public ExecutionReport(
QuickFix.OrderID aOrderID,
QuickFix.ExecID aExecID,
QuickFix.ExecTransType aExecTransType,
QuickFix.ExecType aExecType,
QuickFix.OrdStatus aOrdStatus,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.LastShares aLastShares,
QuickFix.LastPx aLastPx,
QuickFix.LeavesQty aLeavesQty,
QuickFix.CumQty aCumQty,
QuickFix.AvgPx aAvgPx)
: base(MsgType())
{
set(aOrderID);
set(aExecID);
set(aExecTransType);
set(aExecType);
set(aOrdStatus);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aLastShares);
set(aLastPx);
set(aLeavesQty);
set(aCumQty);
set(aAvgPx);
}
public Allocation(
QuickFix.AllocID aAllocID,
QuickFix.AllocTransType aAllocTransType,
QuickFix.Side aSide,
QuickFix.Symbol aSymbol,
QuickFix.Shares aShares,
QuickFix.AvgPx aAvgPx,
QuickFix.TradeDate aTradeDate)
: base(MsgType())
{
set(aAllocID);
set(aAllocTransType);
set(aSide);
set(aSymbol);
set(aShares);
set(aAvgPx);
set(aTradeDate);
}
public QuickFix.AvgPx getAvgPx()
{ QuickFix.AvgPx value = new QuickFix.AvgPx();
getField(value); return value; }
public bool isSet(QuickFix.AvgPx field)
{
return(isSetField(field));
}
public QuickFix.AvgPx getAvgPx()
{
QuickFix.AvgPx value = new QuickFix.AvgPx();
getField(value); return(value);
}
public QuickFix.AvgPx get(QuickFix.AvgPx value)
{
getField(value); return(value);
}
public void set(QuickFix.AvgPx value)
{
setField(value);
}
/// <summary>
/// Process partial or fully filled
/// </summary>
/// <param name="myOrder"></param>
/// <param name="myExec"></param>
private void processFill(ref KaiTrade.Interfaces.Order myOrder, QuickFix.Message myExec)
{
K2ServiceInterface.ITransaction myTrn = null;
try
{
// if the object supports transactions do the update as a trn
myTrn = myOrder as K2ServiceInterface.ITransaction;
if (myTrn != null)
{
myTrn.StartUpdate();
}
// Get the currently executed quantity for chain of orders.
QuickFix.CumQty myCumQty = new QuickFix.CumQty();
myExec.getField(myCumQty);
myOrder.CumQty = myCumQty;
// Get quantity open for further execution (order qty - cum qty)
QuickFix.LeavesQty myLeavesQty = new QuickFix.LeavesQty();
myExec.getField(myLeavesQty);
myOrder.LeavesQty = myLeavesQty;
QuickFix.LastPx myLastPx = new QuickFix.LastPx();
if (myExec.isSetField(myLastPx))
{
myExec.getField(myLastPx);
myOrder.LastPx = myLastPx;
}
QuickFix.AvgPx myAvgPx = new QuickFix.AvgPx();
if (myExec.isSetField(myAvgPx))
{
myExec.getField(myAvgPx);
myOrder.AvgPx = myAvgPx;
}
QuickFix.LastQty myLastQty = new QuickFix.LastQty();
if (myExec.isSetField(myLastQty))
{
myExec.getField(myLastQty);
myOrder.LastQty = myLastQty;
}
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myExec.getField(myOrdStatus);
myOrder.OrdStatus = myOrdStatus;
// always signal the end of the update
if (myTrn != null)
{
myTrn.EndUpdate();
}
}
catch (Exception myE)
{
m_Log.Error("processFill", myE);
// always signal the end of the update
if (myTrn != null)
{
myTrn.EndUpdate();
}
}
}