public Message NewOrder(MDEntryGroup entryGroup, double quantity)
{
bool isInvertedSecurity = entryGroup.OwnerEntry.IsInverted;
Message message = null;
Account account = new Account(GetOrderSession().getSenderCompID().ToLower());
ClOrdID clOrdId = new ClOrdID("ClOrd_" + Guid.NewGuid());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
OrdType ordType = new OrdType(OrdType.LIMIT);
TimeInForce timeInForce = new TimeInForce(TimeInForce.FILL_OR_KILL);
TransactTime transactTime = new TransactTime();
Price price = new Price(entryGroup.MDEntryPx);
SecurityExchange securityExchange = new SecurityExchange(entryGroup.OwnerEntry.SecurityExchange);
SecurityType securityType = new SecurityType(entryGroup.OwnerEntry.SecurityType);
Symbol symbol = new Symbol(entryGroup.OwnerEntry.Symbol);
SecurityID securityId = new SecurityID(entryGroup.OwnerEntry.SecurityID);
OrderQty orderQty = new OrderQty(quantity);
Side side = null;
switch (entryGroup.MDEntryType)
{
case MDEntryType.BID:
side = new Side(Side.SELL);
break;
case MDEntryType.OFFER:
side = new Side(Side.BUY);
break;
default:
throw new Exception("Undefined entry type.");
}
//if (isInvertedSecurity && side.getValue() == Side.BUY)
// price = new Price(-price.getValue());
message = new QuickFix42.NewOrderSingle();
((QuickFix42.NewOrderSingle) message).set(account);
((QuickFix42.NewOrderSingle) message).set(clOrdId);
((QuickFix42.NewOrderSingle) message).set(side);
((QuickFix42.NewOrderSingle) message).set(transactTime);
((QuickFix42.NewOrderSingle) message).set(ordType);
((QuickFix42.NewOrderSingle) message).set(price);
((QuickFix42.NewOrderSingle) message).set(orderQty);
((QuickFix42.NewOrderSingle) message).set(securityId);
((QuickFix42.NewOrderSingle) message).set(securityExchange);
((QuickFix42.NewOrderSingle) message).set(timeInForce);
((QuickFix42.NewOrderSingle) message).set(securityType);
return message;
}
public Order(MDEntryGroup entryGroup, double quantity)
{
int propIndex = -1;
SecurityEntry ownerEntry = entryGroup.OwnerEntry;
propIndex = ownerEntry.GetGroupIndex(entryGroup);
weakCopy = entryGroup.OwnerEntry.WeakClone();
currentMDGroup = weakCopy.GetGroup((uint)propIndex);
OrderMessage = FixApplication.Current.NewOrder(entryGroup, quantity);
}
public Order(IProposal proposal, double quantity)
{
int propIndex = -1;
SecurityEntry ownerEntry = ((MDEntryGroup) proposal).OwnerEntry;
propIndex = ownerEntry.GetGroupIndex((MDEntryGroup)proposal);
weakCopy = ((Proposal) proposal).OwnerEntry.WeakClone();
currentMDGroup = weakCopy.GetGroup((uint) propIndex);
OrderMessage = FixApplication.Current.NewOrder(proposal, quantity);
}
public int GetGroupIndex(MDEntryGroup entryGroup)
{
for (int i = 0; i < MDGroupCount; i++)
{
if (MDEntryGroups[i] == entryGroup)
return i;
}
return -1;
}
internal MDEntryGroup Clone(SecurityEntry newOwner)
{
MDEntryGroup newGroup = new MDEntryGroup(newOwner);
Utils.CopyPropertiesAndFields(this, newGroup);
return newGroup;
}
private static void FillData(MDEntryGroup entryGroup, ref Dictionary<string, string> dict)
{
if (entryGroup == null)
return;
string px = entryGroup.MDEntryPx.ToString(Constants.FloatingPointFormat);
string size = entryGroup.MDEntrySize.ToString("F0");
switch (entryGroup.MDEntryType)
{
case QuickFix.MDEntryType.BID:
dict["bPx"] = px;
dict["bCount"] = size;
break;
case QuickFix.MDEntryType.OFFER:
dict["aPx"] = px;
dict["aCount"] = size;
break;
default:
throw new Exception("Undefined entry type.");
}
}