public Message CreateFillReport(OrderMatch match, string execID)
{
var symbol = new Symbol(match.Contract.Symbol);
var exReport = new ExecutionReport(
new OrderID(match.OrderID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(match.MatchType == MatchType.Full
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(match.MatchType == MatchType.Full
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
symbol,
TranslateFixFields.Translate(match.MarketSide),
new LeavesQty(match.RemainingQuantity),
new CumQty(match.OriginalOrderQuantity - match.RemainingQuantity),
new AvgPx(match.Price))
{
ClOrdID = new ClOrdID(match.ClOrdID),
Symbol = symbol,
OrderQty = new OrderQty(match.OriginalOrderQuantity),
LastQty = new LastQty(match.MatchedQuantity),
LastPx = new LastPx(match.Price)
};
if (TradingAccount.IsSet(match.Account))
exReport.SetField(new Account(match.Account.Name));
return exReport;
}
public Message CreateNewOrderExecutionReport(IOrder o, string execID)
{
var symbol = new Symbol(o.Contract.Symbol);
var exReport = new ExecutionReport(
new OrderID(o.ID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(ExecType.NEW),
new OrdStatus(OrdStatus.NEW),
symbol,
TranslateFixFields.Translate(o.MarketSide),
new LeavesQty(o.Quantity),
new CumQty(0m),
new AvgPx(o.Price))
{
ClOrdID = new ClOrdID(o.ClOrdID),
Symbol = symbol,
OrderQty = new OrderQty(o.Quantity),
LastQty = new LastQty(0m)
};
//exReport.Set(new LastPx(o.Price));
if (TradingAccount.IsSet(o.Account))
exReport.SetField(new Account(o.Account.Name));
return exReport;
}
public ExecutionReport(
QuickFix.Fields.OrderID aOrderID,
QuickFix.Fields.ExecID aExecID,
QuickFix.Fields.ExecTransType aExecTransType,
QuickFix.Fields.OrdStatus aOrdStatus,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.LastShares aLastShares,
QuickFix.Fields.LastPx aLastPx,
QuickFix.Fields.CumQty aCumQty,
QuickFix.Fields.AvgPx aAvgPx
) : this()
{
this.OrderID = aOrderID;
this.ExecID = aExecID;
this.ExecTransType = aExecTransType;
this.OrdStatus = aOrdStatus;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.LastShares = aLastShares;
this.LastPx = aLastPx;
this.CumQty = aCumQty;
this.AvgPx = aAvgPx;
}
/// <summary>
/// Creates a FIX4.4 OrderCancelRequest message for Forexware
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
var account = new QuickFix.Fields.Account(_account);
orderCancelRequest.SetField(account);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
orderCancelRequest.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
orderCancelRequest.Set(new Side(Side.SELL));
}
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
//QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
//orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
public Quote(
QuickFix.Fields.QuoteID aQuoteID,
QuickFix.Fields.Symbol aSymbol
) : this()
{
this.QuoteID = aQuoteID;
this.Symbol = aSymbol;
}
public SecurityListRequest(
QuickFix.Fields.SecurityReqID aSecurityReqID,
QuickFix.Fields.SecurityListRequestType aSecurityListRequestType,
QuickFix.Fields.Symbol aSymbol
) : this()
{
this.SecurityReqID = aSecurityReqID;
this.SecurityListRequestType = aSecurityListRequestType;
this.Symbol = aSymbol;
}
public Quote(
QuickFix.Fields.QuoteID aQuoteID,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.BidPx aBidPx
) : this()
{
this.QuoteID = aQuoteID;
this.Symbol = aSymbol;
this.BidPx = aBidPx;
}
public DontKnowTrade(
QuickFix.Fields.DKReason aDKReason,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide
) : this()
{
this.DKReason = aDKReason;
this.Symbol = aSymbol;
this.Side = aSide;
}
public OrderStatusRequest(
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide
) : this()
{
this.ClOrdID = aClOrdID;
this.Symbol = aSymbol;
this.Side = aSide;
}
public SecurityStatusRequest(
QuickFix.Fields.SecurityStatusReqID aSecurityStatusReqID,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.SubscriptionRequestType aSubscriptionRequestType
) : this()
{
this.SecurityStatusReqID = aSecurityStatusReqID;
this.Symbol = aSymbol;
this.SubscriptionRequestType = aSubscriptionRequestType;
}
/// <summary>
/// Creates a FIX4.3 NewOrderSingle message for GTX
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX43.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
newOrderSingle.SetField(side);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var minQty = new QuickFix.Fields.MinQty(order.OrderSize);
newOrderSingle.SetField(minQty);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION);
newOrderSingle.SetField(execInst);
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
return(newOrderSingle);
}
public OrderCancelRequest(
QuickFix.Fields.OrigClOrdID aOrigClOrdID,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide
) : this()
{
this.OrigClOrdID = aOrigClOrdID;
this.ClOrdID = aClOrdID;
this.Symbol = aSymbol;
this.Side = aSide;
}
public DontKnowTrade(
QuickFix.Fields.OrderID aOrderID,
QuickFix.Fields.ExecID aExecID,
QuickFix.Fields.DKReason aDKReason,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide
) : this()
{
this.OrderID = aOrderID;
this.ExecID = aExecID;
this.DKReason = aDKReason;
this.Symbol = aSymbol;
this.Side = aSide;
}
public NewOrderSingle(
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.HandlInst aHandlInst,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrdType aOrdType
) : this()
{
this.ClOrdID = aClOrdID;
this.HandlInst = aHandlInst;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrdType = aOrdType;
}
public Advertisement(
QuickFix.Fields.AdvId aAdvId,
QuickFix.Fields.AdvTransType aAdvTransType,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.AdvSide aAdvSide,
QuickFix.Fields.Shares aShares
) : this()
{
this.AdvId = aAdvId;
this.AdvTransType = aAdvTransType;
this.Symbol = aSymbol;
this.AdvSide = aAdvSide;
this.Shares = aShares;
}
public IndicationofInterest(
QuickFix.Fields.IOIid aIOIid,
QuickFix.Fields.IOITransType aIOITransType,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.IOIShares aIOIShares
) : this()
{
this.IOIid = aIOIid;
this.IOITransType = aIOITransType;
this.Symbol = aSymbol;
this.Side = aSide;
this.IOIShares = aIOIShares;
}
/// <summary>
/// Creates a FIX4.4 OrderCancelRequest message for Fxcm
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.OrderCancelRequest OrderCancelRequest(Order order)
{
char orderSide = default(char);
if (order.OrderSide == Constants.OrderSide.BUY)
{
orderSide = Side.BUY;
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
orderSide = Side.SELL;
}
if (orderSide.Equals(default(char)))
{
_logger.Error("Invalid Order Side", _type.FullName, "OrderCancelRequest");
return(null);
}
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
QuickFix.Fields.OrderID orderId = new QuickFix.Fields.OrderID(order.BrokerOrderID);
orderCancelRequest.SetField(orderId);
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
var account = new QuickFix.Fields.Account(_account);
orderCancelRequest.SetField(account);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(orderSide);
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
public DontKnowTrade(
QuickFix.Fields.DKReason aDKReason,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.LastShares aLastShares,
QuickFix.Fields.LastPx aLastPx
) : this()
{
this.DKReason = aDKReason;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.LastShares = aLastShares;
this.LastPx = aLastPx;
}
public OrderCancelReplaceRequest(
QuickFix.Fields.OrigClOrdID aOrigClOrdID,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.HandlInst aHandlInst,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrdType aOrdType
) : this()
{
this.OrigClOrdID = aOrigClOrdID;
this.ClOrdID = aClOrdID;
this.HandlInst = aHandlInst;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrdType = aOrdType;
}
public OrderCancelRequest(
QuickFix.Fields.OrigClOrdID aOrigClOrdID,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.CxlType aCxlType,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty
) : this()
{
this.OrigClOrdID = aOrigClOrdID;
this.ClOrdID = aClOrdID;
this.CxlType = aCxlType;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
}
public Allocation(
QuickFix.Fields.AllocID aAllocID,
QuickFix.Fields.AllocTransType aAllocTransType,
QuickFix.Fields.Side aSide,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Shares aShares,
QuickFix.Fields.AvgPx aAvgPx,
QuickFix.Fields.TradeDate aTradeDate
) : this()
{
this.AllocID = aAllocID;
this.AllocTransType = aAllocTransType;
this.Side = aSide;
this.Symbol = aSymbol;
this.Shares = aShares;
this.AvgPx = aAvgPx;
this.TradeDate = aTradeDate;
}
public NewOrderList(
QuickFix.Fields.ListID aListID,
QuickFix.Fields.ListSeqNo aListSeqNo,
QuickFix.Fields.ListNoOrds aListNoOrds,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.HandlInst aHandlInst,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.OrderQty aOrderQty,
QuickFix.Fields.OrdType aOrdType
) : this()
{
this.ListID = aListID;
this.ListSeqNo = aListSeqNo;
this.ListNoOrds = aListNoOrds;
this.ClOrdID = aClOrdID;
this.HandlInst = aHandlInst;
this.Symbol = aSymbol;
this.Side = aSide;
this.OrderQty = aOrderQty;
this.OrdType = aOrdType;
}
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())
};
}
/// <summary>
/// Creates a FIX4.3 OrderCancelRequest message for Integral
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX43.OrderCancelRequest orderCancelRequest = new QuickFix.FIX43.OrderCancelRequest();
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
/// <summary>
/// Creates a FIX4.2 OrderCancelRequest message for Currenex
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX42.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX42.OrderCancelRequest orderCancelRequest = new QuickFix.FIX42.OrderCancelRequest();
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.OrdType ordType = new QuickFix.Fields.OrdType('F');
orderCancelRequest.SetField(ordType);
return(orderCancelRequest);
}
public void Set(QuickFix.Fields.Symbol val)
{
this.Symbol = val;
}
/// <summary>
/// Creates a FIX4.3 NewOrderSingle message for Integral
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX43.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract);
newOrderSingle.SetField(securityType);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
newOrderSingle.SetField(product);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
newOrderSingle.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
newOrderSingle.Set(new Side(Side.SELL));
}
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var minQty = new QuickFix.Fields.MinQty(order.OrderSize);
newOrderSingle.SetField(minQty);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize);
newOrderSingle.SetField(maxShow);
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION);
newOrderSingle.SetField(execInst);
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
return(newOrderSingle);
}
public SecurityStatus(
QuickFix.Fields.Symbol aSymbol
) : this()
{
this.Symbol = aSymbol;
}
public QuoteStatusRequest(
QuickFix.Fields.Symbol aSymbol
) : this()
{
this.Symbol = aSymbol;
}
/// <summary>
/// Creates a FIX4.4 NewOrderSingle message for Forexware
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX44.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
newOrderSingle.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
newOrderSingle.Set(new Side(Side.SELL));
}
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
//limit, market and stop orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
else if (order.GetType() == typeof(StopOrder))
{
newOrderSingle.Set(new OrdType(OrdType.STOP));
// set StopPX field
// TODO: add StopPx field
}
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
if (order.GetType() == typeof(LimitOrder) || order.GetType() == typeof(StopOrder))
{
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
}
return(newOrderSingle);
}
public QuickFix.Fields.Symbol Get(QuickFix.Fields.Symbol val)
{
GetField(val);
return(val);
}
private Queue<QuickFix.FIX42.NewOrderSingle> CreateOrders(int n)
{
Queue<QuickFix.FIX42.NewOrderSingle> orders = new Queue<QuickFix.FIX42.NewOrderSingle>(n);
for (int i = 0; i < n; i++) {
ClOrdID cloudOrderId = new ClOrdID(Guid.NewGuid().ToString());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
Symbol symbol = new Symbol("MSFT");
Side side = new Side(Side.BUY);
TransactTime time = new TransactTime();
OrdType orderType = new OrdType(OrdType.LIMIT);
QuickFix.FIX42.NewOrderSingle order = new QuickFix.FIX42.NewOrderSingle(cloudOrderId, handlInst, symbol, side, time, orderType);
order.Account = new Account("Account");
order.OrderQty = new OrderQty(100);
order.ExDestination = new ExDestination("*");
order.TimeInForce = new TimeInForce(TimeInForce.DAY);
order.Price = new Price(50m);
order.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
orders.Enqueue(order);
}
return orders;
}
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 bool IsSet(QuickFix.Fields.Symbol val)
{
return(IsSetSymbol());
}
public void set(Symbol field)
{
// 55
SetField(field);
}
public void Set(QuickFix.Fields.Symbol val)
{
this.Symbol = val;
}
/// <summary>
/// Creates a FIX4.2 NewOrderSingle message for Redi
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX42.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
if (!string.IsNullOrEmpty(_account))
{
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
}
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
var execInst = new QuickFix.Fields.ExecInst("h");
newOrderSingle.SetField(execInst);
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var exDestination = new QuickFix.Fields.ExDestination(";");
newOrderSingle.SetField(exDestination);
var country = new QuickFix.Fields.DeliverToLocationID("1");
newOrderSingle.SetField(country);
var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
newOrderSingle.SetField(side);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
return(newOrderSingle);
}