public TradingSessionStatus(
QuickFix.Fields.TradingSessionID aTradingSessionID,
QuickFix.Fields.TradSesStatus aTradSesStatus
) : this()
{
this.TradingSessionID = aTradingSessionID;
this.TradSesStatus = aTradSesStatus;
}
public void Set(QuickFix.Fields.TradingSessionID val)
{
this.TradingSessionID = val;
}
public bool IsSet(QuickFix.Fields.TradingSessionID val)
{
return(IsSetTradingSessionID());
}
public QuickFix.Fields.TradingSessionID Get(QuickFix.Fields.TradingSessionID val)
{
GetField(val);
return(val);
}
public void Set(QuickFix.Fields.TradingSessionID val)
{
this.TradingSessionID = val;
}
/// <summary>
/// Creates a FIX4.4 NewOrderSingle message for Fxcm
/// </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 account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
//var noTradingSession = new QuickFix.Fields.NoTradingSessions(1);
//newOrderSingle.SetField(noTradingSession);
// Create a new Trading Session Group
QuickFix.FIX44.NewOrderSingle.NoTradingSessionsGroup noTradingSession = new QuickFix.FIX44.NewOrderSingle.NoTradingSessionsGroup();
{
var tradingSessionId = new QuickFix.Fields.TradingSessionID(_tradeTargetCompId);
noTradingSession.SetField(tradingSessionId);
var tradingSessionSubId = new QuickFix.Fields.TradingSessionSubID(_tradeTargetSubId);
noTradingSession.SetField(tradingSessionSubId);
newOrderSingle.AddGroup(noTradingSession);
}
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));
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
//var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize);
//newOrderSingle.SetField(maxShow);
//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);
}
