コード例 #1
0
        //[System.Runtime.CompilerServices.MethodImpl(System.Runtime.CompilerServices.MethodImplOptions.Synchronized)]
        public static void PlaceNewSingleOrder(string _clOrderID, string _clientID, string _securityCode, int _quantity, double _price, string _custodyCode,
                                               char _orderSide, char _orderType, string currencyCode, string exDestination, char _timeInForce, string groupID,
                                               char handleInst, DateTime expiration, bool hasAON, int minQty)
        {
            QuickFix44.NewOrderSingle order = new QuickFix44.NewOrderSingle();

            #region Order Details

            QuickFix.OrderQty   orderQty = new QuickFix.OrderQty(_quantity); order.setField(orderQty);
            QuickFix.Symbol     symbol   = new QuickFix.Symbol(_securityCode); order.setField(symbol);
            QuickFix.SecurityID secID    = new QuickFix.SecurityID(_securityCode); order.setField(secID);
            QuickFix.Side       side     = new QuickFix.Side(_orderSide); order.setField(side);
            QuickFix.OrdType    ordType  = new QuickFix.OrdType(_orderType); order.setField(ordType);
            QuickFix.Price      price    = new QuickFix.Price(_price); order.setField(price);
            Currency            currency = new Currency(currencyCode); order.setField(currency);
            Account             acc      = new Account(_clientID); order.setField(acc);
            //QuickFix.ClearingFirm custody = new ClearingFirm(_custodyCode);order.setField(custody);
            QuickFix.PartyID custody = new PartyID(_custodyCode); order.setField(custody);
            //QuickFix.PartyRole pr = new PartyRole(PartyRole.CUSTODIAN); order.setField(pr);
            //QuickFix.NoPartyIDs npid = new NoPartyIDs(1); order.setField(npid);
            //QuickFix.PartyIDSource pid = new PartyIDSource(PartyIDSource.PROPRIETARY); order.setField(pid);
            TimeInForce  tif = new TimeInForce(_timeInForce); order.setField(tif);
            IDSource     ids = new IDSource("4"); order.setField(ids);
            TransactTime tt  = new TransactTime(DateTime.Now); order.setField(tt);
            //SenderSubID ss = new SenderSubID("05095a"); order.setField(ss);
            if (_timeInForce == QuickFix.TimeInForce.GOOD_TILL_DATE)
            {
                ExpireDate ed = new ExpireDate(expiration.ToString("yyyyMMdd")); order.setField(ed);
                //ExpireTime et = new ExpireTime(new DateTime(DateTime.Now.Year, DateTime.Now.Month, DateTime.Now.Day, DateTime.Now.Hour + 4, 0, 0)); order.setField(et);
                ExpireTime et = new ExpireTime(expiration); order.setField(et);
            }
            if (hasAON)
            {
                order.setField(new ExecInst(ExecInst.ALL_OR_NONE.ToString()));
                order.setField(new MinQty(minQty));
            }
            #endregion Order Details

            #region Fix Order Message IDs

            QuickFix.ClOrdID clOrdID = new QuickFix.ClOrdID(string.Format("{0}{1}", _wcfMsgPrefix, _clOrderID));
            order.setField(clOrdID);

            #endregion Fix Order Message IDs

            #region Reporting

            //QuickFix.HandlInst handlInst = new QuickFix.HandlInst(QuickFix.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION); order.setField(handlInst);
            QuickFix.HandlInst handlInst = new QuickFix.HandlInst(handleInst); order.setField(handlInst);

            #endregion Reporting

            #region Exchange

            ExDestination    exd         = new ExDestination(exDestination); order.setField(exd);
            TradingSessionID tradSession = new TradingSessionID(groupID); order.setField(tradSession);
            #endregion Exchange

            Session.sendToTarget(order, _sessionID);
        }
コード例 #2
0
        public static void PlaceNewSingleOrder()
        {
            QuickFix44.NewOrderSingle order = new QuickFix44.NewOrderSingle();

            #region Order Details

            QuickFix.OrderQty   orderQty = new QuickFix.OrderQty(10); order.setField(orderQty);
            QuickFix.Symbol     symbol   = new QuickFix.Symbol("EGS48031C016"); order.setField(symbol);
            QuickFix.SecurityID secID    = new QuickFix.SecurityID("EGS48031C016"); order.setField(secID);
            QuickFix.Side       side     = new QuickFix.Side(Side.SELL); order.setField(side);
            QuickFix.OrdType    ordType  = new QuickFix.OrdType(OrdType.LIMIT); order.setField(ordType);
            QuickFix.Price      price    = new QuickFix.Price(10); order.setField(price);
            Currency            currency = new Currency("EGP"); order.setField(currency);
            Account             acc      = new Account("1003"); order.setField(acc);
            QuickFix.PartyID    custody  = new PartyID("5004"); order.setField(custody);
            TimeInForce         tif      = new TimeInForce(TimeInForce.DAY); order.setField(tif);
            IDSource            ids      = new IDSource("4"); order.setField(ids);
            TransactTime        tt       = new TransactTime(DateTime.Now); order.setField(tt);
            //SenderSubID ss = new SenderSubID("05095a"); order.setField(ss);
            #endregion Order Details

            #region Fix Order Message IDs

            QuickFix.ClOrdID clOrdID = new ClOrdID(Guid.NewGuid().ToString());
            order.setField(clOrdID);

            #endregion Fix Order Message IDs

            #region Exchange
            ExDestination    exd         = new ExDestination("CA"); order.setField(exd);
            TradingSessionID tradSession = new TradingSessionID("NOPL"); order.setField(tradSession);
            #endregion Exchange

            Session.sendToTarget(order, _app.SessionID);
        }