public QuickFix.FIX44.Message CreateFillReport(OrderMatchReport report)
{
var execId = string.Format("{0}{1}", report.Asset.Symbol, DIContainer.ResolveByName <IdGenerator>("ExecIdGenerator").GenerateId());
var symbol = new Symbol(report.Asset.Symbol);
var executionReport = new ExecutionReport(
new OrderID(report.OrderId.ToString(CultureInfo.InvariantCulture)),
new ExecID(execId),
new ExecType(report.MatchType == OrderMatchType.Filled
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(report.MatchType == OrderMatchType.Filled
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
symbol,
FixFieldsConverter.Convert(report.OrderSide),
new LeavesQty(report.RemainingQuantity),
new CumQty(report.OriginalOrderQuantity - report.RemainingQuantity),
new AvgPx(report.Price))
{
ClOrdID = new ClOrdID(report.ClOrdId),
Symbol = symbol,
OrderQty = new OrderQty(report.OriginalOrderQuantity),
LastQty = new LastQty(report.MatchedQuantity),
LastPx = new LastPx(report.Price)
};
if (TradingAccount.IsSet(report.Account))
{
executionReport.SetField(new Account(report.Account.Name));
}
return(executionReport);
}
private static Order Convert(MessageType commandType,
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);
}
var orderId = DIContainer.ResolveByName <IdGenerator>("OrderIdGenerator").GenerateId();
return(new Order
{
CommandType = commandType,
OrderId = orderId,
OrderSide = FixFieldsConverter.Convert(side),
Asset = new Asset(symbol.getValue()),
OrderType = FixFieldsConverter.Convert(ordType),
Quantity = orderQty.getValue(),
Price = price.getValue(),
ClOrdId = clOrdId.getValue(),
Account =
account == null
? TradingAccount.None
: new TradingAccount(account.getValue())
});
}
