/*
* public void SaveSessionIDS(string filename)
* {
* FileStream fs = File.Open(filename, FileMode.Create, FileAccess.Write);
* try
* {
* // Serialize Dictionary to dat file
* List<TOMessageBackup> lst = new List<TOMessageBackup>();
* if (!_serializing)
* {
* _serializing = true;
* Dictionary<string, TOOrderSession> regs = new Dictionary<string, TOOrderSession>(_dicMsgsCl);
*
*
* foreach (KeyValuePair<string, TOOrderSession> item in regs)
* {
* TOMessageBackup to = new TOMessageBackup();
*
* to.Key = item.Key;
* to.BeginString = item.Value.Sessao.BeginString;
* to.SenderCompID = item.Value.Sessao.SenderCompID;
* to.SenderSubID = item.Value.Sessao.SenderSubID;
* to.TargetCompID = item.Value.Sessao.TargetCompID;
* to.TargetSubID = item.Value.Sessao.TargetSubID;
* to.TipoExpiracao = item.Value.TipoExpiracao;
* to.DataExpiracao = item.Value.DataExpiracao;
* to.DataEnvio = item.Value.DataEnvio;
* to.MsgSeqNum = item.Value.MsgSeqNum.ToString();
* to.ClOrdID = item.Value.ClOrdID;
* to.OrigClOrdID = item.Value.OrigClOrdID;
* to.Account = item.Value.Account.ToString();
* int lenPid = item.Value.PartyIDs.Count;
* for (int i = 0; i < lenPid; i++)
* {
* PartyIDBackup pId = new PartyIDBackup();
* pId.PartyID = item.Value.PartyIDs[i].GetField(Tags.PartyID);
* pId.PartyIDSource = item.Value.PartyIDs[i].GetChar(Tags.PartyIDSource);
* pId.PartyRole = item.Value.PartyIDs[i].GetInt(Tags.PartyRole);
* to.PartyIDs.Add(pId);
* }
* // to.MensagemQF = item.Value.MensagemQF.ToString();
* to.TipoLimite = (int)item.Value.TipoLimite;
* to.Order = item.Value.Order;
* to.MensagemQF = item.Value.MensagemQF.ToString();
* to.ExchangeNumberID = item.Value.ExchangeNumberID;
* to.ExchangeSeqNum = item.Value.ExchangeSeqNum;
* //to.SecondaryOrderID = item.Value.SecondaryOrderID;
* //to.TradeDate = item.Value.TradeDate;
* lst.Add(to);
* to = null;
* }
*
* BinaryFormatter bs = new BinaryFormatter();
* bs.Serialize(fs, lst);
* bs = null;
* logger.InfoFormat("SaveSessionIDS(): Registros serializados: [{0}] [{1}]", lst.Count, filename);
* // Efetuar limpeza da lista
* int len = lst.Count;
* for (int i = 0; i < len; i++)
* {
* TOMessageBackup aux = lst[i];
* aux = null;
* }
*
* lst.Clear();
* lst = null;
* fs.Close();
* fs = null;
* regs.Clear();
* regs = null;
* _serializing = false;
* }
* else
* {
* if (_serializing)
* logger.Debug("SaveSessionIDS(): Processo de serializacao já em execucao!!!");
* }
* }
* catch (Exception ex)
* {
* logger.Error("SaveSessionIDS(): Erro na serializacao dos registros do dicionario: " + ex.Message, ex);
* _serializing = false; // mudar para false para tentar backupear no proximo "ciclo"
* fs.Close();
* fs = null;
* }
* }
*/
/*
* public void LoadSessionIDs(string fileName, QuickFix.DataDictionary.DataDictionary dataDic)
* {
* string msgQF = string.Empty;
* try
* {
* if (File.Exists(fileName))
* {
* List<TOMessageBackup> lst = new List<TOMessageBackup>();
* FileStream fs = File.Open(fileName, FileMode.Open, FileAccess.Read);
* BinaryFormatter bformatter = new BinaryFormatter();
* lst = (List<TOMessageBackup>)bformatter.Deserialize(fs);
* int length = lst.Count;
* if (lst.Count > 0)
* {
* lock (_dicMsgsCl)
* {
* for (int i = 0; i < length; i++)
* {
* TOMessageBackup to = lst[i];
* TOOrderSession toOrder = new TOOrderSession();
* SessionID ssID = null;
* if (!string.IsNullOrEmpty(to.SenderSubID) && (!string.IsNullOrEmpty(to.TargetSubID)))
* ssID = new SessionID(to.BeginString, to.SenderCompID, to.SenderSubID, to.TargetCompID, to.TargetSubID);
* else
* ssID = new SessionID(to.BeginString, to.SenderCompID, to.TargetCompID);
* toOrder.Sessao = ssID;
* toOrder.TipoExpiracao = to.TipoExpiracao;
* toOrder.DataExpiracao = to.DataExpiracao;
* toOrder.DataEnvio = to.DataEnvio;
* toOrder.MsgSeqNum = Convert.ToInt32(to.MsgSeqNum);
* toOrder.ClOrdID = to.ClOrdID;
* toOrder.OrigClOrdID = to.OrigClOrdID;
* toOrder.Account = Convert.ToInt32(to.Account);
* int len = to.PartyIDs.Count;
* for (int j = 0; j < len; j++)
* {
* QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup grp = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
* grp.Set(new PartyID(to.PartyIDs[j].PartyID));
* grp.Set(new PartyIDSource(to.PartyIDs[j].PartyIDSource));
* grp.Set(new PartyRole(to.PartyIDs[j].PartyRole));
* toOrder.PartyIDs.Add(grp);
* }
*
* toOrder.TipoLimite = (TipoLimiteEnum)to.TipoLimite;
* toOrder.Order = to.Order;
* toOrder.MensagemQF = new QuickFix.Message(to.MensagemQF, dataDic, true);
* toOrder.ExchangeNumberID = to.ExchangeNumberID;
* toOrder.ExchangeSeqNum = to.ExchangeSeqNum;
* //toOrder.SecondaryOrderID = to.SecondaryOrderID;
* //toOrder.TradeDate = to.TradeDate;
* _dicMsgsCl.Add(to.Key, toOrder);
* }
* }
* logger.Info("LoadSessionIDs(): Registros recuperados: " + lst.Count);
* lst.Clear();
* lst = null;
* }
* if (fs != null)
* {
* fs.Close();
* fs = null;
* }
* }
* }
* catch (Exception ex)
* {
* logger.Error("LoadSessionIDs(): Erro na deserializacao dos registros do dicionario: MsgQF: " + msgQF + " " + ex.Message, ex);
* }
* }
*/
public void LoadOrderSessionIDsFromDB(int idSession, QuickFix.DataDictionary.DataDictionary dataDic)
{
try
{
DbFix dbFix = new DbFix();
List <TOMessageBackup> lst = dbFix.BuscarOrderSessionIDs(idSession);
int length = lst.Count;
if (lst.Count > 0)
{
lock (_dicMsgsCl)
{
for (int i = 0; i < length; i++)
{
TOMessageBackup to = lst[i];
TOOrderSession toOrder = new TOOrderSession();
SessionID ssID = null;
if (!string.IsNullOrEmpty(to.SenderSubID) && (!string.IsNullOrEmpty(to.TargetSubID)))
{
ssID = new SessionID(to.BeginString, to.SenderCompID, to.SenderSubID, to.TargetCompID, to.TargetSubID);
}
else
{
ssID = new SessionID(to.BeginString, to.SenderCompID, to.TargetCompID);
}
toOrder.Sessao = ssID;
toOrder.TipoExpiracao = to.TipoExpiracao;
toOrder.DataExpiracao = to.DataExpiracao;
toOrder.DataEnvio = to.DataEnvio;
toOrder.MsgSeqNum = Convert.ToInt32(to.MsgSeqNum);
toOrder.ClOrdID = to.ClOrdID;
toOrder.OrigClOrdID = to.OrigClOrdID;
toOrder.Account = Convert.ToInt32(to.Account);
int len = to.PartyIDs.Count;
for (int j = 0; j < len; j++)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup grp = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
grp.Set(new PartyID(to.PartyIDs[j].PartyID));
grp.Set(new PartyIDSource(to.PartyIDs[j].PartyIDSource));
grp.Set(new PartyRole(to.PartyIDs[j].PartyRole));
toOrder.PartyIDs.Add(grp);
}
toOrder.TipoLimite = (TipoLimiteEnum)to.TipoLimite;
toOrder.Order = to.Order;
toOrder.MensagemQF = new QuickFix.Message(to.MensagemQF, dataDic, true);
toOrder.ExchangeNumberID = to.ExchangeNumberID;
toOrder.ExchangeSeqNum = to.ExchangeSeqNum;
_dicMsgsCl.Add(to.Key, toOrder);
}
}
logger.Info("LoadOrderSessionIDsFromDB(): Registros recuperados: " + lst.Count);
lst.Clear();
lst = null;
}
}
catch (Exception ex)
{
logger.Error("LoadOrderSessionIDsFromDB(): Erro na deserializacao dos registros a partir do banco de dados: " + ex.Message, ex);
}
}
public bool EnviarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, int delay = 0, string mnemonic = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX44.NewOrderSingle ordersingle = new QuickFix.FIX44.NewOrderSingle();
if (ordem.Account > 0)
{
ordersingle.Set(new Account(ordem.Account.ToString()));
}
if (!string.IsNullOrEmpty(mnemonic))
{
ordersingle.SetField(new Account(mnemonic), true);
}
// Instrument Identification Block
ordersingle.Set(new Symbol(ordem.Symbol));
if (!string.IsNullOrEmpty(ordem.SecurityID))
{
ordersingle.Set(new SecurityID(ordem.SecurityID));
}
ordersingle.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
//long clOrd =0;
ordersingle.Set(new ClOrdID(ordem.ClOrdID));
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordersingle.Set(new Side(Side.SELL));
}
else
{
ordersingle.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordersingle.Set(tif);
}
ordersingle.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordersingle.Set(ordType);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopLimitada:
case OrdemTipoEnum.StopStart:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
break;
default:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordersingle.Set(new TransactTime(DateTime.Now));
ordersingle.Set(new HandlInst('1'));
if (ordem.MaxFloor > 0)
{
ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
//PartyIDGroup1.set(new PartyID(ordem.Account.ToString()));
PartyIDGroup1.Set(new PartyID(ordem.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup2.Set(new PartyID("227"));
PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Location ID
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
if (ordem.SenderLocation != null && ordem.SenderLocation.Length > 0)
{
PartyIDGroup3.Set(new PartyID(ordem.SenderLocation));
}
else
{
PartyIDGroup3.Set(new PartyID("GRA"));
}
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(PartyRole.SENDER_LOCATION));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID("245427"));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.ENTERING_FIRM));
ordersingle.AddGroup(PartyIDGroup1);
ordersingle.AddGroup(PartyIDGroup2);
ordersingle.AddGroup(PartyIDGroup3);
//ordersingle.AddGroup(PartyIDGroup4);
//BEI - 2012-Nov-13
if (ordem.ForeignFirm != null && ordem.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup5 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup5.Set(new PartyID(ordem.ForeignFirm));
PartyIDGroup5.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup5.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
ordersingle.AddGroup(PartyIDGroup5);
}
//SelfTradeProtection - 2012-Nov-27
if (ordem.InvestorID != null && ordem.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup6 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup6.Set(new PartyID(ordem.InvestorID));
PartyIDGroup6.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup6.Set(new PartyRole(PartyRole.INVESTOR_ID));
ordersingle.AddGroup(PartyIDGroup6);
}
if (ordem.ExecutingTrader != null && ordem.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(ordem.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
ordersingle.AddGroup(PartyIDGroup7);
}
//if (ordem.Account > 0)
//{
// QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
// noAllocsGrp.Set(new AllocAccount(ordem.Account.ToString()));
// noAllocsGrp.Set(new AllocAcctIDSource(99));
// ordersingle.AddGroup(noAllocsGrp);
//}
if (ordem.PositionEffect != null && ordem.PositionEffect.Equals("C"))
{
ordersingle.Set(new PositionEffect('C'));
}
// Memo Field
if (ordem.Memo5149 != null && ordem.Memo5149.Length > 0)
{
if (ordem.Memo5149.Length > 50)
{
ordem.Memo5149 = ordem.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, ordem.Memo5149);
ordersingle.SetField(memo5149);
}
// AccountType
if (ordem.AcountType == ContaTipoEnum.REMOVE_ACCOUNT_INFORMATION)
{
IntField int581 = new IntField(581, 38);
ordersingle.SetField(int581);
}
else if (ordem.AcountType == ContaTipoEnum.GIVE_UP_LINK_IDENTIFIER)
{
IntField int581 = new IntField(581, 40);
ordersingle.SetField(int581);
}
bool bRet = false;
if (ini == 0)
{
bRet = Session.SendToTarget(ordersingle, _session.SessionID);
}
else
{
//_times = times;
//Thread th = new Thread(new ParameterizedThreadStart(ExecOrders));
//th.Start(ordersingle);
long times = fim - ini;
logger.Info("=====================================> INICIO ========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
//logger.Info("XXX: " + i);
ClOrdID xx = new ClOrdID(ini.ToString());
ordersingle.ClOrdID = xx;
bRet = Session.SendToTarget(ordersingle, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
//System.Windows.Forms.Application.DoEvents();
}
logger.Info("=====================================> FIM ========> Qtd: " + times);
}
return(bRet);
}
public bool EnviarOrdemCross(OrdemCrossInfo crossinfo)
{
OrdemInfo ordemCompra = crossinfo.OrdemInfoCompra;
OrdemInfo ordemVenda = crossinfo.OrdemInfoVenda;
// Cria mensagem de new order cross -
// Essa mensagem nao é padrao do 4.2 - some weird f*****g things can
// f*****g happen with this f*****g shit code
QuickFix.FIX44.NewOrderCross ordercross = new QuickFix.FIX44.NewOrderCross();
ordercross.Set(new CrossID(crossinfo.CrossID));
// Unico valor aceito 1 - Negocio executado total ou parcial
ordercross.Set(new CrossType(1));
// Prioridade de uma das pontas. Unico valor aceito: 0 - nenhuma
ordercross.Set(new CrossPrioritization(0));
// Ordem cross, sempre 2 pernas
// Informacoes da perna de compra
QuickFix.FIX44.NewOrderCross.NoSidesGroup sideGroupC = new QuickFix.FIX44.NewOrderCross.NoSidesGroup();
sideGroupC.Set(new Side(Side.BUY));
sideGroupC.Set(new ClOrdID(ordemCompra.ClOrdID));
if (ordemCompra.Account > 0)
{
sideGroupC.Set(new Account(ordemCompra.Account.ToString()));
}
sideGroupC.Set(new OrderQty(ordemCompra.OrderQty));
//sideGroupC.Set(new PositionEffect('C'));
if (ordemCompra.PositionEffect != null && ordemCompra.PositionEffect.Equals("C"))
{
sideGroupC.Set(new PositionEffect('C'));
}
// PartIDs Compra
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC1.Set(new PartyID(ordemCompra.ExecBroker));
PartyIDGroupC1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC2 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC2.Set(new PartyID("227"));
PartyIDGroupC2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Sender Location
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC3.Set(new PartyID("GRA"));
PartyIDGroupC3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC3.Set(new PartyRole(54));
// Adiciono os partIDs ao Side (perna de Compra)
sideGroupC.AddGroup(PartyIDGroupC1);
sideGroupC.AddGroup(PartyIDGroupC2);
sideGroupC.AddGroup(PartyIDGroupC3);
//BEI - 2012-Nov-14
if (ordemCompra.ForeignFirm != null && ordemCompra.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC4.Set(new PartyID(ordemCompra.ForeignFirm));
PartyIDGroupC4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
sideGroupC.AddGroup(PartyIDGroupC4);
}
//SelfTradeProtection - 2012-Nov-27
if (ordemCompra.InvestorID != null && ordemCompra.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(ordemCompra.InvestorID));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.INVESTOR_ID));
sideGroupC.AddGroup(PartyIDGroup4);
}
if (ordemCompra.Account > 0)
{
QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrpC = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
noAllocsGrpC.Set(new AllocAccount(ordemCompra.Account.ToString()));
noAllocsGrpC.Set(new AllocAcctIDSource(99));
sideGroupC.AddGroup(noAllocsGrpC);
}
// Insere informacoes da perna de venda
QuickFix.FIX44.NewOrderCross.NoSidesGroup sideGroupV = new QuickFix.FIX44.NewOrderCross.NoSidesGroup();
sideGroupV.Set(new Side(Side.SELL));
sideGroupV.Set(new ClOrdID(ordemVenda.ClOrdID));
if (ordemVenda.Account > 0)
{
sideGroupV.Set(new Account(ordemVenda.Account.ToString()));
}
sideGroupV.Set(new OrderQty(ordemVenda.OrderQty));;
sideGroupV.Set(new PositionEffect('C'));
if (ordemVenda.PositionEffect != null && ordemVenda.PositionEffect.Equals("C"))
{
sideGroupV.Set(new PositionEffect('C'));
}
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup1.Set(new PartyID(ordemVenda.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup2.Set(new PartyID("227"));
PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Sender Location ID
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup3.Set(new PartyID("GRA"));
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(54));
// Adiciono os partIDs ao Side (perna de venda)
sideGroupV.AddGroup(PartyIDGroup1);
sideGroupV.AddGroup(PartyIDGroup2);
sideGroupV.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-14
if (ordemVenda.ForeignFirm != null && ordemVenda.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupV4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupV4.Set(new PartyID(ordemVenda.ForeignFirm));
PartyIDGroupV4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupV4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
sideGroupV.AddGroup(PartyIDGroupV4);
}
//SelfTradeProtection - 2012-Nov-27
if (ordemVenda.InvestorID != null && ordemVenda.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(ordemVenda.InvestorID));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.INVESTOR_ID));
sideGroupV.AddGroup(PartyIDGroup4);
}
if (ordemVenda.Account > 0)
{
QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrpV = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
noAllocsGrpV.Set(new AllocAccount(ordemVenda.Account.ToString()));
noAllocsGrpV.Set(new AllocAcctIDSource(99));
sideGroupV.AddGroup(noAllocsGrpV);
}
// Insere os grupos das 2 pernas
ordercross.AddGroup(sideGroupC);
ordercross.AddGroup(sideGroupV);
ordercross.Set(new Symbol(crossinfo.Symbol));
if (crossinfo.SecurityID != null &&
crossinfo.SecurityID.Length > 0)
{
ordercross.Set(new SecurityID(crossinfo.SecurityID));
ordercross.Set(new SecurityIDSource("8"));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(crossinfo.OrdType);
if (ordType != null)
{
ordercross.Set(ordType);
}
ordercross.Set(new Price(Convert.ToDecimal(crossinfo.Price)));
ordercross.Set(new TransactTime(DateTime.Now));
// Memo Field
if (crossinfo.Memo5149 != null && crossinfo.Memo5149.Length > 0)
{
if (crossinfo.Memo5149.Length > 50)
{
crossinfo.Memo5149 = crossinfo.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, crossinfo.Memo5149);
ordercross.SetField(memo5149);
}
bool bRet = Session.SendToTarget(ordercross, _session.SessionID);
return(bRet);
}
public bool EnviarOrdem(OrdemInfo ordem)
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX44.NewOrderSingle ordersingle = new QuickFix.FIX44.NewOrderSingle();
if (ordem.Account > 0)
{
ordersingle.Set(new Account(ordem.Account.ToString()));
}
// Instrument Identification Block
ordersingle.Set(new Symbol(ordem.Symbol));
ordersingle.Set(new SecurityID(ordem.SecurityID));
ordersingle.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
ordersingle.Set(new ClOrdID(ordem.ClOrdID));
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordersingle.Set(new Side(Side.SELL));
}
else
{
ordersingle.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordersingle.Set(tif);
}
ordersingle.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordersingle.Set(ordType);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopLimitada:
case OrdemTipoEnum.StopStart:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
break;
default:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordersingle.Set(new TransactTime(DateTime.Now));
ordersingle.Set(new HandlInst('1'));
if (ordem.MaxFloor > 0)
{
ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
//PartyIDGroup1.set(new PartyID(ordem.Account.ToString()));
PartyIDGroup1.Set(new PartyID(ordem.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup2.Set(new PartyID("227"));
PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Location ID
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
if (ordem.SenderLocation != null && ordem.SenderLocation.Length > 0)
{
PartyIDGroup3.Set(new PartyID(ordem.SenderLocation));
}
else
{
PartyIDGroup3.Set(new PartyID("GRA"));
}
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(PartyRole.SENDER_LOCATION));
ordersingle.AddGroup(PartyIDGroup1);
ordersingle.AddGroup(PartyIDGroup2);
ordersingle.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-13
if (ordem.ForeignFirm != null && ordem.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup5 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup5.Set(new PartyID(ordem.ForeignFirm));
PartyIDGroup5.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup5.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
ordersingle.AddGroup(PartyIDGroup5);
}
//SelfTradeProtection - 2012-Nov-27
if (ordem.InvestorID != null && ordem.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup6 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup6.Set(new PartyID(ordem.InvestorID));
PartyIDGroup6.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup6.Set(new PartyRole(PartyRole.INVESTOR_ID));
ordersingle.AddGroup(PartyIDGroup6);
}
if (ordem.ExecutingTrader != null && ordem.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(ordem.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
ordersingle.AddGroup(PartyIDGroup7);
}
//if (ordem.Account > 0)
//{
// QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
// noAllocsGrp.Set(new AllocAccount(ordem.Account.ToString()));
// noAllocsGrp.Set(new AllocAcctIDSource(99));
// ordersingle.AddGroup(noAllocsGrp);
//}
if (ordem.PositionEffect != null && ordem.PositionEffect.Equals("C"))
{
ordersingle.Set(new PositionEffect('C'));
}
// Memo Field
if (ordem.Memo5149 != null && ordem.Memo5149.Length > 0)
{
if (ordem.Memo5149.Length > 50)
{
ordem.Memo5149 = ordem.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, ordem.Memo5149);
ordersingle.SetField(memo5149);
}
// AccountType
if (ordem.AcountType == ContaTipoEnum.REMOVE_ACCOUNT_INFORMATION)
{
IntField int581 = new IntField(581, 38);
ordersingle.SetField(int581);
}
else if (ordem.AcountType == ContaTipoEnum.GIVE_UP_LINK_IDENTIFIER)
{
IntField int581 = new IntField(581, 40);
ordersingle.SetField(int581);
}
bool bRet = Session.SendToTarget(ordersingle, _session.SessionID);
return(bRet);
}
