public void CheckIsInGroupTest() { QuickFix.DataDictionary.DataDictionary dd = new QuickFix.DataDictionary.DataDictionary("../../../spec/fix/FIX44.xml"); QuickFix.DataDictionary.DDGrp g = dd.Messages["B"].GetGroup(33); QuickFix.Fields.Text textField = new QuickFix.Fields.Text("woot"); QuickFix.Fields.ClOrdID clOrdIdField = new QuickFix.Fields.ClOrdID("not woot"); Assert.DoesNotThrow(delegate() { dd.CheckIsInGroup(textField, g, "B"); }); Assert.Throws(typeof(TagNotDefinedForMessage), delegate { dd.CheckIsInGroup(clOrdIdField, g, "B"); }); }
private static OrderData TranslateOrderImpl(Symbol symbol, Side side, OrdType ordType, OrderQty orderQty, Price price, ClOrdID clOrdID, Account account) { switch (ordType.getValue()) { case OrdType.LIMIT: if (price.Obj == 0) throw new IncorrectTagValue(price.Tag); break; //case OrdType.MARKET: break; default: throw new IncorrectTagValue(ordType.Tag); } return new OrderData { MarketSide = TranslateFixFields.Translate(side), Symbol = symbol.getValue(), OrderType = TranslateFixFields.Translate(ordType), Quantity = orderQty.getValue(), Price = price.getValue(), ClOrdID = clOrdID.getValue(), Account = account == null ? TradingAccount.None : new TradingAccount(account.getValue()) }; }
public void Set(QuickFix.Fields.ClOrdID val) { this.ClOrdID = val; }
public QuickFix.Fields.ClOrdID Get(QuickFix.Fields.ClOrdID val) { GetField(val); return(val); }
public Message CreateNewOrderSingleMessage(string symbol, MarketSide marketSide, string clOrdID, TradingAccount account, decimal price, decimal quantity, OrderType orderType, string execID) { var fOrdType = TranslateFixFields.Translate(orderType); var fSide = TranslateFixFields.Translate(marketSide); var fSymbol = new Symbol(symbol); var fTransactTime = new TransactTime(DateTime.Now); var fClOrdID = new ClOrdID(clOrdID); var nos = new NewOrderSingle(fClOrdID, fSymbol, fSide, fTransactTime, fOrdType) { OrderQty = new OrderQty(quantity), TimeInForce = new TimeInForce(TimeInForce.GOOD_TILL_CANCEL) }; if (orderType == OrderType.Limit) nos.Price = new Price(price); return nos; }
public bool IsSet(QuickFix.Fields.ClOrdID val) { return(IsSetClOrdID()); }
/// <summary> /// Creates a FIX4.3 NewOrderSingle message for Integral /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX43.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract); newOrderSingle.SetField(securityType); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency); newOrderSingle.SetField(product); //set order side if (order.OrderSide == Constants.OrderSide.BUY) { newOrderSingle.Set(new Side(Side.BUY)); } else if (order.OrderSide == Constants.OrderSide.SELL) { newOrderSingle.Set(new Side(Side.SELL)); } var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var minQty = new QuickFix.Fields.MinQty(order.OrderSize); newOrderSingle.SetField(minQty); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize); newOrderSingle.SetField(maxShow); var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION); newOrderSingle.SetField(execInst); var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); return(newOrderSingle); }
private Queue<QuickFix.FIX42.NewOrderSingle> CreateOrders(int n) { Queue<QuickFix.FIX42.NewOrderSingle> orders = new Queue<QuickFix.FIX42.NewOrderSingle>(n); for (int i = 0; i < n; i++) { ClOrdID cloudOrderId = new ClOrdID(Guid.NewGuid().ToString()); HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION); Symbol symbol = new Symbol("MSFT"); Side side = new Side(Side.BUY); TransactTime time = new TransactTime(); OrdType orderType = new OrdType(OrdType.LIMIT); QuickFix.FIX42.NewOrderSingle order = new QuickFix.FIX42.NewOrderSingle(cloudOrderId, handlInst, symbol, side, time, orderType); order.Account = new Account("Account"); order.OrderQty = new OrderQty(100); order.ExDestination = new ExDestination("*"); order.TimeInForce = new TimeInForce(TimeInForce.DAY); order.Price = new Price(50m); order.SecurityType = new SecurityType(SecurityType.COMMON_STOCK); orders.Enqueue(order); } return orders; }
/// <summary> /// Creates a FIX4.2 NewOrderSingle message for Redi /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX42.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); if (!string.IsNullOrEmpty(_account)) { var account = new QuickFix.Fields.Account(_account); newOrderSingle.SetField(account); } var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { var execInst = new QuickFix.Fields.ExecInst("h"); newOrderSingle.SetField(execInst); newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var exDestination = new QuickFix.Fields.ExDestination(";"); newOrderSingle.SetField(exDestination); var country = new QuickFix.Fields.DeliverToLocationID("1"); newOrderSingle.SetField(country); var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide)); newOrderSingle.SetField(side); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); return(newOrderSingle); }