public static void LoadDataRow(ref DataRow destinationRow, List <KeyValuePair <FixTag, string> > fieldMap, QuickFix.Message fixMessage)
{
foreach (KeyValuePair <FixTag, string> fixTagToDbField in fieldMap)
{
FixTag currentTag = fixTagToDbField.Key;
string valueColumn = fixTagToDbField.Value;
string value;
if (fixMessage.isSetField((int)currentTag))
{
value = fixMessage.getField((int)currentTag);
if (string.IsNullOrEmpty(destinationRow[valueColumn] as string))
{
if ((int)currentTag == (int)FixTag.MaturityMonthYear)
{
destinationRow[valueColumn] =
FixFieldValueConverter.FormatMaturityDate(value, FixFieldValueConverter.TryGetFixValue(FixTag.MaturityDay, fixMessage));
}
else
{
destinationRow[valueColumn] =
FixFieldValueConverter.Instance[currentTag, value, valueColumn.Contains("DATE")];
}
}
}
else if (fixMessage.getHeader().isSetField((int)currentTag))
{
value = fixMessage.getHeader().getField((int)currentTag);
if (string.IsNullOrEmpty(destinationRow[valueColumn] as string))
{
destinationRow[valueColumn] = FixFieldValueConverter.Instance[currentTag, value, valueColumn.Contains("DATE")];
}
}
}
}
public override string ProcMarketOrder(ref bool comp, string symbol, string price, int qty)
{
QuickFix.Message sno = generateOrderMessage(symbol, price, qty, false);
if (sno == null)
{
return(string.Empty);
}
return(SendMessageToSession(sno) ? sno.getField((int)EFixTags.ClOrdID) : string.Empty);
}
public static string TryGetFixValue(FixTag tag, QuickFix.Message fixMsg)
{
string value = string.Empty;
if (fixMsg.isSetField((int)tag))
{
value = fixMsg.getField((int)tag);
}
return(value);
}
/// <summary>
/// submit an order to IB using a incomming FIX new order single
/// </summary>
/// <param name="myMsg"></param>
private void submitOrder(KaiTrade.Interfaces.IMessage myMsg)
{
QuickFix.Message myQFOrder = null;
try
{
// Extract the raw FIX Message from the inbound message
string strOrder = myMsg.Data;
// Use QuickFix to handle the message
myQFOrder = new QuickFix.Message(strOrder);
// Use product manager to validate the product specified on
// the order exists for this adapter
// Get the product associated with the FIX message
//QuickFix.Symbol symbol = new QuickFix.Symbol();
//myQFOrder.getField(symbol);
QuickFix.Side mySide = new QuickFix.Side();
QuickFix.OrdType myOrdType = new QuickFix.OrdType();
QuickFix.OrderQty myOrderQty = new QuickFix.OrderQty();
QuickFix.Price myPrice = new QuickFix.Price();
QuickFix.StopPx myStopPx = new QuickFix.StopPx();
QuickFix.Account myAccount = new QuickFix.Account();
QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
QuickFix.TimeInForce myTimeInForce = new QuickFix.TimeInForce();
// the account code is mandatory
if (myQFOrder.isSetField(myAccount))
{
myQFOrder.getField(myAccount);
}
else
{
this.SendAdvisoryMessage("IB TWS: you need to provide a valid account");
throw new Exception("IB TWS: you need to provide a valid account");
}
myQFOrder.getField(myClOrdID);
// Get the Order type
myQFOrder.getField(myOrdType);
// Get the QTY
myQFOrder.getField(myOrderQty);
// get the Side of the order
myQFOrder.getField(mySide);
// Set order duration
myQFOrder.getField(myTimeInForce);
// Prices
if (myQFOrder.isSetField(myPrice))
{
myQFOrder.getField(myPrice);
}
if (myQFOrder.isSetField(myStopPx))
{
myQFOrder.getField(myStopPx);
}
// get the contract
TWSLib.IContract myContract = getIBContract(myQFOrder);
if (myContract == null)
{
this.SendAdvisoryMessage("IB TWS: cannot find a valid contract");
throw new Exception("IB TWS: cannot find a valid contract");
}
// create an IB Order
TWSLib.IOrder myIBOrder = m_Host.TWS.createOrder();
myIBOrder.whatIf = 0;
myIBOrder.account = myAccount.getValue();
if(myOrdType.getValue() == QuickFix.OrdType.LIMIT)
{
myIBOrder.orderType = "LMT";
myIBOrder.lmtPrice = myPrice.getValue();
}
else if(myOrdType.getValue() == QuickFix.OrdType.MARKET)
{
myIBOrder.orderType = "MKT";
}
else if (myOrdType.getValue() == QuickFix.OrdType.STOP)
{
myIBOrder.orderType = "STP";
myIBOrder.auxPrice = myStopPx.getValue();
if (myPrice.getValue() == -1)
{
myIBOrder.lmtPrice = myStopPx.getValue();
}
else
{
myIBOrder.lmtPrice = myPrice.getValue();
}
}
else if (myOrdType.getValue() == QuickFix.OrdType.STOP_LIMIT)
{
myIBOrder.orderType = "STP";
myIBOrder.auxPrice = myStopPx.getValue();
if (myPrice.getValue() == -1)
{
myIBOrder.lmtPrice = myStopPx.getValue();
}
else
{
myIBOrder.lmtPrice = myPrice.getValue();
}
}
else
{
this.SendAdvisoryMessage("IB TWS: order type not supported");
throw new Exception("IB TWS: order type not supported");
}
myIBOrder.totalQuantity = (int) myOrderQty.getValue();
// Side
string myAction = KaiUtil.QFUtils.DecodeSide(mySide).ToUpper();
myIBOrder.action = myAction;
// Time in force
string myTIF = KaiUtil.QFUtils.DecodeTimeInForce(myTimeInForce).ToUpper();
myIBOrder.timeInForce = myTIF;
if (myOrdType.getValue() == QuickFix.OrdType.LIMIT)
{
myIBOrder.lmtPrice = myPrice.getValue();
}
DriverBase.OrderContext myCntx = RecordOrderContext(myClOrdID.getValue(), myQFOrder, null, m_NextID.ToString());
SetContextCommand(myCntx, DriverBase.ORCommand.Undefined, DriverBase.ORCommand.Submit);
myCntx.OrderQty = myIBOrder.totalQuantity;
myCntx.CumQty = 0;
m_Host.TWS.placeOrderEx(m_NextID++, myContract, myIBOrder);
}
catch (Exception myE)
{
_log.Error("submitOrder", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
this.SendAdvisoryMessage("IB TWS:submitOrder: problem submitting order:" + myE.ToString());
QuickFix.OrdStatus myOrdStatus;
QuickFix.ExecType myExecType = new QuickFix.ExecType(QuickFix.ExecType.REJECTED);
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
QuickFix.OrderQty orderQty = new QuickFix.OrderQty();
if (myQFOrder != null)
{
myQFOrder.getField(orderQty);
QuickFix.OrdRejReason myRejReason = new QuickFix.OrdRejReason(QuickFix.OrdRejReason.OTHER);
sendExecReport(myQFOrder, new QuickFix.OrderID("UNKNOWN"), myOrdStatus, myExecType, 0.0, (int)orderQty.getValue(), 0, 0, 0, myE.Message, myRejReason);
}
}
}
/// <summary>
/// Handle an incomming execution report
/// </summary>
/// <param name="myMsg"></param>
public void HandleExecReport(KaiTrade.Interfaces.Message myMsg)
{
try
{
if (m_Log.IsInfoEnabled)
{
m_Log.Info("OrderService:HandleExecReport:" + myMsg.Data);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("OrderService:HandleExecReport:" + myMsg.Data);
}
// Get order manager
KaiTrade.Interfaces.OrderManager myOM = KTAFacade.Instance().Factory.GetOrderManager();
//Create a quickfix message object
QuickFix.Message myFixMsg = new QuickFix.Message(myMsg.Data);
QuickFix.ExecID myExecID = new QuickFix.ExecID();
myFixMsg.getField(myExecID);
// check if we have already processed this report
if (!myOM.RecordExecutionReport(myExecID.getValue(), myFixMsg))
{
// we have processed this already
m_Log.Warn("HandleExecReport: Duplicate Exec Report:" + myMsg.Data);
return;
}
// these fields must be present
QuickFix.OrderID myOrderID = new QuickFix.OrderID();
myFixMsg.getField(myOrderID);
QuickFix.ExecType myExecType = new QuickFix.ExecType();
myFixMsg.getField(myExecType);
QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
myFixMsg.getField(myOrdStatus);
// we need the clordid to update an existing order - if
// it is not present or unknow we create a synthetic order
QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
KaiTrade.Interfaces.Order myOrder = null;
if (myFixMsg.isSetField(myClOrdID))
{
myFixMsg.getField(myClOrdID);
myOrder = myOM.GetOrderWithClOrdIDID(myClOrdID.getValue());
}
if (myOrder == null)
{
myOrder = CreateSyntheticOrder(myFixMsg);
}
// add the ExecRep to the Order
KaiTrade.Interfaces.Fill myFill = new K2DataObjects.FillData();
myFill.OrderID = myOrder.Identity;
myFill.SetUpFromFixExecReport(myFixMsg.ToString());
myOrder.FillsList.Add(myFill);
// update mandatory fields
myOrder.OrderID = myOrderID;
myOrder.OrdStatus = myOrdStatus;
QuickFix.Text myText = new QuickFix.Text();
if (myFixMsg.isSetField(myText))
{
myFixMsg.getField(myText);
myOrder.Text = myText.getValue();
}
QuickFix.Account myAccount = new QuickFix.Account();
if (myFixMsg.isSetField(myAccount))
{
myFixMsg.getField(myAccount);
myOrder.Account = myAccount;
}
// process the execution depanding on type of ExecReport
switch (myExecType.getValue())
{
case QuickFix.ExecType.NEW:
processGeneralExecRep(ref myOrder, myFixMsg);
/*
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
else
{
m_Log.Error("HandleExecReport:OrderStatus new not expected");
}
* */
break;
case QuickFix.ExecType.FILL:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
processFill(ref myOrder, myFixMsg);
break;
case QuickFix.ExecType.PARTIAL_FILL:
if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
{
order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
}
processFill(ref myOrder, myFixMsg);
break;
case QuickFix.ExecType.ORDER_STATUS:
processGeneralExecRep(ref myOrder, myFixMsg);
break;
default:
processGeneralExecRep(ref myOrder, myFixMsg);
break;
}
myOM.SetChanged(myOrder.Identity);
// Check if the order is part of a strategy
if (myOrder.ParentIdentity != null)
{
// get the strategy concerned
KaiTrade.Interfaces.IStrategy myStrat = KTAFacade.Instance().Factory.GetStrategyManager().GetStrategy(myOrder.ParentIdentity);
if (myStrat != null)
{
myStrat.HandleExecReport(myFixMsg, myOrder);
}
else
{
m_Log.Error("Strategy not found for:" + myOrder.ParentIdentity);
}
}
if (myOrder.OCAGroupName.Length > 0)
{
KTAFacade.Instance().Factory.GetOCOManager().OnOrderTraded(myOrder);
}
if (m_ORLog.IsInfoEnabled)
{
m_ORLog.Info("OrderService:HandleExecRep:Exit:" + myOrder.ToString());
}
}
catch (Exception myE)
{
m_Log.Error("HandleExecReport", myE);
}
}