private void EmitExecutionReport(SmartQuant.FIX.ExecutionReport report)
{
if (this.ExecutionReport != null)
{
this.ExecutionReport(this, new ExecutionReportEventArgs(report));
}
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
SmartQuant.FIX.ExecutionReport executionReport = new SmartQuant.FIX.ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ClOrdID = record.Order.ClOrdID;
executionReport.OrigClOrdID = record.Order.ClOrdID;
executionReport.OrderID = record.Order.OrderID;
executionReport.Symbol = record.Order.Symbol;
executionReport.SecurityType = record.Order.SecurityType;
executionReport.SecurityExchange = record.Order.SecurityExchange;
executionReport.Currency = record.Order.Currency;
executionReport.CommType = commType;
executionReport.Commission = commission;
executionReport.Side = record.Order.Side;
if (ordStatus == OrdStatus.Replaced)
{
executionReport.OrdType = (record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType);
executionReport.TimeInForce = (record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce);
executionReport.OrderQty = (record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty);
executionReport.Price = (record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : record.Order.Price);
executionReport.StopPx = (record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx);
record.LeavesQty = (int)executionReport.OrderQty - record.CumQty;
}
else
{
executionReport.OrdType = record.Order.OrdType;
executionReport.TimeInForce = record.Order.TimeInForce;
executionReport.OrderQty = record.Order.OrderQty;
executionReport.Price = record.Order.Price;
executionReport.StopPx = record.Order.StopPx;
}
executionReport.LastPx = lastPx;
executionReport.LastQty = (double)lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
executionReport.AvgPx = record.AvgPx;
executionReport.CumQty = (double)record.CumQty;
executionReport.LeavesQty = (double)record.LeavesQty;
executionReport.ExecType = this.GetExecType(ordStatus);
executionReport.OrdStatus = ordStatus;
executionReport.Text = text;
this.EmitExecutionReport(executionReport);
}
public void OnExecutionReport(object sender, ExecutionReportEventArgs e)
{
if (ExecutionReport != null)
{
QuickFix42.ExecutionReport sourceReport = e.ExecutionReport;
try
{
SmartQuant.FIX.ExecutionReport report = new SmartQuant.FIX.ExecutionReport();
if (sourceReport.isSetField(41))//如果已有原始编号OrigClOrdID
{
report.OrigClOrdID = sourceReport.getOrigClOrdID().getValue();
}
else if (sourceReport.isSetField(11))//如果有标识委托所对应的ClOrdID
{
report.ClOrdID = sourceReport.getClOrdID().getValue();
}
report.ExecID = sourceReport.getExecID().getValue();
char execType = sourceReport.getExecType().getValue();
//Console.WriteLine(execType);
switch (execType)//订单执行结果
{
case '0':
report.ExecType = ExecType.New;
break;
case '1':
report.ExecType = ExecType.PartialFill;
break;
case '2':
report.ExecType = ExecType.Fill;
break;
case '4':
report.ExecType = ExecType.Cancelled;
break;
case '6':
report.ExecType = ExecType.PendingCancel;
break;
case '8':
report.ExecType = ExecType.Rejected;
break;
default:
report.ExecType = ExecType.Undefined;
break;
}
if ((execType == '1') || (execType == '2')) //执行结果是部分成交或是全部成交
{
report.LastPx = sourceReport.getLastPx().getValue(); //本次成交均价
report.LastQty = sourceReport.getLastShares().getValue(); //本次成交数量
}
report.OrderQty = sourceReport.getOrderQty().getValue(); //订单委托量
char orderStatus = sourceReport.getOrdStatus().getValue();
if (orderStatus == '1' || orderStatus == '2') //订单状态是部分成交或是全部成交
{
report.AvgPx = sourceReport.getAvgPx().getValue(); //平均成交价
report.CumQty = sourceReport.getCumQty().getValue(); //累计成交量
report.LeavesQty = report.OrderQty - report.CumQty; //未成交量
}
switch (orderStatus)
{
case '0':
report.OrdStatus = OrdStatus.New;
break;
case '1':
report.OrdStatus = OrdStatus.PartiallyFilled;
break;
case '2':
report.OrdStatus = OrdStatus.Filled;
break;
case '4':
report.OrdStatus = OrdStatus.Cancelled;
break;
case '6':
report.OrdStatus = OrdStatus.PendingCancel;
break;
case '8':
report.OrdStatus = OrdStatus.Rejected;
break;
default:
report.OrdStatus = OrdStatus.Undefined;
break;
}
if (sourceReport.isSetTransactTime())//传送时间
{
report.TransactTime = sourceReport.getTransactTime().getValue();
}
if (sourceReport.isSetText())
{
report.Text = sourceReport.getText().getValue();
}
ExecutionReport(this, new SmartQuant.FIX.ExecutionReportEventArgs(report));
}
catch (Exception ex)
{
EmitError(-1, -1, ex.Message);
}
}
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
SmartQuant.FIX.ExecutionReport executionReport = new SmartQuant.FIX.ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ClOrdID = record.Order.ClOrdID;
executionReport.OrigClOrdID = record.Order.ClOrdID;
executionReport.OrderID = record.Order.OrderID;
executionReport.Symbol = record.Order.Symbol;
executionReport.SecurityType = record.Order.SecurityType;
executionReport.SecurityExchange = record.Order.SecurityExchange;
executionReport.Currency = record.Order.Currency;
executionReport.CommType = commType;
executionReport.Commission = commission;
executionReport.Side = record.Order.Side;
if (ordStatus == OrdStatus.Replaced)
{
executionReport.OrdType = (record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType);
executionReport.TimeInForce = (record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce);
executionReport.OrderQty = (record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty);
executionReport.Price = (record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : record.Order.Price);
executionReport.StopPx = (record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx);
record.LeavesQty = (int)executionReport.OrderQty - record.CumQty;
}
else
{
executionReport.OrdType = record.Order.OrdType;
executionReport.TimeInForce = record.Order.TimeInForce;
executionReport.OrderQty = record.Order.OrderQty;
executionReport.Price = record.Order.Price;
executionReport.StopPx = record.Order.StopPx;
}
executionReport.LastPx = lastPx;
executionReport.LastQty = (double)lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
executionReport.AvgPx = record.AvgPx;
executionReport.CumQty = (double)record.CumQty;
executionReport.LeavesQty = (double)record.LeavesQty;
executionReport.ExecType = this.GetExecType(ordStatus);
executionReport.OrdStatus = ordStatus;
executionReport.Text = text;
this.EmitExecutionReport(executionReport);
}
