private QuickFix.FIX42.NewOrderSingle createHeldOptionOrder(Model.OrderModel orderModel)
{
var order = new QuickFix.FIX42.NewOrderSingle(
new ClOrdID(orderModel.messageId),
new HandlInst('1'),
new Symbol(orderModel.underlyingExchangeSymbol),
StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.side),
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT));
order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
order.SetField(new StringField(18203, orderModel.underlyingGateway));
order.PutOrCall = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.optionType);
order.StrikePrice = new StrikePrice(orderModel.optionStrikePrice); //new StrikePrice(new decimal(207000));
order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
order.OrderQty = new OrderQty(orderModel.orderQty);
order.SetField(new CharField(11028, 'Y'));
//order.SetField(new StringField(50, "TML1"));
//order.SetField(new StringField(16142, "TML NORTH VANCOUVER"));
order.SetField(new StringField(18220, orderModel.broker_18220));
//order.SetField(new StringField(16106, orderModel.stagedOrderMessage));
order.SetField(new CharField(16111, 'I'));
order.Account = new Account(orderModel.acct);
order.Price = new Price(orderModel.orderPrice);
order.ExecInst = new ExecInst("5");
fillOrderInfoForICE(order, orderModel);
//OrderRecord r = new OrderRecord(order);
//lock (_orderViewModel.ordersLock)
//{
// _orderViewModel.Orders.Add(r);
//}
//if (_fixConnectionSystem.InitiatorRunning && _connectionViewModel.IsOrderConnected)
//{
// QuickFix.Session.SendToTarget(order, _fixConnectionSystem.orderSession.SessionID);
//}
return(order);
}
private QuickFix.FIX42.NewOrderSingle createStagedFutureOrder(Model.OrderModel orderModel)
{
var order = new QuickFix.FIX42.NewOrderSingle(
new ClOrdID(orderModel.messageId),
new HandlInst('3'),
new Symbol(orderModel.underlyingExchangeSymbol),
StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.side),
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT));
//if(order.Side.Obj == Side.BUY)
//switch (order.Side.Obj)
//{
// case QuickFix.Fields.Side.BUY:
// Console.Write("t");
// break;
// case QuickFix.Fields.Side.SELL:
// Console.Write("t");
// break;
//}
order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
order.SetField(new StringField(18203, orderModel.underlyingGateway));
order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
order.OrderQty = new OrderQty(orderModel.orderQty);
//order.Price = new Price(new decimal(207175));
order.SetField(new CharField(11028, 'Y'));
//order.SetField(new StringField(50, "TML1"));
//order.SetField(new StringField(16142, "TML NORTH VANCOUVER"));
order.SetField(new StringField(18220, orderModel.broker_18220));
order.SetField(new StringField(16106, orderModel.stagedOrderMessage));
order.SetField(new CharField(16111, 'I'));
order.Account = new Account(orderModel.acct);
order.Price = new Price(0);
fillOrderInfoForICE(order, orderModel);
return(order);
}
private void sendFuturesMarketDataRequest(Model.OrderModel orderModel)
{
var mdrq = new QuickFix.FIX42.MarketDataRequest(
new MDReqID(orderModel.messageId), //DateTime.Now.ToOADate().ToString()),
new SubscriptionRequestType(SubscriptionRequestType.SNAPSHOT),
new MarketDepth(1)
);
mdrq.AggregatedBook =
new AggregatedBook(AggregatedBook.ONE_BOOK_ENTRY_PER_SIDE_PER_PRICE);
QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup entryTypeGroups =
new QuickFix.FIX42.MarketDataRequest.NoMDEntryTypesGroup();
entryTypeGroups.MDEntryType = new MDEntryType(MDEntryType.BID);
mdrq.AddGroup(entryTypeGroups);
entryTypeGroups.MDEntryType = new MDEntryType(MDEntryType.OFFER);
mdrq.AddGroup(entryTypeGroups);
QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup symGroup = new QuickFix.FIX42.MarketDataRequest.NoRelatedSymGroup();
//symGroup.Symbol = new Symbol("FOO1");
//symGroup.SecurityID = new SecurityID("secid1");
symGroup.Symbol = new Symbol(orderModel.underlyingExchangeSymbol);
symGroup.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
symGroup.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
symGroup.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
mdrq.AddGroup(symGroup);
//mdrq.MDUpdateType = new MDUpdateType(MDEntryType.BID);
//mdrq.MDUpdateType = new MDUpdateType(MDEntryType.OFFER);
//mdrq.NoRelatedSym = new NoRelatedSym(1);
if (_fixConnectionSystem.InitiatorRunning && _connectionViewModel.IsPriceConnected)
{
Thread sendToTargetThreading = new Thread(new ParameterizedThreadStart(sendToMarketDataRequestToTarget));
sendToTargetThreading.IsBackground = true;
sendToTargetThreading.Start(mdrq);
//QuickFix.Session.SendToTarget(mdrq, _fixConnectionSystem.priceSession.SessionID);
}
}
private void createSecDefRequest(Model.OrderModel orderModel)
{
QuickFix.FIX42.SecurityDefinitionRequest order = new QuickFix.FIX42.SecurityDefinitionRequest();
//new ClOrdID(DateTime.Now.ToOADate().ToString()),
//new HandlInst('3'),
//new Symbol("ES"),
//new Side(Side.BUY),
//new TransactTime(DateTime.Now),
//new OrdType(OrdType.LIMIT));
order.Symbol = new Symbol(orderModel.underlyingExchangeSymbol);
order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
if (orderModel.securityType == Enums.SECURITY_TYPE.OPTION)
{
order.PutOrCall = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.optionType);
}
order.StrikePrice = new StrikePrice(orderModel.optionStrikePrice); //new decimal(207000));
order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
//order.OrderQty = new OrderQty(2);
//order.Price = new Price(new decimal(1300));
//new HandlInst()
//new ClOrdID("1234"),
//new Symbol("AAPL"),
//new Side(Side.BUY),
//new TransactTime(DateTime.Now),
//new OrdType(OrdType.LIMIT));
//order.SetField(new StringField(16106, "StagedOrderMsg"));
//order.SetField(new CharField(16111, 'I'));
//order.Account = new Account("tmqrexodts");
//QuickFix.Session.SendToTarget(order, _session.SessionID);
//QuickFix.FIX42.NewOrderSingle order = (QuickFix.FIX42.NewOrderSingle)orderObject;
QuickFix.Session.SendToTarget(order, _fixConnectionSystem.orderSession.SessionID);
}