public ExecutionReport(
QuickFix.OrderID aOrderID,
QuickFix.ExecID aExecID,
QuickFix.ExecTransType aExecTransType,
QuickFix.ExecType aExecType,
QuickFix.OrdStatus aOrdStatus,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.LastShares aLastShares,
QuickFix.LastPx aLastPx,
QuickFix.LeavesQty aLeavesQty,
QuickFix.CumQty aCumQty,
QuickFix.AvgPx aAvgPx)
: base(MsgType())
{
set(aOrderID);
set(aExecID);
set(aExecTransType);
set(aExecType);
set(aOrdStatus);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aLastShares);
set(aLastPx);
set(aLeavesQty);
set(aCumQty);
set(aAvgPx);
}
public QuoteRequest(
QuickFix.QuoteReqID aQuoteReqID,
QuickFix.Symbol aSymbol)
: base(MsgType())
{
set(aQuoteReqID);
set(aSymbol);
}
public DontKnowTrade(
QuickFix.DKReason aDKReason,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide)
: base(MsgType())
{
set(aDKReason);
set(aSymbol);
set(aSide);
}
public SecurityStatusRequest(
QuickFix.SecurityStatusReqID aSecurityStatusReqID,
QuickFix.Symbol aSymbol,
QuickFix.SubscriptionRequestType aSubscriptionRequestType)
: base(MsgType())
{
set(aSecurityStatusReqID);
set(aSymbol);
set(aSubscriptionRequestType);
}
public OrderStatusRequest(
QuickFix.ClOrdID aClOrdID,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide)
: base(MsgType())
{
set(aClOrdID);
set(aSymbol);
set(aSide);
}
public Quote(
QuickFix.QuoteID aQuoteID,
QuickFix.Symbol aSymbol,
QuickFix.BidPx aBidPx)
: base(MsgType())
{
set(aQuoteID);
set(aSymbol);
set(aBidPx);
}
public OrderCancelRequest(
QuickFix.OrigClOrdID aOrigClOrdID,
QuickFix.ClOrdID aClOrdID,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide)
: base(MsgType())
{
set(aOrigClOrdID);
set(aClOrdID);
set(aSymbol);
set(aSide);
}
public DontKnowTrade(
QuickFix.OrderID aOrderID,
QuickFix.ExecID aExecID,
QuickFix.DKReason aDKReason,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide)
: base(MsgType())
{
set(aOrderID);
set(aExecID);
set(aDKReason);
set(aSymbol);
set(aSide);
}
public NewOrderSingle(
QuickFix.ClOrdID aClOrdID,
QuickFix.HandlInst aHandlInst,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrdType aOrdType)
: base(MsgType())
{
set(aClOrdID);
set(aHandlInst);
set(aSymbol);
set(aSide);
set(aOrdType);
}
public Advertisement(
QuickFix.AdvId aAdvId,
QuickFix.AdvTransType aAdvTransType,
QuickFix.Symbol aSymbol,
QuickFix.AdvSide aAdvSide,
QuickFix.Shares aShares)
: base(MsgType())
{
set(aAdvId);
set(aAdvTransType);
set(aSymbol);
set(aAdvSide);
set(aShares);
}
public IndicationofInterest(
QuickFix.IOIid aIOIid,
QuickFix.IOITransType aIOITransType,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.IOIShares aIOIShares)
: base(MsgType())
{
set(aIOIid);
set(aIOITransType);
set(aSymbol);
set(aSide);
set(aIOIShares);
}
public OrderCancelReplaceRequest(
QuickFix.OrigClOrdID aOrigClOrdID,
QuickFix.ClOrdID aClOrdID,
QuickFix.HandlInst aHandlInst,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrdType aOrdType)
: base(MsgType())
{
set(aOrigClOrdID);
set(aClOrdID);
set(aHandlInst);
set(aSymbol);
set(aSide);
set(aOrdType);
}
public DontKnowTrade(
QuickFix.DKReason aDKReason,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.LastShares aLastShares,
QuickFix.LastPx aLastPx)
: base(MsgType())
{
set(aDKReason);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aLastShares);
set(aLastPx);
}
public Allocation(
QuickFix.AllocID aAllocID,
QuickFix.AllocTransType aAllocTransType,
QuickFix.Side aSide,
QuickFix.Symbol aSymbol,
QuickFix.Shares aShares,
QuickFix.AvgPx aAvgPx,
QuickFix.TradeDate aTradeDate)
: base(MsgType())
{
set(aAllocID);
set(aAllocTransType);
set(aSide);
set(aSymbol);
set(aShares);
set(aAvgPx);
set(aTradeDate);
}
public NewOrderList(
QuickFix.ListID aListID,
QuickFix.ListSeqNo aListSeqNo,
QuickFix.ListNoOrds aListNoOrds,
QuickFix.ClOrdID aClOrdID,
QuickFix.HandlInst aHandlInst,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.OrdType aOrdType )
: base(MsgType()) {
set(aListID);
set(aListSeqNo);
set(aListNoOrds);
set(aClOrdID);
set(aHandlInst);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aOrdType);
}
public void update(QuickFix44.MarketDataSnapshotFullRefresh snapshot)
{
if (grdRates.InvokeRequired)
{
updateCallback d = new updateCallback(update);
this.Invoke(d, new object[] { snapshot });
}
else
{
QuickFix.Symbol instrument = snapshot.getSymbol();
double minQty = 0D;
// if the currency is already in the DataGridView
if (map.ContainsKey(instrument))
{
// update only the cells of the row that have changed
DataGridViewRow row = grdRates.Rows[map[instrument]];
row.Cells["Updated"].Value = getClose(snapshot);
row.Cells["Bid"].Value = getPrice(snapshot, "0", Convert.ToDouble(row.Cells["Bid"].Value));
row.Cells["Ask"].Value = getPrice(snapshot, "1", Convert.ToDouble(row.Cells["Ask"].Value));
row.Cells["MinQuantity"].Value = minQty;
}
else // otherwise add it to the DataGridView
{
map.Add(instrument, map.Count);
grdRates.Rows.Add(
instrument,
getClose(snapshot),
getPrice(snapshot, "0", 0D),
getPrice(snapshot, "1", 0D),
minQty
);
}
// force the interface to refresh
//Application.DoEvents();
}
}
public QuickFix.Symbol getSymbol()
{ QuickFix.Symbol value = new QuickFix.Symbol();
getField(value); return value; }
public bool isSet(QuickFix.Symbol field)
{
return(isSetField(field));
}
public QuickFix.Symbol getSymbol()
{
QuickFix.Symbol value = new QuickFix.Symbol();
getField(value); return(value);
}
public QuickFix.Symbol get(QuickFix.Symbol value)
{
getField(value); return(value);
}
public void set(QuickFix.Symbol value)
{
setField(value);
}
public QuoteStatusRequest(
QuickFix.Symbol aSymbol)
: base(MsgType())
{
set(aSymbol);
}
public MarketDataSnapshotFullRefresh(
QuickFix.Symbol aSymbol)
: base(MsgType())
{
set(aSymbol);
}
public double minQty(QuickFix.Symbol symbol)
{
return(Convert.ToDouble(grdRates.Rows[map[symbol]].Cells["MinQuantity"].Value));
}
public SecurityStatus(
QuickFix.Symbol aSymbol)
: base(MsgType())
{
set(aSymbol);
}
