public virtual FIXCommissionData GetCommissionData(FIXExecutionReport report)
{
FIXCommissionData fIXCommissionData = new FIXCommissionData();
fIXCommissionData.CommType = FIXCommType.ToFIX(this.fCommType);
fIXCommissionData.Commission = this.fCommission;
if (this.fMinCommission != 0.0)
{
double num;
switch (this.fCommType)
{
case CommType.PerShare:
num = this.fCommission * report.CumQty;
break;
case CommType.Percent:
num = this.fCommission * report.CumQty * report.AvgPx;
break;
case CommType.Absolute:
num = this.fCommission;
break;
default:
throw new NotSupportedException("Commission type is not supported : " + this.fCommType);
}
if (num < this.fMinCommission)
{
fIXCommissionData.CommType = '3';
fIXCommissionData.Commission = this.fMinCommission;
}
}
return(fIXCommissionData);
}
public void AddReport(IOrder order, FIXExecutionReport report)
{
lock (this)
{
FIXDbServer.RemoveFIXGroup(this.connection, "atable", order.Id);
FIXDbServer.SaveFIXGroup(this.connection, (FIXGroup)(order as SingleOrder), "ordertable", order.Id);
IDbCommand cmd = this.connection.CreateCommand();
cmd.CommandText = "";
FIXDbServer.SetCommandParameter(cmd, "atable", DbType.Int32, order.Id);
cmd.ExecuteNonQuery();
cmd.Dispose();
IDbCommand cmd2 = this.connection.CreateCommand();
cmd2.CommandText = "";
report.Id = Convert.ToInt32(cmd2.ExecuteScalar());
cmd2.Dispose();
FIXDbServer.SaveFIXGroup(this.connection, report, "report.table", report.Id);
}
}
public void Send(FIXExecutionReport message)
{
}
public PadRange GetPadRangeY(Pad pad)
{
DateTime now = Clock.Now;
FIXExecutionReport fixExecutionReport1 = (FIXExecutionReport)null;
if (this.order.Reports.Count != 0)
{
fixExecutionReport1 = (FIXExecutionReport)this.order.Reports[this.order.Reports.Count - 1];
}
if (fixExecutionReport1 == null)
{
return(new PadRange(0.0, 0.0));
}
if (((NewOrderSingle)this.order).OrdType == OrdType.Market && this.order.OrdStatus != OrdStatus.Filled)
{
return(new PadRange(0.0, 0.0));
}
FIXExecutionReport fixExecutionReport2 = (FIXExecutionReport)this.order.Reports[0];
DateTime dateTime1 = new DateTime((long)pad.XMin);
DateTime dateTime2 = new DateTime((long)pad.XMax);
DateTime transactTime = fixExecutionReport2.TransactTime;
DateTime dateTime3 = this.order.OrdStatus == OrdStatus.Filled || this.order.OrdStatus == OrdStatus.Cancelled || this.order.OrdStatus == OrdStatus.Rejected ? fixExecutionReport1.TransactTime : now;
if (!(dateTime1 <= dateTime3) || !(dateTime2 >= transactTime) || (this.order.OrdStatus == OrdStatus.Cancelled || this.order.OrdStatus == OrdStatus.Rejected))
{
return(new PadRange(0.0, 0.0));
}
double val1 = this.order.AvgPx - 0.0 / 1.0;
double val2 = this.order.AvgPx + 0.0 / 1.0;
if (((NewOrderSingle)this.order).OrdType == OrdType.Limit)
{
int ClientY = pad.ClientY(((FIXNewOrderSingle)this.order).Price);
if (((NewOrderSingle)this.order).Side == Side.Buy)
{
val2 = pad.WorldY(ClientY);
val1 = ((FIXNewOrderSingle)this.order).Price;
}
else
{
val1 = pad.WorldY(ClientY);
val2 = ((FIXNewOrderSingle)this.order).Price;
}
}
if (((NewOrderSingle)this.order).OrdType == OrdType.Stop)
{
int ClientY = pad.ClientY(((FIXNewOrderSingle)this.order).StopPx);
if (((NewOrderSingle)this.order).Side != Side.Buy)
{
val2 = pad.WorldY(ClientY);
val1 = ((FIXNewOrderSingle)this.order).StopPx;
}
else
{
val1 = pad.WorldY(ClientY);
val2 = ((FIXNewOrderSingle)this.order).StopPx;
}
}
if (((NewOrderSingle)this.order).OrdType == OrdType.StopLimit)
{
int ClientY1 = pad.ClientY(((FIXNewOrderSingle)this.order).Price);
int ClientY2 = pad.ClientY(((FIXNewOrderSingle)this.order).StopPx);
if (((NewOrderSingle)this.order).Side == Side.Buy)
{
val2 = pad.WorldY(ClientY1);
val1 = pad.WorldY(ClientY2);
}
else
{
val1 = pad.WorldY(ClientY1);
val2 = pad.WorldY(ClientY2);
}
}
return(new PadRange(Math.Min(val1, val2), Math.Max(val1, val2)));
}
public TDistance Distance(double X, double Y)
{
DateTime now = Clock.Now;
TDistance tdistance = new TDistance();
double num1 = Math.Abs(((FIXNewOrderSingle)this.order).Price);
tdistance.X = X;
tdistance.Y = num1;
FIXExecutionReport fixExecutionReport = (FIXExecutionReport)null;
if (this.order.Reports.Count != 0)
{
fixExecutionReport = (FIXExecutionReport)this.order.Reports[this.order.Reports.Count - 1];
}
if (fixExecutionReport == null)
{
return((TDistance)null);
}
if (((NewOrderSingle)this.order).OrdType == OrdType.Market && this.order.OrdStatus != OrdStatus.Filled)
{
return((TDistance)null);
}
StringBuilder stringBuilder = (StringBuilder)null;
if (((NewOrderSingle)this.order).OrdType == OrdType.Market)
{
tdistance.X = (double)fixExecutionReport.TransactTime.Ticks;
tdistance.Y = fixExecutionReport.Price;
tdistance.dX = Math.Abs(X - tdistance.X);
tdistance.dY = Math.Abs(Y - tdistance.Y);
stringBuilder = new StringBuilder();
if (fixExecutionReport.TransactTime.Second != 0 || fixExecutionReport.TransactTime.Minute != 0 || fixExecutionReport.TransactTime.Hour != 0)
{
stringBuilder.AppendFormat(this.toolTipFormat, (object)((object)this.order.OrdStatus).ToString(), (object)((object)((NewOrderSingle)this.order).Side).ToString(), (object)this.order.Instrument.Symbol, (object)((FIXNewOrderSingle)this.order).OrderQty, (object)"Market ", (object)this.order.AvgPx, (object)fixExecutionReport.TransactTime);
}
else
{
stringBuilder.AppendFormat(this.toolTipFormat, (object)((object)this.order.OrdStatus).ToString(), (object)((object)((NewOrderSingle)this.order).Side).ToString(), (object)this.order.Instrument.Symbol, (object)((FIXNewOrderSingle)this.order).OrderQty, (object)"Market ", (object)this.order.AvgPx, (object)fixExecutionReport.TransactTime.ToShortDateString());
}
}
if (((NewOrderSingle)this.order).OrdType == OrdType.Stop || ((NewOrderSingle)this.order).OrdType == OrdType.StopLimit)
{
double num2 = Math.Abs(((FIXNewOrderSingle)this.order).StopPx);
tdistance.X = X;
tdistance.Y = num2;
DateTime transactTime = this.order.Reports[0].TransactTime;
tdistance.dX = X <(double)transactTime.Ticks || (this.order.OrdStatus == OrdStatus.Filled || this.order.OrdStatus == OrdStatus.Cancelled || (this.order.OrdStatus == OrdStatus.Rejected || X > (double)now.Ticks)) && X> (double) fixExecutionReport.TransactTime.Ticks ? double.MaxValue : 0.0;
tdistance.dY = Math.Abs(Y - tdistance.Y);
stringBuilder = new StringBuilder();
if (transactTime.Second != 0 || transactTime.Minute != 0 || transactTime.Hour != 0)
{
stringBuilder.AppendFormat(this.toolTipFormat, (object)((object)this.order.OrdStatus).ToString(), (object)((object)((NewOrderSingle)this.order).Side).ToString(), (object)this.order.Instrument.Symbol, (object)((FIXNewOrderSingle)this.order).OrderQty, (object)"Stop At ", (object)num2, (object)fixExecutionReport.TransactTime);
}
else
{
stringBuilder.AppendFormat(this.toolTipFormat, (object)((object)this.order.OrdStatus).ToString(), (object)((object)((NewOrderSingle)this.order).Side).ToString(), (object)this.order.Instrument.Symbol, (object)((FIXNewOrderSingle)this.order).OrderQty, (object)"Stop At ", (object)num2, (object)fixExecutionReport.TransactTime.ToShortDateString());
}
}
if (((NewOrderSingle)this.order).OrdType == OrdType.Limit || ((NewOrderSingle)this.order).OrdType == OrdType.StopLimit)
{
double num2 = Math.Abs(((FIXNewOrderSingle)this.order).Price);
tdistance.X = X;
tdistance.Y = num2;
DateTime transactTime = this.order.Reports[0].TransactTime;
tdistance.dX = X <(double)transactTime.Ticks || (this.order.OrdStatus == OrdStatus.Filled || this.order.OrdStatus == OrdStatus.Cancelled || (this.order.OrdStatus == OrdStatus.Rejected || X > (double)now.Ticks)) && X> (double) fixExecutionReport.TransactTime.Ticks ? double.MaxValue : 0.0;
if (tdistance.dY > Math.Abs(Y - tdistance.Y))
{
tdistance.dY = Math.Abs(Y - tdistance.Y);
stringBuilder = new StringBuilder();
if (transactTime.Second != 0 || transactTime.Minute != 0 || transactTime.Hour != 0)
{
stringBuilder.AppendFormat(this.toolTipFormat, (object)((object)this.order.OrdStatus).ToString(), (object)((object)((NewOrderSingle)this.order).Side).ToString(), (object)this.order.Instrument.Symbol, (object)((FIXNewOrderSingle)this.order).OrderQty, (object)"Limit At ", (object)num2, (object)fixExecutionReport.TransactTime);
}
else
{
stringBuilder.AppendFormat(this.toolTipFormat, (object)((object)this.order.OrdStatus).ToString(), (object)((object)((NewOrderSingle)this.order).Side).ToString(), (object)this.order.Instrument.Symbol, (object)((FIXNewOrderSingle)this.order).OrderQty, (object)"Limit At ", (object)num2, (object)fixExecutionReport.TransactTime.ToShortDateString());
}
}
}
if (stringBuilder != null)
{
tdistance.ToolTipText = ((object)stringBuilder).ToString();
}
return(tdistance);
}
public FIXExecutionReportEventArgs(FIXExecutionReport ExecutionReport)
{
this.VhfuUiEk7S = ExecutionReport;
}
public void AddReport(IOrder order, FIXExecutionReport report)
{
}
public virtual void Send(FIXExecutionReport report)
{
}
public PadRange GetPadRangeY(Pad pad)
{
DateTime now = Clock.Now;
FIXExecutionReport fIXExecutionReport = null;
if (this.order.Reports.Count != 0)
{
fIXExecutionReport = this.order.Reports[this.order.Reports.Count - 1];
}
if (fIXExecutionReport == null)
{
return(new PadRange(0.0, 0.0));
}
if (this.order.OrdType == OrdType.Market && this.order.OrdStatus != OrdStatus.Filled)
{
return(new PadRange(0.0, 0.0));
}
FIXExecutionReport fIXExecutionReport2 = this.order.Reports[0];
DateTime t = new DateTime((long)pad.XMin);
DateTime t2 = new DateTime((long)pad.XMax);
DateTime transactTime = fIXExecutionReport2.TransactTime;
DateTime t3;
if (this.order.OrdStatus == OrdStatus.Filled || this.order.OrdStatus == OrdStatus.Cancelled || this.order.OrdStatus == OrdStatus.Rejected)
{
t3 = fIXExecutionReport.TransactTime;
}
else
{
t3 = now;
}
if (!(t <= t3) || !(t2 >= transactTime) || this.order.OrdStatus == OrdStatus.Cancelled || this.order.OrdStatus == OrdStatus.Rejected)
{
return(new PadRange(0.0, 0.0));
}
double val = this.order.AvgPx - 1E-10;
double val2 = this.order.AvgPx + 1E-10;
if (this.order.OrdType == OrdType.Limit)
{
int clientY = pad.ClientY(this.order.Price);
if (this.order.Side == Side.Buy)
{
val2 = pad.WorldY(clientY);
val = this.order.Price;
}
else
{
val = pad.WorldY(clientY);
val2 = this.order.Price;
}
}
if (this.order.OrdType == OrdType.Stop)
{
int clientY2 = pad.ClientY(this.order.StopPx);
if (this.order.Side != Side.Buy)
{
val2 = pad.WorldY(clientY2);
val = this.order.StopPx;
}
else
{
val = pad.WorldY(clientY2);
val2 = this.order.StopPx;
}
}
if (this.order.OrdType == OrdType.StopLimit)
{
int clientY3 = pad.ClientY(this.order.Price);
int clientY4 = pad.ClientY(this.order.StopPx);
if (this.order.Side == Side.Buy)
{
val2 = pad.WorldY(clientY3);
val = pad.WorldY(clientY4);
}
else
{
val = pad.WorldY(clientY3);
val2 = pad.WorldY(clientY4);
}
}
return(new PadRange(Math.Min(val, val2), Math.Max(val, val2)));
}
public TDistance Distance(double X, double Y)
{
DateTime now = Clock.Now;
TDistance tDistance = new TDistance();
double num = Math.Abs(this.order.Price);
tDistance.X = X;
tDistance.Y = num;
FIXExecutionReport fIXExecutionReport = null;
if (this.order.Reports.Count != 0)
{
fIXExecutionReport = this.order.Reports[this.order.Reports.Count - 1];
}
if (fIXExecutionReport == null)
{
return(null);
}
if (this.order.OrdType == OrdType.Market && this.order.OrdStatus != OrdStatus.Filled)
{
return(null);
}
StringBuilder stringBuilder = null;
if (this.order.OrdType == OrdType.Market)
{
tDistance.X = (double)fIXExecutionReport.TransactTime.Ticks;
tDistance.Y = fIXExecutionReport.Price;
tDistance.dX = Math.Abs(X - tDistance.X);
tDistance.dY = Math.Abs(Y - tDistance.Y);
stringBuilder = new StringBuilder();
if (fIXExecutionReport.TransactTime.Second != 0 || fIXExecutionReport.TransactTime.Minute != 0 || fIXExecutionReport.TransactTime.Hour != 0)
{
stringBuilder.AppendFormat(this.toolTipFormat, new object[]
{
this.order.OrdStatus.ToString(),
this.order.Side.ToString(),
this.order.Instrument.Symbol,
this.order.OrderQty,
"Market ",
this.order.AvgPx,
fIXExecutionReport.TransactTime
});
}
else
{
stringBuilder.AppendFormat(this.toolTipFormat, new object[]
{
this.order.OrdStatus.ToString(),
this.order.Side.ToString(),
this.order.Instrument.Symbol,
this.order.OrderQty,
"Market ",
this.order.AvgPx,
fIXExecutionReport.TransactTime.ToShortDateString()
});
}
}
if (this.order.OrdType == OrdType.Stop || this.order.OrdType == OrdType.StopLimit)
{
num = Math.Abs(this.order.StopPx);
tDistance.X = X;
tDistance.Y = num;
DateTime transactTime = this.order.Reports[0].TransactTime;
if (X >= (double)transactTime.Ticks && ((this.order.OrdStatus != OrdStatus.Filled && this.order.OrdStatus != OrdStatus.Cancelled && this.order.OrdStatus != OrdStatus.Rejected && X <= (double)now.Ticks) || X <= (double)fIXExecutionReport.TransactTime.Ticks))
{
tDistance.dX = 0.0;
}
else
{
tDistance.dX = 1.7976931348623157E+308;
}
tDistance.dY = Math.Abs(Y - tDistance.Y);
stringBuilder = new StringBuilder();
if (transactTime.Second != 0 || transactTime.Minute != 0 || transactTime.Hour != 0)
{
stringBuilder.AppendFormat(this.toolTipFormat, new object[]
{
this.order.OrdStatus.ToString(),
this.order.Side.ToString(),
this.order.Instrument.Symbol,
this.order.OrderQty,
"Stop At ",
num,
fIXExecutionReport.TransactTime
});
}
else
{
stringBuilder.AppendFormat(this.toolTipFormat, new object[]
{
this.order.OrdStatus.ToString(),
this.order.Side.ToString(),
this.order.Instrument.Symbol,
this.order.OrderQty,
"Stop At ",
num,
fIXExecutionReport.TransactTime.ToShortDateString()
});
}
}
if (this.order.OrdType == OrdType.Limit || this.order.OrdType == OrdType.StopLimit)
{
num = Math.Abs(this.order.Price);
tDistance.X = X;
tDistance.Y = num;
DateTime transactTime2 = this.order.Reports[0].TransactTime;
if (X >= (double)transactTime2.Ticks && ((this.order.OrdStatus != OrdStatus.Filled && this.order.OrdStatus != OrdStatus.Cancelled && this.order.OrdStatus != OrdStatus.Rejected && X <= (double)now.Ticks) || X <= (double)fIXExecutionReport.TransactTime.Ticks))
{
tDistance.dX = 0.0;
}
else
{
tDistance.dX = 1.7976931348623157E+308;
}
if (tDistance.dY > Math.Abs(Y - tDistance.Y))
{
tDistance.dY = Math.Abs(Y - tDistance.Y);
stringBuilder = new StringBuilder();
if (transactTime2.Second != 0 || transactTime2.Minute != 0 || transactTime2.Hour != 0)
{
stringBuilder.AppendFormat(this.toolTipFormat, new object[]
{
this.order.OrdStatus.ToString(),
this.order.Side.ToString(),
this.order.Instrument.Symbol,
this.order.OrderQty,
"Limit At ",
num,
fIXExecutionReport.TransactTime
});
}
else
{
stringBuilder.AppendFormat(this.toolTipFormat, new object[]
{
this.order.OrdStatus.ToString(),
this.order.Side.ToString(),
this.order.Instrument.Symbol,
this.order.OrderQty,
"Limit At ",
num,
fIXExecutionReport.TransactTime.ToShortDateString()
});
}
}
}
if (stringBuilder != null)
{
tDistance.ToolTipText = stringBuilder.ToString();
}
return(tDistance);
}
public void SendExecutionReport(FIXExecutionReport report)
{
OrderServicePair orderServicePair = this.orderServicePairs[report.ClOrdID];
orderServicePair.Service.Send(report);
}
