/// <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.FIX42.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.FIX42.NewOrderSingle nos = new QuickFix.FIX42.NewOrderSingle(
fClOrdID, fHandlInst, 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 static string Translate(QuickFix.Fields.OrdType ordType)
{
switch (ordType.Obj)
{
case '1': return("Market");
case '2': return("Limit");
}
return("unknown");
}
/// <summary>
/// Throws a ArgumentException if field value isn't supported
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
public static Enums.OrderType ToEnum(QuickFix.Fields.OrdType field)
{
switch (field.Obj)
{
case QuickFix.Fields.OrdType.LIMIT: return(Enums.OrderType.Limit);
case QuickFix.Fields.OrdType.MARKET: return(Enums.OrderType.Market);
}
throw new ArgumentException(String.Format("Field value '{0}' not supported", field.Obj));
}
public static OrderType c(QuickFix.Fields.OrdType s)
{
var val = s_ordtypes.Find(v => v.first.getValue() == s.getValue());
if (val == null)
{
throw new Exception("Unmapped QuickFix.Fields.OrdType value : " + s.ToString());
}
return(val.second);
}
public void Set(QuickFix.Fields.OrdType val)
{
this.OrdType = val;
}
