public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Console.WriteLine("* Got a NewOrderSingle. Responding with an ExecutionReport.");
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
throw new IncorrectTagValue(price.Tag);
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
exReport.SetField(n.Account);
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
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 void Set(QuickFix.Fields.Price val)
{
this.Price = val;
}
public bool IsSet(QuickFix.Fields.Price val)
{
return(IsSetPrice());
}
public QuickFix.Fields.Price Get(QuickFix.Fields.Price val)
{
GetField(val);
return(val);
}
public void Set(QuickFix.Fields.Price val)
{
this.Price = val;
}