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 void process(Message message, SessionID sessionID)
{
Message echo = (Message)message;
PossResend possResend = new PossResend(false);
if (message.getHeader().isSetField(possResend))
{
message.getHeader().getField(possResend);
}
ClOrdID clOrdID = new ClOrdID();
message.getField(clOrdID);
Pair pair = new Pair(clOrdID, sessionID);
if (possResend.getValue() == true)
{
if (orderIDs.Contains(pair))
{
return;
}
}
if (!orderIDs.Contains(pair))
{
orderIDs.Add(pair, pair);
}
try
{
Session.sendToTarget(echo, sessionID);
}
catch (SessionNotFound) { }
}
public void NewOrder(string clrID, char handinst, char sideID, char orderType, string symbolID, string exchange, float?price, long Quantity)
{
ClOrdID clOrdID = new ClOrdID(clrID);
HandlInst inst = new HandlInst('1');//似乎国信只支持直通私有
Side side = new Side(sideID);
OrdType ordType = new OrdType(orderType);
Symbol symbol = new Symbol(symbolID);
TransactTime time = new TransactTime();
QuickFix42.NewOrderSingle message = new QuickFix42.NewOrderSingle(clOrdID, inst, symbol, side, time, ordType);
message.setString(38, Quantity.ToString());
if (ordType.getValue() == OrdType.LIMIT)
{
message.setString(44, price.Value.ToString());
}
message.setString(15, "CNY");
if (exchange == "SH")
{
message.setString(207, "XSHG");
}
else if (exchange == "SZ")
{
message.setString(207, "XSHE");
}
SendToServer(message);
}
public Pair(ClOrdID clOrdID, SessionID sessionID)
{
this.clOrdID = clOrdID;
this.sessionID = sessionID;
hashCode =
("C:" + clOrdID.ToString() + "S:" + sessionID.ToString()).GetHashCode();
}
public static void PlaceNewSingleOrder()
{
QuickFix44.NewOrderSingle order = new QuickFix44.NewOrderSingle();
#region Order Details
QuickFix.OrderQty orderQty = new QuickFix.OrderQty(10); order.setField(orderQty);
QuickFix.Symbol symbol = new QuickFix.Symbol("EGS48031C016"); order.setField(symbol);
QuickFix.SecurityID secID = new QuickFix.SecurityID("EGS48031C016"); order.setField(secID);
QuickFix.Side side = new QuickFix.Side(Side.SELL); order.setField(side);
QuickFix.OrdType ordType = new QuickFix.OrdType(OrdType.LIMIT); order.setField(ordType);
QuickFix.Price price = new QuickFix.Price(10); order.setField(price);
Currency currency = new Currency("EGP"); order.setField(currency);
Account acc = new Account("1003"); order.setField(acc);
QuickFix.PartyID custody = new PartyID("5004"); order.setField(custody);
TimeInForce tif = new TimeInForce(TimeInForce.DAY); order.setField(tif);
IDSource ids = new IDSource("4"); order.setField(ids);
TransactTime tt = new TransactTime(DateTime.Now); order.setField(tt);
//SenderSubID ss = new SenderSubID("05095a"); order.setField(ss);
#endregion Order Details
#region Fix Order Message IDs
QuickFix.ClOrdID clOrdID = new ClOrdID(Guid.NewGuid().ToString());
order.setField(clOrdID);
#endregion Fix Order Message IDs
#region Exchange
ExDestination exd = new ExDestination("CA"); order.setField(exd);
TradingSessionID tradSession = new TradingSessionID("NOPL"); order.setField(tradSession);
#endregion Exchange
Session.sendToTarget(order, _app.SessionID);
}
public void process(Message message, SessionID sessionID)
{
Message echo = (Message)message;
PossResend possResend = new PossResend(false);
if (message.getHeader().isSetField(possResend))
message.getHeader().getField(possResend);
ClOrdID clOrdID = new ClOrdID();
message.getField(clOrdID);
Pair pair = new Pair(clOrdID, sessionID);
if (possResend.getValue() == true)
{
if (orderIDs.Contains(pair))
return;
}
if(!orderIDs.Contains(pair))
orderIDs.Add(pair, pair);
try
{
Session.sendToTarget(echo, sessionID);
}
catch (SessionNotFound) { }
}
public static void ReplaceOrder(OrderID orderID, ClOrdID clOrdID, decimal price, OrdType ordType, TimeInForce timeInForce, Symbol symbol,
OrderQty orderQty, Side side, ExpireTime expireTime, Account account, decimal?slippage)
{
QuickFix44.OrderCancelReplaceRequest message = new QuickFix44.OrderCancelReplaceRequest(
new OrigClOrdID(clOrdID.getValue()),
clOrdID,
side,
new TransactTime(DateTime.UtcNow),
ordType);
message.set(orderID);
message.set(new Price((double)price));
message.set(timeInForce);
message.set(symbol);
message.set(orderQty);
if (expireTime != null)
{
message.set(expireTime);
}
if (account != null)
{
message.set(account);
}
if (slippage.HasValue)
{
message.setDouble(7011, (double)slippage.Value);
}
Credential dukascopyCredential = CredentialFactory.GetCredential(Counterpart.Dukascopy);
Session.sendToTarget(message, dukascopyCredential.TradingSenderCompID, dukascopyCredential.TradingTargetCompID);
}
public static QuickFix.Message ToFixMessage(FixOrder order)
{
var dd = new DataDictionary();
var clOrdId = new ClOrdID(Guid.NewGuid().ToString());
int ordTypeId = (int)order.OrderType;
var map = dd.GetMapForMessage(order.MsgType.ToString());
string side = ((int)order.Side).ToString();
var otherSide = side.ToString();
var orderMsg = new NewOrderSingle(
clOrdId,
new Side(side[0]),
new TransactTime(DateTime.Now),
new OrdType('2') //TODO: fix this
);
orderMsg.Set(new HandlInst('1'));
orderMsg.Set(new OrderQty(order.OrderQuantity));
orderMsg.Set(new TimeInForce('1')); //Day
orderMsg.Set(new Price(order.Price));
return(orderMsg);
}
//35 = D
public override void onMessage(QuickFix42.NewOrderSingle message, SessionID sessionID)
{
Console.WriteLine("Receive message " + message.getHeader().getField(35) + ", session: " + sessionID.toString());
try
{
ClOrdID clordid = message.getClOrdID();
string clord = clordid.getValue();
Side side = message.getSide();
char s = side.getValue();
OrdType ordtype = message.getOrdType();
char ord = ordtype.getValue();
TransactTime time = message.getTransactTime();
DateTime dt = time.getValue();
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport(new OrderID("neworderid"), new ExecID("Hehe")
, new ExecTransType(ExecTransType.CORRECT), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.DONE_FOR_DAY),
new Symbol("VND"), new Side(Side.BUY), new LeavesQty(1), new CumQty(2), new AvgPx(100));
bool x = Session.sendToTarget(executionReport, sessionID);
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
}
public void OnMessage(QuickFix.FIX43.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX43.ExecutionReport exReport = new QuickFix.FIX43.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, // Shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void QueueOrderStatus(string clrID, char sideID, string symbolID)
{
ClOrdID clOrdID = new ClOrdID(clrID);
Side side = new Side(sideID);
Symbol symbol = new Symbol(symbolID);
QuickFix42.OrderStatusRequest message = new QuickFix42.OrderStatusRequest(clOrdID, symbol, side);
SendToServer(message);
}
public Message NewOrder(MDEntryGroup entryGroup, double quantity)
{
bool isInvertedSecurity = entryGroup.OwnerEntry.IsInverted;
Message message = null;
Account account = new Account(GetOrderSession().getSenderCompID().ToLower());
ClOrdID clOrdId = new ClOrdID("ClOrd_" + Guid.NewGuid());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
OrdType ordType = new OrdType(OrdType.LIMIT);
TimeInForce timeInForce = new TimeInForce(TimeInForce.FILL_OR_KILL);
TransactTime transactTime = new TransactTime();
Price price = new Price(entryGroup.MDEntryPx);
SecurityExchange securityExchange = new SecurityExchange(entryGroup.OwnerEntry.SecurityExchange);
SecurityType securityType = new SecurityType(entryGroup.OwnerEntry.SecurityType);
Symbol symbol = new Symbol(entryGroup.OwnerEntry.Symbol);
SecurityID securityId = new SecurityID(entryGroup.OwnerEntry.SecurityID);
OrderQty orderQty = new OrderQty(quantity);
Side side = null;
switch (entryGroup.MDEntryType)
{
case MDEntryType.BID:
side = new Side(Side.SELL);
break;
case MDEntryType.OFFER:
side = new Side(Side.BUY);
break;
default:
throw new Exception("Undefined entry type.");
}
//if (isInvertedSecurity && side.getValue() == Side.BUY)
// price = new Price(-price.getValue());
message = new QuickFix42.NewOrderSingle();
((QuickFix42.NewOrderSingle) message).set(account);
((QuickFix42.NewOrderSingle) message).set(clOrdId);
((QuickFix42.NewOrderSingle) message).set(side);
((QuickFix42.NewOrderSingle) message).set(transactTime);
((QuickFix42.NewOrderSingle) message).set(ordType);
((QuickFix42.NewOrderSingle) message).set(price);
((QuickFix42.NewOrderSingle) message).set(orderQty);
((QuickFix42.NewOrderSingle) message).set(securityId);
((QuickFix42.NewOrderSingle) message).set(securityExchange);
((QuickFix42.NewOrderSingle) message).set(timeInForce);
((QuickFix42.NewOrderSingle) message).set(securityType);
return message;
}
public void CancelOrder(string oriID, string clrID, char sideID, string symbolID)
{
OrigClOrdID origClOrdID = new OrigClOrdID(oriID);
ClOrdID clOrdID = new ClOrdID(clrID);
Side side = new Side(sideID);
Symbol symbol = new Symbol(symbolID);
TransactTime time = new TransactTime();
QuickFix42.OrderCancelRequest message = new QuickFix42.OrderCancelRequest(origClOrdID, clOrdID, symbol, side, time);
message.setInt(38, 0);//委托数量,这里不设置竟无法撤单。
SendToServer(message);
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = n.Price;
ClOrdID clOrdID = n.ClOrdID;
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.Message);
}
catch (Exception ex)
{
Console.WriteLine("==unknown exception==");
Console.WriteLine(ex.ToString());
Console.WriteLine(ex.StackTrace);
}
}
public override void onMessage(QuickFix44.ExecutionReport message, SessionID session)
{
OrderID orderID = message.getOrderID();
ClOrdID clOrdID = message.getClOrdID();
OrdStatus ordStatus = message.getOrdStatus();
Symbol symbol = message.getSymbol();
// firing event
Console.WriteLine("QuickFix44.ExecutionReport: {0}, {1}, {2}, {3}", orderID, clOrdID, ordStatus, symbol);
this.fixServices.NotifyExecutionInfo(Counterpart.Dukascopy, DataAdaptors.AdaptExecutionReport(new DukascopyExecutionReportToAdapt(message)));
}
public override void onMessage(QuickFix42.NewOrderSingle order, SessionID sessionID)
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get(ordType);
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.getField());
}
order.get(symbol);
order.get(side);
order.get(orderQty);
order.get(price);
order.get(clOrdID);
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport
(genOrderID(),
genExecID(),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
executionReport.set(clOrdID);
executionReport.set(orderQty);
executionReport.set(new LastShares(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
if (order.isSetAccount())
{
executionReport.set(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
public int cancelOrder(OrderStruct os)
{//will add check in case of already filled, no cancel.
OrderDAO ord = new OrderDAO();
OrderStruct dbos = new OrderStruct(11, 8);
if (ord.getOrderFromDB(os.OrderNo, ref dbos) < 0)
{
Console.WriteLine("Error : Unable to get order details from DB");
return(-1);
}
Console.WriteLine("DBG: truct val");
dbos.display();
string ordStatus = new string(dbos.OrderStatus);
//if(ordStatus.Equals("CANCELED") || ordStatus.Equals("COMPLETED"))
//{
// Console.WriteLine("Order is already "+ordStatus);
// return -1;
//}
Console.WriteLine("Order No [" + dbos.OrderNo + "] : Status [" + ordStatus + "]");
//return -1;
int ordNo = ord.cancelOrder(ref dbos);
if (ordNo < 0)
{
return(-1);
}
Console.WriteLine("TODO: Send FIX - cancel for os.ID");
//Send FIX - cancel for os.ID
OrigClOrdID origCLOrdID = new OrigClOrdID(Convert.ToString(dbos.fixAcceptedID));
ClOrdID OrdId = new ClOrdID(Convert.ToString(ordNo));
string symboldata = sanitiseField(os.symbol);
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
if (os.direction == 'S')
{
side = new Side(Side.SELL);
}
Console.WriteLine("cancelling origOrdId : " + dbos.fixAcceptedID + " newOrdId : " + ordNo);
Console.WriteLine("symboldata : " + symboldata + " side : " + side);
var orderCan = new QuickFix.FIX42.OrderCancelRequest(origCLOrdID, OrdId, symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()));
Session.SendToTarget(orderCan, FixClient.MySess);
return(os.OrderNo);
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
// Send Status New
SendExecution(s, OrdStatus.NEW, ExecType.NEW, n, n.OrderQty.getValue(), 0, 0, 0, 0);
Thread.Sleep(1000);
// Send Status Partially Filled
decimal filledQty = Math.Abs(Math.Round(n.OrderQty.getValue() / 4, 2));
decimal cumQty = filledQty;
SendExecution(s, OrdStatus.PARTIALLY_FILLED, ExecType.PARTIAL_FILL, n, filledQty, filledQty, price.getValue(), filledQty, price.getValue());
Thread.Sleep(1000);
// Send Status Partially Filled
filledQty = Math.Abs(Math.Round(n.OrderQty.getValue() / 4, 2));
cumQty += filledQty;
SendExecution(s, OrdStatus.PARTIALLY_FILLED, ExecType.PARTIAL_FILL, n, n.OrderQty.getValue() - cumQty, cumQty, price.getValue(), filledQty, price.getValue());
Thread.Sleep(1000);
// Send Status Fully Filled
filledQty = n.OrderQty.getValue() - cumQty;
cumQty += filledQty;
SendExecution(s, OrdStatus.FILLED, ExecType.FILL, n, 0, cumQty, price.getValue(), filledQty, price.getValue());
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle ord, SessionID sessionID)
{
Symbol symbol = ord.Symbol;
Side side = ord.Side;
OrdType ordType = ord.OrdType;
OrderQty orderQty = ord.OrderQty;
Price price = new Price(10);
//q isso?
ClOrdID clOrdID = ord.ClOrdID;
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue())
);
exReport.ClOrdID = clOrdID;
exReport.Symbol = symbol;
exReport.OrderQty = orderQty;
exReport.LastQty = new LastQty(orderQty.getValue());
exReport.LastPx = new LastPx(price.getValue());
if (ord.IsSetAccount())
{
exReport.Account = ord.Account;
}
try
{
Session.SendToTarget(exReport, sessionID);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private void addToDictionary(QuickFix42.ExecutionReport msg)
{
ClOrdID clID = new ClOrdID();
msg.getField(clID);
string ID = clID.getValue();
if (TodaysMessages.ContainsKey(ID))
{
TodaysMessages[ID].Add(msg);
}
else
{
List <QuickFix42.ExecutionReport> list = new List <QuickFix42.ExecutionReport>();
list.Add(msg);
TodaysMessages.Add(ID, list);
}
}
public int addOrder(OrderStruct os)
{
OrderDAO odao = new OrderDAO();
Console.WriteLine("Going to call DB");
int ordNo = odao.insertOrder(os);
ClOrdID OrdId = new ClOrdID(Convert.ToString(os.ID));
string symbol = sanitiseField(os.symbol);
var order = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), new Symbol(symbol), new Side(Side.BUY),
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
order.Price = new Price((decimal)os.price);
order.SetField(new OrderQty(1));
Session.SendToTarget(order, FixClient.MySess);
return(ordNo);
}
public override void onMessage( QuickFix40.NewOrderSingle order, SessionID sessionID )
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get( ordType );
if ( ordType.getValue() != OrdType.LIMIT )
throw new IncorrectTagValue( ordType.getField() );
order.get( symbol );
order.get( side );
order.get( orderQty );
order.get( price );
order.get( clOrdID );
QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new OrdStatus ( OrdStatus.FILLED ),
symbol,
side,
orderQty,
new LastShares ( orderQty.getValue() ),
new LastPx ( price.getValue() ),
new CumQty ( orderQty.getValue() ),
new AvgPx ( price.getValue() ) );
executionReport.set( clOrdID );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
private static void _AddToDictionary(QuickFix42.ExecutionReport msg)
{
ClOrdID clId = new ClOrdID();
msg.getField(clId);
string id = clId.getValue();
if (TodaysMessages.ContainsKey(id))
{
TodaysMessages[id].Add(msg);
}
else
{
List <QuickFix42.ExecutionReport> list = new List <QuickFix42.ExecutionReport> {
msg
};
TodaysMessages.Add(id, list);
}
}
private static Order Convert(MessageType commandType,
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);
}
var orderId = DIContainer.ResolveByName <IdGenerator>("OrderIdGenerator").GenerateId();
return(new Order
{
CommandType = commandType,
OrderId = orderId,
OrderSide = FixFieldsConverter.Convert(side),
Asset = new Asset(symbol.getValue()),
OrderType = FixFieldsConverter.Convert(ordType),
Quantity = orderQty.getValue(),
Price = price.getValue(),
ClOrdId = clOrdId.getValue(),
Account =
account == null
? TradingAccount.None
: new TradingAccount(account.getValue())
});
}
public static void Add(QuickFix42.Message msg)
{
ClOrdID clientId = new ClOrdID();
OrdType orderType = new OrdType();
msg.getField(clientId);
Msgs.Add(clientId.getValue(), msg);
if (msg.isSetField(orderType))
{
msg.getField(orderType);
if (orderType.getValue() == OrdType.LIMIT)
{
LimitOrders.Add(clientId.getValue());
LimitLib.Add(clientId.getValue());
}
}
}
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())
});
}
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);
}
public int amendOrder(ref OrderStruct os)
{
if (!isOrderAmendPossible(os.OrderStatus))
{
return(-1);
}
OrderDAO ord = new OrderDAO();
int newOrdID = ord.amendOrder(ref os); // OrderID is the last FixAccepted version
Console.WriteLine("TODO: Send FIX - cancel for os.LinkedOrderID ; Send FIX - New for os.ID");
OrigClOrdID origCLOrdID = new OrigClOrdID(Convert.ToString(os.ID));
ClOrdID OrdId = new ClOrdID(Convert.ToString(newOrdID));
string symboldata = sanitiseField(os.symbol);
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
if (os.direction == 'S')
{
side = new Side(Side.SELL);
}
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
var orderMod = new QuickFix.FIX42.OrderCancelReplaceRequest(origCLOrdID, OrdId, new HandlInst('1'), symbol, side, new TransactTime(DateTime.Now.ToUniversalTime()), ordType);
int Qty = (int)os.quantity;
orderMod.Price = new Price((decimal)os.price);
orderMod.SetField(new OrderQty(Qty));
Console.WriteLine("Modifying origOrdId/FixAcceptedID : " + os.ID + " newOrderID : " + newOrdID);
Console.WriteLine("symboldata : " + symboldata + " side : " + side + " Price : " + os.price + " qty : " + os.quantity);
Session.SendToTarget(orderMod, FixClient.MySess);
return(os.OrderNo);
}
private void CancelOrder(string id)
{
if (id != null)
{
if (ordersAll.ContainsKey(id))
{
OrigClOrdID orig = new OrigClOrdID(id);
OrderInfo info = (OrderInfo)ordersAll[id];
ClOrdID clordid = new ClOrdID(GetNextID());
Symbol symbol=info.Order .getSymbol ();
QuickFix.Side side = info.Order.getSide();
TransactTime time = new TransactTime();
QuickFix42.OrderCancelRequest cxl = new OrderCancelRequest(orig ,clordid ,symbol ,side,time);
_quickFixWrapper.Send(cxl);
}
}
}
/*
* public void ExecOrders(object arg)
* {
* NewOrderSingle ordem = (NewOrderSingle)arg;
* long clordid = Convert.ToInt64(DateTime.Now.ToString("yyyyMMddhhmmssfff"));
* bool bRet;
* logger.Info("=====================================> INICIO ========> Regs: " + _times);
* for (int i =0; i<_times; i++)
* {
* ClOrdID xx = new ClOrdID(clordid++.ToString());
* ordem.ClOrdID = xx;
* //Thread.Sleep(1);
* bRet = Session.SendToTarget(ordem, _session.SessionID);
* }
* logger.Info("=====================================> FIM ========> Regs: " + _times);
* }
*/
public bool AlterarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX44.OrderCancelReplaceRequest orderCancelReplaceReq = new QuickFix.FIX44.OrderCancelReplaceRequest();
orderCancelReplaceReq.Set(new OrigClOrdID(ordem.OrigClOrdID));
if (ordem.Account > 0)
{
orderCancelReplaceReq.Set(new Account(ordem.Account.ToString()));
}
if (!string.IsNullOrEmpty(mnemonic))
{
orderCancelReplaceReq.SetField(new Account(mnemonic), true);
}
// Instrument Identification Block
orderCancelReplaceReq.Set(new Symbol(ordem.Symbol));
orderCancelReplaceReq.Set(new SecurityID(ordem.SecurityID));
orderCancelReplaceReq.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
if (ordem.ExchangeNumberID != null && ordem.ExchangeNumberID.Length > 0)
{
orderCancelReplaceReq.Set(new OrderID(ordem.ExchangeNumberID));
}
orderCancelReplaceReq.Set(new ClOrdID(ordem.ClOrdID));
//ordersingle.set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
orderCancelReplaceReq.Set(new Side(Side.SELL));
}
else
{
orderCancelReplaceReq.Set(new Side(Side.BUY));
}
orderCancelReplaceReq.Set(new Price(Convert.ToDecimal(ordem.Price)));
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
orderCancelReplaceReq.Set(tif);
}
orderCancelReplaceReq.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
orderCancelReplaceReq.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
orderCancelReplaceReq.Set(ordType);
}
//if (ordem.OrdType == OrdemTipoEnum.StopLimitada )
//{
// ordersingle.set(new StopPx(ordem.StopPx));
//}
orderCancelReplaceReq.Set(new TransactTime(DateTime.Now));
// Cliente
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup1.Set(new PartyID(ordem.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup2.Set(new PartyID("227"));
PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Location ID
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
if (ordem.SenderLocation != null && ordem.SenderLocation.Length > 0)
{
PartyIDGroup3.Set(new PartyID(ordem.SenderLocation));
}
else
{
PartyIDGroup3.Set(new PartyID("GRA"));
}
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(54));
orderCancelReplaceReq.AddGroup(PartyIDGroup1);
orderCancelReplaceReq.AddGroup(PartyIDGroup2);
orderCancelReplaceReq.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-14
if (ordem.ForeignFirm != null && ordem.ForeignFirm.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(ordem.ForeignFirm));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
orderCancelReplaceReq.AddGroup(PartyIDGroup4);
}
if (ordem.Account > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX44.OrderCancelReplaceRequest.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount(ordem.Account.ToString()));
noAllocsGrp.Set(new AllocAcctIDSource(99));
orderCancelReplaceReq.AddGroup(noAllocsGrp);
}
//SelfTradeProtection - 2012-Nov-27
if (ordem.InvestorID != null && ordem.InvestorID.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup5 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup5.Set(new PartyID(ordem.InvestorID));
PartyIDGroup5.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup5.Set(new PartyRole(PartyRole.INVESTOR_ID));
orderCancelReplaceReq.AddGroup(PartyIDGroup5);
}
if (ordem.ExecutingTrader != null && ordem.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(ordem.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
orderCancelReplaceReq.AddGroup(PartyIDGroup7);
}
// Memo Field
if (ordem.Memo5149 != null && ordem.Memo5149.Length > 0)
{
if (ordem.Memo5149.Length > 50)
{
ordem.Memo5149 = ordem.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, ordem.Memo5149);
orderCancelReplaceReq.SetField(memo5149);
}
bool bRet = false;
if (oriini != 0 && orifim != 0)
{
long times = fim - ini;
logger.Info("=====================================> INICIO ALTERAR ORDEM========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
orderCancelReplaceReq.ClOrdID = xx;
orderCancelReplaceReq.OrigClOrdID = xx2;
bRet = Session.SendToTarget(orderCancelReplaceReq, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
oriini++;
//System.Windows.Forms.Application.DoEvents();
}
logger.Info("=====================================> FIM ALTERAR ORDEM========> Qtd: " + times);
}
else
{
bRet = Session.SendToTarget(orderCancelReplaceReq, _session.SessionID);
}
return(bRet);
}
public bool CancelarOrdem(OrdemCancelamentoInfo orderCancelInfo, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "")
{
//Cria a mensagem FIX de OrderCancelRequest
QuickFix.FIX44.OrderCancelRequest orderCancel = new QuickFix.FIX44.OrderCancelRequest();
if (orderCancelInfo.Account > 0)
{
orderCancel.Set(new Account(orderCancelInfo.Account.ToString()));
}
if (!string.IsNullOrEmpty(mnemonic))
{
orderCancel.SetField(new Account(mnemonic), true);
}
orderCancel.Set(new OrigClOrdID(orderCancelInfo.OrigClOrdID));
orderCancel.Set(new ClOrdID(orderCancelInfo.ClOrdID));
if (orderCancelInfo.OrderID != null && orderCancelInfo.OrderID.Length > 0)
{
orderCancel.Set(new OrderID(orderCancelInfo.OrderID));
}
// Instrument Identification Block
orderCancel.Set(new Symbol(orderCancelInfo.Symbol));
orderCancel.Set(new SecurityID(orderCancelInfo.SecurityID));
orderCancel.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
if (orderCancelInfo.Side == OrdemDirecaoEnum.Venda)
{
orderCancel.Set(new Side(Side.SELL));
}
else
{
orderCancel.Set(new Side(Side.BUY));
}
orderCancel.Set(new TransactTime(DateTime.Now));
//ATP - 2012-10-29
//Qtde de contratos/papeis a serem cancelados
orderCancel.Set(new OrderQty(orderCancelInfo.OrderQty));
// Cliente
QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
PartyIDGroup1.Set(new PartyID(orderCancelInfo.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
PartyIDGroup2.Set(new PartyID("227"));
PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
if (orderCancelInfo.SenderLocation != null && orderCancelInfo.SenderLocation.Length > 0)
{
PartyIDGroup3.Set(new PartyID(orderCancelInfo.SenderLocation));
}
else
{
PartyIDGroup3.Set(new PartyID("GRA"));
}
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(54));
orderCancel.AddGroup(PartyIDGroup1);
orderCancel.AddGroup(PartyIDGroup2);
orderCancel.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-14
if (orderCancelInfo.ForeignFirm != null && orderCancelInfo.ForeignFirm.Length > 0)
{
QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(orderCancelInfo.ForeignFirm));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
orderCancel.AddGroup(PartyIDGroup4);
}
if (orderCancelInfo.ExecutingTrader != null && orderCancelInfo.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(orderCancelInfo.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
orderCancel.AddGroup(PartyIDGroup7);
}
// Memo Field
if (orderCancelInfo.Memo5149 != null && orderCancelInfo.Memo5149.Length > 0)
{
if (orderCancelInfo.Memo5149.Length > 50)
{
orderCancelInfo.Memo5149 = orderCancelInfo.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, orderCancelInfo.Memo5149);
orderCancel.SetField(memo5149);
}
bool bRet = false;
if (oriini != 0 && orifim != 0)
{
long times = fim - ini;
logger.Info("=====================================> INICIO CANCELAR ORDEM========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
orderCancel.ClOrdID = xx;
orderCancel.OrigClOrdID = xx2;
bRet = Session.SendToTarget(orderCancel, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
oriini++;
//System.Windows.Forms.Application.DoEvents();
}
logger.Info("=====================================> FIM CANCELAR ORDEM========> Qtd: " + times);
}
else
{
bRet = Session.SendToTarget(orderCancel, _session.SessionID);
}
return(bRet);
}
public Pair(ClOrdID clOrdID, SessionID sessionID)
{
this.clOrdID = clOrdID;
this.sessionID = sessionID;
hashCode =
("C:" + clOrdID.ToString() + "S:" + sessionID.ToString()).GetHashCode();
}
static void Main(string[] args)
{
TestFixApp testFixApp = new TestFixApp(args.FirstOrDefault());
testFixApp.Start();
Account account = new Account("54b97c9e-202b-11b2-be90-529049f1f1bb");
ClOrdID clOrdId = new ClOrdID(Guid.NewGuid().ToString());
Symbol symbol = new Symbol("BTC/USD");
Side side = new Side(Side.BUY);
#region SecurityListRequest
SecurityListRequest securityListRequest = new SecurityListRequest(
new SecurityReqID(Guid.NewGuid().ToString()),
new SecurityListRequestType(SecurityListRequestType.SYMBOL)
)
{
Symbol = symbol
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(securityListRequest);
testFixApp.WaitResponces(1);
#endregion SecurityListRequest
#region MarketDataRequest
MarketDataRequest marketDataRequest = new MarketDataRequest(
new MDReqID(Guid.NewGuid().ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT),
new MarketDepth(5))
{
MDUpdateType = new MDUpdateType(MDUpdateType.FULL_REFRESH),
};
var bid = new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.BID)
};
var ask = new MarketDataRequest.NoMDEntryTypesGroup()
{
MDEntryType = new MDEntryType(MDEntryType.OFFER)
};
var symGroup = new MarketDataRequest.NoRelatedSymGroup
{
Symbol = symbol
};
marketDataRequest.AddGroup(bid);
marketDataRequest.AddGroup(ask);
marketDataRequest.AddGroup(symGroup);
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(marketDataRequest);
testFixApp.WaitResponces(1);
#endregion MarketDataRequest
#region NewOrderSingle
NewOrderSingle newOrderSingle = new NewOrderSingle(
clOrdId,
symbol,
side,
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT))
{
OrderQty = new OrderQty(0.1m),
Price = new Price(1m),
Account = account,
AcctIDSource = new AcctIDSource(AcctIDSource.OTHER)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(newOrderSingle);
testFixApp.WaitResponces(2);
#endregion NewOrderSingle
#region OrderCancelReplaceRequest
OrderCancelReplaceRequest orderCancelReplaceRequest = new OrderCancelReplaceRequest(
new OrigClOrdID(clOrdId.ToString()),
clOrdId = new ClOrdID(Guid.NewGuid().ToString()),
symbol,
side,
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT))
{
Price = new Price(2m),
OrderQty = new OrderQty(0.2m)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderCancelReplaceRequest);
testFixApp.WaitResponces(2);
#endregion OrderCancelReplaceRequest
#region OrderStatusRequest
OrderStatusRequest orderStatusRequest = new OrderStatusRequest(
clOrdId,
symbol,
side
);
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderStatusRequest);
testFixApp.WaitResponces(1);
#endregion OrderStatusRequest
#region OrderCancelRequest
OrderCancelRequest orderCancelRequest = new OrderCancelRequest(
new OrigClOrdID(clOrdId.ToString()),
new ClOrdID(Guid.NewGuid().ToString()),
symbol,
side,
new TransactTime(DateTime.Now)
)
{
OrderQty = new OrderQty(0.1m)
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderCancelRequest);
testFixApp.WaitResponces(3);
#endregion region OrderCancelRequest
#region OrderMassStatusRequest
OrderMassStatusRequest orderMassStatusRequest = new OrderMassStatusRequest(
new MassStatusReqID(Guid.NewGuid().ToString()),
new MassStatusReqType(MassStatusReqType.STATUS_FOR_ALL_ORDERS))
{
Side = side,
Symbol = symbol
};
Console.WriteLine("Press enter to next comand");
Console.ReadLine();
testFixApp.Send(orderMassStatusRequest);
#endregion OrderMassStatusRequest
Console.WriteLine("Press enter to exit");
Console.ReadLine();
testFixApp.Stop();
}
//private void CreateOrder(QuickFix.Side side)
//{
// if (textBox1.Text != string.Empty && textBox2.Text != string.Empty && textBox3.Text != string.Empty)
// {
// ClOrdID clordid =new ClOrdID ( DateTime.Now.ToString("yyMMddHHmmss"));//Ψһ��Ͷ����ָ����
// QuickFix.HandlInst inst = new QuickFix.HandlInst('1'); //1 = Automated execution order, private, no Broker intervention
// //2 = Automated execution order, public, Broker intervention OK
// //3 = Manual order, best execution
// QuickFix.Account account =new Account ("0103137186"); //2009 11 25 add �˺�
// QuickFix.Symbol symbol = new QuickFix.Symbol(textBox1.Text);
// QuickFix.TransactTime time = new QuickFix.TransactTime();
// QuickFix.OrdType ordtype = new QuickFix.OrdType('2');//2 = Limit
// QuickFix42.NewOrderSingle message = new QuickFix42.NewOrderSingle(clordid, inst, symbol, side, time, ordtype);
// message.setString(44, textBox3.Text);
// message.setString(38,textBox2.Text);
// message.setString(207, "SSE"); //207 sh �Ϻ�
// message.setString(1, "0002077141");//1 Account �˺�
// _quickFixWrapper.Send(message);
// }
// else
// {
// MessageBox.Show("ָ���������");
// }
//}
private void CreateOrder()
{
if (textBox1.Text != string.Empty && textBox2.Text != string.Empty && comboBox2.SelectedIndex != -1)
{
string id = GetNextID();
ClOrdID clordid = new ClOrdID(id);//Ψһ��Ͷ����ָ����
//1 = Automated execution order, private, no Broker intervention
//2 = Automated execution order, public, Broker intervention OK
//3 = Manual order, best execution
QuickFix.HandlInst inst = new QuickFix.HandlInst();
if (comboBox6.SelectedIndex == -1)
{
inst.setValue('1');
}
else
{
switch (comboBox6.SelectedItem.ToString())
{
case "ֱͨ˽��":
inst.setValue('1');
break;
case "ֱͨ����":
inst.setValue('2');
break;
case "����̨":
inst.setValue('3');
break;
}
}
QuickFix.Side side = new QuickFix.Side();
switch (comboBox2.SelectedItem.ToString())
{
case "����":
side.setValue('1');
break;
case "���":
side.setValue('2');
break;
case "���":
side.setValue('5');
break;
case "�깺":
side.setValue('D');
break;
case "���":
side.setValue('E');
break;
}
//QuickFix.Account account = new Account("0103137186"); //2009 11 25 add �˺�
QuickFix.OrdType ordtype = new QuickFix.OrdType();
if (comboBox3.SelectedIndex == -1)
{
ordtype.setValue('1');
}
else
{
switch (comboBox3.SelectedItem.ToString())
{
case "�м�":
ordtype.setValue('1');
break;
case "��":
ordtype.setValue('2');
break;
}
}
QuickFix.Symbol symbol = new QuickFix.Symbol(textBox1.Text);
QuickFix.TransactTime time = new QuickFix.TransactTime();
QuickFix42.NewOrderSingle message = new QuickFix42.NewOrderSingle(clordid, inst, symbol, side, time, ordtype);
if (ordtype.getValue () == QuickFix.OrdType.LIMIT)
{
message.setString(44, textBox3.Text);//Limit Price
}
message.setString(38, textBox2.Text);//Quantity
if (textBox1.Text.StartsWith("60"))
{
message.setString(207, "SSE"); //207 sh �Ϻ�
}
else if (textBox1.Text.StartsWith("00"))
{
message.setString(207, "SZSE"); //207 sz ����
}
//message.setString(1, "0002077141");//1 Account �˺�
if (!ordersAll.ContainsKey(id))
{
OrderInfo info = new OrderInfo(message);
ordersAll.Add(id, info);
}
_quickFixWrapper.Send(message);
}
else
{
MessageBox.Show("ָ���������");
}
}
public bool CancelarOrdem(OrdemCancelamentoInfo ordem, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "", string senderSubID = "", string extraTags = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.OrderCancelRequest ordercrr = new QuickFix.FIX42.OrderCancelRequest();
ordercrr.Set(new Account(ordem.Account.ToString()));
if (!string.IsNullOrEmpty(mnemonic))
{
ordercrr.SetField(new Account(mnemonic), true);
}
if (!string.IsNullOrEmpty(senderSubID))
{
ordercrr.Header.SetField(new SenderSubID(senderSubID), true);
}
ordercrr.Set(new Symbol(ordem.Symbol));
ordercrr.Set(new ClOrdID(ordem.ClOrdID));
ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordercrr.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordercrr.Set(new Side(Side.SELL));
}
else
{
ordercrr.Set(new Side(Side.BUY));
}
//TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
//if (tif != null)
// ordercrr.Set(tif);
ordercrr.Set(new OrderQty(ordem.OrderQty));
////if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
////{
//// DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
//// ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
////}
////OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
////if (ordType != null)
//// ordercrr.Set(ordType);
// Verifica envio do preco
//switch (ordem.OrdType)
//{
// case OrdemTipoEnum.Limitada:
// case OrdemTipoEnum.MarketWithLeftOverLimit:
// case OrdemTipoEnum.StopLimitada:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
// case OrdemTipoEnum.StopStart:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
// break;
// case OrdemTipoEnum.Mercado:
// case OrdemTipoEnum.OnClose:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
// default:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
//}
ordercrr.Set(new TransactTime(DateTime.Now));
//ordercrr.Set(new HandlInst('1'));
//ordercrr.Set(new ExecBroker("227"));
//if (ordem.MaxFloor > 0)
// ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
//if (ordem.MinQty > 0)
// ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
//QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
//noAllocsGrp.Set(new AllocAccount("67"));
//ordercrr.AddGroup(noAllocsGrp);
bool bRet = false;
// Tags Customizadas Bloomberg
if (!string.IsNullOrEmpty(extraTags))
{
string[] arr = extraTags.Split(';');
for (int i = 0; i < arr.Length; i++)
{
if (!string.IsNullOrEmpty(arr[i]))
{
string[] valor = arr[i].Split('=');
StringField fld = new StringField(Convert.ToInt32(valor[0]), valor[1]);
ordercrr.SetField(fld);
}
}
}
if (oriini != 0 && orifim != 0)
{
long times = fim - ini;
logger.Info("=====================================> INICIO CANCELAR ORDEM========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
ordercrr.ClOrdID = xx;
ordercrr.OrigClOrdID = xx2;
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
oriini++;
}
logger.Info("=====================================> FIM CANCELAR ORDEM========> Qtd: " + times);
}
else
{
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
}
return(bRet);
}
public int addOrder(OrderStruct os)
{
OrderDAO odao = new OrderDAO();
Console.WriteLine("Going to call DB");
int ordNo = odao.insertOrder(ref os);
// Keep the OrderNO for client and pass the OrderID to FIX.
ClOrdID OrdId = new ClOrdID(Convert.ToString(os.ID));
string symboldata = sanitiseField(os.symbol);
//check Futures or Options Order
string exch = new string(os.exch);
if (exch.Equals("STK"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side, new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
//string expiry = new string(os.expiry);
//orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
orderNFO.Price = new Price((decimal)os.price);
Console.WriteLine("STOCK BUY Order for : " + symbol + "orderType : " + ordType);
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
//string expiry = new string(os.expiry);
//orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
orderNFO.Price = new Price((decimal)os.price);
Console.WriteLine("STOCK SELL Order for : " + symbol + "orderType : " + ordType);
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
}
else if (exch.Equals("NFO"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.Price = new Price((decimal)os.price);
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.FUTURE);
string expiry = new string(os.expiry);
orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
Console.WriteLine("NFO BUY Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.Price = new Price((decimal)os.price);
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.FUTURE);
string expiry = new string(os.expiry);
orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
Console.WriteLine("NFO SELL Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
}
else if (exch.Equals("NOP"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
string callput = new string(os.callput);
var orderNOP = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNOP.Price = new Price((decimal)os.price);
orderNOP.SetField(new OrderQty(Qty));
orderNOP.ExDestination = new ExDestination("NS");
orderNOP.SecurityType = new SecurityType(SecurityType.OPTION);
string expiry = new string(os.expiry);
orderNOP.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNOP.StrikePrice = new StrikePrice((decimal)(os.strike));
if (callput.Equals("CE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(1);
}
else if (callput.Equals("PE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(0);
}
orderNOP.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNOP.OrdType = ordType;
Console.WriteLine("NOP BUY Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Option order to fix server
Session.SendToTarget(orderNOP, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
string callput = new string(os.callput);
var orderNOP = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNOP.Price = new Price((decimal)os.price);
orderNOP.SetField(new OrderQty(Qty));
orderNOP.ExDestination = new ExDestination("NS");
orderNOP.SecurityType = new SecurityType(SecurityType.OPTION);
string expiry = new string(os.expiry);
orderNOP.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNOP.StrikePrice = new StrikePrice((decimal)(os.strike));
if (callput.Equals("CE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(1);
}
else if (callput.Equals("PE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(0);
}
orderNOP.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNOP.OrdType = ordType;
Console.WriteLine("NOP SELL Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Option order to fix server
Session.SendToTarget(orderNOP, FixClient.MySess);
}
}
return(ordNo);
}