public ExecutionReport( QuickFix.Fields.OrderID aOrderID, QuickFix.Fields.ExecID aExecID, QuickFix.Fields.ExecTransType aExecTransType, QuickFix.Fields.OrdStatus aOrdStatus, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrderQty aOrderQty, QuickFix.Fields.LastShares aLastShares, QuickFix.Fields.LastPx aLastPx, QuickFix.Fields.CumQty aCumQty, QuickFix.Fields.AvgPx aAvgPx ) : this() { this.OrderID = aOrderID; this.ExecID = aExecID; this.ExecTransType = aExecTransType; this.OrdStatus = aOrdStatus; this.Symbol = aSymbol; this.Side = aSide; this.OrderQty = aOrderQty; this.LastShares = aLastShares; this.LastPx = aLastPx; this.CumQty = aCumQty; this.AvgPx = aAvgPx; }
/// <summary> /// Creates a FIX4.3 NewOrderSingle message for GTX /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX43.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide)); newOrderSingle.SetField(side); var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var minQty = new QuickFix.Fields.MinQty(order.OrderSize); newOrderSingle.SetField(minQty); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION); newOrderSingle.SetField(execInst); var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); return(newOrderSingle); }
public OrderCancelRequest( QuickFix.Fields.OrigClOrdID aOrigClOrdID, QuickFix.Fields.ClOrdID aClOrdID, QuickFix.Fields.CxlType aCxlType, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrderQty aOrderQty ) : this() { this.OrigClOrdID = aOrigClOrdID; this.ClOrdID = aClOrdID; this.CxlType = aCxlType; this.Symbol = aSymbol; this.Side = aSide; this.OrderQty = aOrderQty; }
public DontKnowTrade( QuickFix.Fields.DKReason aDKReason, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrderQty aOrderQty, QuickFix.Fields.LastShares aLastShares, QuickFix.Fields.LastPx aLastPx ) : this() { this.DKReason = aDKReason; this.Symbol = aSymbol; this.Side = aSide; this.OrderQty = aOrderQty; this.LastShares = aLastShares; this.LastPx = aLastPx; }
public NewOrderSingle( QuickFix.Fields.ClOrdID aClOrdID, QuickFix.Fields.HandlInst aHandlInst, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrderQty aOrderQty, QuickFix.Fields.OrdType aOrdType ) : this() { this.ClOrdID = aClOrdID; this.HandlInst = aHandlInst; this.Symbol = aSymbol; this.Side = aSide; this.OrderQty = aOrderQty; this.OrdType = aOrdType; }
public OrderCancelReplaceRequest( QuickFix.Fields.OrigClOrdID aOrigClOrdID, QuickFix.Fields.ClOrdID aClOrdID, QuickFix.Fields.HandlInst aHandlInst, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrderQty aOrderQty, QuickFix.Fields.OrdType aOrdType ) : this() { this.OrigClOrdID = aOrigClOrdID; this.ClOrdID = aClOrdID; this.HandlInst = aHandlInst; this.Symbol = aSymbol; this.Side = aSide; this.OrderQty = aOrderQty; this.OrdType = aOrdType; }
public NewOrderList( QuickFix.Fields.ListID aListID, QuickFix.Fields.ListSeqNo aListSeqNo, QuickFix.Fields.ListNoOrds aListNoOrds, QuickFix.Fields.ClOrdID aClOrdID, QuickFix.Fields.HandlInst aHandlInst, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrderQty aOrderQty, QuickFix.Fields.OrdType aOrdType ) : this() { this.ListID = aListID; this.ListSeqNo = aListSeqNo; this.ListNoOrds = aListNoOrds; this.ClOrdID = aClOrdID; this.HandlInst = aHandlInst; this.Symbol = aSymbol; this.Side = aSide; this.OrderQty = aOrderQty; this.OrdType = aOrdType; }
private static OrderData TranslateOrderImpl(Symbol symbol, Side side, OrdType ordType, OrderQty orderQty, Price price, ClOrdID clOrdID, Account account) { switch (ordType.getValue()) { case OrdType.LIMIT: if (price.Obj == 0) throw new IncorrectTagValue(price.Tag); break; //case OrdType.MARKET: break; default: throw new IncorrectTagValue(ordType.Tag); } return new OrderData { MarketSide = TranslateFixFields.Translate(side), Symbol = symbol.getValue(), OrderType = TranslateFixFields.Translate(ordType), Quantity = orderQty.getValue(), Price = price.getValue(), ClOrdID = clOrdID.getValue(), Account = account == null ? TradingAccount.None : new TradingAccount(account.getValue()) }; }
public void Set(QuickFix.Fields.OrderQty val) { this.OrderQty = val; }
public bool IsSet(QuickFix.Fields.OrderQty val) { return(IsSetOrderQty()); }
public QuickFix.Fields.OrderQty Get(QuickFix.Fields.OrderQty val) { GetField(val); return(val); }
/// <summary> /// Creates a FIX4.4 NewOrderSingle message for Forexware /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX44.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX44.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); //set order side if (order.OrderSide == Constants.OrderSide.BUY) { newOrderSingle.Set(new Side(Side.BUY)); } else if (order.OrderSide == Constants.OrderSide.SELL) { newOrderSingle.Set(new Side(Side.SELL)); } var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); //limit, market and stop orders are supported. if (order.GetType() == typeof(LimitOrder)) { newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } else if (order.GetType() == typeof(StopOrder)) { newOrderSingle.Set(new OrdType(OrdType.STOP)); // set StopPX field // TODO: add StopPx field } var account = new QuickFix.Fields.Account(_account); newOrderSingle.SetField(account); if (order.GetType() == typeof(LimitOrder) || order.GetType() == typeof(StopOrder)) { var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); } return(newOrderSingle); }
/// <summary> /// Creates a FIX4.3 NewOrderSingle message for Integral /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX43.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract); newOrderSingle.SetField(securityType); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency); newOrderSingle.SetField(product); //set order side if (order.OrderSide == Constants.OrderSide.BUY) { newOrderSingle.Set(new Side(Side.BUY)); } else if (order.OrderSide == Constants.OrderSide.SELL) { newOrderSingle.Set(new Side(Side.SELL)); } var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var minQty = new QuickFix.Fields.MinQty(order.OrderSize); newOrderSingle.SetField(minQty); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize); newOrderSingle.SetField(maxShow); var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION); newOrderSingle.SetField(execInst); var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); return(newOrderSingle); }
/// <summary> /// Creates a FIX4.2 NewOrderSingle message for Redi /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX42.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); if (!string.IsNullOrEmpty(_account)) { var account = new QuickFix.Fields.Account(_account); newOrderSingle.SetField(account); } var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { var execInst = new QuickFix.Fields.ExecInst("h"); newOrderSingle.SetField(execInst); newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var exDestination = new QuickFix.Fields.ExDestination(";"); newOrderSingle.SetField(exDestination); var country = new QuickFix.Fields.DeliverToLocationID("1"); newOrderSingle.SetField(country); var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide)); newOrderSingle.SetField(side); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); return(newOrderSingle); }