private void CmdReport(int type, string id, string connect)
{
try
{
//特殊消息处理
switch (type)
{
case FixApplication.msgTypeLogin:
CmdCallBack(
string.Format(
string.Format(MsgFmt, "Fix", "OE", "-1", CmdRequestUserLogin, CmdPostfix),
string.Empty));
return;
case FixApplication.msgTypeLogout:
CmdCallBack(
string.Format(
string.Format(MsgFmt, "Fix", "OE", "-1", CmdRequestUserLogout, CmdPostfix),
string.Empty));
return;
}
//普通异步消息，将保存在内存的消息头与消息体结合回报即可
CmdCallBack(string.Format(dictID[id], connect));
}
catch (Exception ex)
{
//如果内存中没有对应消息体的消息头，则只回报消息体
CmdCallBack(connect);
Fix.Out(ex.ToString());
}
}
private string CancelOrder(bool isbuy, string symbol, string id)
{
var co = MessageFactory.OrderCancelRequest(TradingSession());
var future = string.Empty;
var contract = string.Empty;
var maturity = string.Empty;
var exchange = string.Empty;
if (co == null || !SplitSymbol(symbol, ref future, ref contract, ref maturity, ref exchange))
{
return(string.Empty);
}
var ClOrdID = AllocClOrdID(symbol);
var buy = isbuy ? SideBuy : SideSell;
Fix.Out("tag 11 : ClOrdID = " + ClOrdID);
co.setField(11, ClOrdID);
Fix.Out("tag41 : OrigClOrdID = " + id);
co.setField(41, id);
Fix.Out("tag54 : Side(1=buy,2=sell) = " + buy);
co.setField(54, buy);
Fix.Out("tag55 : Symbol = " + contract);
co.setField(55, contract);
co.setField(60, GetTimeString());
Fix.Out("tag1 : Account = " + Account.account);
co.setField(1, Account.account);
return(SendMessageToSession(co) ? ClOrdID : string.Empty);
}
//同上
internal bool Add(string status, string symbol, int qty, string price, string clientID)
{
if (string.IsNullOrEmpty(symbol) || string.IsNullOrEmpty(price) ||
string.IsNullOrEmpty(clientID) || qty == 0)
{
return(false);
}
try
{
if (!ufos.ContainsKey(clientID))
{
ufos.Add(clientID, new UFO(symbol, qty, price, status));
}
var s = string.Format("SendOrder # ClientOrderID: {0} # T:{1} # S:{2} # P:{3} # Q:{4}",
clientID, symbol, status, price, qty);
Fix.Out(s);
return(true);
}
catch (Exception)
{
return(false);
}
}
private static void fillFixMessageStructure(Dictionary <EFixTags, string> tagMap, ref QuickFix.Message fixMessage)
{
foreach (KeyValuePair <EFixTags, string> kvp in tagMap)
{
Fix.Out(string.Format("Tag {0}: {1}={2}", (int)kvp.Key, kvp.Key.ToString(), kvp.Value));
fixMessage.setField((int)kvp.Key, kvp.Value);
}
}
protected virtual string AllocClOrdID(string symbol)
{
lock (lockObj)
{
var id = ++lastClOrdID;
var str = id.ToString();
SaveSymbol(str, symbol);
Fix.Out("Last Client Order ID : " + str);
return(str);
}
}
//登录成功
public void onLogon(SessionID sessionID)
{
Fix.Out("Logon");
sessionList.Remove(sessionID);
sessionList.Add(sessionID);
if (sessionList.Count == 1)
{
FixReport(msgTypeLogin, null, 0, string.Empty);
}
}
internal void Remove(string clientID)
{
try
{
ufos.Remove(clientID);
Fix.Out(string.Format("RemoveOrder # ClientOrderID: {0}", clientID));
}
catch (Exception ex)
{
Fix.Out(ex.ToString());
}
}
//返回成交列表
internal void GetUnFillOrders()
{
try
{
foreach (var ufo in ufos)
{
var s = string.Format("ClientOrderID: {0} # T:{1} # S:{2} # P:{3} # Q:{4}",
ufo.Key, ufo.Value.Symbol, ufo.Value.Status, ufo.Value.Price, ufo.Value.Qty);
Fix.Out(s);
}
}
catch (Exception) {}
}
private string QueryOrder(bool isbuy, string symbol, string id)
{
var qo = MessageFactory.OrderStatusRequest(TradingSession());
if (qo == null)
{
return(string.Empty);
}
var ClOrdID = AllocClOrdID(symbol);
var buy = isbuy ? SideBuy : SideSell;
Fix.Out("tag11 : OrderID = " + id);
qo.setField(11, id);
Fix.Out("tag54 : Side(1=buy,2=sell) = " + buy);
qo.setField(54, buy);
Fix.Out("tag55 : Symbol = " + symbol);
qo.setField(55, symbol);
return(SendMessageToSession(qo) ? ClOrdID : string.Empty);
}
private string SendNewOrder(bool isbuy, bool isopen, string symbol, string price, string qty)
{
var sno = MessageFactory.NewOrderSingle(TradingSession());
var future = string.Empty;
var contract = string.Empty;
var maturity = string.Empty;
var exchange = string.Empty;
if (sno == null || !SplitSymbol(symbol, ref future, ref contract, ref maturity, ref exchange))
{
return(string.Empty);
}
var ClOrdID = AllocClOrdID(symbol);
var open = isopen ? "O" : "C";
var buy = isbuy ? SideBuy : SideSell;
sno.setField(1, Account.account);
sno.setField(109, Account.clientid);
Fix.Out("tag207 : SecurityExchange = " + exchange);
sno.setField(207, exchange);
Fix.Out("tag 77 : OpenClose = " + open);
sno.setField(77, open);
Fix.Out("tag 11 : ClOrdID = " + ClOrdID);
sno.setField(11, ClOrdID);
Fix.Out("tag40 : OrdType = 2(Limit)");
sno.setField(40, "2");
Fix.Out("tag54 : side(1=buy,2=sell) = " + buy);
sno.setField(54, buy);
sno.setField(21, "1");
Fix.Out("tag55 : Symbol = " + contract);
sno.setField(55, contract);
Fix.Out("tag38 : OrderQty = " + qty);
sno.setField(38, qty);
Fix.Out("tag44 : Price = " + price);
sno.setField(44, price);
sno.setField(60, GetTimeString());
return(SendMessageToSession(sno) ? ClOrdID : string.Empty);
}
internal static void GetAccountInfo(SessionSettings ss)
{
foreach (var session in ss.getSessions())
{
var dict = ss.get(session as SessionID);
target = dict.getString("TargetCompID");
var dst = dict.getString("TargetCompID")
+ " : " + dict.getString("SocketConnectHost")
+ " : " + dict.getString("SocketConnectPort");
Fix.Out(dst);
var acc = dict.getString("Account");
var cid = dict.getString("ClientID");
if (!string.IsNullOrEmpty(acc) && !string.IsNullOrEmpty(cid))
{
account = acc;
clientid = cid;
}
Fix.Out(Account.account + " / " + Account.clientid + "\n");
}
}
public sealed override void onMessage(QuickFix43.OrderMassCancelRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
//从网关返回的应用消息
public void fromApp(QuickFix.Message message, SessionID sessionID)
{
crack(message, sessionID);
Fix.Out(message);
}
//发送应用消息到网关（比如下单，撤单，查询相关消息等）
public void toApp(QuickFix.Message message, SessionID sessionID)
{
Fix.Out(message);
}
public sealed override void onMessage(QuickFix42.MarketDataRequestReject message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix42.IndicationofInterest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.DerivativeSecurityList message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix42.SequenceReset message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.TradeCaptureReportRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.TradingSessionStatus message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.SettlementInstructions message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.SecurityDefinitionRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.MarketDataSnapshotFullRefresh message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.MassQuoteAcknowledgement message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.NewOrderMultileg message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
public sealed override void onMessage(QuickFix43.Reject message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
MsgReject(message, session);
}
static void Main(string[] args)
{
var cp = Process.GetCurrentProcess().MainModule.FileName;
Directory.SetCurrentDirectory(Path.GetDirectoryName(cp));
try
{
var fe = new FixExecutor();
fe.AddCallBack(Om);
fe.AddCallBack(Om);
fe.Start(@"E:\FixEngine\FixEngine\myserver.cfg");
for ( ; ;)
{
Console.WriteLine("quit stop goon buy sell cbuy csell qbuy qsell?");
var cmd = Console.ReadLine();//.ToLower();
if ("quit" == cmd)
{
break;
}
Console.WriteLine(fe.DealCommand(cmd));
if ("buy" == cmd)
{
var open = Console.ReadLine();
if (open == "open" || open == "close")
{
// application.SendNewOrder(true, open == "open", "cffe", "IF1112", Console.ReadLine(), Console.ReadLine());
}
}
else if ("sell" == cmd)
{
var open = Console.ReadLine();
if (open == "open" || open == "close")
{
// application.SendNewOrder(false, open == "open", "cffe", "IF1112", Console.ReadLine(), Console.ReadLine());
}
}
else if ("cbuy" == cmd)
{
// application.CancelOrder(true, "IF1112", Console.ReadLine());
}
else if ("csell" == cmd)
{
// application.CancelOrder(false, "IF1112", Console.ReadLine());
}
else if ("qbuy" == cmd)
{
// application.QueryOrder(true, "IF1112", Console.ReadLine());
}
else if ("qsell" == cmd)
{
// application.QueryOrder(false, "IF1112", Console.ReadLine());
}
}
fe.Stop();
Console.ReadLine();
}
catch (Exception e)
{
Fix.Out(e.ToString());
Console.ReadLine();
}
finally
{
Fix.Out("AtExit");
}
}