private OrderModified GenerateOrderModifiedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType));
var quantity = message.IsSetField(Tags.LeavesQty)
? Quantity.Create(message.GetDecimal(Tags.LeavesQty))
: Quantity.Create(message.GetDecimal(Tags.OrderQty));
var price = FxcmMessageHelper.GetOrderPrice(orderType, message);
var modifiedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderModified(
this.accountId,
orderId,
orderIdBroker,
quantity,
price,
modifiedTime,
this.NewGuid(),
this.TimeNow()));
}
public void OnMessage(ExecutionReport message)
{
Debug.NotNull(this.tradingGateway, nameof(this.tradingGateway));
switch (message.OrdStatus.Obj)
{
case OrdStatus.REJECTED:
{
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.REJECTED)})");
this.tradingGateway?.Send(this.GenerateOrderRejectedEvent(message));
break;
}
case OrdStatus.PENDING_NEW:
{
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_NEW)}).");
// Do nothing
break;
}
case OrdStatus.NEW:
{
var fxcmOrdStatus = message.GetField(FxcmTags.OrdStatus);
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.NEW)}-{fxcmOrdStatus})");
switch (fxcmOrdStatus)
{
case "P": // In Process
this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message));
this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message));
break;
case "I": // Dealer Intervention
this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message));
this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message));
break;
case "W": // Waiting (conditional order inactive state)
if (message.IsSetField(Tags.SecondaryOrderID))
{
// Accepted Conditional Order
this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message));
}
else
{
// Working Primary Order
this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message));
}
break;
default:
this.Logger.LogError(LogId.Network, $"Cannot process event (FXCMOrdStatus {fxcmOrdStatus} not recognized).");
break;
}
break;
}
case OrdStatus.PENDING_CANCEL:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_CANCEL)}).");
#endif
// Do nothing
break;
}
case OrdStatus.CANCELED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.CANCELED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderCancelledEvent(message));
break;
}
case OrdStatus.REPLACED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.REPLACED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderModifiedEvent(message));
break;
}
case OrdStatus.EXPIRED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.EXPIRED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderExpiredEvent(message));
break;
}
case OrdStatus.STOPPED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.STOPPED)}).");
#endif
// Order is executing
break;
}
case OrdStatus.FILLED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.FILLED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderFilledEvent(message));
break;
}
case OrdStatus.PARTIALLY_FILLED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PARTIALLY_FILLED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderPartiallyFilledEvent(message));
break;
}
case OrdStatus.SUSPENDED:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.SUSPENDED)}).");
break;
}
case OrdStatus.CALCULATED:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.CALCULATED)}).");
break;
}
case OrdStatus.DONE_FOR_DAY:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.DONE_FOR_DAY)}).");
#endif
this.tradingGateway?.Send(this.GenerateOrderExpiredEvent(message));
break;
}
case OrdStatus.PENDING_REPLACE:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_REPLACE)}).");
break;
}
case OrdStatus.ACCEPTED_FOR_BIDDING:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.ACCEPTED_FOR_BIDDING)}).");
break;
}
default:
throw ExceptionFactory.InvalidSwitchArgument(message.OrdStatus, nameof(message.OrdStatus));
}
}
private bool _er_Update(ExecutionReport er, FixOrderStatus ordS, string desc, string bolsa)
{
try
{
int account;
if (bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
string acc = er.Account.getValue();
acc = (acc.Remove(acc.Length - 1));
account = Convert.ToInt32(acc);
}
else
{
account = Convert.ToInt32(er.Account.getValue());
}
// Buscar Ordem Original, de algum jeito!!!
// 1a. tentativa: Tentar via ExchangeNumber
// 2a. tentativa: Tentar via ClOrdID e OrigClOrdID
// 3a. tentativa: Tentar via ClOrdID no tb_fix_order_update e buscar a ordem pelo OrderID
// 4a. tentativa: ahhh foda-se, nao achou mesmo
OrderDbInfo orderOrig = null;
// 1a. tentativa
if (er.IsSetOrderID() && !er.OrderID.getValue().Equals("NONE"))
{
orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
}
// 2a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
// Se ordem nao encontrada, entao procurar pelo OrigClOrdID
if (er.IsSetOrigClOrdID())
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.OrigClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
else
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
}
}
else
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
}
}
// 3a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
// Buscar a partir de tb_fix_order_update
OrderDbUpdateInfo orderUpdate = _db.BuscarOrdemUpdate(er.ClOrdID.getValue());
// Buscar ordem original a partir do order ID
if (orderUpdate.OrderID != 0)
{
orderOrig = _db.BuscarOrdemPorOrderID(orderUpdate.OrderID);
}
else
{
logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
}
if (null == orderOrig || orderOrig.OrderID == 0)
{
logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
//}
//else
//{
// orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
// if (orderOrig.OrderID == 0)
// {
// logger.Info("ER - Nao achou a ordem em questao via exchange number (OrderID ER)!!!: " + er.OrderID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
// }
// }
// Adicionar OrdemDetalhe
OrderDbDetalheInfo detail = new OrderDbDetalheInfo();
detail.OrderID = orderOrig.OrderID;
detail.TransactID = er.ExecID.getValue();
detail.OrderQty = Convert.ToInt32(er.OrderQty.getValue());
detail.Price = er.IsSetField(Tags.Price) ? er.Price.getValue() : Decimal.Zero;
detail.OrderStatusID = (int)ordS;
detail.TransactTime = er.TransactTime.getValue();
if (er.IsSetField(Tags.Text))
{
detail.Description = desc + " - " + er.Text.getValue();
}
else
{
detail.Description = desc;
}
detail.TradeQty = er.IsSetField(Tags.LastQty) ? Convert.ToInt32(er.LastQty.getValue()) : 0;
detail.CumQty = er.IsSetField(Tags.CumQty) ? Convert.ToInt32(er.CumQty.getValue()) : 0;
detail.FixMsgSeqNum = Convert.ToInt32(er.Header.GetField(Tags.MsgSeqNum));
if (!_db.InserirOrdemDetalhe(detail, orderOrig.ClOrdID))
{
logger.Info("Erro ao inserir o registro na tabela tb_fix_order_update");
return(false);
}
// Atualizar Ordem
orderOrig.ExchangeNumberID = er.OrderID.getValue();
orderOrig.OrdStatus = (int)ordS;
orderOrig.TransactTime = er.TransactTime.getValue();
// orderOrig.ClOrdID = er.ClOrdID.getValue();
// if (er.IsSetOrigClOrdID())
// orderOrig.OrigClOrdID = er.OrigClOrdID.getValue();
if (er.IsSetField(Tags.LeavesQty))
{
orderOrig.OrderQtyRemaining = Convert.ToInt32(er.LeavesQty.getValue());
}
if (er.IsSetField(Tags.CumQty))
{
orderOrig.CumQty = Convert.ToInt32(er.CumQty.getValue());
}
orderOrig.Memo = er.IsSetField(Tags.Memo) ? er.GetField(Tags.Memo): string.Empty;
if (!_db.AtualizarOrdem(orderOrig))
{
logger.Info("Problemas na atualizacao da ordem. ClOrdID: " + orderOrig.ClOrdID);
return(false);
}
DropCopyCallbackManager.Instance.EnqueueCallback(orderOrig);
return(true);
}
catch (Exception ex)
{
logger.Error("_er_Update: Erro na atualizacao dos status da ordem: " + ex.Message, ex);
return(false);
}
}
/// <summary>
/// Returns the order expiry time if the given FIX message contains the tag (else null).
/// </summary>
/// <param name="message">The execution report FIX message.</param>
/// <returns>A <see cref="decimal"/>.</returns>
public static ZonedDateTime?GetExpireTime(ExecutionReport message)
{
return(message.IsSetField(Tags.ExpireTime)
? ParseTimestamp(message.GetField(Tags.ExpireTime))
: null);
}
/// <summary>
/// Validar os estados da ordem e executar as respectivas operacoes no dicionario de mensagens
/// (Mensagens de Execution Report - ER)
/// </summary>
/// <param name="msg"></param>
/// <param name="eType"></param>
/// <param name="oStatus"></param>
/// <param name="dic"></param>
/// Retorna o TOORderSession referente ao Execution Report
/// OBS: strChave - no momento esta considerando sempre clOrdID
public void VerifyOrderSituationER(ExecutionReport msg, char e, char o, SessionID ss,
OrderSessionManager dic, string strChave, out TOOrderSession ord)
{
ord = null;
try
{
string strOrigClChave = string.Empty;
string strExchNumberChave = msg.OrderID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
if (null != ss)// Registry found
{
// Atualiza o TO com o ExchangeNumber (Tag 37, order ID)
TOOrderSession aux = null;
dic.GetOrder(strChave, out aux);
if (null != aux)
{
aux.ExchangeNumberID = strExchNumberChave;
}
// New Order, Exec: New, OrdStatus: New - nao faz nada, somente retorna o TOOrderSession correspondente
if (e == ExecType.NEW && o == OrdStatus.NEW)
{
// Por ser new order, nao se aplica fazer busca pelo exchange number id
// pois ainda não foi atualizado
dic.GetOrder(strChave, out ord);
//ord.ExchangeNumberID = msg.OrderID.getValue() + "-" + msg.Account.getValue() + "-" + msg.Symbol.getValue();
}
// Retornar o TOOrderSession correspondente para
if (o == OrdStatus.FILLED || o == OrdStatus.PARTIALLY_FILLED)
{
dic.GetOrder(strChave, out ord, strExchNumberChave);
//ord.ExchangeNumberID = msg.OrderID.getValue() + "-" + msg.Account.getValue() + "-" + msg.Symbol.getValue();
}
// Stop Order Entry, Exec: New, OrdStatus: New - nao faz nada
// No request stop order trigger, Exec: New, OrdStatus: New - nao faz nada
// Order with on close, Exec: New, OrdStatus: New
// Order with on close attribute is activated when the closing auction starts, Exec: New, Order: New
// MinQty order entry, not enough quantity, Exec: new, Order: new
// New Order, Exec: Rejected, OrdStatus: Rejected - excluir a chave
// New Order, Exec: Suspended, OrdStatus: Suspended
// No request, Exec: Trade, OrdStatus: Filled
if ((e == ExecType.REJECTED && o == OrdStatus.REJECTED) ||
(e == ExecType.SUSPENDED && o == OrdStatus.SUSPENDED) ||
(e == ExecType.TRADE && o == OrdStatus.FILLED) ||
(e == ExecType.EXPIRED && o == OrdStatus.EXPIRED))
{
lock (dic)
{
TOOrderSession toOS = null;
int ret = dic.GetOrder(strChave, out toOS, strExchNumberChave);
ord = toOS;
toOS = null;
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(ord.ChaveDicionario);
}
else
{
dic.RemoveOrder(strChave);
}
}
}
// Order Modify, Exec: Replace, OrdStatus: Replaced
if (e == ExecType.REPLACE && o == OrdStatus.REPLACED)
{
strOrigClChave = msg.OrigClOrdID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
lock (dic)
{
//if (dic.ExistOrder(strOrigClChave))
//{
TOOrderSession toOS = null;
int ret = dic.GetOrder(strOrigClChave, out toOS, strExchNumberChave, KeyType.ORIGCLORDID);
ord = toOS;
toOS = null;
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(ord.ChaveDicionario);
}
else
{
dic.RemoveOrder(strOrigClChave);
}
//}
}
}
// Cancelation, Exec: Cancelled, OrdStatus: Cancelled
// No request FAK Partially Filled, Exec: Canceled, OrdStatus: Canceled
// No request FOK Partially Filled, Exec: Canceled, OrdStatus: Canceled
// MinQty order entry, not enough quantity rejected, Exec: Cancelled, Order: Cancelled
if (e == ExecType.CANCELED && o == OrdStatus.CANCELED)
{
bool processOrig = true;
// Tratamento de outros tipos de timeinforce (para execucao e cancelamento, o orig clord id não é fornecido)
if (msg.IsSetField(Tags.TimeInForce))
{
switch (msg.TimeInForce.getValue())
{
case TimeInForce.IMMEDIATE_OR_CANCEL:
case TimeInForce.FILL_OR_KILL:
processOrig = false;
strOrigClChave = msg.ClOrdID.ToString() + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
break;
default:
{
// Caso o cancelamento tenha partido da bolsa, tambem nao eh fornecido o OrigClOrdID
// entao tenta-se utilizar o ClOrdID vindo do ExecutionReport
string aux1 = msg.IsSetOrigClOrdID() ? msg.OrigClOrdID.ToString() : msg.ClOrdID.ToString();
strOrigClChave = aux1 + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
}
break;
}
}
else
{
// TimeInForce = 0 (DAY) - Default
// Caso o Orig nao esteja na mensagem, tenta-se buscar pelo ClOrdID
string aux1 = msg.IsSetOrigClOrdID() ? msg.OrigClOrdID.ToString() : msg.ClOrdID.ToString();
strOrigClChave = aux1 + "-" + msg.Account.ToString() + "-" + msg.Symbol.ToString();
}
lock (dic)
{
TOOrderSession toOS = null;
int ret = 0;
ret = dic.GetOrder(strOrigClChave, out toOS, strExchNumberChave, KeyType.ORIGCLORDID);
if (null != toOS)
{
ord = toOS;
toOS = null;
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(ord.ChaveDicionario);
}
else
{
dic.RemoveOrder(strOrigClChave);
}
}
if (processOrig)
{
ret = dic.GetOrder(strChave, out toOS, strExchNumberChave);
if (ret == FindType.EXCHANGE_NUMBER)
{
dic.RemoveOrder(toOS.ChaveDicionario);
}
else
{
dic.RemoveOrder(strChave);
}
toOS = null;
}
}
}
}
}
catch (Exception ex)
{
logger.Error("VerifyOrderSituationER(): " + ex.Message, ex);
}
}