public override void onMessage(QuickFix42.MarketDataSnapshotFullRefresh marketDataSnapshotFullRefresh, SessionID sessionID) { //AddText("marketDataSnapshotFullRefresh " + marketDataSnapshotFullRefresh + Environment.NewLine); string exchange = marketDataSnapshotFullRefresh.getSecurityExchange().ToString(); string symbol = marketDataSnapshotFullRefresh.getSymbol().ToString(); SpreadMatrixData smd = SpreadMatrixCollection.Get(exchange, symbol); if (smd == null) return; SpreadMatrixCollection.ProcessMessage(exchange, symbol, marketDataSnapshotFullRefresh); SecurityEntry entry = smd.Get(marketDataSnapshotFullRefresh.getSecurityID().getValue()); //testing order //if (entry != null) // ProccessOrder(entry); }
public override void onMessage(QuickFix42.ExecutionReport report, QuickFix.SessionID sessionID) { if (report.getExecType().getValue() == QuickFix.ExecType.PENDING_CANCEL || report.getExecType().getValue() == QuickFix.ExecType.CANCELED || report.getExecType().getValue() == QuickFix.ExecType.PENDING_REPLACE || report.getExecType().getValue() == QuickFix.ExecType.REPLACE) { object request = cancelRequests[report.getClOrdID().getValue()]; if (request == null) report.set(new OrigClOrdID(report.getClOrdID().getValue())); else { if (request is FIXOrderCancelRequest) report.set(new OrigClOrdID((request as FIXOrderCancelRequest).OrigClOrdID)); if (request is FIXOrderCancelReplaceRequest) report.set(new OrigClOrdID((request as FIXOrderCancelReplaceRequest).OrigClOrdID)); } } ExecutionReport Report = new ExecutionReport(); if (report.isSetOrderID()) Report.OrderID = report.getOrderID().getValue(); ////if (report.isSetSecondaryOrderID()) Report.SecondaryOrderID = report.getSecondaryOrderID().getValue(); if (report.isSetClOrdID()) Report.ClOrdID = report.getClOrdID().getValue(); if (report.isSetOrigClOrdID()) Report.OrigClOrdID = report.getOrigClOrdID().getValue(); ////if (report.isSetListID()) Report.ListID = report.getListID().getValue(); if (report.isSetExecID()) Report.ExecID = report.getExecID().getValue(); ////if (report.isSetExecRefID()) Report.ExecRefID = report.getExecRefID().getValue(); if (report.isSetExecType()) (Report as FIXExecutionReport).ExecType = report.getExecType().getValue(); if (report.isSetOrdStatus()) (Report as FIXExecutionReport).OrdStatus = report.getOrdStatus().getValue(); if (report.isSetOrdRejReason()) Report.OrdRejReason = report.getOrdRejReason().getValue(); ////if (report.isSetExecRestatementReason()) Report.ExecRestatementReason = report.getExecRestatementReason().getValue(); ////if (report.isSetAccount()) Report.Account = report.getAccount().getValue(); ////if (report.isSetSettlmntTyp()) Report.SettlType = report.getSettlmntTyp().getValue(); //if (report.isSetFutSettDate ()) Report.FutSettDate = report.getFutSettDate ().getValue(); if (report.isSetSymbol()) Report.Symbol = report.getSymbol().getValue(); ////if (report.isSetSymbolSfx()) Report.SymbolSfx = report.getSymbolSfx().getValue(); ////if (report.isSetSecurityID()) Report.SecurityID = report.getSecurityID().getValue(); //if (report.isSetIDSource ()) Report.IDSource = report.getIDSource ().getValue(); ////if (report.isSetSecurityType()) Report.SecurityType = report.getSecurityType().getValue(); ////if (report.isSetMaturityMonthYear()) Report.MaturityMonthYear = report.getMaturityMonthYear().getValue(); //if (report.isSetMaturityDay ()) Report.MaturityDate = DateTime.Parse(report.getMaturityDay ().getValue()); //if (report.isSetPutOrCall ()) Report.PutOrCall = report.getPutOrCall ().getValue(); ////if (report.isSetStrikePrice()) Report.StrikePrice = report.getStrikePrice().getValue(); ////if (report.isSetOptAttribute()) Report.OptAttribute = report.getOptAttribute().getValue(); ////if (report.isSetContractMultiplier()) Report.ContractMultiplier = report.getContractMultiplier().getValue(); ////if (report.isSetCouponRate()) Report.CouponRate = report.getCouponRate().getValue(); ////if (report.isSetSecurityExchange()) Report.SecurityExchange = report.getSecurityExchange().getValue(); ////if (report.isSetIssuer()) Report.Issuer = report.getIssuer().getValue(); ////if (report.isSetEncodedIssuerLen()) Report.EncodedIssuerLen = report.getEncodedIssuerLen().getValue(); ////if (report.isSetEncodedIssuer()) Report.EncodedIssuer = report.getEncodedIssuer().getValue(); ////if (report.isSetSecurityDesc()) Report.SecurityDesc = report.getSecurityDesc().getValue(); ////if (report.isSetEncodedSecurityDescLen()) Report.EncodedSecurityDescLen = report.getEncodedSecurityDescLen().getValue(); ////if (report.isSetEncodedSecurityDesc()) Report.EncodedSecurityDesc = report.getEncodedSecurityDesc().getValue(); if (report.isSetSide()) (Report as FIXExecutionReport).Side = report.getSide().getValue(); if (report.isSetOrderQty()) Report.OrderQty = report.getOrderQty().getValue(); ////if (report.isSetCashOrderQty()) Report.CashOrderQty = report.getCashOrderQty().getValue(); if (report.isSetOrdType()) (Report as FIXExecutionReport).OrdType = report.getOrdType().getValue(); if (report.isSetPrice()) Report.Price = report.getPrice().getValue(); ////if (report.isSetStopPx()) Report.StopPx = report.getStopPx().getValue(); //if (report.isSetPegDifference ()) Report.PegDifference = report.getPegDifference ().getValue(); ////if (report.isSetDiscretionInst()) Report.DiscretionInst = report.getDiscretionInst().getValue(); ////if (report.isSetDiscretionOffset()) Report.DiscretionOffsetValue = report.getDiscretionOffset().getValue(); ////if (report.isSetCurrency()) Report.Currency = report.getCurrency().getValue(); ////if (report.isSetComplianceID()) Report.ComplianceID = report.getComplianceID().getValue(); //if (report.isSetSolicitedFlag ()) Report.SolicitedFlag = report.getSolicitedFlag ().getValue(); ////if (report.isSetTimeInForce()) (Report as FIXExecutionReport).TimeInForce = report.getTimeInForce().getValue(); ////if (report.isSetEffectiveTime()) Report.EffectiveTime = report.getEffectiveTime().getValue(); ////if (report.isSetExpireDate()) Report.ExpireDate = DateTime.Parse(report.getExpireDate().getValue()); ////if (report.isSetExpireTime()) Report.ExpireTime = report.getExpireTime().getValue(); ////if (report.isSetExecInst()) Report.ExecInst = report.getExecInst().getValue(); //if (report.isSetRule80A ()) Report.Rule80A = report.getRule80A ().getValue(); if (report.isSetLastShares()) Report.LastQty = report.getLastShares().getValue(); if (report.isSetLastPx()) Report.LastPx = report.getLastPx().getValue(); ////if (report.isSetLastSpotRate()) Report.LastSpotRate = report.getLastSpotRate().getValue(); ////if (report.isSetLastForwardPoints()) Report.LastForwardPoints = report.getLastForwardPoints().getValue(); ////if (report.isSetLastMkt()) Report.LastMkt = report.getLastMkt().getValue(); ////if (report.isSetTradingSessionID()) Report.TradingSessionID = report.getTradingSessionID().getValue(); ////if (report.isSetLastCapacity()) Report.LastCapacity = report.getLastCapacity().getValue(); if (report.isSetLeavesQty()) Report.LeavesQty = report.getLeavesQty().getValue(); if (report.isSetCumQty()) Report.CumQty = report.getCumQty().getValue(); if (report.isSetAvgPx()) Report.AvgPx = report.getAvgPx().getValue(); ////if (report.isSetDayOrderQty()) Report.DayOrderQty = report.getDayOrderQty().getValue(); ////if (report.isSetDayCumQty()) Report.DayCumQty = report.getDayCumQty().getValue(); ////if (report.isSetDayAvgPx()) Report.DayAvgPx = report.getDayAvgPx().getValue(); ////if (report.isSetGTBookingInst()) Report.GTBookingInst = report.getGTBookingInst().getValue(); ////if (report.isSetTradeDate()) Report.TradeDate = DateTime.Parse(report.getTradeDate().getValue()); if (report.isSetTransactTime()) Report.TransactTime = report.getTransactTime().getValue(); //if (report.isSetReportToExch ()) Report.ReportToExch = report.getReportToExch ().getValue(); ////if (report.isSetCommission()) Report.Commission = report.getCommission().getValue(); ////if (report.isSetCommType()) (Report as FIXExecutionReport).CommType = report.getCommType().getValue(); ////if (report.isSetGrossTradeAmt()) Report.GrossTradeAmt = report.getGrossTradeAmt().getValue(); ////if (report.isSetSettlCurrAmt()) Report.SettlCurrAmt = report.getSettlCurrAmt().getValue(); ////if (report.isSetSettlCurrency()) Report.SettlCurrency = report.getSettlCurrency().getValue(); ////if (report.isSetHandlInst()) Report.HandlInst = report.getHandlInst().getValue(); ////if (report.isSetMinQty()) Report.MinQty = report.getMinQty().getValue(); ////if (report.isSetMaxFloor()) Report.MaxFloor = report.getMaxFloor().getValue(); //if (report.isSetOpenClose ()) Report.OpenClose = report.getOpenClose ().getValue(); ////if (report.isSetMaxShow()) Report.MaxShow = report.getMaxShow().getValue(); if (report.isSetText()) Report.Text = report.getText().getValue(); ////if (report.isSetEncodedTextLen()) Report.EncodedTextLen = report.getEncodedTextLen().getValue(); ////if (report.isSetEncodedText()) Report.EncodedText = report.getEncodedText().getValue(); //if (report.isSetFutSettDate2 ()) Report.FutSettDate2 = report.getFutSettDate2 ().getValue(); ////if (report.isSetOrderQty2()) Report.OrderQty2 = report.getOrderQty2().getValue(); //if (report.isSetClearingFirm ()) Report.ClearingFirm = report.getClearingFirm ().getValue(); //if (report.isSetClearingAccount ()) Report.ClearingAccount = report.getClearingAccount ().getValue(); ////if (report.isSetMultiLegReportingType()) Report.MultiLegReportingType = report.getMultiLegReportingType().getValue(); // SingleOrder order; if (Report.ExecType == SmartQuant.FIX.ExecType.PendingCancel || Report.ExecType == SmartQuant.FIX.ExecType.Cancelled || Report.ExecType == SmartQuant.FIX.ExecType.PendingReplace || Report.ExecType == SmartQuant.FIX.ExecType.Replace) order = OrderManager.Orders.All[Report.OrigClOrdID] as SingleOrder; else order = OrderManager.Orders.All[Report.ClOrdID] as SingleOrder; Instrument instrument = order.Instrument; Report.Symbol = instrument.Symbol; Report.TransactTime = Clock.Now; // emit execution report EmitExecutionReport(Report); }