public Message CreateFillReport(OrderMatch match, string execID)
{
var symbol = new Symbol(match.Contract.Symbol);
var exReport = new ExecutionReport(
new OrderID(match.OrderID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(match.MatchType == MatchType.Full
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(match.MatchType == MatchType.Full
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
symbol,
TranslateFixFields.Translate(match.MarketSide),
new LeavesQty(match.RemainingQuantity),
new CumQty(match.OriginalOrderQuantity - match.RemainingQuantity),
new AvgPx(match.Price))
{
ClOrdID = new ClOrdID(match.ClOrdID),
Symbol = symbol,
OrderQty = new OrderQty(match.OriginalOrderQuantity),
LastQty = new LastQty(match.MatchedQuantity),
LastPx = new LastPx(match.Price)
};
if (TradingAccount.IsSet(match.Account))
exReport.SetField(new Account(match.Account.Name));
return exReport;
}
public SendOrderFill(SessionMediator sessionMediator,
OrderMatch orderMatch,
FixSessionID sessionID)
{
_sessionMediator = sessionMediator;
_orderMatch = orderMatch;
_sessionID = sessionID;
}
public void OrderFilled(FixSessionID ownerSessionID, OrderMatch matchDetails)
{
// If we ever support owner details etc then filter those out is session != sessionID
foreach (var sessionID in GetAllLoggedInSessions())
{
var fixID = _sessionIDMap.GetBySecond(sessionID);
Action<IFixMessageHandler> messageSendF =
handler => handler.OnOrderFilled(fixID, matchDetails);
_sessionRepository.SendMessageToHandler(sessionID, messageSendF);
}
}
public ICommand CreateSendOrderFill(OrderMatch orderMatch, FixSessionID sessionID)
{
return new SendOrderFill(_sessionMediator, orderMatch, sessionID);
}
private static void AssertEqual(OrderMatch e, OrderMatch a)
{
const string messageBase = "Expected and actual matches differ on ";
Assert.AreEqual(e.OrderID, a.OrderID, messageBase + "OrderID");
Assert.AreEqual(e.Price, a.Price, messageBase + "Price");
Assert.AreEqual(e.MatchedQuantity, a.MatchedQuantity, "MatchedQuantity");
Assert.AreEqual(e.RemainingQuantity, a.RemainingQuantity, "RemainingQuantity");
Assert.AreEqual(e.Contract, a.Contract, "Contract");
Assert.AreEqual(e.MatchType, a.MatchType, "MatchType");
}
public void OnOrderFilled(SessionID sessionID, OrderMatch match)
{
// Send the order filled execution report to the owning session
var message = _messageGenerator.CreateFillReport(match, _execIdGenerator());
_fixFacade.SendToTarget(message, sessionID);
// TODO Send the trade message to other connections
//var loggedInSessions = _sessionMediator.GetLoggedInSessions();
}
private void OnOrderMatched(OrderMatch matchDetails, FixSessionID sessionID)
{
var cmd = _commandFactory.CreateSendOrderFill(matchDetails, sessionID);
_outputQueue.Enqueue(cmd);
}
public void OnOrderFilled(SessionID sessionID, OrderMatch match)
{
// Send the order filled execution report to the owning session
var message = _messageGenerator.CreateFillReport(match, _execIdGenerator());
_fixFacade.SendToTarget(message, sessionID);
}