/// <summary>
/// Create a NewOrderSingle message.
/// </summary>
/// <param name="customFields"></param>
/// <param name="orderType"></param>
/// <param name="side"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="tif"></param>
/// <param name="price">ignored if orderType=Market</param>
/// <returns></returns>
static public QuickFix.FIX44.NewOrderSingle NewOrderSingle(
Dictionary <int, string> customFields,
OrderType orderType, Side side, string symbol,
int orderQty, TimeInForce tif, decimal price)
{
// hard-coded fields
QuickFix.Fields.HandlInst fHandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
// from params
QuickFix.Fields.OrdType fOrdType = FixEnumTranslator.ToField(orderType);
QuickFix.Fields.Side fSide = FixEnumTranslator.ToField(side);
QuickFix.Fields.Symbol fSymbol = new QuickFix.Fields.Symbol(symbol);
QuickFix.Fields.TransactTime fTransactTime = new QuickFix.Fields.TransactTime(DateTime.Now);
QuickFix.Fields.ClOrdID fClOrdID = GenerateClOrdID();
QuickFix.FIX44.NewOrderSingle nos = new QuickFix.FIX44.NewOrderSingle(
fClOrdID, fSymbol, fSide, fTransactTime, fOrdType);
nos.OrderQty = new QuickFix.Fields.OrderQty(orderQty);
nos.TimeInForce = FixEnumTranslator.ToField(tif);
if (orderType == OrderType.Limit)
{
nos.Price = new QuickFix.Fields.Price(price);
}
// add custom fields
foreach (KeyValuePair <int, string> p in customFields)
{
nos.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
}
return(nos);
}
public QuickFix.Message CreateNewOrderSingle(string clOrderId, string symbol, Fwk.Main.Common.Enums.Side?side, Fwk.Main.Common.Enums.OrdType?ordType,
Fwk.Main.Common.Enums.SettlType?settlType, Fwk.Main.Common.Enums.TimeInForce?timeInForce, DateTime?effectiveTime,
double?ordQty, double?price, double?stopPx, string account, string exchange)
{
QuickFix.FIX44.NewOrderSingle nos = new QuickFix.FIX44.NewOrderSingle();
if (!string.IsNullOrEmpty(account))
{
nos.SetField(new Account(account));
}
if (!string.IsNullOrEmpty(clOrderId))
{
nos.SetField(new ClOrdID(clOrderId));
}
if (!string.IsNullOrEmpty(exchange))
{
nos.SetField(new SecurityExchange(exchange));
}
if (effectiveTime != null)
{
nos.SetField(new TransactTime(effectiveTime.Value));
}
if (!string.IsNullOrEmpty(symbol))
{
nos.SetField(new Symbol(symbol));
}
if (ordQty != null)
{
nos.SetField(new OrderQty(Convert.ToDecimal(ordQty.Value)));
}
if (ordType != null)
{
nos.SetField(new QuickFix.Fields.OrdType(Convert.ToChar(ordType.Value)));
}
if (price != null)
{
nos.SetField(new Price(Convert.ToDecimal(price.Value)));
}
if (stopPx != null)
{
nos.SetField(new StopPx(Convert.ToDecimal(stopPx.Value)));
}
if (side != null)
{
nos.SetField(new QuickFix.Fields.Side(Convert.ToChar(side.Value)));
}
if (timeInForce.HasValue)
{
nos.SetField(new QuickFix.Fields.TimeInForce(Convert.ToChar(timeInForce.Value)));
}
return(nos);
}