public QuickFix42.NewOrderSingle sendKnightMarketOrder(string OrderID, string route, string symbol)
{
//int id = rand.Next(100000000, 200000000);
//limitID = "t" + id.ToString();
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(OrderID), new HandlInst('1'), new Symbol(symbol), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
//Additional required Fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
//RMG Routing
msg2.setField(57, route);
if (route.Contains("ALGO"))
{
msg2.setField(9102, "T");
}
else
{
msg2.setField(9102, "X");
}
//msg2.setField(6210, "0");
//Session.sendToTarget(msg2, oKnightSessionID);
return(msg2);
}
public QuickFix42.NewOrderSingle SendKnightMarketOrder(string orderId, string route, string symbol)
{
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(orderId), new HandlInst('1'), new Symbol(symbol), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
//Additional required Fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
msg2.setField(57, route);
msg2.setField(9102, route.Contains("ALGO") ? "T" : "X");
return(msg2);
}
public QuickFix42.NewOrderSingle SendKnightMarketOrder(string orderId)
{
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(orderId), new HandlInst('1'), new Symbol("BAC"), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
//Additional required Fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
//RMG Routing
msg2.setField(57, "ALGO1");
msg2.setField(9102, "T");
Handler.Add(msg2);
return(msg2);
}
public QuickFix42.NewOrderSingle SendMarketOrder(string clOrdId, string symbol, int qty, string side, string route, string clientid, string channel = "X")
{
Side sd = new Side(Side.BUY);
LocateReqd lReqd = new LocateReqd(true);
bool isLocateReqd = false;
if (side.Equals("B") || side.Equals("b") || side.Equals("buy") || side.Equals("BUY"))
{
sd = new Side(Side.BUY);
}
else if (side.Equals("S") || side.Equals("s") || side.Equals("sell") || side.Equals("SELL"))
{
sd = new Side(Side.SELL);
}
else if (side.Equals("SS") || side.Equals("ss") || side.Equals("ssell") || side.Equals("SSELL") || side.Equals("SHORT") || side.Equals("short"))
{
sd = new Side(Side.SELL_SHORT);
isLocateReqd = true;
}
QuickFix42.NewOrderSingle msg = new QuickFix42.NewOrderSingle(new ClOrdID(clOrdId), new HandlInst('1'), new Symbol(symbol), sd, new TransactTime(DateTime.UtcNow), new OrdType(OrdType.MARKET));
if (isLocateReqd)
{
msg.set(lReqd);
}
msg.set(new OrderQty(qty));
msg.set(new Account("54321"));
msg.set(new TimeInForce(TimeInForce.DAY));
msg.setField(57, route);
// msg.setField(50, route);
msg.setField(9102, channel);
if (route.Equals("JPMVWAP") || route.Equals("RAVAT") || route.Equals("TWAPJP") || route.Equals("MISMTW") || route.Equals("SGMISMTW"))
{
msg.setField(6203, DateTime.UtcNow.ToString());
msg.setField(6205, DateTime.UtcNow.Add(new TimeSpan(0, 5, 0)).ToString());
}
Handler.Add(msg);
return(msg);
}
public QuickFix42.NewOrderSingle SendKnightLimitOrder(string orderId, ref string limitId, double price)
{
limitId = orderId;
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(orderId), new HandlInst('1'), new Symbol("BAC"), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.LIMIT));
//additional required fields
msg2.set(new OrderQty(100));
msg2.set(new Account("1234"));
msg2.set(new TimeInForce(TimeInForce.DAY));
Price p = new Price(price);
msg2.set(p);
//For RMG Routing
msg2.setField(57, "ALGO1");
msg2.setField(9102, "T");
//Session.sendToTarget(msg2, oKnightSessionID);
return(msg2);
}
public QuickFix42.NewOrderSingle SendLimitOrder(string clOrdId, string symbol, int qty, string side, double price, string route = "NEFAN", string channel = "X")
{
Side sd = new Side(Side.BUY);
LocateReqd lReqd = new LocateReqd(true);
bool isLocateReqd = false;
if (side.Equals("B") || side.Equals("b") || side.Equals("buy") || side.Equals("BUY"))
{
sd = new Side(Side.BUY);
}
else if (side.Equals("S") || side.Equals("s") || side.Equals("sell") || side.Equals("SELL"))
{
sd = new Side(Side.SELL);
}
else if (side.Equals("SS") || side.Equals("ss") || side.Equals("ssell") || side.Equals("SSELL") || side.Equals("SHORT") || side.Equals("short"))
{
sd = new Side(Side.SELL_SHORT);
isLocateReqd = true;
}
QuickFix42.NewOrderSingle msg2 = new QuickFix42.NewOrderSingle(new ClOrdID(clOrdId), new HandlInst('1'), new Symbol(symbol), sd, new TransactTime(DateTime.UtcNow), new OrdType(OrdType.LIMIT));
//additional required fields
if (isLocateReqd)
{
msg2.set(lReqd);
}
msg2.set(new OrderQty(qty));
msg2.set(new Account("12345"));
msg2.set(new TimeInForce(TimeInForce.DAY));
msg2.set(new Price(price));
//For RMG Routing
msg2.setField(57, route);
msg2.setField(9102, channel);
Handler.Add(msg2);
return(msg2);
}
public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0, 6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
{
order.set(new QuickFix.Price(Order.Price));
}
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
{
order.set(new QuickFix.StopPx(Order.StopPx));
}
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}
/// <summary>
/// send a new order
/// </summary>
/// <param name="instrument">string array containing either
/// {SecurityExchange, Symbol,SecurityType,MaturityMonthYear} or
/// {SecurityExchange, Symbol,SecurityID}</param>
/// <param name="gateway"></param>
/// <param name="account"></param>
/// <param name="orderType"></param>
/// <param name="tradePrice"></param>
/// <param name="qty"></param>
/// <param name="bs"></param>
public void ttNewOrderSingle(string[] instrument, string gateway,
string account, char orderType, double tradePrice, double qty, char bs)
{
//string[] instrument must contain:
//{SecurityExchange, Symbol,SecurityType,MaturityMonthYear} or
//{SecurityExchange, Symbol,SecurityID}
try
{
QuickFix42.NewOrderSingle nos = new QuickFix42.NewOrderSingle();
nos.set(new QuickFix.ClOrdID(uniqueID()));
#region DefineInstrument
nos.set(new QuickFix.SecurityExchange(instrument[0]));
nos.set(new QuickFix.Symbol(instrument[1]));
if (instrument.GetLength(0) == 4)
{
nos.set(new QuickFix.SecurityType(instrument[2]));
nos.set(new QuickFix.MaturityMonthYear(instrument[3]));
}
else if (instrument.GetLength(0) == 3)
{
nos.set(new QuickFix.SecurityID(instrument[2]));
}
else
{
throw new System.Exception("Incorrect parameters for insturment definition");
}
#endregion
nos.set(new QuickFix.OrderQty(qty));
nos.set(new QuickFix.Side(bs));
nos.set(new QuickFix.Account(account));
nos.set(new QuickFix.OrdType(orderType));
if (orderType == QuickFix.OrdType.LIMIT)
{
nos.set(new QuickFix.Price(tradePrice));
}
//Use this code if FA is setup to accept tag 47 and 204 instead of custom tag 18205
//nos.set(new QuickFix.Rule80A(QuickFix.Rule80A.AGENCY_SINGLE_ORDER));
//nos.set(new QuickFix.CustomerOrFirm(QuickFix.CustomerOrFirm.CUSTOMER));
nos.setString(TT.TTAccountType.FIELD, TT.TTAccountType.A1);
//To add a TT custom tag to a QuickFix Message you must use setField or similar
//the set method of the QuickFix42 message only allows setting standard FIX 4.2 fields
//required for environments with multiple gateways with same products
if (gateway != null)
{
nos.setString(TT.ExchangeGateway.FIELD, gateway);
}
nos.setString(TT.FFT2.FIELD, "FFT2");
nos.setString(TT.FFT3.FIELD, "FFT3");
QuickFix.Session.sendToTarget(nos, orderSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}
public virtual void Send(FIXNewOrderSingle Order)
{
QuickFix.FIX42.NewOrderSingle newOrderSingle = new QuickFix42.NewOrderSingle(new ClOrdID(Order.ClOrdID), new HandlInst(Order.HandlInst), new Symbol(Order.Symbol), new QuickFix.Side(Order.Side), new TransactTime(Order.TransactTime), new QuickFix.OrdType(Order.OrdType));
if (Order.ContainsField(1))
newOrderSingle.set(new Account(Order.Account));
if (Order.ContainsField(18))
newOrderSingle.set(new ExecInst(Order.ExecInst));
if (Order.ContainsField(110))
newOrderSingle.set(new MinQty(Order.MinQty));
if (Order.ContainsField(111))
newOrderSingle.set(new MaxFloor(Order.MaxFloor));
if (Order.ContainsField(100))
newOrderSingle.set(new ExDestination(Order.ExDestination));
if (Order.ContainsField(81))
newOrderSingle.set(new ProcessCode(Order.ProcessCode));
if (Order.ContainsField(65))
newOrderSingle.set(new SymbolSfx(Order.SymbolSfx));
if (Order.ContainsField(48))
newOrderSingle.set(new SecurityID(Order.SecurityID));
if (Order.ContainsField(22))
newOrderSingle.set(new IDSource(Order.SecurityIDSource));
if (Order.ContainsField(167))
newOrderSingle.set(new QuickFix.SecurityType(Order.SecurityType));
if (Order.ContainsField(200))
newOrderSingle.set(new MaturityMonthYear(Order.MaturityMonthYear));
if (Order.ContainsField(202))
newOrderSingle.set(new StrikePrice(Order.StrikePrice));
if (Order.ContainsField(206))
newOrderSingle.set(new OptAttribute(Order.OptAttribute));
if (Order.ContainsField(231))
newOrderSingle.set(new ContractMultiplier(Order.ContractMultiplier));
if (Order.ContainsField(223))
newOrderSingle.set(new CouponRate(Order.CouponRate));
if (Order.ContainsField(207))
newOrderSingle.set(new SecurityExchange(Order.SecurityExchange));
if (Order.ContainsField(106))
newOrderSingle.set(new Issuer(Order.Issuer));
if (Order.ContainsField(348))
newOrderSingle.set(new EncodedIssuerLen(Order.EncodedIssuerLen));
if (Order.ContainsField(349))
newOrderSingle.set(new EncodedIssuer(Order.EncodedIssuer));
if (Order.ContainsField(107))
newOrderSingle.set(new SecurityDesc(Order.SecurityDesc));
if (Order.ContainsField(350))
newOrderSingle.set(new EncodedSecurityDescLen(Order.EncodedSecurityDescLen));
if (Order.ContainsField(351))
newOrderSingle.set(new EncodedSecurityDesc(Order.EncodedSecurityDesc));
if (Order.ContainsField(140))
newOrderSingle.set(new PrevClosePx(Order.PrevClosePx));
if (Order.ContainsField(38))
newOrderSingle.set(new OrderQty(Order.OrderQty));
if (Order.ContainsField(152))
newOrderSingle.set(new CashOrderQty(Order.CashOrderQty));
if (Order.ContainsField(44))
newOrderSingle.set(new Price(Order.Price));
if (Order.ContainsField(99))
newOrderSingle.set(new StopPx(Order.StopPx));
if (Order.ContainsField(15))
newOrderSingle.set(new QuickFix.Currency(Order.Currency));
if (Order.ContainsField(376))
newOrderSingle.set(new ComplianceID(Order.ComplianceID));
if (Order.ContainsField(117))
newOrderSingle.set(new QuoteID(Order.QuoteID));
if (Order.ContainsField(59))
newOrderSingle.set(new QuickFix.TimeInForce(Order.TimeInForce));
if (Order.ContainsField(168))
newOrderSingle.set(new EffectiveTime(Order.EffectiveTime));
if (Order.ContainsField(126))
newOrderSingle.set(new ExpireTime(Order.ExpireTime));
if (Order.ContainsField(427))
newOrderSingle.set(new GTBookingInst(Order.GTBookingInst));
if (Order.ContainsField(12))
newOrderSingle.set(new Commission(Order.Commission));
if (Order.ContainsField(13))
newOrderSingle.set(new QuickFix.CommType(Order.CommType));
if (Order.ContainsField(120))
newOrderSingle.set(new SettlCurrency(Order.SettlCurrency));
if (Order.ContainsField(58))
newOrderSingle.set(new Text(Order.Text));
if (Order.ContainsField(354))
newOrderSingle.set(new EncodedTextLen(Order.EncodedTextLen));
if (Order.ContainsField(355))
newOrderSingle.set(new EncodedText(Order.EncodedText));
if (Order.ContainsField(192))
newOrderSingle.set(new OrderQty2(Order.OrderQty2));
if (Order.ContainsField(203))
newOrderSingle.set(new CoveredOrUncovered(Order.CoveredOrUncovered));
if (Order.ContainsField(210))
newOrderSingle.set(new MaxShow(Order.MaxShow));
if (Order.ContainsField(388))
newOrderSingle.set(new DiscretionInst(Order.DiscretionInst));
try
{
Session.sendToTarget((QuickFix.Message)newOrderSingle, this.fSessionID);
}
catch (Exception ex)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(1252) + ex.Message);
}
}
public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0,6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
order.set(new QuickFix.Price(Order.Price));
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
order.set(new QuickFix.StopPx(Order.StopPx));
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}