private void modifyOrder(KaiTrade.Interfaces.IMessage msg)
{
KaiTrade.Interfaces.IModifyOrderRequst mod = null;
try
{
mod = JsonConvert.DeserializeObject<K2DataObjects.ModifyOrderRequest>(msg.Data);
// Extract the raw FIX Message from the inbound message
string strOrder = msg.Data;
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.REPLACED;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = DriverBase.Identities.Instance.getNextOrderID();
if (mod.ClOrdID.Length == 0)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a clordid must be specified on a modify order");
Exception myE = new Exception("a clordid must be specified on a modify order");
throw myE;
}
if (mod.OrigClOrdID.Length == 0)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a original clordid must be specified on a modify order");
Exception myE = new Exception("an original clordid must be specified on a modify order");
throw myE;
}
int myIBOrderID = 0;
DriverBase.OrderContext myCntx = GetOrderContextClID(mod.OrigClOrdID);
if (myCntx == null)
{
throw new Exception("Cannot locate order context on modify request");
}
// record the context against the incomming request
RecordOrderContext(mod.ClOrdID, myCntx);
// get the contract
TWSLib.IContract myContract = getIBContract(myCntx.QFOrder);
if (myContract == null)
{
this.SendAdvisoryMessage("IB TWS: cannot find a valid contract");
throw new Exception("IB TWS: cannot find a valid contract");
}
// create an IB Order
TWSLib.IOrder myIBOrder = m_Host.TWS.createOrder();
myIBOrder.whatIf = 0;
myIBOrder.account = myCntx.OriginalOrder.Account;
if (myCntx.OriginalOrder.OrdType == KaiTrade.Interfaces.OrderType.LIMIT)
{
myIBOrder.orderType = "LMT";
}
else if (myCntx.OriginalOrder.OrdType == KaiTrade.Interfaces.OrderType.MARKET)
{
myIBOrder.orderType = "MKT";
}
else
{
this.SendAdvisoryMessage("IB TWS: order type not supported");
throw new Exception("IB TWS: order type not supported");
}
myIBOrder.totalQuantity = (int)myCntx.OriginalOrder.OrderQty;
// Side
string myAction = myCntx.OriginalOrder.Side;
myIBOrder.action = myAction;
// Time in force
string myTIF = myCntx.OriginalOrder.TimeInForce;
myIBOrder.timeInForce = myTIF;
if (myCntx.OriginalOrder.OrdType == KaiTrade.Interfaces.OrderType.LIMIT)
{
myIBOrder.lmtPrice = myCntx.Price;
}
myCntx.ClOrdID = mod.ClOrdID;
//int myIBOrderID = 0;
myIBOrderID = int.Parse(myCntx.APIOrderID);
m_Host.TWS.placeOrderEx(myIBOrderID, myContract, myIBOrder);
}
catch (Exception myE)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.Other, myE.Message);
_log.Error("modifyOrder", myE);
_log.Error("modifyOrder:req:"+msg.Data);
}
}
/// <summary>
/// FIX loop back order
/// </summary>
/// <param name="msg"></param>
public void submitOrder(KaiTrade.Interfaces.IMessage myMsg)
{
KaiTrade.Interfaces.ISubmitRequest nos = null;
try
{
nos = JsonConvert.DeserializeObject<K2DataObjects.SubmitRequest>(myMsg.Data);
log.Error("SUBTEST:" + myMsg.Data);
long quantity = nos.OrderQty;
decimal myOrdPrice = nos.Price.Value;
// Get the we want to order
string myMnemonic = nos.Mnemonic;
if (nos.SecurityID != null)
{
if (nos.SecurityID.Length > 0)
{
// is this new market processing?
if (m_Markets.ContainsKey(nos.SecurityID))
{
m_Markets[nos.SecurityID].submitOrder(myMsg);
return;
}
}
}
SimulatorProduct myProd = getProduct( myMnemonic);
if (myProd == null)
{
// we dont simulate this so reject it
string myError = "Product not available";
Exception myE = new Exception(myError);
throw myE;
}
// simulate rejecting certail accounts
if (nos.Account.Length>0)
{
if (nos.Account == "TestBadAccount")
{
// we dont simulate this so reject it
string myError = "Account not valid:" + nos.Account;
Exception myE = new Exception(myError);
throw myE;
}
}
// put this into the internal book
// send order in book exec report
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.NEW;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = DriverBase.Identities.Instance.getNextOrderID();
//sendExecReport(string orderID, string status, string execType, double lastQty, int leavesQty,int cumQty, double lastPx, double avePx, string text, string ordRejReason)
if (myProd.IsAutoFill)
{
DriverBase.OrderContext myContext = new DriverBase.OrderContext();
//myContext.QFOrder = myOrder;
myContext.ClOrdID = nos.ClOrdID;
myContext.OrderID = fill.OrderID;
myContext.OrderQty =(int) quantity;
//myContext.LeavesQty = quantity;
myContext.CumQty = 0;
// record the order in the context maps
RecordOrderContext(myContext.ClOrdID, myContext);
//m_OrderContextClOrdID.Add(myContext.ClOrdID, myContext);
m_OrderContextOrdID.Add(myContext.OrderID, myContext);
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, 0.0, (int)quantity, 0, (double)myOrdPrice, (double)myOrdPrice, "", "");
if ((nos.OrdType == KaiTrade.Interfaces.OrderType.STOP) || (nos.OrdType == KaiTrade.Interfaces.OrderType.STOPLIMIT))
{
// Just do the default
}
else
{
// is this for auto fill over time?
if (nos.Mnemonic == "HPQ")
{
myContext.FillPattern = DriverBase.fillPattern.gradual;
myContext.UpdatePeriod = 1;
m_FillList.Add(myContext);
}
// is this for auto fill over time?
if (nos.Mnemonic == "VOD")
{
myContext.FillPattern = DriverBase.fillPattern.fixedAmount;
int fillAmount =(int) ( (double)quantity * 0.5);
if (fillAmount > 0)
{
myContext.TargetFillAmount = fillAmount;
}
else
{
myContext.TargetFillAmount = 1;
}
myContext.UpdatePeriod = 12;
myContext.TimerCount = 1;
m_FillList.Add(myContext);
}
}
}
else
{
// put this into the internal book
// send order in book exec report
if (myOrdPrice == (decimal)0.0)
{
myOrdPrice = (decimal) this.getTradePx(myMnemonic);
}
// do nothing for now just let is stay working
DriverBase.OrderContext myContext = new DriverBase.OrderContext();
//myContext.QFOrder = myOrder;
myContext.ClOrdID = nos.ClOrdID;
myContext.OrderID = fill.OrderID;
myContext.OrderQty = (int)nos.OrderQty;
//myContext.LeavesQty = quantity;
myContext.CumQty = 0;
// record the order in the context maps
RecordOrderContext(myContext.ClOrdID, myContext);
//m_OrderContextClOrdID.Add(myContext.ClOrdID, myContext);
m_OrderContextOrdID.Add(myContext.OrderID, myContext);
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, 0.0, (int)nos.OrderQty, 0, 0.0, 0.0,"","");
// do some simple STOP processing
if ((nos.OrdType == KaiTrade.Interfaces.OrderType.STOP) || (nos.OrdType == KaiTrade.Interfaces.OrderType.STOPLIMIT))
{
}
else
{
// is this for auto fill over time?
if (nos.Mnemonic == "MRK")
{
// partial fill
int lastQty = 1;
int leavesQty = 0;
if (quantity > 1)
{
lastQty = (int)(quantity / 2);
leavesQty = (int)quantity - lastQty;
quantity = (int)(quantity / 2);
}
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.PARTIALLY_FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.PARTIAL_FILL;
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, (double)lastQty, leavesQty, lastQty, (double)myOrdPrice, (double)myOrdPrice,"", "");
myContext.OrderQty = (int)nos.OrderQty;
// myContext.LeavesQty = quantity;
myContext.CumQty = 0;
// record the order in the context maps
RecordOrderContext(myContext.ClOrdID, myContext);
//m_OrderContextClOrdID.Add(myContext.ClOrdID, myContext);
m_OrderContextOrdID.Add(myContext.OrderID, myContext);
}
else if (nos.Mnemonic == "ZSELL")
{
int lastQty = 1;
int leavesQty = 0;
if (!m_ZSELLTrigger)
{
m_ZSELLTrigger = true;
// partial fill
if (quantity > 1)
{
lastQty = (int)(quantity / 2);
leavesQty = (int)quantity - lastQty;
quantity = (int)(quantity / 2);
}
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.PARTIALLY_FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.PARTIAL_FILL;
}
else
{
m_ZSELLTrigger = false;
lastQty = (int)(quantity);
leavesQty = 0;
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.PARTIALLY_FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.PARTIAL_FILL;
}
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, (double)lastQty, leavesQty, lastQty, (double)myOrdPrice, (double)myOrdPrice, "", "");
myContext.OrderQty = (int)quantity;
//myContext.LeavesQty = quantity;
myContext.CumQty = 0;
// record the order in the context maps
RecordOrderContext(myContext.ClOrdID, myContext);
//m_OrderContextClOrdID.Add(myContext.ClOrdID, myContext);
m_OrderContextOrdID.Add(myContext.OrderID, myContext);
}
else if ((nos.Mnemonic == "ZBUY") && (nos.Side == KaiTrade.Interfaces.Side.SELL))
{
int lastQty = 1;
int leavesQty = 0;
if (!m_ZBUYTrigger)
{
m_ZBUYTrigger = true;
// partial fill
if (quantity > 1)
{
lastQty = (int)(quantity / 2);
leavesQty = (int)quantity - lastQty;
quantity = (int)(quantity / 2);
}
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.PARTIALLY_FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.PARTIAL_FILL;
}
else
{
m_ZBUYTrigger = false;
lastQty = (int)(quantity);
leavesQty = 0;
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.FILL;
}
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, (double)lastQty, leavesQty, lastQty, (double)myOrdPrice, (double)myOrdPrice, "", "");
myContext.OrderQty = (int) quantity;
//myContext.LeavesQty = quantity;
myContext.CumQty = 0;
// record the order in the context maps
RecordOrderContext(myContext.ClOrdID, myContext);
//m_OrderContextClOrdID.Add(myContext.ClOrdID, myContext);
m_OrderContextOrdID.Add(myContext.OrderID, myContext);
}
else
{
// fully fill
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.FILL;
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, (double)quantity, 0, (int)quantity, (double)myOrdPrice, (double)myOrdPrice, "", "");
}
}
}
}
catch (Exception myE)
{
log.Error("submitOrder", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
SendAdvisoryMessage("KTA Simulator:submitOrder: problem submitting order:" + myE.ToString());
if (nos != null)
{
sendExecReport(nos, KaiTrade.Interfaces.OrderStatus.REJECTED, KaiTrade.Interfaces.ExecType.REJECTED, myE.ToString(), "OTHER");
}
}
}
/// <summary>
/// Pull an order using the IB TWS api
/// </summary>
/// <param name="myMsg"></param>
private void pullOrder(KaiTrade.Interfaces.IMessage myMsg)
{
KaiTrade.Interfaces.ICancelOrderRequest cancel = null;
try
{
cancel = JsonConvert.DeserializeObject<K2DataObjects.CancelOrderRequest>(msg.Data);
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.CANCELED;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = DriverBase.Identities.Instance.getNextOrderID();
if (cancel.ClOrdID.Length == 0)
{
sendCancelRej(cancel, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a clordid must be specified on a modify order");
Exception myE = new Exception("a clordid must be specified on a modify order");
throw myE;
}
if (cancel.OrigClOrdID.Length == 0)
{
sendCancelRej(cancel, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a original clordid must be specified on a modify order");
Exception myE = new Exception("an original clordid must be specified on a modify order");
throw myE;
}
try
{
DriverBase.OrderContext myCntx;
// if the origClORdID is set then use that else use the
// ClOrdID
myCntx = GetOrderContextClID(cancel.OrigClOrdID);
if (myCntx == null)
{
throw new Exception("Cannot locate order context on cancel request");
}
// record the context against the incomming request
RecordOrderContext(myClOrdID.getValue(), myCntx);
int myIBOrderID = 0;
myIBOrderID = int.Parse(myCntx.APIOrderID);
// Cancel the order
m_Host.TWS.cancelOrder(myIBOrderID);
}
catch (Exception myE)
{
// cancel failed so reject the cancel request
_log.Error("pullOrder", myE);
if (myPull != null)
{
sendCancelRej(myPull, QuickFix.CxlRejReason.OTHER, myE.Message);
}
}
}
catch (Exception myE)
{
_log.Error("pullOrder", myE);
}
}
/// <summary>
/// Modify an order
/// </summary>
/// <param name="msg"></param>
public void modifyOrder(KaiTrade.Interfaces.IMessage msg)
{
KaiTrade.Interfaces.IModifyOrderRequst mod = null;
try
{
mod = JsonConvert.DeserializeObject<K2DataObjects.ModifyOrderRequest>(msg.Data);
// Extract the raw FIX Message from the inbound message
string strOrder = msg.Data;
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.REPLACED;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = DriverBase.Identities.Instance.getNextOrderID();
if (mod.ClOrdID.Length == 0)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a clordid must be specified on a modify order");
Exception myE = new Exception("a clordid must be specified on a modify order");
throw myE;
}
if (mod.OrigClOrdID.Length == 0)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a original clordid must be specified on a modify order");
Exception myE = new Exception("an original clordid must be specified on a modify order");
throw myE;
}
// is this new market processing?
if (m_Markets.ContainsKey(mod.Mnemonic))
{
m_Markets[mod.Mnemonic].modifyOrder(msg);
return;
}
// Get the context - we must have this to access the CQG order
DriverBase.OrderContext myContext = null;
if (_clOrdIDOrderMap.ContainsKey(mod.OrigClOrdID))
{
myContext = _clOrdIDOrderMap[mod.OrigClOrdID];
}
if (myContext == null)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "an order does not exist for the modify requested");
Exception myE = new Exception("an order does not exist for the modify requested");
throw myE;
}
// modify the limit price
if (mod.Price.HasValue)
{
myContext.Price = (decimal)mod.Price.Value;
}
// modify the stop price
if (mod.StopPrice.HasValue)
{
myContext.StopPrice = (decimal)mod.StopPrice.Value;
}
// modify the qtyqty
if (mod.Qty.HasValue)
{
myContext.OrderQty = (int)mod.Qty.Value;
}
// update the ClOrdID's on our order in the context
myContext.ClOrdID = mod.ClOrdID;
myContext.OrigClOrdID = mod.OrigClOrdID;
// record the context against the new clordid
_clOrdIDOrderMap.Add(mod.ClOrdID, myContext);
// send order in book exec report
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, 0.0, (int)myContext.LeavesQty, myContext.CumQty, 0.0, 0.0, "", "");
}
catch (Exception myE)
{
Log.Error("modifyOrder", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
SendAdvisoryMessage("modifyOrder: problem modify order:" + myE.ToString());
}
}
/// <summary>
/// Example code of pulling an order - used for testing
/// </summary>
/// <param name="msg"></param>
public void pullOrder(KaiTrade.Interfaces.IMessage msg)
{
KaiTrade.Interfaces.ICancelOrderRequest cancel = null;
try
{
cancel = JsonConvert.DeserializeObject<K2DataObjects.CancelOrderRequest>(msg.Data);
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.CANCELED;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = DriverBase.Identities.Instance.getNextOrderID();
if (cancel.ClOrdID.Length == 0)
{
sendCancelRej(cancel, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a clordid must be specified on a modify order");
Exception myE = new Exception("a clordid must be specified on a modify order");
throw myE;
}
if (cancel.OrigClOrdID.Length == 0)
{
sendCancelRej(cancel, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a original clordid must be specified on a modify order");
Exception myE = new Exception("an original clordid must be specified on a modify order");
throw myE;
}
string strOrder = msg.Data;
if (m_Markets.ContainsKey(cancel.Mnemonic))
{
m_Markets[cancel.Mnemonic].pullOrder(msg);
return;
}
// Get the context - we must have this to access the CQG order
DriverBase.OrderContext myContext = null;
if (_clOrdIDOrderMap.ContainsKey(cancel.OrigClOrdID))
{
myContext = _clOrdIDOrderMap[cancel.OrigClOrdID];
}
if (myContext == null)
{
sendCancelRej(cancel, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "an order does not exist for the cancel requested");
Exception myE = new Exception("an order does not exist for the cancel requested");
throw myE;
}
double myAveFillPrice = 0.0;
myContext.ClOrdID = cancel.ClOrdID;
myContext.OrigClOrdID = cancel.OrigClOrdID;
// send order cancelled exec report
sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, 0.0, (int)myContext.LeavesQty, myContext.CumQty, 0.0, 0.0, "", "");
myContext.OrdStatus = fill.OrderStatus;
throw new Exception("Delete the order from the simulator");
}
catch (Exception myE)
{
Log.Error("pullOrder", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
SendAdvisoryMessage("pullOrder: problem pulling order:" + myE.ToString());
}
}
public void fixedAmountFill(DriverBase.OrderContext myContext, int qtyToFill, decimal? fillPx)
{
try
{
// send order in book exec report
// fully fill
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.ClOrdID = myContext.ClOrdID;
fill.OrderID = myContext.OrderID;
if (fillPx.HasValue)
{
fill.LastPx = (double)fillPx.Value;
}
else
{
fill.LastPx = (double)myContext.Price;
}
fill.AvgPx = 0;
if (myContext.LeavesQty > 0)
{
if (myContext.LeavesQty > qtyToFill)
{
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.PARTIALLY_FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.PARTIAL_FILL;
fill.FillQty = qtyToFill;
myContext.CumQty += qtyToFill;
fill.CumQty = myContext.CumQty;
}
else
{
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.FILLED;
fill.ExecType = KaiTrade.Interfaces.ExecType.FILL;
double myQty = myContext.LeavesQty;
myContext.CumQty += (int)myQty;
fill.FillQty = myContext.LeavesQty;
fill.CumQty = myContext.CumQty;
}
fill.LeavesQty = myContext.LeavesQty;
sendExecReport(fill);
}
}
catch (Exception myE)
{
log.Error("gradualFill", myE);
}
}
/// <summary>
/// Modify an order
/// </summary>
/// <param name="msg"></param>
public override OrderReplaceResult modifyOrder(DriverBase.ModifyRequestData replaceData)
{
try
{
// Get the context - we must have this to access the order
if (replaceData.Price.HasValue)
{
replaceData.OrderContext.Price = (decimal)replaceData.Price.Value;
}
if (replaceData.StopPrice.HasValue)
{
replaceData.OrderContext.StopPrice = (decimal)replaceData.StopPrice.Value;
}
// modify the qty
if (replaceData.qty.HasValue)
{
replaceData.OrderContext.OrderQty = (int)replaceData.qty.Value;
// force the leaves qty for the purpose of a simple simulation
//myContext.LeavesQty = (int)newOrderQty.getValue();
}
// record the context against the new clordid
//RecordOrderContext(replaceData.ClOrdID, replaceData.OrderContext);
//m_OrderContextClOrdID.Add(replaceData.ClOrdID, replaceData.OrderContext);
// send order in book exec report
// fully fill
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.REPLACED;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = replaceData.OrderContext.OrderID;
fill.LastPx = 0;
fill.AvgPx = 0;
sendExecReport(replaceData.OrderContext, fill.OrderID, fill.OrderStatus, fill.ExecType, 0.0, replaceData.OrderContext.LeavesQty, replaceData.OrderContext.CumQty,fill.LastPx,fill.AvgPx ,"", "");
if (replaceData.Price.HasValue)
{
if (replaceData.Price.Value == 100)
{
m_FillList.Add(replaceData.OrderContext);
}
}
return OrderReplaceResult.success;
}
catch (Exception myE)
{
log.Error("modifyOrderRD", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
SendAdvisoryMessage("SIM:modifyOrderRD: problem modify order:" + myE.ToString());
return OrderReplaceResult.error;
}
}
/// <summary>
/// FIX loop back order
/// </summary>
/// <param name="msg"></param>
public void submitOrder(KaiTrade.Interfaces.IMessage myMsg)
{
KaiTrade.Interfaces.ISubmitRequest nos = null;
try
{
m_Parent.Log.Error("SUBTEST:" + myMsg.Data);
nos = JsonConvert.DeserializeObject<K2DataObjects.SubmitRequest>(myMsg.Data);
int quantity = (int)nos.OrderQty;
decimal myOrdPrice = 99;
if (nos.Price.HasValue)
{
myOrdPrice = nos.Price.Value;
}
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.NEW;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = DriverBase.Identities.Instance.getNextOrderID();
DriverBase.OrderContext myContext = new DriverBase.OrderContext();
//myContext.QFOrder = myOrder;
myContext.ClOrdID = nos.ClOrdID;
myContext.OrderID = fill.OrderID;
myContext.OrderQty = quantity;
//myContext.LeavesQty = quantity;
myContext.CumQty = 0;
myContext.Price = myOrdPrice;
myContext.Side = nos.Side;
myContext.OrderType = nos.OrdType;
// record the order in the context maps
m_OrderContextClOrdID.Add(myContext.ClOrdID, myContext);
m_OrderContextOrdID.Add(myContext.OrderID, myContext);
myContext.OrdStatus = fill.OrderStatus;
m_Parent.sendExecReport(myContext, fill.OrderID, fill.OrderStatus, fill.ExecType, 0.0, (int)nos.OrderQty, 0, 0.0, 0.0, "", "");
}
catch (Exception myE)
{
m_Parent.log.Error("submitOrder", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
m_Parent.SendAdvisoryMessage("KTA Simulator:submitOrder: problem submitting order:" + myE.ToString());
if (nos != null)
{
m_Parent.sendExecReport(nos, KaiTrade.Interfaces.OrderStatus.REJECTED, KaiTrade.Interfaces.ExecType.REJECTED, myE.ToString(), "OTHER");
}
}
}
public void sendExecReport(KaiTrade.Interfaces.ISubmitRequest nos, string status, string execType, string text, string ordRejReason)
{
K2DataObjects.Fill fill = new K2DataObjects.Fill();
if (nos.ClOrdID != null)
{
fill.ClOrdID = nos.ClOrdID;
}
fill.OrderID = "";
fill.OrderStatus = status;
fill.ExecType = execType;
fill.FillQty = 0;
fill.LeavesQty = 0;
fill.CumQty = 0;
fill.LastPx = 0.0;
fill.AvgPx = 0.0;
fill.Text = text;
fill.OrdRejReason = ordRejReason;
sendExecReport(fill);
}
public void sendExecReport(OrderContext myCntx, string orderID, string status, string execType, double lastQty, int leavesQty, int cumQty, double lastPx, double avePx)
{
myCntx.OrdStatus = status;
myCntx.ExecType = execType;
myCntx.LastAveragePrice = avePx;
K2DataObjects.Fill fill = new K2DataObjects.Fill();
fill.OrderID = orderID;
fill.OrderStatus = status;
fill.ExecType = execType;
fill.FillQty = lastQty;
fill.LeavesQty = leavesQty;
fill.CumQty = cumQty;
fill.LastPx = lastPx;
fill.AvgPx = avePx;
sendExecReport(fill);
}
public void sendExecReport(string orderID, string status, string execType, double lastQty, int leavesQty,int cumQty, double lastPx, double avePx, string text, string ordRejReason)
{
try
{
K2DataObjects.Fill fill = new K2DataObjects.Fill();
fill.OrderID = orderID;
fill.OrderStatus = status;
fill.ExecType = execType;
fill.FillQty = lastQty;
fill.LeavesQty = leavesQty;
fill.CumQty = cumQty;
fill.LastPx = lastPx;
fill.AvgPx = avePx;
fill.Text = text;
fill.OrdRejReason = ordRejReason;
}
catch (Exception myE)
{
log.Error("sendExecReport", myE);
}
}
public void sendExecReport(OrderContext context, string orderID, string status, string execType, double lastQty, int leavesQty, int cumQty, double lastPx, double avePx, string text, string ordRejReason)
{
K2DataObjects.Fill fill = new K2DataObjects.Fill();
fill.OrderID = orderID;
fill.ClOrdID = context.ClOrdID;
fill.OrigClOrdID = context.OrigClOrdID;
fill.OrderStatus = status;
fill.ExecType = execType;
fill.FillQty = lastQty;
fill.LeavesQty = leavesQty;
fill.CumQty = cumQty;
fill.LastPx = lastPx;
fill.AvgPx = avePx;
fill.Text = text;
fill.OrdRejReason = ordRejReason;
sendExecReport(fill);
}
