/// <summary>
/// Adds an order for the given contract and market side with the given properties
/// </summary>
/// <returns>The added order</returns>
public IOrder AddOrder(long orderID,
Contract contract,
OrderType orderType,
MarketSide marketSide,
decimal price,
decimal quantity,
string clOrdID,
TradingAccount account)
{
var order = new Order(orderID,
orderType,
contract,
marketSide,
price,
quantity,
clOrdID,
account);
var stack = _market.GetOrCreate(
contract,
() =>
{
var os = OrderStackFactory.CreateStandardSortedStack(_orderMatcher);
os.OrdersMatched += OnOrdersMatched;
return os;
});
stack.AddOrder(order);
return order;
}
public Message CreateNewOrderSingleMessage(string symbol,
MarketSide marketSide,
string clOrdID,
TradingAccount account,
decimal price,
decimal quantity,
OrderType orderType,
string execID)
{
var fOrdType = TranslateFixFields.Translate(orderType);
var fSide = TranslateFixFields.Translate(marketSide);
var fSymbol = new Symbol(symbol);
var fTransactTime = new TransactTime(DateTime.Now);
var fClOrdID = new ClOrdID(clOrdID);
var nos = new NewOrderSingle(fClOrdID,
fSymbol,
fSide,
fTransactTime,
fOrdType)
{
OrderQty = new OrderQty(quantity),
TimeInForce = new TimeInForce(TimeInForce.GOOD_TILL_CANCEL)
};
if (orderType == OrderType.Limit)
nos.Price = new Price(price);
return nos;
}
/// <summary>
/// Adds an order to the system with the given properties
/// </summary>
/// <param name="sessionID">The FIX Session ID</param>
/// <param name="orderType">
/// The type of order, currently only Limit orders are supported
/// </param>
/// <param name="symbol">The symbol for the order</param>
/// <param name="marketSide">The side of the market for the order</param>
/// <param name="clOrdID">The FIX ClOrdID for the order, set by the client</param>
/// <param name="account">The trading account associated with the order</param>
/// <param name="quantity">The quantity of the order</param>
/// <param name="price">The price of the order, may be null for market orders</param>
/// <returns>The new order after it has been added</returns>
/// <exception cref="FixATServerException">If the order is rejected</exception>
public IOrder AddOrder(FixSessionID sessionID,
OrderType orderType,
string symbol,
MarketSide marketSide,
string clOrdID,
TradingAccount account,
decimal quantity,
decimal? price = null)
{
// A more complete system would look the contract up in a contract store
var contract = new Contract(symbol);
// TODO Replace this with a better mechanism (esp if more order types are supported)
decimal orderPrice;
switch (orderType)
{
case OrderType.Limit:
{
if (!price.HasValue)
throw new FixATServerException("Limit order must specify a price");
orderPrice = price.Value;
break;
}
// Uncomment this if and when market orders are supported
//case OrderType.Market:
// {
// if (price.HasValue)
// throw new FixATServerException(
// "Market order should not have a specified price");
// orderPrice = GetMarketPrice(contract, marketSide);
// break;
// }
default:
throw new FixATServerException(
string.Format("Order Type {0} not supported", orderType));
}
if (OrderWouldLeadToACrossedMarket(marketSide, contract, orderPrice))
throw new FixATServerException("Order would lead to a crossed market");
var order = _orderRepository.AddOrder(CreateOrderID(),
contract,
orderType,
marketSide,
orderPrice,
quantity,
clOrdID,
account);
_orderOwners[order.ID] = sessionID;
return order;
}
public Order(long id,
OrderType orderType,
Contract contract,
MarketSide marketSide,
decimal price,
decimal quantity,
string clOrdID,
TradingAccount tradingAccount)
{
ID = id;
OrderType = orderType;
Contract = contract;
MarketSide = marketSide;
Price = price;
Quantity = quantity;
LastUpdateTime = DateTime.UtcNow;
ClOrdID = clOrdID;
Account = tradingAccount;
OriginalQuantity = quantity;
}
public Order(long id,
OrderType orderType,
Contract contract,
MarketSide marketSide,
decimal price,
decimal quantity,
string clOrdID,
TradingAccount tradingAccount)
{
ID = id;
OrderType = orderType;
Contract = contract;
MarketSide = marketSide;
Price = price;
Quantity = quantity;
LastUpdateTime = DateTime.UtcNow;
ClOrdID = clOrdID;
Account = tradingAccount;
OriginalQuantity = quantity;
}
public Message CreateRejectNewOrderExecutionReport(string symbol,
MarketSide marketSide,
string clOrdID,
decimal orderQuantity,
TradingAccount account,
string execID,
string rejectionReason,
int? rejectionCode = null)
{
var exReport = new ExecutionReport(
new OrderID("unknown orderID"),
new ExecID(execID),
new ExecType(ExecType.REJECTED),
new OrdStatus(OrdStatus.REJECTED),
new Symbol(symbol),
TranslateFixFields.Translate(marketSide),
new LeavesQty(0m),
new CumQty(0m),
new AvgPx(0m))
{
ClOrdID = new ClOrdID(clOrdID),
OrderQty = new OrderQty(orderQuantity)
};
if (rejectionCode.HasValue)
{
exReport.OrdRejReason = new OrdRejReason(rejectionCode.Value);
}
if (TradingAccount.IsSet(account))
{
exReport.Account = new Account(account.Name);
}
return exReport;
}