private OrderWorking GenerateOrderWorkingEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var symbol = this.GetSymbol(message.GetField(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType));
var quantity = Quantity.Create(message.GetDecimal(Tags.OrderQty));
var price = FxcmMessageHelper.GetOrderPrice(orderType, message);
var timeInForce = FxcmMessageHelper.GetTimeInForce(message.GetField(Tags.TimeInForce));
var expireTime = FxcmMessageHelper.GetExpireTime(message);
var workingTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderWorking(
this.accountId,
orderId,
orderIdBroker,
symbol,
orderSide,
orderType,
quantity,
price,
timeInForce,
expireTime,
workingTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderPartiallyFilled GenerateOrderPartiallyFilledEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var executionId = new ExecutionId(message.GetField(Tags.ExecID));
var positionIdBroker = new PositionIdBroker(message.GetField(FxcmTags.PosID));
var symbol = this.GetSymbol(message.GetField(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var filledQuantity = Quantity.Create(message.GetDecimal(Tags.CumQty));
var averagePrice = Price.Create(message.GetDecimal(Tags.AvgPx));
var quoteCurrency = this.GetQuoteCurrency(symbol, message.GetField(Tags.Currency));
var leavesQuantity = Quantity.Create(message.GetInt(Tags.LeavesQty));
var executionTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderPartiallyFilled(
this.accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
leavesQuantity,
averagePrice,
quoteCurrency,
executionTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderExpired GenerateOrderExpiredEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var expiredTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderExpired(
this.accountId,
orderId,
expiredTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderRejected GenerateOrderRejectedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var rejectedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
var rejectReason = message.GetField(FxcmTags.ErrorDetails).TrimEnd('.');
return(new OrderRejected(
this.accountId,
orderId,
rejectedTime,
rejectReason,
this.NewGuid(),
this.TimeNow()));
}
private OrderModified GenerateOrderModifiedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType));
var quantity = message.IsSetField(Tags.LeavesQty)
? Quantity.Create(message.GetDecimal(Tags.LeavesQty))
: Quantity.Create(message.GetDecimal(Tags.OrderQty));
var price = FxcmMessageHelper.GetOrderPrice(orderType, message);
var modifiedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderModified(
this.accountId,
orderId,
orderIdBroker,
quantity,
price,
modifiedTime,
this.NewGuid(),
this.TimeNow()));
}
public void OnMessage(QuickFix.FIX44.OrderCancelReject message)
{
Debug.NotNull(this.tradingGateway, nameof(this.tradingGateway));
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(OrderCancelReject)}");
var orderId = this.GetOrderId(message);
var rejectedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
var rejectResponseTo = FxcmMessageHelper.GetCxlRejResponseTo(message.CxlRejResponseTo);
var rejectReason = message.GetField(FxcmTags.ErrorDetails).TrimEnd('.');
var orderCancelReject = new OrderCancelReject(
this.accountId,
orderId,
rejectedTime,
rejectResponseTo,
rejectReason,
this.NewGuid(),
this.TimeNow());
this.tradingGateway?.Send(orderCancelReject);
}
private ZonedDateTime GetMarketDataTimestamp()
{
var dateTimeString = $"{this.mdBidGroup.GetField(Tags.MDEntryDate)}-{this.mdBidGroup.GetField(Tags.MDEntryTime)}";
return(FxcmMessageHelper.ParseTimestamp(dateTimeString));
}