = m_orders.Find(s => s.Order == order);
if (r == null)
{
m_orders.Add(r = new OrderFixBridge(order, clordid, session));
}
}
// update session
if (r.OrderSessionID == null && session != null)
{
r.OrderSessionID = session;
}
//update fix id
if (string.IsNullOrEmpty(r.QuickFixId) && !string.IsNullOrEmpty(clordid))
{
r.QuickFixId = clordid;
}
return(r);
}
public OrderFixBridge AddOrGet(IOrder order, string clordid, QuickFix.SessionID session)
{
if (order == null && string.IsNullOrEmpty(clordid))
throw new Exception("internal error: order is null and clordid empty");
OrderFixBridge r = null;
if (order == null) // lookup by clordid
{
r = m_orders.Find(s => s.QuickFixId == clordid);
if (r == null)
m_orders.Add(r = new OrderFixBridge(null, clordid, session));
}
else // lookup by order
{
r = m_orders.Find(s => s.Order == order);
if (r == null)
m_orders.Add(r = new OrderFixBridge(order, clordid, session));
}
// update session
if (r.OrderSessionID == null && session != null)
r.OrderSessionID = session;
//update fix id
if (string.IsNullOrEmpty(r.QuickFixId) && !string.IsNullOrEmpty(clordid))
r.QuickFixId = clordid;
return r;
}
protected void SendExecutionReport(OrderFixBridge order, string symbol, double execQty, double execPrice, string text)
{
if (order == null)
{
throw new Exception("[QuickFixApp.SendExecutionReport] OrderFixBridge order is null ");
}
IOrder o = order.Order;
if (o == null)
{
throw new Exception("[QuickFixApp.SendExecutionReport] IOrder is null ");
}
if (string.IsNullOrEmpty(symbol))
{
throw new Exception("[QuickFixApp.SendExecutionReport] symbol is empty");
}
QuickFix.SessionID session = order.OrderSessionID;
if (session == null)
{
throw new Exception("[QuickFixApp.SendExecutionReport] session is null ");
}
QuickFix.FIX42.ExecutionReport msg = new QuickFix.FIX42.ExecutionReport();
msg.OrderID = new QuickFix.Fields.OrderID(Helper.GetUniqueID("EXECID"));
msg.HandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
msg.Symbol = new QuickFix.Fields.Symbol(symbol);
msg.Side = Converter.c(o.OrderAction);
msg.LeavesQty = new QuickFix.Fields.LeavesQty(Convert.ToDecimal(Math.Max(0, o.Quantity - o.Filled)));
msg.CumQty = new QuickFix.Fields.CumQty(Convert.ToDecimal(o.Filled));
msg.AvgPx = new QuickFix.Fields.AvgPx(Convert.ToDecimal(o.AvgFillPrice));
msg.TransactTime = new QuickFix.Fields.TransactTime(o.Time, true);
msg.Text = new QuickFix.Fields.Text(text);
msg.ExecTransType = new QuickFix.Fields.ExecTransType(QuickFix.Fields.ExecTransType.NEW);
switch (o.OrderState)
{
// pending : ignored
case OrderState.Accepted:
case OrderState.PendingChange:
case OrderState.PendingSubmit:
case OrderState.PendingCancel:
return;
case OrderState.Working:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.NEW);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("NEW"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.NEW);
break;
case OrderState.Cancelled:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.CANCELED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("CANCELED"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.CANCELED);
break;
case OrderState.Filled:
case OrderState.PartFilled:
if (double.IsNaN(execQty))
{
return;
}
if (double.IsNaN(execPrice))
{
return;
}
bool full = o.OrderState == OrderState.Filled;
msg.OrdStatus = new QuickFix.Fields.OrdStatus(full ? QuickFix.Fields.OrdStatus.FILLED : QuickFix.Fields.OrdStatus.PARTIALLY_FILLED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("EXEC"));
msg.ExecType = new QuickFix.Fields.ExecType(full ? QuickFix.Fields.ExecType.FILL : QuickFix.Fields.ExecType.PARTIAL_FILL);
msg.LastShares = new QuickFix.Fields.LastShares(Convert.ToDecimal(execQty));
msg.LastPx = new QuickFix.Fields.LastPx(Convert.ToDecimal(execPrice));
break;
case OrderState.Rejected:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.REJECTED);
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.REJECTED);
msg.OrigClOrdID = new QuickFix.Fields.OrigClOrdID(order.QuickFixId);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("REJ"));
break;
case OrderState.Unknown:
throw new Exception("[QuickFixApp.SendExecutionReport] IOrder should not have unknown status at this point !");
}
QuickFix.Session.SendToTarget(msg, session);
}
protected void SendExecutionReport(OrderFixBridge order, string symbol, double execQty, double execPrice, string text)
{
if (order == null) throw new Exception("[QuickFixApp.SendExecutionReport] OrderFixBridge order is null ");
IOrder o = order.Order;
if (o == null) throw new Exception("[QuickFixApp.SendExecutionReport] IOrder is null ");
if (string.IsNullOrEmpty(symbol)) throw new Exception("[QuickFixApp.SendExecutionReport] symbol is empty");
QuickFix.SessionID session = order.OrderSessionID;
if (session == null) throw new Exception("[QuickFixApp.SendExecutionReport] session is null ");
QuickFix.FIX42.ExecutionReport msg = new QuickFix.FIX42.ExecutionReport();
msg.OrderID = new QuickFix.Fields.OrderID(Helper.GetUniqueID("EXECID"));
msg.HandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
msg.Symbol = new QuickFix.Fields.Symbol(symbol);
msg.Side = Converter.c(o.OrderAction);
msg.LeavesQty = new QuickFix.Fields.LeavesQty(Convert.ToDecimal(Math.Max(0,o.Quantity-o.Filled)));
msg.CumQty = new QuickFix.Fields.CumQty(Convert.ToDecimal(o.Filled));
msg.AvgPx = new QuickFix.Fields.AvgPx(Convert.ToDecimal(o.AvgFillPrice));
msg.TransactTime = new QuickFix.Fields.TransactTime(o.Time, true);
msg.Text = new QuickFix.Fields.Text(text);
msg.ExecTransType = new QuickFix.Fields.ExecTransType(QuickFix.Fields.ExecTransType.NEW);
switch (o.OrderState)
{
// pending : ignored
case OrderState.Accepted:
case OrderState.PendingChange:
case OrderState.PendingSubmit:
case OrderState.PendingCancel:
return;
case OrderState.Working:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.NEW);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("NEW"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.NEW);
break;
case OrderState.Cancelled:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.CANCELED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("CANCELED"));
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.CANCELED);
break;
case OrderState.Filled:
case OrderState.PartFilled:
if (double.IsNaN(execQty)) return;
if (double.IsNaN(execPrice)) return;
bool full = o.OrderState == OrderState.Filled;
msg.OrdStatus = new QuickFix.Fields.OrdStatus(full ? QuickFix.Fields.OrdStatus.FILLED : QuickFix.Fields.OrdStatus.PARTIALLY_FILLED);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("EXEC"));
msg.ExecType = new QuickFix.Fields.ExecType(full ? QuickFix.Fields.ExecType.FILL : QuickFix.Fields.ExecType.PARTIAL_FILL);
msg.LastShares = new QuickFix.Fields.LastShares(Convert.ToDecimal(execQty));
msg.LastPx = new QuickFix.Fields.LastPx(Convert.ToDecimal(execPrice));
break;
case OrderState.Rejected:
msg.OrdStatus = new QuickFix.Fields.OrdStatus(QuickFix.Fields.OrdStatus.REJECTED);
msg.ExecType = new QuickFix.Fields.ExecType(QuickFix.Fields.ExecType.REJECTED);
msg.OrigClOrdID = new QuickFix.Fields.OrigClOrdID(order.QuickFixId);
msg.ExecID = new QuickFix.Fields.ExecID(Helper.GetUniqueID("REJ"));
break;
case OrderState.Unknown:
throw new Exception("[QuickFixApp.SendExecutionReport] IOrder should not have unknown status at this point !");
}
QuickFix.Session.SendToTarget(msg, session);
}
protected void RejectNew(QuickFix.SessionID session, string symbol, string order_id, int qty, OrderAction side, string reply_text)
{
IOrder fake_order = new FakeOrderForRejectReport(qty, side);
OrderFixBridge order = new OrderFixBridge(fake_order, order_id, session);
SendExecutionReport(order, symbol, 0, 0, reply_text);
}