/// <summary>
/// Creates a FIX4.4 OrderCancelRequest message for Forexware
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
var account = new QuickFix.Fields.Account(_account);
orderCancelRequest.SetField(account);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
orderCancelRequest.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
orderCancelRequest.Set(new Side(Side.SELL));
}
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
//QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
//orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
public ListExecute(
QuickFix.Fields.ListID aListID,
QuickFix.Fields.TransactTime aTransactTime
) : this()
{
this.ListID = aListID;
this.TransactTime = aTransactTime;
}
public SettlementInstructionRequest(
QuickFix.Fields.SettlInstReqID aSettlInstReqID,
QuickFix.Fields.TransactTime aTransactTime
) : this()
{
this.SettlInstReqID = aSettlInstReqID;
this.TransactTime = aTransactTime;
}
public ListCancelRequest(
QuickFix.Fields.ListID aListID,
QuickFix.Fields.TransactTime aTransactTime
) : this()
{
this.ListID = aListID;
this.TransactTime = aTransactTime;
}
public AllocationInstructionAck(
QuickFix.Fields.AllocID aAllocID,
QuickFix.Fields.TransactTime aTransactTime,
QuickFix.Fields.AllocStatus aAllocStatus
) : this()
{
this.AllocID = aAllocID;
this.TransactTime = aTransactTime;
this.AllocStatus = aAllocStatus;
}
public ConfirmationRequest(
QuickFix.Fields.ConfirmReqID aConfirmReqID,
QuickFix.Fields.ConfirmType aConfirmType,
QuickFix.Fields.TransactTime aTransactTime
) : this()
{
this.ConfirmReqID = aConfirmReqID;
this.ConfirmType = aConfirmType;
this.TransactTime = aTransactTime;
}
/// <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 ConfirmationAck(
QuickFix.Fields.ConfirmID aConfirmID,
QuickFix.Fields.TradeDate aTradeDate,
QuickFix.Fields.TransactTime aTransactTime,
QuickFix.Fields.AffirmStatus aAffirmStatus
) : this()
{
this.ConfirmID = aConfirmID;
this.TradeDate = aTradeDate;
this.TransactTime = aTransactTime;
this.AffirmStatus = aAffirmStatus;
}
public OrderMassActionRequest(
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.MassActionType aMassActionType,
QuickFix.Fields.MassActionScope aMassActionScope,
QuickFix.Fields.TransactTime aTransactTime
) : this()
{
this.ClOrdID = aClOrdID;
this.MassActionType = aMassActionType;
this.MassActionScope = aMassActionScope;
this.TransactTime = aTransactTime;
}
public OrderCancelRequest(
QuickFix.Fields.OrigClOrdID aOrigClOrdID,
QuickFix.Fields.ClOrdID aClOrdID,
QuickFix.Fields.Symbol aSymbol,
QuickFix.Fields.Side aSide,
QuickFix.Fields.TransactTime aTransactTime
) : this()
{
this.OrigClOrdID = aOrigClOrdID;
this.ClOrdID = aClOrdID;
this.Symbol = aSymbol;
this.Side = aSide;
this.TransactTime = aTransactTime;
}
/// <summary>
/// Creates a FIX4.4 OrderCancelRequest message for Fxcm
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.OrderCancelRequest OrderCancelRequest(Order order)
{
char orderSide = default(char);
if (order.OrderSide == Constants.OrderSide.BUY)
{
orderSide = Side.BUY;
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
orderSide = Side.SELL;
}
if (orderSide.Equals(default(char)))
{
_logger.Error("Invalid Order Side", _type.FullName, "OrderCancelRequest");
return(null);
}
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
QuickFix.Fields.OrderID orderId = new QuickFix.Fields.OrderID(order.BrokerOrderID);
orderCancelRequest.SetField(orderId);
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
var account = new QuickFix.Fields.Account(_account);
orderCancelRequest.SetField(account);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(orderSide);
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
public SettlementInstructions(
QuickFix.Fields.SettlInstID aSettlInstID,
QuickFix.Fields.SettlInstTransType aSettlInstTransType,
QuickFix.Fields.SettlInstMode aSettlInstMode,
QuickFix.Fields.SettlInstSource aSettlInstSource,
QuickFix.Fields.AllocAccount aAllocAccount,
QuickFix.Fields.TransactTime aTransactTime
) : this()
{
this.SettlInstID = aSettlInstID;
this.SettlInstTransType = aSettlInstTransType;
this.SettlInstMode = aSettlInstMode;
this.SettlInstSource = aSettlInstSource;
this.AllocAccount = aAllocAccount;
this.TransactTime = aTransactTime;
}
/// <summary>
/// Creates a FIX4.3 OrderCancelRequest message for Integral
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX43.OrderCancelRequest orderCancelRequest = new QuickFix.FIX43.OrderCancelRequest();
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
/// <summary>
/// Creates a FIX4.2 OrderCancelRequest message for Currenex
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX42.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX42.OrderCancelRequest orderCancelRequest = new QuickFix.FIX42.OrderCancelRequest();
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.OrdType ordType = new QuickFix.Fields.OrdType('F');
orderCancelRequest.SetField(ordType);
return(orderCancelRequest);
}
public Message CreateNewOrderSingleMessage(string symbol,
MarketSide marketSide,
string clOrdID,
TradingAccount account,
decimal price,
decimal quantity,
OrderType orderType,
string execID)
{
var fOrdType = TranslateFixFields.Translate(orderType);
var fSide = TranslateFixFields.Translate(marketSide);
var fSymbol = new Symbol(symbol);
var fTransactTime = new TransactTime(DateTime.Now);
var fClOrdID = new ClOrdID(clOrdID);
var nos = new NewOrderSingle(fClOrdID,
fSymbol,
fSide,
fTransactTime,
fOrdType)
{
OrderQty = new OrderQty(quantity),
TimeInForce = new TimeInForce(TimeInForce.GOOD_TILL_CANCEL)
};
if (orderType == OrderType.Limit)
nos.Price = new Price(price);
return nos;
}
private Queue<QuickFix.FIX42.NewOrderSingle> CreateOrders(int n)
{
Queue<QuickFix.FIX42.NewOrderSingle> orders = new Queue<QuickFix.FIX42.NewOrderSingle>(n);
for (int i = 0; i < n; i++) {
ClOrdID cloudOrderId = new ClOrdID(Guid.NewGuid().ToString());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
Symbol symbol = new Symbol("MSFT");
Side side = new Side(Side.BUY);
TransactTime time = new TransactTime();
OrdType orderType = new OrdType(OrdType.LIMIT);
QuickFix.FIX42.NewOrderSingle order = new QuickFix.FIX42.NewOrderSingle(cloudOrderId, handlInst, symbol, side, time, orderType);
order.Account = new Account("Account");
order.OrderQty = new OrderQty(100);
order.ExDestination = new ExDestination("*");
order.TimeInForce = new TimeInForce(TimeInForce.DAY);
order.Price = new Price(50m);
order.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
orders.Enqueue(order);
}
return orders;
}
/// <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);
}
public bool IsSet(QuickFix.Fields.TransactTime val)
{
return(IsSetTransactTime());
}
public void Set(QuickFix.Fields.TransactTime val)
{
this.TransactTime = 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);
}
public QuickFix.Fields.TransactTime Get(QuickFix.Fields.TransactTime val)
{
GetField(val);
return(val);
}
public void DateTimeFieldTest()
{
fieldmap.SetField(new DateTimeField(Tags.TransactTime, new DateTime(2009, 12, 10)));
TransactTime tt = new TransactTime();
fieldmap.GetField(tt);
Assert.That(new DateTime(2009, 12, 10), Is.EqualTo(tt.Obj));
fieldmap.SetField(new TransactTime(new DateTime(2010, 12, 10)));
fieldmap.GetField(tt);
Assert.That(new DateTime(2010, 12, 10), Is.EqualTo(tt.getValue()));
}
public void Set(QuickFix.Fields.TransactTime val)
{
this.TransactTime = val;
}
/// <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);
}
