/// <summary>
/// create message for new order
/// создать сообщение для нового ордера
/// </summary>
public string NewOrderSingleMsg(string clOrdId, string securityId, string side,
string orderQty, string ordType, string price)
{
var newMessage = new FixMessage(++_msgSeqNum, "D", true, _settings);
var newOrder = new List <Field>
{
new Field((int)Tags.ClOrdID, clOrdId),
new Field((int)Tags.SecurityID, securityId),
new Field((int)Tags.SecurityIDSource, "8"),
new Field((int)Tags.Side, side),
new Field((int)Tags.ExecInst, "H"),
new Field((int)Tags.TransactTime, DateTime.UtcNow.ToString("yyyyMMdd-HH:mm:ss")),
new Field((int)Tags.OrderQty, orderQty),
new Field((int)Tags.OrdType, ordType)
};
if (ordType == "2")// if limit order / если лимитный
{
newOrder.Add(new Field((int)Tags.Price, price));
newOrder.Add(new Field((int)Tags.TimeInForce, "1"));
}
newMessage.AddBody(newOrder);
var res = newMessage.ToString();
return(res);
}
/// <summary>
/// The OnSessionTxAppMessage callback is invoked by a session
/// when it is ready to dispatch an application message to the
/// peer session it's interacting with.
/// </summary>
/// <param name="session">
/// The IVfxFixSession implementation that is issuing the
/// callback to the handler.
/// </param>
/// <param name="msg">
/// The application message that the session wants to have sent
/// to its corresponding peer session.
/// </param>
public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
{
// REC: Forward the app message to the application:
_fixApplication.OnSessionTxAppMessage(_appSession, msg);
// REC: Send the app message to the peer system:
_ipcEndpoint.Send(null, new VfxMsgBlock(msg.ToString()));
}
/// <summary>
/// message for exit
/// сообщение для выхода
/// </summary>
/// <param name="isTrading">true - if the exit from the trading session, false for market data / true - если выход из торговой сессии, false для market data</param>
/// <returns>message in fix format / сообщение в формате fix</returns>
public string LogOutMsg(bool isTrading)
{
var newMessage = new FixMessage(++_msgSeqNum, "5", isTrading, _settings);
var res = newMessage.ToString();
return(res);
}
public void ToString()
{
var sessionId = new SessionIdentity("FIX.4.2", "EXECUTOR", "CLIENT1");
var target = new FixMessage(sessionId, 'A');
target.Header.Add(34, "1");
target.Header.Add(52, "20200925-11:05:13.797");
target.Add(98, "0");
target.Add(108, "30");
var str = target.ToString();
Assert.AreEqual("8=FIX.4.2\u00019=70\u000135=A\u000149=EXECUTOR\u000156=CLIENT1\u000134=1\u000152=20200925-11:05:13.797\u000198=0\u0001108=30\u000110=096\u0001", str);
}
/// <summary>
/// create message for test request
/// создать сообщение для тестового запроса
/// </summary>
/// <param name="reqId"></param>
/// <param name="isTrading"></param>
/// <returns></returns>
public string TestRequestMsg(string reqId, bool isTrading)
{
var newMessage = new FixMessage(++_msgSeqNum, "1", isTrading, _settings);
var logOnFields = new List <Field> {
new Field((int)Tags.TestReqID, reqId)
};
newMessage.AddBody(logOnFields);
var res = newMessage.ToString();
return(res);
}
/// <summary>
/// The OnSessionTxAppMessage callback is invoked by a session
/// when it is ready to dispatch an application message to the
/// peer session it's interacting with.
/// </summary>
/// <param name="session">
/// The IVfxFixSession implementation that is issuing the
/// callback to the handler.
/// </param>
/// <param name="msg">
/// The application message that the session wants to have sent
/// to its corresponding peer session.
/// </param>
public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
{
if (_mapAppSessions.ContainsKey(session.InstanceId))
{
IVfxFixAppSession appSession = _mapAppSessions[session.InstanceId];
_application.OnSessionTxAppMessage(appSession, msg);
// REC: Locate the IPC session identifier of the IPC session
// that is associated with the service that is generating the
// event and use that to send the message to the peer:
if (_mapFixToIpc.ContainsKey(session.InstanceId))
{
string ipcIdentifier = _mapFixToIpc[session.InstanceId];
_endpoint.Send(ipcIdentifier, new VfxMsgBlock(msg.ToString()));
}
}
}
/// <summary>
/// create a message for request status
/// создать сообщение для запроса статуса ордера
/// </summary>
/// <param name="clOrdId">order number specified by the user when creating/номер ордера заданный пользователем при создании</param>
/// <param name="side">order side/направление ордера</param>
/// <param name="securityId">instrument id/id инструмента</param>
public string OrderStatusRequestMsg(string clOrdId, string securityId, string side)
{
var newMessage = new FixMessage(++_msgSeqNum, "H", true, _settings);
var newOrder = new List <Field>
{
new Field((int)Tags.ClOrdID, clOrdId),
new Field((int)Tags.SecurityID, securityId),
new Field((int)Tags.SecurityIDSource, "8"),
new Field((int)Tags.Side, side)
};
newMessage.AddBody(newOrder);
var res = newMessage.ToString();
return(res);
}
/// <summary>
/// create message for cancelling order
/// создать сообщение для отмены ордера
/// </summary>
public string OrderCancelRequestMsg(string origClOrdId, string clOrdId, string securityId)
{
var newMessage = new FixMessage(++_msgSeqNum, "F", true, _settings);
var newOrder = new List <Field>
{
new Field((int)Tags.OrigClOrdID, clOrdId),
new Field((int)Tags.ClOrdID, origClOrdId),
new Field((int)Tags.SecurityID, securityId),
new Field((int)Tags.SecurityIDSource, "8"),
new Field((int)Tags.TransactTime, DateTime.UtcNow.ToString("yyyyMMdd-HH:mm:ss"))
};
newMessage.AddBody(newOrder);
var res = newMessage.ToString();
return(res);
}
/// <summary>
/// message for entering
/// сообщение для входа
/// </summary>
/// <param name="isTrading">true - if the entrance to the trading session, false for market data / true - если вход в торговую сессию, false для market data</param>
/// <param name="heartbeatInterval"></param>
/// <returns>сообщение в формате fix</returns>
public string LogOnMsg(bool isTrading, int heartbeatInterval)
{
var newMessage = new FixMessage(++_msgSeqNum, "A", isTrading, _settings);
var logOnFields = new List <Field>
{
new Field((int)Tags.EncryptMethod, "0"),
new Field((int)Tags.HeartBtInt, heartbeatInterval.ToString()),
new Field((int)Tags.ResetSeqNumFlag, "Y"),
new Field((int)Tags.Username, _settings.Username),
new Field((int)Tags.Password, _settings.Password)
};
newMessage.AddBody(logOnFields);
var res = newMessage.ToString();
return(res);
}
public string TradeCaptureReportRequestMsg(string tradeRequestId, string tradeRequestType, string subscriptionRequestType, DateTime starTime, DateTime endTime)
{
var newMessage = new FixMessage(++_msgSeqNum, "AD", true, _settings);
var newOrder = new List <Field>
{
new Field((int)Tags.TradeRequestID, tradeRequestId),
new Field((int)Tags.TradeRequestType, tradeRequestType),
new Field((int)Tags.SubscriptionRequestType, subscriptionRequestType),
new Field((int)Tags.NoDates, "2"),
new Field((int)Tags.TransactTime, starTime.ToString("yyyyMMdd-HH:mm:ss")),
new Field((int)Tags.TransactTime, endTime.ToString("yyyyMMdd-HH:mm:ss"))
};
newMessage.AddBody(newOrder);
var res = newMessage.ToString();
return(res);
}
public void OnMessage(FixMessage msg)
{
Console.WriteLine(">" + msg.ToString());
var msgType = msg.Header[Tags.MsgType] as FixField <char>;
switch (msgType.Value)
{
case 'D':
var accept = new FixMessage(_session.RevertID, '8');
accept.Header.Add(52, DateTime.UtcNow.ToString(FixSettings.DateTimeFormat));
accept.Add(6, 0);
accept.Add(14, 0);
accept.Add(17, _execId++);
accept.Add(37, _orderId++);
accept.Add(msg[11]);
accept.Add(39, 2);
accept.Add(msg[54]);
accept.Add(msg[55]);
accept.Add(150, 0);
accept.Add(151, 0);
_session.SendAsync(accept);
return;
}
}
public void OnSessionRxAdmMessage(IVfxFixAppSession session, FixMessage msg)
{
FixField fixSCID = msg.Header.GetField(49);
Console.WriteLine(string.Format("FIX CLIENT: {0} SENT: {1}", fixSCID.Content, msg.ToString()));
}
/// <summary>
/// The OnSessionTxAppMessage callback is invoked by a session
/// when it is ready to dispatch an application message to the
/// peer session it's interacting with.
/// </summary>
/// <param name="session">
/// The IVfxFixSession implementation that is issuing the
/// callback to the handler.
/// </param>
/// <param name="msg">
/// The application message that the session wants to have sent
/// to its corresponding peer session.
/// </param>
public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
{
// REC: Forward the app message to the application:
_fixApplication.OnSessionTxAppMessage(_appSession, msg);
// REC: Send the app message to the peer system:
_ipcEndpoint.Send(null, new VfxMsgBlock(msg.ToString()));
}
/// <summary>
/// heartbeat message
/// сообщение пулься
/// </summary>
public string HeartbeatMsg(bool isTrading)
{
var newMessage = new FixMessage(++_msgSeqNum, "0", isTrading, _settings);
return(newMessage.ToString());
}
public void OnMessage(FixMessage msg)
{
Console.WriteLine(">" + msg.ToString());
}
public void OnSessionRxAppMessage(IVfxFixAppSession session, FixMessage msg)
{
FixField fixSCID = msg.Header.GetField(49);
Console.WriteLine(string.Format("FIX SERVER: {0} SENT: {1}", fixSCID.Content, msg.ToString()));
}
/// <summary>
/// The OnSessionTxAppMessage callback is invoked by a session
/// when it is ready to dispatch an application message to the
/// peer session it's interacting with.
/// </summary>
/// <param name="session">
/// The IVfxFixSession implementation that is issuing the
/// callback to the handler.
/// </param>
/// <param name="msg">
/// The application message that the session wants to have sent
/// to its corresponding peer session.
/// </param>
public void OnSessionTxAppMessage(IVfxFixSession session, FixMessage msg)
{
if (_mapAppSessions.ContainsKey(session.InstanceId))
{
IVfxFixAppSession appSession = _mapAppSessions[session.InstanceId];
_application.OnSessionTxAppMessage(appSession, msg);
// REC: Locate the IPC session identifier of the IPC session
// that is associated with the service that is generating the
// event and use that to send the message to the peer:
if (_mapFixToIpc.ContainsKey(session.InstanceId))
{
string ipcIdentifier = _mapFixToIpc[session.InstanceId];
_endpoint.Send(ipcIdentifier, new VfxMsgBlock(msg.ToString()));
}
}
}