public Message CreateNewOrderExecutionReport(IOrder o, string execID)
{
var exReport = new ExecutionReport(
new OrderID(o.ID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecTransType(ExecType.NEW),
new ExecType(ExecType.NEW),
new OrdStatus(OrdStatus.NEW),
new Symbol(o.Contract.Symbol),
TranslateFixFields.Translate(o.MarketSide),
new LeavesQty(o.Quantity),
new CumQty(0m),
new AvgPx(o.Price))
{
ClOrdID = new ClOrdID(o.ClOrdID),
OrderQty = new OrderQty(o.Quantity),
LastShares = new LastShares(0m)
};
//exReport.Set(new LastPx(o.Price));
if (TradingAccount.IsSet(o.Account))
{
exReport.SetField(new Account(o.Account.Name));
}
return(exReport);
}
// From fixprotocol.org:
// CumQty: Currently executed shares for chain of orders.
// LeavesQty: Amount of shares open for further execution. If the OrdStatus is Canceled,
// DoneForTheDay, Expired, Calculated, or Rejected (in which case the order
// is no longer active) then LeavesQty could be 0,
// otherwise LeavesQty = OrderQty - CumQty.
// LastShares: Quantity of shares bought/sold on this (last) fill.
//
// Also see http://www.onixs.biz/fix-dictionary/4.2/msgType_8_8.html
// The general rule is: OrderQty <38> = CumQty <14> + LeavesQty <151>.
public Message CreateFillReport(OrderMatch match, string execID)
{
var exReport = new ExecutionReport(
new OrderID(match.OrderID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecTransType(ExecTransType.NEW),
new ExecType(match.MatchType == MatchType.Full
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(match.MatchType == MatchType.Full
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
new Symbol(match.Contract.Symbol),
TranslateFixFields.Translate(match.MarketSide),
new LeavesQty(match.RemainingQuantity),
new CumQty(match.OriginalOrderQuantity - match.RemainingQuantity),
new AvgPx(match.Price))
{
ClOrdID = new ClOrdID(match.ClOrdID),
OrderQty = new OrderQty(match.OriginalOrderQuantity),
LastShares = new LastShares(match.MatchedQuantity),
LastPx = new LastPx(match.Price)
};
if (TradingAccount.IsSet(match.Account))
{
exReport.SetField(new Account(match.Account.Name));
}
return(exReport);
}
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);
}
public Message CreateOrderCancelMessage(string symbol,
string clOrdID,
string newClOrdID,
MarketSide side,
string orderID)
{
var ocq = new OrderCancelRequest(new OrigClOrdID(clOrdID),
new ClOrdID(newClOrdID),
new Symbol(symbol),
TranslateFixFields.Translate(side),
new TransactTime(DateTime.Now))
{
OrderID = new OrderID(orderID)
};
return(ocq);
}
public Message CreateOrderCancelAccept(IOrder cancelledOrder, string execID)
{
var exReport = new ExecutionReport(
new OrderID(cancelledOrder.ID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(ExecType.CANCELED),
new OrdStatus(OrdStatus.CANCELED),
new Symbol(cancelledOrder.Contract.Symbol),
TranslateFixFields.Translate(cancelledOrder.MarketSide),
new LeavesQty(0m), // 0 because the order is being cancelled
new CumQty(cancelledOrder.FilledQuantity),
new AvgPx(cancelledOrder.Price))
{
OrderQty = new OrderQty(cancelledOrder.OriginalQuantity),
ClOrdID = new ClOrdID(cancelledOrder.ClOrdID)
};
return(exReport);
}
private static OrderData TranslateOrderImpl(Symbol symbol,
Side side,
OrdType ordType,
OrderQty orderQty,
Price price,
ClOrdID clOrdID,
Account account)
{
switch (ordType.getValue())
{
case OrdType.LIMIT:
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
//case OrdType.MARKET: break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
return(new OrderData
{
MarketSide = TranslateFixFields.Translate(side),
Symbol = symbol.getValue(),
OrderType = TranslateFixFields.Translate(ordType),
Quantity = orderQty.getValue(),
Price = price.getValue(),
ClOrdID = clOrdID.getValue(),
Account =
account == null
? TradingAccount.None
: new TradingAccount(account.getValue())
});
}
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 ExecTransType(ExecTransType.NEW),
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);
}