public void NewOrder(string clrID, char handinst, char sideID, char orderType, string symbolID, string exchange, float?price, long Quantity)
{
ClOrdID clOrdID = new ClOrdID(clrID);
HandlInst inst = new HandlInst('1');//似乎国信只支持直通私有
Side side = new Side(sideID);
OrdType ordType = new OrdType(orderType);
Symbol symbol = new Symbol(symbolID);
TransactTime time = new TransactTime();
QuickFix42.NewOrderSingle message = new QuickFix42.NewOrderSingle(clOrdID, inst, symbol, side, time, ordType);
message.setString(38, Quantity.ToString());
if (ordType.getValue() == OrdType.LIMIT)
{
message.setString(44, price.Value.ToString());
}
message.setString(15, "CNY");
if (exchange == "SH")
{
message.setString(207, "XSHG");
}
else if (exchange == "SZ")
{
message.setString(207, "XSHE");
}
SendToServer(message);
}
/// <summary>
/// send a new order
/// </summary>
/// <param name="instrument">string array containing either
/// {SecurityExchange, Symbol,SecurityType,MaturityMonthYear} or
/// {SecurityExchange, Symbol,SecurityID}</param>
/// <param name="gateway"></param>
/// <param name="account"></param>
/// <param name="orderType"></param>
/// <param name="tradePrice"></param>
/// <param name="qty"></param>
/// <param name="bs"></param>
public void ttNewOrderSingle(string[] instrument, string gateway,
string account, char orderType, double tradePrice, double qty, char bs)
{
//string[] instrument must contain:
//{SecurityExchange, Symbol,SecurityType,MaturityMonthYear} or
//{SecurityExchange, Symbol,SecurityID}
try
{
QuickFix42.NewOrderSingle nos = new QuickFix42.NewOrderSingle();
nos.set(new QuickFix.ClOrdID(uniqueID()));
#region DefineInstrument
nos.set(new QuickFix.SecurityExchange(instrument[0]));
nos.set(new QuickFix.Symbol(instrument[1]));
if (instrument.GetLength(0) == 4)
{
nos.set(new QuickFix.SecurityType(instrument[2]));
nos.set(new QuickFix.MaturityMonthYear(instrument[3]));
}
else if (instrument.GetLength(0) == 3)
{
nos.set(new QuickFix.SecurityID(instrument[2]));
}
else
{
throw new System.Exception("Incorrect parameters for insturment definition");
}
#endregion
nos.set(new QuickFix.OrderQty(qty));
nos.set(new QuickFix.Side(bs));
nos.set(new QuickFix.Account(account));
nos.set(new QuickFix.OrdType(orderType));
if (orderType == QuickFix.OrdType.LIMIT)
{
nos.set(new QuickFix.Price(tradePrice));
}
//Use this code if FA is setup to accept tag 47 and 204 instead of custom tag 18205
//nos.set(new QuickFix.Rule80A(QuickFix.Rule80A.AGENCY_SINGLE_ORDER));
//nos.set(new QuickFix.CustomerOrFirm(QuickFix.CustomerOrFirm.CUSTOMER));
nos.setString(TT.TTAccountType.FIELD, TT.TTAccountType.A1);
//To add a TT custom tag to a QuickFix Message you must use setField or similar
//the set method of the QuickFix42 message only allows setting standard FIX 4.2 fields
//required for environments with multiple gateways with same products
if (gateway != null)
{
nos.setString(TT.ExchangeGateway.FIELD, gateway);
}
nos.setString(TT.FFT2.FIELD, "FFT2");
nos.setString(TT.FFT3.FIELD, "FFT3");
QuickFix.Session.sendToTarget(nos, orderSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}