public ExecutionReport CreateReport(
OrderRecord record,
SQ.ExecType? execType,
SQ.OrderStatus? orderStatus)
{
ExecutionReport report = new ExecutionReport();
report.DateTime = framework.Clock.DateTime;
report.Order = record.Order;
report.Instrument = record.Order.Instrument;
report.Side = record.Order.Side;
report.OrdType = record.Order.Type;
report.TimeInForce = record.Order.TimeInForce;
report.OrdQty = record.Order.Qty;
report.Price = record.Order.Price;
report.StopPx = record.Order.StopPx;
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
if (execType != null)
report.ExecType = execType.Value;
if (orderStatus != null)
report.OrdStatus = orderStatus.Value;
return report;
}
public Order OnExecutionReport(ExecutionReport report)
{
Order order = this.orders[report.CommandId];
if (order == null)
{
return null;
}
report.order = order;
order.OnExecutionReport(report);
return order;
}
public virtual double GetPrice(ExecutionReport report)
{
double num = report.AvgPx;
switch (report.side)
{
case OrderSide.Buy:
num += num * this.slippage;
break;
case OrderSide.Sell:
num -= num * this.slippage;
break;
}
return num;
}
public virtual double GetCommission(ExecutionReport report)
{
double num;
switch (this.type)
{
case CommissionType.PerShare:
num = this.commission * report.cumQty;
break;
case CommissionType.Percent:
num = this.commission * report.cumQty * report.avgPx;
break;
case CommissionType.Absolute:
num = this.commission;
break;
default:
throw new NotSupportedException("Unknown commission type " + this.type);
}
if (num < this.minCommission)
{
return this.minCommission;
}
return num;
}
public Fill(ExecutionReport report)
{
this.dateTime = report.dateTime;
this.order = report.order;
this.instrument = report.instrument;
this.currencyId = report.currencyId;
this.side = report.side;
this.qty = report.lastQty;
this.price = report.avgPx;
this.commission = report.commission;
this.text = report.text;
}
protected virtual void OnExecutionReport(ExecutionReport report)
{
}
internal void OnExecutionReport(ExecutionReport report)
{
if (this.strategy != null && this.strategy.status == StrategyStatus.Running)
{
this.strategy.OnExecutionReport_(report);
}
}
private void EmitExecutionReport(ExecutionReport report)
{
if (ExecutionReport != null)
{
ExecutionReport(this, new ExecutionReportEventArgs(report));
}
}
internal override void OnExecutionReport_(ExecutionReport report)
{
this.strategyById[report.Order.strategyId].OnExecutionReport_(report);
base.OnExecutionReport_(report);
}
public ExecutionReport(ExecutionReport report)
{
this.dateTime = report.dateTime;
this.instrument = report.instrument;
this.currencyId = report.currencyId;
this.execType = report.execType;
this.ordType = report.ordType;
this.side = report.side;
this.timeInForce = report.timeInForce;
this.ordStatus = report.ordStatus;
this.order = report.order;
this.commandID = report.commandID;
this.lastPx = report.lastPx;
this.avgPx = report.avgPx;
this.ordQty = report.ordQty;
this.cumQty = report.cumQty;
this.lastQty = report.lastQty;
this.leavesQty = report.leavesQty;
this.price = report.price;
this.stopPx = report.stopPx;
this.commission = report.commission;
}
internal override void OnExecutionReport_(ExecutionReport report)
{
this.strategyById[report.Order.strategyId].OnExecutionReport_(report);
base.OnExecutionReport_(report);
}
public virtual void OnExecutionReport(ExecutionReport report)
{
}
public void OnExecutionReport(ExecutionReport report)
{
this.status = report.ordStatus;
this.cumQty = report.cumQty;
this.leavesQty = report.leavesQty;
this.avgPx = report.avgPx;
if (report.execType == ExecType.ExecReplace)
{
this.type = report.ordType;
this.price = report.price;
this.stopPx = report.stopPx;
this.qty = report.ordQty;
}
this.reports.Add(report);
this.messages.Add(report);
}
public void EmitExecutionReport(ExecutionReport report)
{
this.framework.eventManager.OnEvent(report);
}
internal void OnExecutionReport(ExecutionReport report)
{
this.OnEvent(report);
}
public void EmitExecutionReport(ExecutionReport report)
{
this.framework.eventManager.OnEvent(report);
}
protected internal void EmitExecutionReport(ExecutionReport report)
{
this.executionQueue.Enqueue(report);
}
protected virtual void OnExecutionReport(ExecutionReport report)
{
}
protected internal virtual void OnExecutionReport(ExecutionReport report)
{
}
protected internal override void OnExecutionReport(ExecutionReport report)
{
this.executionComponent.OnExecutionReport(report);
}
internal virtual void OnExecutionReport_(ExecutionReport report)
{
if (this.raiseEvents)
{
this.OnExecutionReport(report);
}
Strategy strategy = this.strategyByOrderId[report.order.strategyId];
if (strategy != null)
{
strategy.OnExecutionReport_(report);
}
}
public override void onMessage(QuickFix42.ExecutionReport report, QuickFix.SessionID sessionID)
{
if (report.getExecType().getValue() == QuickFix.ExecType.PENDING_CANCEL ||
report.getExecType().getValue() == QuickFix.ExecType.CANCELED ||
report.getExecType().getValue() == QuickFix.ExecType.PENDING_REPLACE ||
report.getExecType().getValue() == QuickFix.ExecType.REPLACE)
{
object request = cancelRequests[report.getClOrdID().getValue()];
if (request == null)
report.set(new OrigClOrdID(report.getClOrdID().getValue()));
else
{
if (request is FIXOrderCancelRequest)
report.set(new OrigClOrdID((request as FIXOrderCancelRequest).OrigClOrdID));
if (request is FIXOrderCancelReplaceRequest)
report.set(new OrigClOrdID((request as FIXOrderCancelReplaceRequest).OrigClOrdID));
}
}
ExecutionReport Report = new ExecutionReport();
if (report.isSetOrderID()) Report.OrderID = report.getOrderID().getValue();
////if (report.isSetSecondaryOrderID()) Report.SecondaryOrderID = report.getSecondaryOrderID().getValue();
if (report.isSetClOrdID()) Report.ClOrdID = report.getClOrdID().getValue();
if (report.isSetOrigClOrdID()) Report.OrigClOrdID = report.getOrigClOrdID().getValue();
////if (report.isSetListID()) Report.ListID = report.getListID().getValue();
if (report.isSetExecID()) Report.ExecID = report.getExecID().getValue();
////if (report.isSetExecRefID()) Report.ExecRefID = report.getExecRefID().getValue();
if (report.isSetExecType()) (Report as FIXExecutionReport).ExecType = report.getExecType().getValue();
if (report.isSetOrdStatus()) (Report as FIXExecutionReport).OrdStatus = report.getOrdStatus().getValue();
if (report.isSetOrdRejReason()) Report.OrdRejReason = report.getOrdRejReason().getValue();
////if (report.isSetExecRestatementReason()) Report.ExecRestatementReason = report.getExecRestatementReason().getValue();
////if (report.isSetAccount()) Report.Account = report.getAccount().getValue();
////if (report.isSetSettlmntTyp()) Report.SettlType = report.getSettlmntTyp().getValue();
//if (report.isSetFutSettDate ()) Report.FutSettDate = report.getFutSettDate ().getValue();
if (report.isSetSymbol()) Report.Symbol = report.getSymbol().getValue();
////if (report.isSetSymbolSfx()) Report.SymbolSfx = report.getSymbolSfx().getValue();
////if (report.isSetSecurityID()) Report.SecurityID = report.getSecurityID().getValue();
//if (report.isSetIDSource ()) Report.IDSource = report.getIDSource ().getValue();
////if (report.isSetSecurityType()) Report.SecurityType = report.getSecurityType().getValue();
////if (report.isSetMaturityMonthYear()) Report.MaturityMonthYear = report.getMaturityMonthYear().getValue();
//if (report.isSetMaturityDay ()) Report.MaturityDate = DateTime.Parse(report.getMaturityDay ().getValue());
//if (report.isSetPutOrCall ()) Report.PutOrCall = report.getPutOrCall ().getValue();
////if (report.isSetStrikePrice()) Report.StrikePrice = report.getStrikePrice().getValue();
////if (report.isSetOptAttribute()) Report.OptAttribute = report.getOptAttribute().getValue();
////if (report.isSetContractMultiplier()) Report.ContractMultiplier = report.getContractMultiplier().getValue();
////if (report.isSetCouponRate()) Report.CouponRate = report.getCouponRate().getValue();
////if (report.isSetSecurityExchange()) Report.SecurityExchange = report.getSecurityExchange().getValue();
////if (report.isSetIssuer()) Report.Issuer = report.getIssuer().getValue();
////if (report.isSetEncodedIssuerLen()) Report.EncodedIssuerLen = report.getEncodedIssuerLen().getValue();
////if (report.isSetEncodedIssuer()) Report.EncodedIssuer = report.getEncodedIssuer().getValue();
////if (report.isSetSecurityDesc()) Report.SecurityDesc = report.getSecurityDesc().getValue();
////if (report.isSetEncodedSecurityDescLen()) Report.EncodedSecurityDescLen = report.getEncodedSecurityDescLen().getValue();
////if (report.isSetEncodedSecurityDesc()) Report.EncodedSecurityDesc = report.getEncodedSecurityDesc().getValue();
if (report.isSetSide()) (Report as FIXExecutionReport).Side = report.getSide().getValue();
if (report.isSetOrderQty()) Report.OrderQty = report.getOrderQty().getValue();
////if (report.isSetCashOrderQty()) Report.CashOrderQty = report.getCashOrderQty().getValue();
if (report.isSetOrdType()) (Report as FIXExecutionReport).OrdType = report.getOrdType().getValue();
if (report.isSetPrice()) Report.Price = report.getPrice().getValue();
////if (report.isSetStopPx()) Report.StopPx = report.getStopPx().getValue();
//if (report.isSetPegDifference ()) Report.PegDifference = report.getPegDifference ().getValue();
////if (report.isSetDiscretionInst()) Report.DiscretionInst = report.getDiscretionInst().getValue();
////if (report.isSetDiscretionOffset()) Report.DiscretionOffsetValue = report.getDiscretionOffset().getValue();
////if (report.isSetCurrency()) Report.Currency = report.getCurrency().getValue();
////if (report.isSetComplianceID()) Report.ComplianceID = report.getComplianceID().getValue();
//if (report.isSetSolicitedFlag ()) Report.SolicitedFlag = report.getSolicitedFlag ().getValue();
////if (report.isSetTimeInForce()) (Report as FIXExecutionReport).TimeInForce = report.getTimeInForce().getValue();
////if (report.isSetEffectiveTime()) Report.EffectiveTime = report.getEffectiveTime().getValue();
////if (report.isSetExpireDate()) Report.ExpireDate = DateTime.Parse(report.getExpireDate().getValue());
////if (report.isSetExpireTime()) Report.ExpireTime = report.getExpireTime().getValue();
////if (report.isSetExecInst()) Report.ExecInst = report.getExecInst().getValue();
//if (report.isSetRule80A ()) Report.Rule80A = report.getRule80A ().getValue();
if (report.isSetLastShares()) Report.LastQty = report.getLastShares().getValue();
if (report.isSetLastPx()) Report.LastPx = report.getLastPx().getValue();
////if (report.isSetLastSpotRate()) Report.LastSpotRate = report.getLastSpotRate().getValue();
////if (report.isSetLastForwardPoints()) Report.LastForwardPoints = report.getLastForwardPoints().getValue();
////if (report.isSetLastMkt()) Report.LastMkt = report.getLastMkt().getValue();
////if (report.isSetTradingSessionID()) Report.TradingSessionID = report.getTradingSessionID().getValue();
////if (report.isSetLastCapacity()) Report.LastCapacity = report.getLastCapacity().getValue();
if (report.isSetLeavesQty()) Report.LeavesQty = report.getLeavesQty().getValue();
if (report.isSetCumQty()) Report.CumQty = report.getCumQty().getValue();
if (report.isSetAvgPx()) Report.AvgPx = report.getAvgPx().getValue();
////if (report.isSetDayOrderQty()) Report.DayOrderQty = report.getDayOrderQty().getValue();
////if (report.isSetDayCumQty()) Report.DayCumQty = report.getDayCumQty().getValue();
////if (report.isSetDayAvgPx()) Report.DayAvgPx = report.getDayAvgPx().getValue();
////if (report.isSetGTBookingInst()) Report.GTBookingInst = report.getGTBookingInst().getValue();
////if (report.isSetTradeDate()) Report.TradeDate = DateTime.Parse(report.getTradeDate().getValue());
if (report.isSetTransactTime()) Report.TransactTime = report.getTransactTime().getValue();
//if (report.isSetReportToExch ()) Report.ReportToExch = report.getReportToExch ().getValue();
////if (report.isSetCommission()) Report.Commission = report.getCommission().getValue();
////if (report.isSetCommType()) (Report as FIXExecutionReport).CommType = report.getCommType().getValue();
////if (report.isSetGrossTradeAmt()) Report.GrossTradeAmt = report.getGrossTradeAmt().getValue();
////if (report.isSetSettlCurrAmt()) Report.SettlCurrAmt = report.getSettlCurrAmt().getValue();
////if (report.isSetSettlCurrency()) Report.SettlCurrency = report.getSettlCurrency().getValue();
////if (report.isSetHandlInst()) Report.HandlInst = report.getHandlInst().getValue();
////if (report.isSetMinQty()) Report.MinQty = report.getMinQty().getValue();
////if (report.isSetMaxFloor()) Report.MaxFloor = report.getMaxFloor().getValue();
//if (report.isSetOpenClose ()) Report.OpenClose = report.getOpenClose ().getValue();
////if (report.isSetMaxShow()) Report.MaxShow = report.getMaxShow().getValue();
if (report.isSetText()) Report.Text = report.getText().getValue();
////if (report.isSetEncodedTextLen()) Report.EncodedTextLen = report.getEncodedTextLen().getValue();
////if (report.isSetEncodedText()) Report.EncodedText = report.getEncodedText().getValue();
//if (report.isSetFutSettDate2 ()) Report.FutSettDate2 = report.getFutSettDate2 ().getValue();
////if (report.isSetOrderQty2()) Report.OrderQty2 = report.getOrderQty2().getValue();
//if (report.isSetClearingFirm ()) Report.ClearingFirm = report.getClearingFirm ().getValue();
//if (report.isSetClearingAccount ()) Report.ClearingAccount = report.getClearingAccount ().getValue();
////if (report.isSetMultiLegReportingType()) Report.MultiLegReportingType = report.getMultiLegReportingType().getValue();
//
SingleOrder order;
if (Report.ExecType == SmartQuant.FIX.ExecType.PendingCancel ||
Report.ExecType == SmartQuant.FIX.ExecType.Cancelled ||
Report.ExecType == SmartQuant.FIX.ExecType.PendingReplace ||
Report.ExecType == SmartQuant.FIX.ExecType.Replace)
order = OrderManager.Orders.All[Report.OrigClOrdID] as SingleOrder;
else
order = OrderManager.Orders.All[Report.ClOrdID] as SingleOrder;
Instrument instrument = order.Instrument;
Report.Symbol = instrument.Symbol;
Report.TransactTime = Clock.Now;
// emit execution report
EmitExecutionReport(Report);
}
public void Fill(Order order, double price, int size)
{
this.orders[order.instrument.Id].Remove(order);
ExecutionReport executionReport = new ExecutionReport();
executionReport.dateTime = this.framework.Clock.DateTime;
executionReport.order = order;
executionReport.ordType = order.type;
executionReport.side = order.side;
executionReport.instrument = order.instrument;
executionReport.ordQty = order.qty;
executionReport.commandID = order.id;
executionReport.timeInForce = order.timeInForce;
executionReport.execType = ExecType.ExecTrade;
executionReport.ordStatus = OrderStatus.Filled;
executionReport.currencyId = order.instrument.currencyId;
executionReport.cumQty = order.qty;
executionReport.lastQty = order.qty;
executionReport.leavesQty = 0.0;
executionReport.lastPx = price;
executionReport.avgPx = price;
executionReport.text = order.Text;
executionReport.commission = this.commissionProvider.GetCommission(executionReport);
executionReport.avgPx = this.slippageProvider.GetPrice(executionReport);
base.EmitExecutionReport(executionReport);
}
internal void OnExecutionReport(ExecutionReport report)
{
if (report.execType == ExecType.ExecTrade)
{
Fill fill = new Fill(report);
report.order.portfolio.Add(fill);
}
}
internal void OnExecutionReport(ExecutionReport report)
{
this.OnEvent(report);
}
public virtual void OnExecutionReport(ExecutionReport report)
{
}
public OnExecutionReport(ExecutionReport report)
{
this.report = report;
}
internal void OnExecutionReport(ExecutionReport report)
{
Order order = report.order;
OrderStatus status = order.status;
order.OnExecutionReport(report);
if (status != order.status)
{
this.framework.eventServer.OnOrderStatusChanged(order);
}
ExecType execType = report.ExecType;
switch (execType)
{
case ExecType.ExecTrade:
if (order.status == OrderStatus.PartiallyFilled)
{
this.framework.eventServer.OnOrderPartiallyFilled(order);
return;
}
this.framework.eventServer.OnOrderFilled(order);
this.framework.eventServer.OnOrderDone(order);
this.ProcessOCA(order);
return;
case ExecType.ExecPendingCancel:
break;
case ExecType.ExecCancelled:
this.framework.eventServer.OnOrderCancelled(order);
this.framework.eventServer.OnOrderDone(order);
this.ProcessOCA(order);
return;
default:
if (execType != ExecType.ExecReplace)
{
return;
}
this.framework.eventServer.OnOrderReplaced(order);
break;
}
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
CommType = commType,
Commission = commission,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(EFIXField.OrdType) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(EFIXField.TimeInForce) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(EFIXField.OrderQty) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(EFIXField.Price) ? record.Order.ReplaceOrder.Price : record.Order.Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(EFIXField.StopPx) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx;
record.LeavesQty = ((int)report.OrderQty) - record.CumQty;
}
else
{
report.OrdType = record.Order.OrdType;
report.TimeInForce = record.Order.TimeInForce;
report.OrderQty = record.Order.OrderQty;
report.Price = record.Order.Price;
report.StopPx = record.Order.StopPx;
}
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = CTPZQProvider.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
public OnExecutionReport(ExecutionReport report)
{
this.report = report;
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
protected internal override void OnExecutionReport(ExecutionReport report)
{
this.executionComponent.OnExecutionReport(report);
}
