public static OrderStatus Convert(OrdStatus ordStatus)
{
switch (ordStatus.Obj)
{
case ExecType.NEW:
return(OrderStatus.New);
case ExecType.PARTIAL_FILL:
return(OrderStatus.Partial);
case ExecType.FILL:
return(OrderStatus.Filled);
case ExecType.CANCELED:
return(OrderStatus.Canceled);
case ExecType.REPLACED:
return(OrderStatus.Replaced);
case ExecType.REJECTED:
return(OrderStatus.Rejected);
case ExecType.SUSPENDED:
return(OrderStatus.Suspended);
case ExecType.TRADE:
return(OrderStatus.Traded);
}
return(OrderStatus.Unknown);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderExecutionReport" /> class.
/// </summary>
/// <param name="exchangeId">Exchange identifier used to identify the routing destination. (required).</param>
/// <param name="clientOrderId">The unique identifier of the order assigned by the client. (required).</param>
/// <param name="symbolIdExchange">Exchange symbol. One of the properties (`symbol_id_exchange`, `symbol_id_coinapi`) is required to identify the market for the new order..</param>
/// <param name="symbolIdCoinapi">CoinAPI symbol. One of the properties (`symbol_id_exchange`, `symbol_id_coinapi`) is required to identify the market for the new order..</param>
/// <param name="amountOrder">Order quantity. (required).</param>
/// <param name="price">Order price. (required).</param>
/// <param name="side">side (required).</param>
/// <param name="orderType">orderType (required).</param>
/// <param name="timeInForce">timeInForce (required).</param>
/// <param name="expireTime">Expiration time. Conditionaly required for orders with time_in_force = `GOOD_TILL_TIME_EXCHANGE` or `GOOD_TILL_TIME_OEML`..</param>
/// <param name="execInst">Order execution instructions are documented in the separate section: <a href=\"#oeml-order-params-exec\">OEML / Starter Guide / Order parameters / Execution instructions</a> .</param>
/// <param name="clientOrderIdFormatExchange">The unique identifier of the order assigned by the client converted to the exchange order tag format for the purpose of tracking it. (required).</param>
/// <param name="exchangeOrderId">Unique identifier of the order assigned by the exchange or executing system..</param>
/// <param name="amountOpen">Quantity open for further execution. `amount_open` = `amount_order` - `amount_filled` (required).</param>
/// <param name="amountFilled">Total quantity filled. (required).</param>
/// <param name="status">status (required).</param>
/// <param name="timeOrder">Timestamped history of order status changes. (required).</param>
/// <param name="errorMessage">Error message.</param>
public OrderExecutionReport(string exchangeId = default(string), string clientOrderId = default(string), string symbolIdExchange = default(string), string symbolIdCoinapi = default(string), decimal amountOrder = default(decimal), decimal price = default(decimal), OrdSide side = default(OrdSide), OrdType orderType = default(OrdType), TimeInForce timeInForce = default(TimeInForce), DateTime expireTime = default(DateTime), List <ExecInstEnum> execInst = default(List <ExecInstEnum>), string clientOrderIdFormatExchange = default(string), string exchangeOrderId = default(string), decimal amountOpen = default(decimal), decimal amountFilled = default(decimal), OrdStatus status = default(OrdStatus), List <List <string> > timeOrder = default(List <List <string> >), string errorMessage = default(string))
{
// to ensure "exchangeId" is required (not null)
this.ExchangeId = exchangeId ?? throw new ArgumentNullException("exchangeId is a required property for OrderExecutionReport and cannot be null");
// to ensure "clientOrderId" is required (not null)
this.ClientOrderId = clientOrderId ?? throw new ArgumentNullException("clientOrderId is a required property for OrderExecutionReport and cannot be null");
this.AmountOrder = amountOrder;
this.Price = price;
this.Side = side;
this.OrderType = orderType;
this.TimeInForce = timeInForce;
// to ensure "clientOrderIdFormatExchange" is required (not null)
this.ClientOrderIdFormatExchange = clientOrderIdFormatExchange ?? throw new ArgumentNullException("clientOrderIdFormatExchange is a required property for OrderExecutionReport and cannot be null");
this.AmountOpen = amountOpen;
this.AmountFilled = amountFilled;
this.Status = status;
// to ensure "timeOrder" is required (not null)
this.TimeOrder = timeOrder ?? throw new ArgumentNullException("timeOrder is a required property for OrderExecutionReport and cannot be null");
this.SymbolIdExchange = symbolIdExchange;
this.SymbolIdCoinapi = symbolIdCoinapi;
this.ExpireTime = expireTime;
this.ExecInst = execInst;
this.ExchangeOrderId = exchangeOrderId;
this.ErrorMessage = errorMessage;
}
public OrderCancelRejectWrapper(string pOrderId, string pOrigClOrderId, string pClOrderId,
OrdStatus pOrdStatus, Side pSide, decimal?pPrice, decimal pOrdQty,
decimal pLeftQty,
DateTime pTransactTime,
CxlRejReason pCxlRejReason,
string pText, string pSymbol)
{
OrderId = pOrderId;
OrigClOrderId = pOrigClOrderId;
ClOrderId = pClOrderId;
OrdStatus = pOrdStatus;
Side = pSide;
Price = pPrice;
OrdQty = pOrdQty;
LeftQty = pLeftQty;
TransactTime = pTransactTime;
CxlRejReason = pCxlRejReason;
Text = pText;
Symbol = pSymbol;
}
internal static OrderStatus Convert(OrdStatus status)
{
switch (status)
{
case OrdStatus.New:
return OrderStatus.New;
case OrdStatus.PartiallyFilled:
return OrderStatus.PartiallyFilled;
case OrdStatus.Filled:
return OrderStatus.Filled;
case OrdStatus.Cancelled:
return OrderStatus.Cancelled;
case OrdStatus.Replaced:
return OrderStatus.Replaced;
case OrdStatus.PendingCancel:
return OrderStatus.PendingCancel;
case OrdStatus.Rejected:
return OrderStatus.Rejected;
case OrdStatus.PendingNew:
return OrderStatus.PendingNew;
case OrdStatus.Expired:
return OrderStatus.Expired;
case OrdStatus.PendingReplace:
return OrderStatus.PendingReplace;
default:
throw new ArgumentException(string.Format("Unsupported OrdStatus - {0}", status));
}
}
private static ExecType GetExecType(OrdStatus status)
{
switch (status)
{
case OrdStatus.New:
return(ExecType.New);
case OrdStatus.PartiallyFilled:
return(ExecType.PartialFill);
case OrdStatus.Filled:
return(ExecType.Fill);
case OrdStatus.Cancelled:
return(ExecType.Cancelled);
case OrdStatus.Replaced:
return(ExecType.Replace);
case OrdStatus.PendingCancel:
return(ExecType.PendingCancel);
case OrdStatus.Rejected:
return(ExecType.Rejected);
case OrdStatus.PendingReplace:
return(ExecType.PendingReplace);
case OrdStatus.Expired:
return(ExecType.Expired);
}
throw new ArgumentException(string.Format("Cannot find exec type for ord status - {0}", status));
}
internal static OrderStatus Convert(OrdStatus status)
{
switch (status)
{
case OrdStatus.New:
return OrderStatus.New;
case OrdStatus.PartiallyFilled:
return OrderStatus.PartiallyFilled;
case OrdStatus.Filled:
return OrderStatus.Filled;
case OrdStatus.Cancelled:
return OrderStatus.Cancelled;
case OrdStatus.Replaced:
return OrderStatus.Replaced;
case OrdStatus.PendingCancel:
return OrderStatus.PendingCancel;
case OrdStatus.Rejected:
return OrderStatus.Rejected;
case OrdStatus.PendingNew:
return OrderStatus.PendingNew;
case OrdStatus.Expired:
return OrderStatus.Expired;
case OrdStatus.PendingReplace:
return OrderStatus.PendingReplace;
}
throw new NotImplementedException("OrderStatus is not supported : " + status);
}
public static char GetStatus(OrdStatus status)
{
if (status == OrdStatus.AcceptedForBidding || status == OrdStatus.Calculated || status == OrdStatus.New ||
status == OrdStatus.PendingCancel || status == OrdStatus.PendingNew || status == OrdStatus.PendingReplace ||
status == OrdStatus.Replaced)
{
return(_STATUS_OPEN);
}
else if (status == OrdStatus.Canceled)
{
return(_STATUS_CANCELED);
}
else if (status == OrdStatus.Rejected || status == OrdStatus.Suspended)
{
return(_STATUS_REJECTED);
}
else if (status == OrdStatus.Filled)
{
return(_STATUS_FILLED);
}
else if (status == OrdStatus.PartiallyFilled)
{
return /*_STATUS_PARTIALLY_FILLED*/ (_STATUS_OPEN);
}
else if (status == OrdStatus.Expired || status == OrdStatus.DoneForDay)
{
return(_STATUS_EXPIRED);
}
else
{
throw new Exception(string.Format("Unkwnown order status: {0}", status.ToString()));
}
}
internal void SetOrderDone(SingleOrder order)
{
OrdStatus ordStatus = order.OrdStatus;
switch (ordStatus)
{
case OrdStatus.Filled:
this.OnOrderFilled(order);
break;
case OrdStatus.DoneForDay:
break;
case OrdStatus.Cancelled:
this.OnOrderCancelled(order);
break;
default:
if (ordStatus == OrdStatus.Rejected)
{
this.OnOrderRejected(order);
}
break;
}
this.OnOrderDone(order);
}
public virtual int _GetUniqueIdentifier()
{
var hashCode = 399326290;
hashCode = hashCode * -1521134295 + (OrdID?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdOrderID_Remote?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdOrderExternalCode?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdOrderDescr?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdRegDateTime?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDateTime?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDeliveryDateTime?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDepositorCode?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDepositorFullName?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdCustomerCode?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdCustomerFullName?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdStatus?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdMemo?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdPurpose?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDeliveryValue?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDeliveryNotes?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdIsReturn?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdPrdTypeDescr?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdWrhRoutingCode?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDlsId?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDlsDescr?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDlsAddress?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDlsZipCode?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDlsCity?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdDlsArea?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdRoutingStatus?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdWeight?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdVol?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdCtn?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdBar?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdPalEuro?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdPalInd?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdPalElsa?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdParOU?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLfdVar?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVoucherDateTime?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVoucherNumber?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVoucherSeries?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVoucherId?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdAgencyCode?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdAgencyDescr?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdAgencyAddress?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdTelRouteId?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVchPlateNr?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVchRouteNr?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVhrDate?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdVhrID?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdLastUpdateDateTime?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrdReadyForLoading?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (Warehouse?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (WarehouseAddress?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (Polyline?.GetHashCode() ?? 0);
hashCode = hashCode * -1521134295 + (OrderDTOKey?.GetHashCode() ?? 0);
return(hashCode);
}
public static char ToFIX(OrdStatus ordStatus)
{
switch (ordStatus)
{
case OrdStatus.Undefined:
return(char.MinValue);
case OrdStatus.New:
return('0');
case OrdStatus.PartiallyFilled:
return('1');
case OrdStatus.Filled:
return('2');
case OrdStatus.DoneForDay:
return('3');
case OrdStatus.Cancelled:
return('4');
case OrdStatus.Replaced:
return('5');
case OrdStatus.PendingCancel:
return('6');
case OrdStatus.Stopped:
return('7');
case OrdStatus.Rejected:
return('8');
case OrdStatus.Suspended:
return('9');
case OrdStatus.PendingNew:
return('A');
case OrdStatus.Calculated:
return('B');
case OrdStatus.Expired:
return('C');
case OrdStatus.AcceptedForBidding:
return('D');
case OrdStatus.PendingReplace:
return('E');
default:
throw new ArgumentException("unknown: " + ((object)ordStatus).ToString());
}
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderExecutionReportAllOf" /> class.
/// </summary>
/// <param name="clientOrderIdFormatExchange">The unique identifier of the order assigned by the client converted to the exchange order tag format for the purpose of tracking it. (required).</param>
/// <param name="exchangeOrderId">Unique identifier of the order assigned by the exchange or executing system..</param>
/// <param name="amountOpen">Quantity open for further execution. `amount_open` = `amount_order` - `amount_filled` (required).</param>
/// <param name="amountFilled">Total quantity filled. (required).</param>
/// <param name="status">status (required).</param>
/// <param name="timeOrder">Timestamped history of order status changes. (required).</param>
/// <param name="errorMessage">Error message.</param>
public OrderExecutionReportAllOf(string clientOrderIdFormatExchange = default(string), string exchangeOrderId = default(string), decimal amountOpen = default(decimal), decimal amountFilled = default(decimal), OrdStatus status = default(OrdStatus), List <List <string> > timeOrder = default(List <List <string> >), string errorMessage = default(string))
{
// to ensure "clientOrderIdFormatExchange" is required (not null)
if (clientOrderIdFormatExchange == null)
{
throw new InvalidDataException("clientOrderIdFormatExchange is a required property for OrderExecutionReportAllOf and cannot be null");
}
else
{
this.ClientOrderIdFormatExchange = clientOrderIdFormatExchange;
}
// to ensure "amountOpen" is required (not null)
if (amountOpen == null)
{
throw new InvalidDataException("amountOpen is a required property for OrderExecutionReportAllOf and cannot be null");
}
else
{
this.AmountOpen = amountOpen;
}
// to ensure "amountFilled" is required (not null)
if (amountFilled == null)
{
throw new InvalidDataException("amountFilled is a required property for OrderExecutionReportAllOf and cannot be null");
}
else
{
this.AmountFilled = amountFilled;
}
// to ensure "status" is required (not null)
if (status == null)
{
throw new InvalidDataException("status is a required property for OrderExecutionReportAllOf and cannot be null");
}
else
{
this.Status = status;
}
// to ensure "timeOrder" is required (not null)
if (timeOrder == null)
{
throw new InvalidDataException("timeOrder is a required property for OrderExecutionReportAllOf and cannot be null");
}
else
{
this.TimeOrder = timeOrder;
}
this.ExchangeOrderId = exchangeOrderId;
this.ErrorMessage = errorMessage;
}
public override string ToString()
{
OrdStatus ordStatus = GetOrdStatus(ExecutionReport.GetChar(QuickFix.Fields.Tags.OrdStatus));
ExecType? execType = GetExecType(ExecutionReport.GetChar(QuickFix.Fields.Tags.ExecType));
string symbol = FixHelper.GetNullFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Symbol);
string exchange = "";
return(string.Format("Execution Report for symbol {2}: Order Status={0} - Exec Type={1}",
ordStatus.ToString(), execType.ToString(), symbol));
}
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);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderExecutionReportAllOf" /> class.
/// </summary>
/// <param name="clientOrderIdFormatExchange">The unique identifier of the order assigned by the client converted to the exchange order tag format for the purpose of tracking it. (required).</param>
/// <param name="exchangeOrderId">Unique identifier of the order assigned by the exchange or executing system..</param>
/// <param name="amountOpen">Quantity open for further execution. `amount_open` = `amount_order` - `amount_filled` (required).</param>
/// <param name="amountFilled">Total quantity filled. (required).</param>
/// <param name="status">status (required).</param>
/// <param name="timeOrder">Timestamped history of order status changes. (required).</param>
/// <param name="errorMessage">Error message.</param>
public OrderExecutionReportAllOf(string clientOrderIdFormatExchange = default(string), string exchangeOrderId = default(string), decimal amountOpen = default(decimal), decimal amountFilled = default(decimal), OrdStatus status = default(OrdStatus), List <List <string> > timeOrder = default(List <List <string> >), string errorMessage = default(string))
{
// to ensure "clientOrderIdFormatExchange" is required (not null)
this.ClientOrderIdFormatExchange = clientOrderIdFormatExchange ?? throw new ArgumentNullException("clientOrderIdFormatExchange is a required property for OrderExecutionReportAllOf and cannot be null");
this.AmountOpen = amountOpen;
this.AmountFilled = amountFilled;
this.Status = status;
// to ensure "timeOrder" is required (not null)
this.TimeOrder = timeOrder ?? throw new ArgumentNullException("timeOrder is a required property for OrderExecutionReportAllOf and cannot be null");
this.ExchangeOrderId = exchangeOrderId;
this.ErrorMessage = errorMessage;
}
private static void OnOrderCancelReject(object sender, OrderCancelRejectEventArgs e)
{
OrderCancelReject orderCancelReject = e.OrderCancelReject;
SingleOrder order = OrderManager.orders.All[orderCancelReject.OrigClOrdID] as SingleOrder;
if (orderCancelReject.OrdStatus == OrdStatus.Undefined)
{
orderCancelReject.OrdStatus = OrdStatus.New;
ArrayList arrayList = new ArrayList((ICollection)order.Reports);
arrayList.Reverse();
foreach (ExecutionReport executionReport in arrayList)
{
switch (executionReport.OrdStatus)
{
case OrdStatus.PendingCancel:
case OrdStatus.PendingNew:
case OrdStatus.PendingReplace:
continue;
default:
orderCancelReject.OrdStatus = executionReport.OrdStatus;
goto label_10;
}
}
}
label_10:
OrdStatus ordStatus = order.OrdStatus;
order.EmitCancelReject(orderCancelReject);
if (OrderManager.OrderCancelReject != null)
{
OrderManager.OrderCancelReject(sender, new OrderCancelRejectEventArgs(order, orderCancelReject));
}
if (order.IsDone)
{
if (!OrderManager.EnablePartialTransactions)
{
OrderManager.nf3XP7Xf3(order, orderCancelReject.TransactTime, order.AvgPx, order.CumQty);
}
OrderManager.YUArMfFNj(order);
}
else
{
if (ordStatus == order.OrdStatus)
{
return;
}
OrderManager.orders.Update(order);
order.EmitStatusChanged();
OrderManager.EmitOrderStatusChanged(order);
}
}
public OrderList GetOrderList(OrdStatus ordStatus)
{
OrderList orderList = new OrderList();
foreach (SingleOrder singleOrder in this.allOrders)
{
if (singleOrder.OrdStatus == ordStatus)
{
orderList.Add(singleOrder);
}
}
return(orderList);
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
OrderCancelReject reject = new OrderCancelReject();
reject.TransactTime = Clock.Now;
reject.ClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
reject.OrigClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
reject.OrdStatus = ordStatus;
reject.CxlRejResponseTo = responseTo;
reject.CxlRejReason = CxlRejReason.BrokerOption;
reject.Text = text;
this.EmitOrderCancelReject(reject);
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
this.EmitOrderCancelReject(new OrderCancelReject
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrdStatus = ordStatus,
CxlRejResponseTo = responseTo,
CxlRejReason = CxlRejReason.BrokerOption,
Text = text
});
}
public override void onMessage(QuickFix44.ExecutionReport message, SessionID session)
{
OrderID orderID = message.getOrderID();
ClOrdID clOrdID = message.getClOrdID();
OrdStatus ordStatus = message.getOrdStatus();
Symbol symbol = message.getSymbol();
// firing event
Console.WriteLine("QuickFix44.ExecutionReport: {0}, {1}, {2}, {3}", orderID, clOrdID, ordStatus, symbol);
this.fixServices.NotifyExecutionInfo(Counterpart.Dukascopy, DataAdaptors.AdaptExecutionReport(new DukascopyExecutionReportToAdapt(message)));
}
protected void EmitCancelReject(SingleOrder order, OrdStatus status, string message)
{
OrderCancelReject reject = new OrderCancelReject
{
TransactTime = Clock.Now,
ClOrdID = order.ClOrdID,
OrigClOrdID = order.ClOrdID,
OrderID = order.OrderID,
CxlRejReason = CxlRejReason.BrokerOption,
CxlRejResponseTo = CxlRejResponseTo.CancelRequest,
OrdStatus = status
};
EmitOrderCancelReject(reject);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderExecutionReportAllOf" /> class.
/// </summary>
/// <param name="clientOrderIdFormatExchange">The unique identifier of the order assigned by the client converted to the exchange order tag format for the purpose of tracking it. (required).</param>
/// <param name="exchangeOrderId">Unique identifier of the order assigned by the exchange or executing system..</param>
/// <param name="amountOpen">Quantity open for further execution. `amount_open` = `amount_order` - `amount_filled` (required).</param>
/// <param name="amountFilled">Total quantity filled. (required).</param>
/// <param name="avgPx">Calculated average price of all fills on this order..</param>
/// <param name="status">status (required).</param>
/// <param name="statusHistory">Timestamped history of order status changes..</param>
/// <param name="errorMessage">Error message..</param>
/// <param name="fills">Relay fill information on working orders..</param>
public OrderExecutionReportAllOf(string clientOrderIdFormatExchange = default(string), string exchangeOrderId = default(string), decimal amountOpen = default(decimal), decimal amountFilled = default(decimal), decimal avgPx = default(decimal), OrdStatus status = default(OrdStatus), List <List <string> > statusHistory = default(List <List <string> >), string errorMessage = default(string), List <Fills> fills = default(List <Fills>))
{
// to ensure "clientOrderIdFormatExchange" is required (not null)
if (clientOrderIdFormatExchange == null)
{
throw new ArgumentNullException("clientOrderIdFormatExchange is a required property for OrderExecutionReportAllOf and cannot be null");
}
this.ClientOrderIdFormatExchange = clientOrderIdFormatExchange;
this.AmountOpen = amountOpen;
this.AmountFilled = amountFilled;
this.Status = status;
this.ExchangeOrderId = exchangeOrderId;
this.AvgPx = avgPx;
this.StatusHistory = statusHistory;
this.ErrorMessage = errorMessage;
this.Fills = fills;
}
void ProcessOrdStatusUpdate(Message message, Order order, OrdStatus status)
{
if (order.OrdStatus != OrdStatus.PendingReplace || (order.OrdStatus == OrdStatus.PendingReplace && status != OrdStatus.PendingCancel))
{
order.OrdStatus = status;
}
if (order.OrdStatus != Fix.OrdStatus.PendingCancel &&
order.OrdStatus != Fix.OrdStatus.PendingReplace &&
order.OrdStatus != Fix.OrdStatus.Replaced)
{
UpdateOrder(order, message);
}
else
{
Field ExecType = message.Fields.Find(Dictionary.Fields.ExecType);
if (ExecType != null)
{
//
// Use hardcoded values for ExecType because values were removed in later releases and we don't want the
// conversion to explode.
//
if (ExecType.Value == "1" /* Partial */ || ExecType.Value == "2" /* Fill */)
{
UpdateOrder(order, message);
}
}
}
if (order.OrdStatus == Fix.OrdStatus.Replaced)
{
order.LeavesQty = 0;
order.PendingOrderQty = null;
order.PendingPrice = null;
}
order.Messages.Add(message);
OnOrderUpdated(order);
if (DeleteInactiveOrders && !order.Active)
{
DeleteOrder(order);
OnOrderDeleted(order);
}
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
FreeQuant.FIX.ExecutionReport report = new FreeQuant.FIX.ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
report.OrigClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
report.OrderID = record.Order.OrderID;
report.Symbol = ((FIXNewOrderSingle)record.Order).Symbol;
report.SecurityType = ((FIXNewOrderSingle)record.Order).SecurityType;
report.SecurityExchange = ((FIXNewOrderSingle)record.Order).SecurityExchange;
report.Currency = ((FIXNewOrderSingle)record.Order).Currency;
report.CommType = commType;
report.Commission = commission;
report.Side = ((NewOrderSingle)record.Order).Side;
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : ((NewOrderSingle)record.Order).OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : ((NewOrderSingle)record.Order).TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : ((FIXNewOrderSingle)record.Order).OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : ((FIXNewOrderSingle)record.Order).Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : ((FIXNewOrderSingle)record.Order).StopPx;
record.LeavesQty = (int)report.OrderQty - record.CumQty;
}
else
{
report.OrdType = ((NewOrderSingle)record.Order).OrdType;
report.TimeInForce = ((NewOrderSingle)record.Order).TimeInForce;
report.OrderQty = ((FIXNewOrderSingle)record.Order).OrderQty;
report.Price = ((FIXNewOrderSingle)record.Order).Price;
report.StopPx = ((FIXNewOrderSingle)record.Order).StopPx;
}
report.LastPx = lastPx;
report.LastQty = (double)lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
ordStatus = record.LeavesQty <= 0 ? OrdStatus.Filled : OrdStatus.PartiallyFilled;
}
report.AvgPx = record.AvgPx;
report.CumQty = (double)record.CumQty;
report.LeavesQty = (double)record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
this.EmitExecutionReport(report);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
//35=8
public override void onMessage(QuickFix42.ExecutionReport message, SessionID session)
{
ExecType et = message.getExecType();
char type = et.getValue();
switch (type)
{
case 'A':
OrdStatus ordS = message.getOrdStatus();
char status = ordS.getValue();
//if status == 'A'
//order acknowledgement
break;
case '0':
case 'B':
case 'F':
break;
}
}
bool ProcessOrdStatusUpdate(Message message, string ClOrdID, OrdStatus status)
{
//
// When we first store the order we set the comp id's relative to the order source so we
// need to flip them when searching for orders to match messages coming from the destination.
//
Order order = FindOrder(message.Fields.Find(Dictionary.Fields.TargetCompID).Value,
message.Fields.Find(Dictionary.Fields.SenderCompID).Value,
ClOrdID);
if (order == null)
{
message.Status = MessageStatus.Error;
message.StatusMessage = StatusMessageHeader + $" because a matching order with ClOrdID = {ClOrdID} could not be found";
return(false);
}
ProcessOrdStatusUpdate(message, order, status);
return(true);
}
internal static OrderStatus Convert(OrdStatus status)
{
switch (status)
{
case OrdStatus.New:
return(OrderStatus.New);
case OrdStatus.PartiallyFilled:
return(OrderStatus.PartiallyFilled);
case OrdStatus.Filled:
return(OrderStatus.Filled);
case OrdStatus.Cancelled:
return(OrderStatus.Cancelled);
case OrdStatus.Replaced:
return(OrderStatus.Replaced);
case OrdStatus.PendingCancel:
return(OrderStatus.PendingCancel);
case OrdStatus.Rejected:
return(OrderStatus.Rejected);
case OrdStatus.PendingNew:
return(OrderStatus.PendingNew);
case OrdStatus.Expired:
return(OrderStatus.Expired);
case OrdStatus.PendingReplace:
return(OrderStatus.PendingReplace);
default:
throw new ArgumentException(string.Format("Unsupported OrdStatus - {0}", status));
}
}
/// <summary>
/// Returns the string presentation of the object
/// </summary>
/// <returns>String presentation of the object</returns>
public override string ToString()
{
var sb = new System.Text.StringBuilder();
sb.Append("class OrderResponse {\n");
sb.Append(" OrderID: ").Append(OrderId.ToString()).Append("\n");
sb.Append(" ClOrdID: ").Append(ClOrdId.ToString()).Append("\n");
sb.Append(" ClOrdLinkID: ").Append(ClOrdLinkId.ToString()).Append("\n");
sb.Append(" Account: ").Append(Account.ToString()).Append("\n");
sb.Append(" Symbol: ").Append(Symbol.ToString()).Append("\n");
sb.Append(" Side: ").Append(Side.ToString()).Append("\n");
sb.Append(" OrderQty: ").Append(OrderQty.ToString()).Append("\n");
sb.Append(" Price: ").Append(Price.ToString()).Append("\n");
sb.Append(" DisplayQty: ").Append((DisplayQty == null) ? "null" : DisplayQty.ToString()).Append("\n");
sb.Append(" StopPx: ").Append((StopPx == null) ? "null" : StopPx.ToString()).Append("\n");
sb.Append(" PegOffsetValue: ").Append((PegOffsetValue == null) ? "null" : PegOffsetValue.ToString()).Append("\n");
sb.Append(" PegPriceType: ").Append((PegPriceType == null) ? "null" : PegPriceType.ToString()).Append("\n");
sb.Append(" Currency: ").Append((Currency == null) ? "null" : Currency.ToString()).Append("\n");
sb.Append(" SettlCurrency: ").Append((SettlCurrency == null) ? "null" : SettlCurrency.ToString()).Append("\n");
sb.Append(" OrdType: ").Append((OrdType == null) ? "null" : OrdType.ToString()).Append("\n");
sb.Append(" TimeInForce: ").Append((TimeInForce == null) ? "null" : TimeInForce.ToString()).Append("\n");
sb.Append(" ExecInst: ").Append((ExecInst == null) ? "null" : ExecInst.ToString()).Append("\n");
sb.Append(" ContingencyType: ").Append((ContingencyType == null) ? "null" : ContingencyType.ToString()).Append("\n");
sb.Append(" ExDestination: ").Append((ExDestination == null) ? "null" : ExDestination.ToString()).Append("\n");
sb.Append(" OrdStatus: ").Append((OrdStatus == null) ? "null" : OrdStatus.ToString()).Append("\n");
sb.Append(" Triggered: ").Append((Triggered == null) ? "null" : Triggered.ToString()).Append("\n");
sb.Append(" WorkingIndicator: ").Append((WorkingIndicator == null) ? "null" : WorkingIndicator.ToString()).Append("\n");
sb.Append(" OrdRejReason: ").Append((OrdRejReason == null) ? "null" : OrdRejReason.ToString()).Append("\n");
sb.Append(" LeavesQty: ").Append((LeavesQty == null) ? "null" : LeavesQty.ToString()).Append("\n");
sb.Append(" CumQty: ").Append((CumQty == null) ? "null" : CumQty.ToString()).Append("\n");
sb.Append(" AvgPx: ").Append((AvgPx == null) ? "null" : AvgPx.ToString()).Append("\n");
sb.Append(" MultiLegReportingType: ").Append((MultiLegReportingType == null) ? "null" : MultiLegReportingType.ToString()).Append("\n");
sb.Append(" Text: ").Append((Text == null) ? "null" : Text.ToString()).Append("\n");
sb.Append(" TransactTime: ").Append(TransactTime.ToString()).Append("\n");
sb.Append(" Timestamp: ").Append(Timestamp.ToString()).Append("\n");
sb.Append("}\n");
return(sb.ToString());
}
private static OrderExecutionStatus ConvertStatus(OrdStatus status)
{
switch (status.Obj)
{
case OrdStatus.PARTIALLY_FILLED:
return(OrderExecutionStatus.PartialFill);
case OrdStatus.FILLED:
return(OrderExecutionStatus.Fill);
case OrdStatus.NEW:
return(OrderExecutionStatus.New);
case OrdStatus.CANCELED:
return(OrderExecutionStatus.Cancelled);
case OrdStatus.REJECTED:
return(OrderExecutionStatus.Rejected);
default:
return(OrderExecutionStatus.Unknown);
}
}
internal static OrderStatus Convert(OrdStatus status)
{
switch (status)
{
case OrdStatus.New:
return(OrderStatus.New);
case OrdStatus.PartiallyFilled:
return(OrderStatus.PartiallyFilled);
case OrdStatus.Filled:
return(OrderStatus.Filled);
case OrdStatus.Cancelled:
return(OrderStatus.Cancelled);
case OrdStatus.Replaced:
return(OrderStatus.Replaced);
case OrdStatus.PendingCancel:
return(OrderStatus.PendingCancel);
case OrdStatus.Rejected:
return(OrderStatus.Rejected);
case OrdStatus.PendingNew:
return(OrderStatus.PendingNew);
case OrdStatus.Expired:
return(OrderStatus.Expired);
case OrdStatus.PendingReplace:
return(OrderStatus.PendingReplace);
}
throw new NotImplementedException("OrderStatus is not supported : " + status);
}
protected void EmitCancelReject(SingleOrder order, OrdStatus status, string message)
{
OrderCancelReject reject = new OrderCancelReject
{
TransactTime = Clock.Now,
ClOrdID = order.ClOrdID,
OrigClOrdID = order.ClOrdID,
OrderID = order.OrderID,
CxlRejReason = CxlRejReason.BrokerOption,
CxlRejResponseTo = CxlRejResponseTo.CancelRequest,
OrdStatus = status
};
EmitOrderCancelReject(reject);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
CommType = commType,
Commission = commission,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(EFIXField.OrdType) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(EFIXField.TimeInForce) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(EFIXField.OrderQty) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(EFIXField.Price) ? record.Order.ReplaceOrder.Price : record.Order.Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(EFIXField.StopPx) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx;
record.LeavesQty = ((int)report.OrderQty) - record.CumQty;
}
else
{
report.OrdType = record.Order.OrdType;
report.TimeInForce = record.Order.TimeInForce;
report.OrderQty = record.Order.OrderQty;
report.Price = record.Order.Price;
report.StopPx = record.Order.StopPx;
}
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = CTPZQProvider.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
public void EmitExecutionReport(SingleOrder order, OrdStatus status, string text)
{
OrderRecord record = orderRecords[order];
EmitExecutionReport(record, status, 0.0, 0, text, CommType.Absolute, 0);
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
this.EmitOrderCancelReject(new OrderCancelReject
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrdStatus = ordStatus,
CxlRejResponseTo = responseTo,
CxlRejReason = CxlRejReason.BrokerOption,
Text = text
});
}
public void EmitExecutionReport(Order order, OrdStatus status, string text)
{
this.EmitExecutionReport(this.orderRecords[order], status, 0.0, 0, text);
}
private ExecType GetExecType(OrdStatus status)
{
switch (status)
{
case OrdStatus.New:
return ExecType.New;
case OrdStatus.PartiallyFilled:
return ExecType.PartialFill;
case OrdStatus.Filled:
return ExecType.Fill;
case OrdStatus.Cancelled:
return ExecType.Cancelled;
case OrdStatus.Replaced:
return ExecType.Replace;
case OrdStatus.PendingCancel:
return ExecType.PendingCancel;
case OrdStatus.Rejected:
return ExecType.Rejected;
case OrdStatus.PendingReplace:
return ExecType.PendingReplace;
}
throw new ArgumentException(string.Format("Cannot find exec type for ord status - {0}", status));
}
public void EmitCancelReplaceReject(Order order, OrdStatus status, string message)
{
OrderRecord record = this.orderRecords[order];
this.EmitOrderCancelReject(record, status, CxlRejResponseTo.CancelReplaceRequest, 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);
}
public void EmitExecutionReport(SingleOrder order, OrdStatus status, string text)
{
OrderRecord record = this.orderRecords[order];
EmitExecutionReport(record, status, 0.0, 0, text);
}
public void EmitExecutionReport(Order order, OrdStatus status)
{
this.EmitExecutionReport(order, status, "");
}
// 返回状态
public bool TryGetValue(SingleOrder key, out OrdStatus value)
{
return Order_OrdStatus.TryGetValue(key, out value);
}
public void set(OrdStatus field)
{ // 39
SetField(field);
}
public void EmitCancelReject(Order order, OrdStatus status, string message)
{
this.EmitOrderCancelReject(this.orderRecords[order], status, CxlRejResponseTo.CancelRequest, message);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
ExecutionReport report = new ExecutionReport
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrderID = record.Order.OrderID,
Symbol = record.Order.Symbol,
SecurityType = record.Order.SecurityType,
SecurityExchange = record.Order.SecurityExchange,
Currency = record.Order.Currency,
Side = record.Order.Side,
OrdType = record.Order.OrdType,
TimeInForce = record.Order.TimeInForce,
OrderQty = record.Order.OrderQty,
Price = record.Order.Price,
StopPx = record.Order.StopPx,
LastPx = lastPx,
LastQty = lastQty
};
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
EmitExecutionReport(report);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
this.EmitExecutionReport(record, ordStatus, lastPx, lastQty, text, CommType.Absolute, 0.0);
}
public void EmitExecutionReport(SingleOrder order, OrdStatus status)
{
EmitExecutionReport(order, status, "");
}
public OrderList GetOrderList(OrdStatus ordStatus)
{
OrderList orderList = new OrderList();
foreach (SingleOrder singleOrder in this.allOrders)
{
if (singleOrder.OrdStatus == ordStatus)
orderList.Add(singleOrder);
}
return orderList;
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
FreeQuant.FIX.ExecutionReport report = new FreeQuant.FIX.ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
report.OrigClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
report.OrderID = record.Order.OrderID;
report.Symbol = ((FIXNewOrderSingle) record.Order).Symbol;
report.SecurityType = ((FIXNewOrderSingle) record.Order).SecurityType;
report.SecurityExchange = ((FIXNewOrderSingle) record.Order).SecurityExchange;
report.Currency = ((FIXNewOrderSingle) record.Order).Currency;
report.CommType = commType;
report.Commission = commission;
report.Side = ((NewOrderSingle) record.Order).Side;
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : ((NewOrderSingle) record.Order).OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : ((NewOrderSingle) record.Order).TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : ((FIXNewOrderSingle) record.Order).OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : ((FIXNewOrderSingle) record.Order).Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : ((FIXNewOrderSingle) record.Order).StopPx;
record.LeavesQty = (int) report.OrderQty - record.CumQty;
}
else
{
report.OrdType = ((NewOrderSingle) record.Order).OrdType;
report.TimeInForce = ((NewOrderSingle) record.Order).TimeInForce;
report.OrderQty = ((FIXNewOrderSingle) record.Order).OrderQty;
report.Price = ((FIXNewOrderSingle) record.Order).Price;
report.StopPx = ((FIXNewOrderSingle) record.Order).StopPx;
}
report.LastPx = lastPx;
report.LastQty = (double) lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
ordStatus = record.LeavesQty <= 0 ? OrdStatus.Filled : OrdStatus.PartiallyFilled;
}
report.AvgPx = record.AvgPx;
report.CumQty = (double) record.CumQty;
report.LeavesQty = (double) record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
this.EmitExecutionReport(report);
}
public static char ToFIX(OrdStatus ordStatus)
{
switch (ordStatus)
{
case OrdStatus.Undefined:
return char.MinValue;
case OrdStatus.New:
return '0';
case OrdStatus.PartiallyFilled:
return '1';
case OrdStatus.Filled:
return '2';
case OrdStatus.DoneForDay:
return '3';
case OrdStatus.Cancelled:
return '4';
case OrdStatus.Replaced:
return '5';
case OrdStatus.PendingCancel:
return '6';
case OrdStatus.Stopped:
return '7';
case OrdStatus.Rejected:
return '8';
case OrdStatus.Suspended:
return '9';
case OrdStatus.PendingNew:
return 'A';
case OrdStatus.Calculated:
return 'B';
case OrdStatus.Expired:
return 'C';
case OrdStatus.AcceptedForBidding:
return 'D';
case OrdStatus.PendingReplace:
return 'E';
default:
throw new ArgumentException("unknown: " + ((object)ordStatus).ToString());
}
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderExecutionReport" /> class.
/// </summary>
/// <param name="exchangeId">Exchange identifier used to identify the routing destination. (required).</param>
/// <param name="clientOrderId">The unique identifier of the order assigned by the client. (required).</param>
/// <param name="symbolIdExchange">Exchange symbol. One of the properties (`symbol_id_exchange`, `symbol_id_coinapi`) is required to identify the market for the new order..</param>
/// <param name="symbolIdCoinapi">CoinAPI symbol. One of the properties (`symbol_id_exchange`, `symbol_id_coinapi`) is required to identify the market for the new order..</param>
/// <param name="amountOrder">Order quantity. (required).</param>
/// <param name="price">Order price. (required).</param>
/// <param name="side">side (required).</param>
/// <param name="orderType">orderType (required).</param>
/// <param name="timeInForce">timeInForce (required).</param>
/// <param name="expireTime">Expiration time. Conditionaly required for orders with time_in_force = `GOOD_TILL_TIME_EXCHANGE` or `GOOD_TILL_TIME_OEML`..</param>
/// <param name="execInst">Order execution instructions are documented in the separate section: <a href=\"#oeml-order-params-exec\">OEML / Starter Guide / Order parameters / Execution instructions</a> .</param>
/// <param name="clientOrderIdFormatExchange">The unique identifier of the order assigned by the client converted to the exchange order tag format for the purpose of tracking it. (required).</param>
/// <param name="exchangeOrderId">Unique identifier of the order assigned by the exchange or executing system..</param>
/// <param name="amountOpen">Quantity open for further execution. `amount_open` = `amount_order` - `amount_filled` (required).</param>
/// <param name="amountFilled">Total quantity filled. (required).</param>
/// <param name="avgPx">Calculated average price of all fills on this order..</param>
/// <param name="status">status (required).</param>
/// <param name="statusHistory">Timestamped history of order status changes..</param>
/// <param name="errorMessage">Error message..</param>
/// <param name="fills">Relay fill information on working orders..</param>
public OrderExecutionReport(string exchangeId = default(string), string clientOrderId = default(string), string symbolIdExchange = default(string), string symbolIdCoinapi = default(string), decimal amountOrder = default(decimal), decimal price = default(decimal), OrdSide side = default(OrdSide), OrdType orderType = default(OrdType), TimeInForce timeInForce = default(TimeInForce), DateTime expireTime = default(DateTime), List <ExecInstEnum> execInst = default(List <ExecInstEnum>), string clientOrderIdFormatExchange = default(string), string exchangeOrderId = default(string), decimal amountOpen = default(decimal), decimal amountFilled = default(decimal), decimal avgPx = default(decimal), OrdStatus status = default(OrdStatus), List <List <string> > statusHistory = default(List <List <string> >), string errorMessage = default(string), List <Fills> fills = default(List <Fills>))
{
// to ensure "exchangeId" is required (not null)
if (exchangeId == null)
{
throw new InvalidDataException("exchangeId is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.ExchangeId = exchangeId;
}
// to ensure "clientOrderId" is required (not null)
if (clientOrderId == null)
{
throw new InvalidDataException("clientOrderId is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.ClientOrderId = clientOrderId;
}
// to ensure "amountOrder" is required (not null)
if (amountOrder == null)
{
throw new InvalidDataException("amountOrder is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.AmountOrder = amountOrder;
}
// to ensure "price" is required (not null)
if (price == null)
{
throw new InvalidDataException("price is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.Price = price;
}
// to ensure "side" is required (not null)
if (side == null)
{
throw new InvalidDataException("side is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.Side = side;
}
// to ensure "orderType" is required (not null)
if (orderType == null)
{
throw new InvalidDataException("orderType is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.OrderType = orderType;
}
// to ensure "timeInForce" is required (not null)
if (timeInForce == null)
{
throw new InvalidDataException("timeInForce is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.TimeInForce = timeInForce;
}
// to ensure "clientOrderIdFormatExchange" is required (not null)
if (clientOrderIdFormatExchange == null)
{
throw new InvalidDataException("clientOrderIdFormatExchange is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.ClientOrderIdFormatExchange = clientOrderIdFormatExchange;
}
// to ensure "amountOpen" is required (not null)
if (amountOpen == null)
{
throw new InvalidDataException("amountOpen is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.AmountOpen = amountOpen;
}
// to ensure "amountFilled" is required (not null)
if (amountFilled == null)
{
throw new InvalidDataException("amountFilled is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.AmountFilled = amountFilled;
}
// to ensure "status" is required (not null)
if (status == null)
{
throw new InvalidDataException("status is a required property for OrderExecutionReport and cannot be null");
}
else
{
this.Status = status;
}
this.SymbolIdExchange = symbolIdExchange;
this.SymbolIdCoinapi = symbolIdCoinapi;
this.ExpireTime = expireTime;
this.ExecInst = execInst;
this.ExchangeOrderId = exchangeOrderId;
this.AvgPx = avgPx;
this.StatusHistory = statusHistory;
this.ErrorMessage = errorMessage;
this.Fills = fills;
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
OrderCancelReject reject = new OrderCancelReject();
reject.TransactTime = Clock.Now;
reject.ClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
reject.OrigClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
reject.OrdStatus = ordStatus;
reject.CxlRejResponseTo = responseTo;
reject.CxlRejReason = CxlRejReason.BrokerOption;
reject.Text = text;
this.EmitOrderCancelReject(reject);
}