private QuickFix.FIX50.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX50.NewOrderSingle newOrderSingle = new QuickFix.FIX50.NewOrderSingle(
QueryClOrdID(),
// QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(new HandlInst('1'));
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryPrice());
}
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryStopPx());
}
return(newOrderSingle);
}
public void OnMessage(QuickFix.FIX50.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX50.ExecutionReport exReport = new QuickFix.FIX50.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
exReport.Set(new AvgPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private void QueryEnterOrder()
{
Console.WriteLine("\nNewOrderSingle");
QuickFix.FIX50.NewOrderSingle m = QueryNewOrderSingle44();
if (m != null && QueryConfirm("Send order"))
{
m.Header.GetString(Tags.BeginString);
SendMessage(m);
}
}
public bool EnviarNuevaOrden(Transaccion transaccion)
{
var newOrderSingle = new QuickFix.FIX50.NewOrderSingle
{
OrderQty = new OrderQty(transaccion.Cantidad),
Symbol = new Symbol(transaccion.Simbolo),
ClOrdID = new ClOrdID(transaccion.ID.ToString()),
TransactTime = new TransactTime(transaccion.FechaOrden),
OrdType = new OrdType(OrdType.LIMIT),
Price = new Price(Precio),
TimeInForce = new TimeInForce(TimeInForce.DAY),
OrderCapacity = new OrderCapacity(OrderCapacity.AGENCY),
Account = new Account(NumeroCuenta)
};
bool ok = _fixEngineConnection.EnviarMensaje(newOrderSingle);
return(ok);
}
private void AddOrder(string exchange, string orderId, string symbol, bool isBuy, decimal amount, decimal price, ESymbolSource symbolSource)
{
var newOrder = new QuickFix.FIX50.NewOrderSingle();
newOrder.ClOrdID = new QuickFix.Fields.ClOrdID(orderId);
//newOrder.ExecInst
newOrder.ExDestination = new QuickFix.Fields.ExDestination(exchange);
newOrder.Symbol = new QuickFix.Fields.Symbol(symbol);
newOrder.SecurityID = new QuickFix.Fields.SecurityID(symbol);
newOrder.SecurityIDSource = new QuickFix.Fields.SecurityIDSource(symbolSource.ToString("D"));
newOrder.SecurityExchange = new QuickFix.Fields.SecurityExchange(exchange);
newOrder.Side = new QuickFix.Fields.Side(isBuy ? '1' : '2'); //BUY : SELL
newOrder.TransactTime = new QuickFix.Fields.TransactTime(DateTime.Now.ToUniversalTime());
newOrder.OrderQty = new QuickFix.Fields.OrderQty(amount);
newOrder.OrdType = new QuickFix.Fields.OrdType('2'); //LIMIT
newOrder.Price = new QuickFix.Fields.Price(price);
newOrder.TimeInForce = new QuickFix.Fields.TimeInForce('1'); //GTC
newOrder.ClOrdLinkID = new QuickFix.Fields.ClOrdLinkID(orderId);
//newOrder.ExpireTime //GTD
SendMessage(newOrder);
}
public void OnMessage(QuickFix.FIX50.NewOrderSingle nos, SessionID sessionID)
{
ProcessNOS(nos, sessionID);
}
private QuickFix.FIX50.NewOrderSingle QueryNewOrderSingle50()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX50.NewOrderSingle newOrderSingle = new QuickFix.FIX50.NewOrderSingle(
QueryClOrdID(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(new HandlInst('1'));
newOrderSingle.Set(QuerySymbol());
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryPrice());
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryStopPx());
QueryHeader(newOrderSingle.Header);
return newOrderSingle;
}
