private void CloseWithError(FIXContext context, MessageFIX4_4 packetIn, string textMessage)
{
Message message = context.LocalSocket.MessageFactory.Create();
var fixFactory = new FIXFactory4_4(1, fixSender, packetIn.Sender);
var fixMsg = (FIXMessage4_4)fixFactory.Create();
TimeStamp timeStamp = TimeStamp.UtcNow;
fixMsg.SetAccount(packetIn.Account);
fixMsg.SetText(textMessage);
fixMsg.AddHeader("j");
string errorMessage = fixMsg.ToString();
message.DataOut.Write(errorMessage.ToCharArray());
long end = Factory.Parallel.TickCount + 2000;
if (debug)
{
log.Debug("Writing Error Message: " + textMessage);
}
while (!context.LocalSocket.TrySendMessage(message))
{
if (Factory.Parallel.TickCount > end)
{
throw new ApplicationException("Timeout while sending an order.");
}
Factory.Parallel.Yield();
}
throw new FilterException();
}
public void Local(FIXContext context, Message localMessage)
{
var packetFIX = (MessageFIX4_4)localMessage;
switch (packetFIX.MessageType)
{
case "AF":
isRecovered = false;
isOrderUpdateComplete = false;
if (debug)
{
log.Debug("OrderUpdate Starting.");
}
break;
case "AN":
isRecovered = false;
isPositionUpdateComplete = false;
if (debug)
{
log.Debug("PositionUpdate Starting.");
}
break;
case "G":
case "D":
AssertOrderMaximum(context, packetFIX);
AssertPositionMaximum(context, packetFIX);
break;
}
}
private void PositionUpdate(FIXContext context, MessageFIX4_4 packet)
{
if (packet.MessageType == "AO")
{
isPositionUpdateComplete = true;
if (debug)
{
log.Debug("PositionUpdate Complete.");
}
TryEndRecovery();
}
else
{
double position = packet.LongQuantity + packet.ShortQuantity;
SymbolInfo symbolInfo;
try {
symbolInfo = Factory.Symbol.LookupSymbol(packet.Symbol);
} catch (Exception ex) {
log.Error("Error looking up " + packet.Symbol + ": " + ex.Message);
return;
}
if (debug)
{
log.Debug("PositionUpdate: " + symbolInfo + "=" + position);
}
symbolPositionMap[symbolInfo.BinaryIdentifier] = position;
}
}
private void OnConnectRemote()
{
remoteSelector.AddReader(remoteSocket);
remoteTask = Factory.Parallel.Loop("FilterRemoteRead", OnException, RemoteReadLoop);
fixContext = new FIXContextDefault(localSocket, remoteSocket);
log.Info("Connected at " + remoteAddress + " and port " + remotePort + " with socket: " + localSocket);
}
private void InitFix()
{
_fixContext = new FIXContext();
_fixContext.OnException += FIXContext_OnException;
InitFixCash();
}
private void OnConnectRemote()
{
remoteTask = Factory.Parallel.Loop("FilterRemoteRead", OnException, RemoteReadLoop);
remoteTask.Start();
fixContext = new FIXContextDefault(localSocket, remoteSocket);
remoteSocket.ReceiveQueue.ConnectInbound(remoteTask);
log.Info("Connected at " + remoteAddress + " and port " + remotePort + " with socket: " + localSocket);
}
private SymbolInfo GetSymbolInfo(FIXContext context, MessageFIX4_4 packet)
{
SymbolInfo symbolInfo = null;
try {
symbolInfo = Factory.Symbol.LookupSymbol(packet.Symbol);
} catch (ApplicationException ex) {
log.Error("Error looking up " + packet.Symbol + ": " + ex.Message);
}
return(symbolInfo);
}
private void ExecutionReport(FIXContext context, MessageFIX4_4 packetFIX)
{
if (packetFIX.Text == "END")
{
isOrderUpdateComplete = true;
if (debug)
{
log.Debug("ExecutionReport Complete.");
}
TryEndRecovery();
}
}
private void AssertPositionMaximum(FIXContext context, MessageFIX4_4 packet)
{
if (isRecovered)
{
var quantity = GetOrderQuantity(context, packet);
var symbolInfo = GetSymbolInfo(context, packet);
if (symbolInfo != null)
{
var position = GetPosition(symbolInfo);
position += quantity;
var maxPositionSize = symbolInfo.MaxPositionSize;
var positionSize = Math.Abs(position);
if (positionSize > maxPositionSize)
{
CloseWithError(context, packet, "Position size " + positionSize + " for " + symbolInfo + " was greater than MaxPositionSize of " + maxPositionSize + " in Message sequence #" + packet.Sequence);
}
}
}
}
public void Remote(FIXContext context, Message remoteMessage)
{
var packetFIX = (MessageFIX4_4)remoteMessage;
switch (packetFIX.MessageType)
{
// For simulating MBT Demo server failure.
// case "A":
// throw new FilterException();
case "AP":
case "AO":
PositionUpdate(context, packetFIX);
break;
case "8":
case "9":
ExecutionReport(context, packetFIX);
break;
}
}
private int GetOrderQuantity(FIXContext context, MessageFIX4_4 packet)
{
var quantity = packet.OrderQuantity;
switch (packet.Side)
{
case "1":
break;
case "2":
case "5":
quantity *= -1;
break;
default:
CloseWithError(context, packet, "Unknown order side " + packet.Side + " in fix message. Unable to perform pre-trade verification.");
break;
}
return(quantity);
}
private void AssertOrderMaximum(FIXContext context, MessageFIX4_4 packet)
{
if (isRecovered)
{
var quantity = GetOrderQuantity(context, packet);
var symbolInfo = GetSymbolInfo(context, packet);
if (symbolInfo != null)
{
var position = GetPosition(symbolInfo);
if (Math.Sign(quantity) != Math.Sign(position))
{
quantity += (int)position;
}
var maxOrderSize = symbolInfo.MaxOrderSize;
if (Math.Abs(quantity) > maxOrderSize)
{
CloseWithError(context, packet, "Order size " + quantity + " for " + symbolInfo + " was greater than MaxOrderSize of " + maxOrderSize + " in Message sequence #" + packet.Sequence);
}
}
}
}
