public override void onMessage(QuickFix40.NewOrderSingle order, SessionID sessionID) { Symbol symbol = new Symbol(); Side side = new Side(); OrdType ordType = new OrdType(); OrderQty orderQty = new OrderQty(); Price price = new Price(); ClOrdID clOrdID = new ClOrdID(); order.get(ordType); if (ordType.getValue() != OrdType.LIMIT) { throw new IncorrectTagValue(ordType.getField()); } order.get(symbol); order.get(side); order.get(orderQty); order.get(price); order.get(clOrdID); QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport (genOrderID(), genExecID(), new ExecTransType(ExecTransType.NEW), new OrdStatus(OrdStatus.FILLED), symbol, side, orderQty, new LastShares(orderQty.getValue()), new LastPx(price.getValue()), new CumQty(orderQty.getValue()), new AvgPx(price.getValue())); executionReport.set(clOrdID); if (order.isSetAccount()) { executionReport.set(order.getAccount()); } try { Session.sendToTarget(executionReport, sessionID); } catch (SessionNotFound) {} }
public override void onMessage( QuickFix40.NewOrderSingle order, SessionID sessionID ) { Symbol symbol = new Symbol(); Side side = new Side(); OrdType ordType = new OrdType(); OrderQty orderQty = new OrderQty(); Price price = new Price(); ClOrdID clOrdID = new ClOrdID(); order.get( ordType ); if ( ordType.getValue() != OrdType.LIMIT ) throw new IncorrectTagValue( ordType.getField() ); order.get( symbol ); order.get( side ); order.get( orderQty ); order.get( price ); order.get( clOrdID ); QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport ( genOrderID(), genExecID(), new ExecTransType( ExecTransType.NEW ), new OrdStatus ( OrdStatus.FILLED ), symbol, side, orderQty, new LastShares ( orderQty.getValue() ), new LastPx ( price.getValue() ), new CumQty ( orderQty.getValue() ), new AvgPx ( price.getValue() ) ); executionReport.set( clOrdID ); if( order.isSetAccount() ) executionReport.set( order.getAccount() ); try { Session.sendToTarget( executionReport, sessionID ); } catch ( SessionNotFound ) {} }