private OrderPartiallyFilled GenerateOrderPartiallyFilledEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var executionId = new ExecutionId(message.GetField(Tags.ExecID));
var positionIdBroker = new PositionIdBroker(message.GetField(FxcmTags.PosID));
var symbol = this.GetSymbol(message.GetField(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var filledQuantity = Quantity.Create(message.GetDecimal(Tags.CumQty));
var averagePrice = Price.Create(message.GetDecimal(Tags.AvgPx));
var quoteCurrency = this.GetQuoteCurrency(symbol, message.GetField(Tags.Currency));
var leavesQuantity = Quantity.Create(message.GetInt(Tags.LeavesQty));
var executionTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderPartiallyFilled(
this.accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
leavesQuantity,
averagePrice,
quoteCurrency,
executionTime,
this.NewGuid(),
this.TimeNow()));
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderFilled"/> class.
/// </summary>
/// <param name="accountId">The event account identifier.</param>
/// <param name="orderId">The event order identifier.</param>
/// <param name="executionId">The event order execution identifier.</param>
/// <param name="positionIdBroker">The event order execution ticket.</param>
/// <param name="symbol">The event order symbol.</param>
/// <param name="orderSide">The event order side.</param>
/// <param name="filledQuantity">The event order filled quantity.</param>
/// <param name="averagePrice">The event order average price.</param>
/// <param name="quoteCurrency">The event order quote currency.</param>
/// <param name="executionTime">The event order execution time.</param>
/// <param name="eventId">The event identifier.</param>
/// <param name="eventTimestamp">The event timestamp.</param>
public OrderFilled(
AccountId accountId,
OrderId orderId,
ExecutionId executionId,
PositionIdBroker positionIdBroker,
Symbol symbol,
OrderSide orderSide,
Quantity filledQuantity,
Price averagePrice,
Currency quoteCurrency,
ZonedDateTime executionTime,
Guid eventId,
ZonedDateTime eventTimestamp)
: base(
accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
averagePrice,
quoteCurrency,
executionTime,
EventType,
eventId,
eventTimestamp)
{
}
/// <summary>
/// Called when the start header is serialized using the specified XML writer.
/// </summary>
/// <param name="writer">
/// An <see cref="XmlDictionaryWriter"/> that is used to serialize the start header.
/// </param>
/// <param name="messageVersion">Unused.</param>
/// <remarks>
/// We override the default implementation in order to force a specific message
/// layout, rather than relying on the default implementation which doesn't
/// serialize in the expected manner.
/// </remarks>
protected override void OnWriteHeaderContents(XmlDictionaryWriter writer, MessageVersion messageVersion)
{
writer.WriteElementString("ActivityId", ActivityId.ToString());
writer.WriteElementString("AccessToken", AccessToken);
writer.WriteElementString("ExecutionId", ExecutionId.ToString());
writer.WriteElementString("Action", Action);
writer.WriteElementString("MomentStart", MomentStart.ToString("o", CultureInfo.InvariantCulture));
}
public void EndianSwap()
{
ContentType = ContentType.EndianSwap();
ContentMetadataVersion = ContentMetadataVersion.EndianSwap();
ContentSize = ContentSize.EndianSwap();
ExecutionId.EndianSwap();
Creator = Creator.EndianSwap();
StfsVolumeDescriptor.EndianSwap();
DataFiles = DataFiles.EndianSwap();
DataFilesSize = DataFilesSize.EndianSwap();
VolumeType = VolumeType.EndianSwap();
OnlineCreator = OnlineCreator.EndianSwap();
Category = Category.EndianSwap();
foreach (var str in DisplayName)
{
str.EndianSwap();
}
foreach (var str in Description)
{
str.EndianSwap();
}
Publisher.EndianSwap();
TitleName.EndianSwap();
ThumbnailSize = ThumbnailSize.EndianSwap();
foreach (var str in DisplayNameEx)
{
str.EndianSwap();
}
TitleThumbnailSize = TitleThumbnailSize.EndianSwap();
foreach (var str in DescriptionEx)
{
str.EndianSwap();
}
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderFillEvent"/> class.
/// </summary>
/// <param name="accountId">The event account identifier.</param>
/// <param name="orderId">The event order identifier.</param>
/// <param name="executionId">The event order execution identifier.</param>
/// <param name="positionIdBroker">The event broker position identifier.</param>
/// <param name="symbol">The event order symbol.</param>
/// <param name="orderSide">The event order side.</param>
/// <param name="filledQuantity">The event order filled quantity.</param>
/// <param name="averagePrice">The event order average price.</param>
/// <param name="quoteCurrency">The event quote currency.</param>
/// <param name="executionTime">The event order execution time.</param>
/// <param name="eventType">The event type.</param>
/// <param name="eventId">The event identifier.</param>
/// <param name="eventTimestamp">The event timestamp.</param>
protected OrderFillEvent(
AccountId accountId,
OrderId orderId,
ExecutionId executionId,
PositionIdBroker positionIdBroker,
Symbol symbol,
OrderSide orderSide,
Quantity filledQuantity,
Price averagePrice,
Currency quoteCurrency,
ZonedDateTime executionTime,
Type eventType,
Guid eventId,
ZonedDateTime eventTimestamp)
: base(
orderId,
eventType,
eventId,
eventTimestamp)
{
Condition.NotDefault(orderSide, nameof(orderSide));
Condition.NotDefault(quoteCurrency, nameof(quoteCurrency));
Debug.NotDefault(executionTime, nameof(executionTime));
Debug.NotDefault(eventId, nameof(eventId));
Debug.NotDefault(eventTimestamp, nameof(eventTimestamp));
this.AccountId = accountId;
this.PositionIdBroker = positionIdBroker;
this.ExecutionId = executionId;
this.Symbol = symbol;
this.OrderSide = orderSide;
this.FilledQuantity = filledQuantity;
this.AveragePrice = averagePrice;
this.Currency = quoteCurrency;
this.ExecutionTime = executionTime;
}
public async Task <ExecutionResult?> GetResultAsync(ExecutionId executionId, CancellationToken cancellationToken = default)
{
var response = await httpClient.GetAsync($"{rootAddress}/api/getresult?executionId={executionId}", cancellationToken);
return(await response.EnsureSuccessStatusCode().Content.ReadFromJsonAsync <ExecutionResult?>());
}
public override IEnumerator ReceivePayload(VisualPayload payload)
{
IEnumerator iterator;
if (SpoofExecution.GetFirstValue(payload.Data))
{
ExecutionTarget.SetValue(SpoofTrace(10000, 1), payload.Data);
iterator = ParseExecution(payload.VisualData.Bound, payload.Data);
while (iterator.MoveNext())
{
yield return(null);
}
}
else
{
UseCachedResults = false;
bool isMemoryTrace = IncludeMemtrace.GetFirstValue(payload.Data);
var execId = ExecutionId.GetFirstValue(payload.Data);
if (execId < 0)
{
iterator = UpdateExecutionId(payload.Data);
while (iterator.MoveNext())
{
yield return(null);
}
}
else
{
FoundExecutionId = (uint)execId;
}
if (!UseCachedResults)
{
iterator = GetTracesForCurrentSelections(payload.Data);
while (iterator.MoveNext())
{
yield return(null);
}
}
var execution = new Execution()
{
ServiceId = ServiceId,
CbId = BinaryId.Id,
CbAuthor = BinaryId.Author,
RequestId = FoundRequestId,
RequestNature = RequestNature.GetFirstValue(payload.Data),
ExecutionId = FoundExecutionId,
Success = CsSuccess,
Traces = Traces,
PovType = PovType
};
ExecutionTarget.SetValue(ExecutionToMutable(execution, isMemoryTrace, PovType), payload.Data);
iterator = ParseExecution(payload.VisualData.Bound, payload.Data);
while (iterator.MoveNext())
{
yield return(null);
}
}
}