public void SessionLoggedOut(FixSessionID sessionID)
{
lock (_lock)
{
_sessions[sessionID].LoginStatus = SessionLoginStatus.LoggedOut;
}
}
public void AddSession(FixSessionID sessionID, IFixMessageHandler messageHandler)
{
lock (_lock)
{
_sessions.Add(sessionID, new SessionContext(messageHandler));
}
}
public void RemoveSession(FixSessionID sessionID)
{
lock (_lock)
{
_sessions.Remove(sessionID);
}
}
public void RemoveSession(FixSessionID sessionID)
{
lock (_lock)
{
_sessions.Remove(sessionID);
}
}
public void AddSession(FixSessionID sessionID, IFixMessageHandler messageHandler)
{
lock (_lock)
{
_sessions.Add(sessionID, new SessionContext(messageHandler));
}
}
public void SessionLoggedOut(FixSessionID sessionID)
{
lock (_lock)
{
_sessions[sessionID].LoginStatus = SessionLoginStatus.LoggedOut;
}
}
public void AddSession(SessionID fixID, IFixMessageHandler messageHandler)
{
var newID = new FixSessionID();
_sessionIDMap.Add(fixID, newID);
_sessionRepository.AddSession(newID, messageHandler);
}
public void NewOrderAccepted(FixSessionID ownerSessionID, IOrder order)
{
var orders = new List<IOrder> {order};
foreach (var sessionID in GetAllLoggedInSessions())
{
SendOrders(sessionID, orders);
}
}
public void SendMessageToHandler(FixSessionID sessionID, Action <IFixMessageHandler> f)
{
lock (_lock)
{
var handler = _sessions[sessionID];
f(handler.MessageHandler);
}
}
public void SendMessageToHandler(FixSessionID sessionID, Action<IFixMessageHandler> f)
{
lock (_lock)
{
var handler = _sessions[sessionID];
f(handler.MessageHandler);
}
}
public void SendOrders(FixSessionID sessionID, List <IOrder> orders)
{
var fixID = _sessionIDMap.GetBySecond(sessionID);
Action <IFixMessageHandler> messageSendF =
handler => handler.SendOrdersToSession(fixID, orders);
_sessionRepository.SendMessageToHandler(sessionID, messageSendF);
}
/// <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;
}
/// <summary>
/// Deletes all the orders owned by the given FIX session
/// </summary>
public void DeleteAllOrders(FixSessionID sessionID)
{
// TODO This could get racey
var sessionsOrders =
_orderOwners.Where(p => sessionID.Equals(p.Value)).Select(p => p.Key).ToList();
foreach (var orderID in sessionsOrders)
{
DeleteOrder(orderID);
}
}
public void NewOrderAccepted(FixSessionID ownerSessionID, IOrder order)
{
var orders = new List <IOrder> {
order
};
foreach (var sessionID in GetAllLoggedInSessions())
{
SendOrders(sessionID, orders);
}
}
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 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 void CancellingAnOrderWhenYouAreTheOwningSessionSucceeds()
{
var mockRepository = new Mock<IOrderRepository>();
var o = DefaultOrder(1);
mockRepository.Setup(r => r.AddOrder(o.ID,
o.Contract,
o.OrderType,
o.MarketSide,
o.Price,
o.Quantity,
o.ClOrdID,
o.Account))
.Returns(o);
mockRepository.Setup(r => r.DeleteOrder(o.ID)).Returns(o);
Action<OrderMatch, FixSessionID> emptyMatchCallback = (m, s) => { };
var mediator = new OrderMediator(mockRepository.Object, emptyMatchCallback);
var fakeSessionId = new FixSessionID();
var addedOrder = mediator.AddOrder(fakeSessionId,
o.OrderType,
o.Contract.Symbol,
o.MarketSide,
o.ClOrdID,
o.Account,
o.Quantity,
o.Price);
Assert.AreEqual(o.ID, addedOrder.ID);
Assert.AreEqual(o.ClOrdID, addedOrder.ClOrdID);
var cancelledOrder = mediator.CancelOrder(addedOrder.ID, fakeSessionId);
Assert.IsNotNull(cancelledOrder, "Cancelled order should not be null");
mockRepository.Verify(r => r.DeleteOrder(o.ID), Times.Once());
Assert.AreEqual(o.ID, cancelledOrder.ID);
Assert.AreEqual(o.ClOrdID, cancelledOrder.ClOrdID);
}
/// <summary>
/// Checks the given FIX session is the order owner before deleting an order
/// </summary>
/// <param name="orderID">The order to delete</param>
/// <param name="sessionID">The ID of the FIX session</param>
/// <returns>The order which has been cancelled</returns>
/// <exception cref="FixATServerException">If the FIX session does not own the order</exception>
public IOrder CancelOrder(long orderID, FixSessionID sessionID)
{
var owner = _orderOwners[orderID];
if (!owner.Equals(sessionID))
{
var e = new FixATServerException(
string.Format("Unable to cancel order {0}, permission denied", orderID));
e.Data[RejectReasonExceptionString] = OrderCancelRejectReason.PermissionDenied;
throw e;
}
var deletedOrder = DeleteOrder(orderID);
if (deletedOrder == null)
{
var e = new FixATServerException(
string.Format("Unable to cancel order {0}, order not found", orderID));
e.Data[RejectReasonExceptionString] = OrderCancelRejectReason.OrderNotFound;
throw e;
}
return(deletedOrder);
}
public void CancellingAnOrderWhenYouAreNotTheOwningSessionFails()
{
var mockRepository = new Mock<IOrderRepository>();
var o = DefaultOrder(1);
mockRepository.Setup(r => r.AddOrder(o.ID,
o.Contract,
o.OrderType,
o.MarketSide,
o.Price,
o.Quantity,
o.ClOrdID,
o.Account))
.Returns(o);
Action<OrderMatch, FixSessionID> emptyMatchCallback = (m, s) => { };
var mediator = new OrderMediator(mockRepository.Object, emptyMatchCallback);
var fakeSessionId1 = new FixSessionID();
var fakeSessionId2 = new FixSessionID();
Assert.AreNotEqual(fakeSessionId1, fakeSessionId2);
var addedOrder = mediator.AddOrder(fakeSessionId1,
o.OrderType,
o.Contract.Symbol,
o.MarketSide,
o.ClOrdID,
o.Account,
o.Quantity,
o.Price);
Assert.Throws<FixATServerException>(
() => mediator.CancelOrder(addedOrder.ID, fakeSessionId2));
mockRepository.Verify(r => r.DeleteOrder(o.ID), Times.Never());
}
public void SendMessage(Message message, FixSessionID sessionID)
{
SendMessage(message, _sessionIDMap.GetBySecond(sessionID));
}
private void OnOrderMatched(OrderMatch matchDetails, FixSessionID sessionID)
{
var cmd = _commandFactory.CreateSendOrderFill(matchDetails, sessionID);
_outputQueue.Enqueue(cmd);
}
/// <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 void AddSession(SessionID fixID, IFixMessageHandler messageHandler)
{
var newID = new FixSessionID();
_sessionIDMap.Add(fixID, newID);
_sessionRepository.AddSession(newID, messageHandler);
}
public void SendMessage(Message message, FixSessionID sessionID)
{
SendMessage(message, _sessionIDMap.GetBySecond(sessionID));
}
/// <summary>
/// Checks the given FIX session is the order owner before deleting an order
/// </summary>
/// <param name="orderID">The order to delete</param>
/// <param name="sessionID">The ID of the FIX session</param>
/// <returns>The order which has been cancelled</returns>
/// <exception cref="FixATServerException">If the FIX session does not own the order</exception>
public IOrder CancelOrder(long orderID, FixSessionID sessionID)
{
var owner = _orderOwners[orderID];
if (!owner.Equals(sessionID))
{
var e = new FixATServerException(
string.Format("Unable to cancel order {0}, permission denied", orderID));
e.Data[RejectReasonExceptionString] = OrderCancelRejectReason.PermissionDenied;
throw e;
}
var deletedOrder = DeleteOrder(orderID);
if (deletedOrder == null)
{
var e = new FixATServerException(
string.Format("Unable to cancel order {0}, order not found", orderID));
e.Data[RejectReasonExceptionString] = OrderCancelRejectReason.OrderNotFound;
throw e;
}
return deletedOrder;
}
/// <summary>
/// Deletes all the orders owned by the given FIX session
/// </summary>
public void DeleteAllOrders(FixSessionID sessionID)
{
// TODO This could get racey
var sessionsOrders =
_orderOwners.Where(p => sessionID.Equals(p.Value)).Select(p => p.Key).ToList();
foreach (var orderID in sessionsOrders)
{
DeleteOrder(orderID);
}
}
public void SendOrders(FixSessionID sessionID, List<IOrder> orders)
{
var fixID = _sessionIDMap.GetBySecond(sessionID);
Action<IFixMessageHandler> messageSendF =
handler => handler.SendOrdersToSession(fixID, orders);
_sessionRepository.SendMessageToHandler(sessionID, messageSendF);
}
private void OnOrderMatched(OrderMatch matchDetails, FixSessionID sessionID)
{
var cmd = _commandFactory.CreateSendOrderFill(matchDetails, sessionID);
_outputQueue.Enqueue(cmd);
}