/// <summary>
/// genera un mensaje especifico para Dukascopy
/// </summary>
/// <param name="clOrdID"></param>
/// <param name="price"></param>
/// <param name="ordType"></param>
/// <param name="timeInForce"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="side"></param>
/// <param name="expireTime"></param>
/// <param name="account"></param>
/// <param name="slippage"></param>
public static void SubmitOrder(ClOrdID clOrdID, decimal?price, OrdType ordType, TimeInForce timeInForce, Symbol symbol, OrderQty orderQty, Side side, ExpireTime expireTime, Account account, decimal?slippage)
{
QuickFix44.NewOrderSingle message = new QuickFix44.NewOrderSingle(
clOrdID,
side,
new TransactTime(DateTime.UtcNow),
ordType);
if (price.HasValue)
{
message.set(new Price((double)price.Value));
}
message.set(timeInForce);
message.set(symbol);
message.set(orderQty);
if (expireTime != null)
{
message.set(expireTime);
}
if (account != null)
{
message.set(account);
}
if (slippage.HasValue)
{
message.setDouble(7011, (double)slippage.Value);
}
Credential dukascopyCredential = CredentialFactory.GetCredential(Counterpart.Dukascopy);
Session.sendToTarget(message, dukascopyCredential.TradingSenderCompID, dukascopyCredential.TradingTargetCompID);
}
internal static OrderType Convert(OrdType type)
{
switch (type)
{
case OrdType.Market:
return OrderType.Market;
case OrdType.Limit:
return OrderType.Limit;
case OrdType.Stop:
return OrderType.Stop;
case OrdType.StopLimit:
return OrderType.StopLimit;
case OrdType.MarketOnClose:
return OrderType.MarketOnClose;
default:
switch (type)
{
case OrdType.TrailingStop:
return OrderType.Trail;
case OrdType.TrailingStopLimit:
return OrderType.TrailLimit;
default:
throw new ArgumentException(string.Format("OrdType is not supported - {0}", type));
}
break;
}
}
internal static OrderType Convert(OrdType type)
{
switch (type)
{
case OrdType.Market:
return(OrderType.Market);
case OrdType.Limit:
return(OrderType.Limit);
case OrdType.Stop:
return(OrderType.Stop);
case OrdType.StopLimit:
return(OrderType.StopLimit);
case OrdType.MarketOnClose:
return(OrderType.MarketOnClose);
default:
switch (type)
{
case OrdType.TrailingStop:
return(OrderType.Trail);
case OrdType.TrailingStopLimit:
return(OrderType.TrailLimit);
default:
throw new ArgumentException(string.Format("OrdType is not supported - {0}", type));
}
break;
}
}
//35 = D
public override void onMessage(QuickFix42.NewOrderSingle message, SessionID sessionID)
{
Console.WriteLine("Receive message " + message.getHeader().getField(35) + ", session: " + sessionID.toString());
try
{
ClOrdID clordid = message.getClOrdID();
string clord = clordid.getValue();
Side side = message.getSide();
char s = side.getValue();
OrdType ordtype = message.getOrdType();
char ord = ordtype.getValue();
TransactTime time = message.getTransactTime();
DateTime dt = time.getValue();
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport(new OrderID("neworderid"), new ExecID("Hehe")
, new ExecTransType(ExecTransType.CORRECT), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.DONE_FOR_DAY),
new Symbol("VND"), new Side(Side.BUY), new LeavesQty(1), new CumQty(2), new AvgPx(100));
bool x = Session.sendToTarget(executionReport, sessionID);
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
}
public void NewOrder(string clrID, char handinst, char sideID, char orderType, string symbolID, string exchange, float?price, long Quantity)
{
ClOrdID clOrdID = new ClOrdID(clrID);
HandlInst inst = new HandlInst('1');//似乎国信只支持直通私有
Side side = new Side(sideID);
OrdType ordType = new OrdType(orderType);
Symbol symbol = new Symbol(symbolID);
TransactTime time = new TransactTime();
QuickFix42.NewOrderSingle message = new QuickFix42.NewOrderSingle(clOrdID, inst, symbol, side, time, ordType);
message.setString(38, Quantity.ToString());
if (ordType.getValue() == OrdType.LIMIT)
{
message.setString(44, price.Value.ToString());
}
message.setString(15, "CNY");
if (exchange == "SH")
{
message.setString(207, "XSHG");
}
else if (exchange == "SZ")
{
message.setString(207, "XSHE");
}
SendToServer(message);
}
private void MakeOrder(Side side, OrdType ordType)
{
Instrument instrument = (this.dgvQuotes.SelectedRows[0] as QuoteViewRow).Instrument;
byte route = (byte)0;
if (this.executionProvider is IMultiRouteExecutionProvider)
{
route = this.SelectedRoute;
}
OrderMiniBlotterForm orderMiniBlotterForm = new OrderMiniBlotterForm();
orderMiniBlotterForm.Init(instrument, ordType, side, route);
if (orderMiniBlotterForm.ShowDialog((IWin32Window)this) == DialogResult.OK)
{
SingleOrder singleOrder = null;
switch (ordType)
{
case OrdType.Market:
singleOrder = new MarketOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty);
break;
case OrdType.Limit:
singleOrder = new LimitOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty, orderMiniBlotterForm.LimitPrice);
break;
case OrdType.Stop:
singleOrder = new StopOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty, orderMiniBlotterForm.StopPrice);
break;
case OrdType.StopLimit:
singleOrder = new StopLimitOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty, orderMiniBlotterForm.LimitPrice, orderMiniBlotterForm.StopPrice);
break;
}
((NewOrderSingle)singleOrder).TimeInForce = orderMiniBlotterForm.TimeInForce;
((FIXNewOrderSingle)singleOrder).Route = (int)orderMiniBlotterForm.Route;
singleOrder.Persistent = this.portfolio.Persistent;
if (!((IProvider)this.executionProvider).IsConnected)
{
bool flag = false;
if (MessageBox.Show(this, "Cannot send the order, because provider is not connected." + Environment.NewLine + "Do you want to connect to " + ((IProvider)this.executionProvider).Name + "?", "Error", MessageBoxButtons.YesNo, MessageBoxIcon.Exclamation) == DialogResult.Yes)
{
flag = true;
((IProvider)this.executionProvider).Connect(15000);
}
if (flag && !((IProvider)this.marketDataProvider).IsConnected)
{
MessageBox.Show(this, "Unable to connect to " + this.marketDataProvider.Name, "Error", MessageBoxButtons.OK, MessageBoxIcon.Hand);
}
}
if (((IProvider)this.executionProvider).IsConnected)
{
singleOrder.Send();
}
if ((int)orderMiniBlotterForm.Route > 0)
{
this.SelectedRoute = orderMiniBlotterForm.Route;
}
}
orderMiniBlotterForm.Dispose();
}
public void OnMessage(QuickFix.FIX43.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX43.ExecutionReport exReport = new QuickFix.FIX43.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, // Shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
/// <summary>
/// Initializes a new instance of the <see cref="BaseOrder" /> class.
/// </summary>
/// <param name="clOrdId">Reference field provided by client. Cannot exceed 20 characters, only alphanumeric characters are allowed. (required).</param>
/// <param name="ordType">ordType (required).</param>
/// <param name="symbol">Blockchain symbol identifier (required).</param>
/// <param name="side">side (required).</param>
/// <param name="orderQty">The order size in the terms of the base currency (required).</param>
/// <param name="timeInForce">timeInForce.</param>
/// <param name="price">The limit price for the order.</param>
/// <param name="expireDate">expiry date in the format YYYYMMDD.</param>
/// <param name="minQty">The minimum quantity required for an IOC fill.</param>
/// <param name="stopPx">The limit price for the order.</param>
public BaseOrder(string clOrdId = default(string), OrdType ordType = default(OrdType), string symbol = default(string), Side side = default(Side), double orderQty = default(double), TimeInForce?timeInForce = default(TimeInForce?), double price = default(double), int expireDate = default(int), double minQty = default(double), double stopPx = default(double))
{
// to ensure "clOrdId" is required (not null)
if (clOrdId == null)
{
throw new InvalidDataException("clOrdId is a required property for BaseOrder and cannot be null");
}
else
{
this.ClOrdId = clOrdId;
}
// to ensure "ordType" is required (not null)
if (ordType == null)
{
throw new InvalidDataException("ordType is a required property for BaseOrder and cannot be null");
}
else
{
this.OrdType = ordType;
}
// to ensure "symbol" is required (not null)
if (symbol == null)
{
throw new InvalidDataException("symbol is a required property for BaseOrder and cannot be null");
}
else
{
this.Symbol = symbol;
}
// to ensure "side" is required (not null)
if (side == null)
{
throw new InvalidDataException("side is a required property for BaseOrder and cannot be null");
}
else
{
this.Side = side;
}
// to ensure "orderQty" is required (not null)
if (orderQty == null)
{
throw new InvalidDataException("orderQty is a required property for BaseOrder and cannot be null");
}
else
{
this.OrderQty = orderQty;
}
this.TimeInForce = timeInForce;
this.Price = price;
this.ExpireDate = expireDate;
this.MinQty = minQty;
this.StopPx = stopPx;
}
public OrderDetailsWrapper LimitOrder(Side side, double price, int qty, Route route = null, string symbol = "IWM")
{
OrderType = OrdType.Limit;
OrderHelper(side, price, qty, symbol);
if (route != null)
{
Route = route;
}
return(this);
}
public OrderDetailsWrapper MarketOrder(Side side, int qty, Route route = null, string symbol = "IWM")
{
OrderType = OrdType.Market;
OrderHelper(side, 0.00, qty, symbol);
if (route != null)
{
Route = route;
}
return(this);
}
public static OrderType Convert(OrdType type)
{
switch (type.getValue())
{
case OrdType.LIMIT:
return(OrderType.Limit);
default:
throw new IncorrectTagValue(type.Tag);
}
}
private static void ValidateIsSupportedOrderType(OrdType ordType)
{
switch (ordType.getValue())
{
case OrdType.LIMIT:
break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
}
public Message NewOrder(MDEntryGroup entryGroup, double quantity)
{
bool isInvertedSecurity = entryGroup.OwnerEntry.IsInverted;
Message message = null;
Account account = new Account(GetOrderSession().getSenderCompID().ToLower());
ClOrdID clOrdId = new ClOrdID("ClOrd_" + Guid.NewGuid());
HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION);
OrdType ordType = new OrdType(OrdType.LIMIT);
TimeInForce timeInForce = new TimeInForce(TimeInForce.FILL_OR_KILL);
TransactTime transactTime = new TransactTime();
Price price = new Price(entryGroup.MDEntryPx);
SecurityExchange securityExchange = new SecurityExchange(entryGroup.OwnerEntry.SecurityExchange);
SecurityType securityType = new SecurityType(entryGroup.OwnerEntry.SecurityType);
Symbol symbol = new Symbol(entryGroup.OwnerEntry.Symbol);
SecurityID securityId = new SecurityID(entryGroup.OwnerEntry.SecurityID);
OrderQty orderQty = new OrderQty(quantity);
Side side = null;
switch (entryGroup.MDEntryType)
{
case MDEntryType.BID:
side = new Side(Side.SELL);
break;
case MDEntryType.OFFER:
side = new Side(Side.BUY);
break;
default:
throw new Exception("Undefined entry type.");
}
//if (isInvertedSecurity && side.getValue() == Side.BUY)
// price = new Price(-price.getValue());
message = new QuickFix42.NewOrderSingle();
((QuickFix42.NewOrderSingle) message).set(account);
((QuickFix42.NewOrderSingle) message).set(clOrdId);
((QuickFix42.NewOrderSingle) message).set(side);
((QuickFix42.NewOrderSingle) message).set(transactTime);
((QuickFix42.NewOrderSingle) message).set(ordType);
((QuickFix42.NewOrderSingle) message).set(price);
((QuickFix42.NewOrderSingle) message).set(orderQty);
((QuickFix42.NewOrderSingle) message).set(securityId);
((QuickFix42.NewOrderSingle) message).set(securityExchange);
((QuickFix42.NewOrderSingle) message).set(timeInForce);
((QuickFix42.NewOrderSingle) message).set(securityType);
return message;
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = n.Price;
ClOrdID clOrdID = n.ClOrdID;
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.Message);
}
catch (Exception ex)
{
Console.WriteLine("==unknown exception==");
Console.WriteLine(ex.ToString());
Console.WriteLine(ex.StackTrace);
}
}
public OrderMessage(string price, string operation, OrdType ordType)
{
ClOrdID = NewRandom.Rnd.Next(99999999).ToString();
Side = operation;
TransactTime = DateTime.Now.AddHours(-3).ToString("yyyyMMdd-HH:mm:ss.fff");
OrdType = (int)ordType;
Price = price;
OrderQty = 10;
HandlInst = '2';
IDSource = "8"; // 100
Symbol = "SBER"; // SBER ISIN RU0009029540 Сбербанк RTS-3.20 RIH0
Account = "L01+00000F00";
ClientID = "1234"; // 1234 SPBFUT00086
}
public override void onMessage(QuickFix42.NewOrderSingle order, SessionID sessionID)
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get(ordType);
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.getField());
}
order.get(symbol);
order.get(side);
order.get(orderQty);
order.get(price);
order.get(clOrdID);
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport
(genOrderID(),
genExecID(),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
executionReport.set(clOrdID);
executionReport.set(orderQty);
executionReport.set(new LastShares(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
if (order.isSetAccount())
{
executionReport.set(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
private OrderType ConvertOrderType(OrdType orderType)
{
switch (orderType.Obj)
{
case OrdType.MARKET:
return(OrderType.Market);
case OrdType.LIMIT:
return(OrderType.Limit);
default:
return(OrderType.Unknown);
}
}
public void Order(string price, string operation, OrdType ordType)
{
HeaderMessage msHeader = new HeaderMessage(ApplicationLevel.NewOrderSingle, _messageCount++);
OrderMessage msOrder = new OrderMessage(price, operation, ordType);
TrailerMessage msTrailer = new TrailerMessage(msHeader.ToString() + msOrder.ToString());
msHeader.BodyLength = msHeader.MessageSize + msOrder.MessageSize; // GetMessageSize()
//Формируем полное готовое сообщение
string fullMessage = msHeader.MessageString + msOrder.MessageString + msTrailer.ToString(); // ToString()
SendMessage(fullMessage);
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
// Send Status New
SendExecution(s, OrdStatus.NEW, ExecType.NEW, n, n.OrderQty.getValue(), 0, 0, 0, 0);
Thread.Sleep(1000);
// Send Status Partially Filled
decimal filledQty = Math.Abs(Math.Round(n.OrderQty.getValue() / 4, 2));
decimal cumQty = filledQty;
SendExecution(s, OrdStatus.PARTIALLY_FILLED, ExecType.PARTIAL_FILL, n, filledQty, filledQty, price.getValue(), filledQty, price.getValue());
Thread.Sleep(1000);
// Send Status Partially Filled
filledQty = Math.Abs(Math.Round(n.OrderQty.getValue() / 4, 2));
cumQty += filledQty;
SendExecution(s, OrdStatus.PARTIALLY_FILLED, ExecType.PARTIAL_FILL, n, n.OrderQty.getValue() - cumQty, cumQty, price.getValue(), filledQty, price.getValue());
Thread.Sleep(1000);
// Send Status Fully Filled
filledQty = n.OrderQty.getValue() - cumQty;
cumQty += filledQty;
SendExecution(s, OrdStatus.FILLED, ExecType.FILL, n, 0, cumQty, price.getValue(), filledQty, price.getValue());
}
public override void onMessage( QuickFix41.NewOrderSingle order, SessionID sessionID )
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get( ordType );
if ( ordType.getValue() != OrdType.LIMIT )
throw new IncorrectTagValue( ordType.getField() );
order.get( symbol );
order.get( side );
order.get( orderQty );
order.get( price );
order.get( clOrdID );
QuickFix41.ExecutionReport executionReport = new QuickFix41.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new ExecType( ExecType.FILL ),
new OrdStatus ( OrdStatus.FILLED ),
symbol,
side,
orderQty,
new LastShares ( orderQty.getValue() ),
new LastPx ( price.getValue() ),
new LeavesQty( 0 ),
new CumQty ( orderQty.getValue() ),
new AvgPx ( price.getValue() ) );
executionReport.set( clOrdID );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle ord, SessionID sessionID)
{
Symbol symbol = ord.Symbol;
Side side = ord.Side;
OrdType ordType = ord.OrdType;
OrderQty orderQty = ord.OrderQty;
Price price = new Price(10);
//q isso?
ClOrdID clOrdID = ord.ClOrdID;
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue())
);
exReport.ClOrdID = clOrdID;
exReport.Symbol = symbol;
exReport.OrderQty = orderQty;
exReport.LastQty = new LastQty(orderQty.getValue());
exReport.LastPx = new LastPx(price.getValue());
if (ord.IsSetAccount())
{
exReport.Account = ord.Account;
}
try
{
Session.SendToTarget(exReport, sessionID);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private static Order Convert(MessageType commandType,
Symbol symbol,
Side side,
OrdType ordType,
OrderQty orderQty,
Price price,
ClOrdID clOrdId,
Account account)
{
switch (ordType.getValue())
{
case OrdType.LIMIT:
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
//case OrdType.MARKET: break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
var orderId = DIContainer.ResolveByName <IdGenerator>("OrderIdGenerator").GenerateId();
return(new Order
{
CommandType = commandType,
OrderId = orderId,
OrderSide = FixFieldsConverter.Convert(side),
Asset = new Asset(symbol.getValue()),
OrderType = FixFieldsConverter.Convert(ordType),
Quantity = orderQty.getValue(),
Price = price.getValue(),
ClOrdId = clOrdId.getValue(),
Account =
account == null
? TradingAccount.None
: new TradingAccount(account.getValue())
});
}
public static void Add(QuickFix42.Message msg)
{
ClOrdID clientId = new ClOrdID();
OrdType orderType = new OrdType();
msg.getField(clientId);
Msgs.Add(clientId.getValue(), msg);
if (msg.isSetField(orderType))
{
msg.getField(orderType);
if (orderType.getValue() == OrdType.LIMIT)
{
LimitOrders.Add(clientId.getValue());
LimitLib.Add(clientId.getValue());
}
}
}
/// <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 OrderData TranslateOrderImpl(Symbol symbol,
Side side,
OrdType ordType,
OrderQty orderQty,
Price price,
ClOrdID clOrdID,
Account account)
{
switch (ordType.getValue())
{
case OrdType.LIMIT:
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
//case OrdType.MARKET: break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
return(new OrderData
{
MarketSide = TranslateFixFields.Translate(side),
Symbol = symbol.getValue(),
OrderType = TranslateFixFields.Translate(ordType),
Quantity = orderQty.getValue(),
Price = price.getValue(),
ClOrdID = clOrdID.getValue(),
Account =
account == null
? TradingAccount.None
: new TradingAccount(account.getValue())
});
}
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);
}
public int amendOrder(ref OrderStruct os)
{
if (!isOrderAmendPossible(os.OrderStatus))
{
return(-1);
}
OrderDAO ord = new OrderDAO();
int newOrdID = ord.amendOrder(ref os); // OrderID is the last FixAccepted version
Console.WriteLine("TODO: Send FIX - cancel for os.LinkedOrderID ; Send FIX - New for os.ID");
OrigClOrdID origCLOrdID = new OrigClOrdID(Convert.ToString(os.ID));
ClOrdID OrdId = new ClOrdID(Convert.ToString(newOrdID));
string symboldata = sanitiseField(os.symbol);
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
if (os.direction == 'S')
{
side = new Side(Side.SELL);
}
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
var orderMod = new QuickFix.FIX42.OrderCancelReplaceRequest(origCLOrdID, OrdId, new HandlInst('1'), symbol, side, new TransactTime(DateTime.Now.ToUniversalTime()), ordType);
int Qty = (int)os.quantity;
orderMod.Price = new Price((decimal)os.price);
orderMod.SetField(new OrderQty(Qty));
Console.WriteLine("Modifying origOrdId/FixAcceptedID : " + os.ID + " newOrderID : " + newOrdID);
Console.WriteLine("symboldata : " + symboldata + " side : " + side + " Price : " + os.price + " qty : " + os.quantity);
Session.SendToTarget(orderMod, FixClient.MySess);
return(os.OrderNo);
}
private void SendExecReport(NewOrderSingle newOrderSingle, IExecutionEngineSettings settings)
{
OrdType ordType = newOrderSingle.OrdType;
Price price = new Price(10);
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = newOrderSingle.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET:
break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
OrderQty orderQty = newOrderSingle.OrderQty;
var exReport = new QuickFix.FIX42.ExecutionReport();
exReport.CopyFromOrder(newOrderSingle);
exReport.Set(new ExecTransType(ExecTransType.NEW));
exReport.Set(new ExecType(ExecType.FILL));
exReport.Set(new LastPx(price.getValue()));
exReport.Set(new AvgPx(price.getValue()));
decimal qtyPerSlice = orderQty.getValue() *
((settings.EachFillPercentange ?? 100) / 100m);
decimal leaves = orderQty.getValue();
decimal cumQty = 0;
while (leaves != 0)
{
if (leaves <= qtyPerSlice)
{
leaves = 0;
qtyPerSlice = leaves;
exReport.Set(new OrdStatus(OrdStatus.FILLED));
}
else
{
leaves -= qtyPerSlice;
exReport.Set(new OrdStatus(OrdStatus.PARTIALLY_FILLED));
}
cumQty += qtyPerSlice;
exReport.Set(new OrderID(GenOrderID()));
exReport.Set(new ExecID(GenExecID()));
exReport.Set(new LeavesQty(leaves));
exReport.Set(new CumQty(cumQty));
exReport.Set(new LastShares(qtyPerSlice));
SendExecReport(exReport);
Thread.Sleep(Convert.ToInt32(settings.SecondsBetweenFills * 1000));
}
}
private void MakeOrder(Side side, OrdType ordType)
{
Instrument instrument = (this.dgvQuotes.SelectedRows[0] as QuoteViewRow).Instrument;
byte route = (byte)0;
if (this.executionProvider is IMultiRouteExecutionProvider)
route = this.SelectedRoute;
OrderMiniBlotterForm orderMiniBlotterForm = new OrderMiniBlotterForm();
orderMiniBlotterForm.Init(instrument, ordType, side, route);
if (orderMiniBlotterForm.ShowDialog((IWin32Window)this) == DialogResult.OK)
{
SingleOrder singleOrder = null;
switch (ordType)
{
case OrdType.Market:
singleOrder = new MarketOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty);
break;
case OrdType.Limit:
singleOrder = new LimitOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty, orderMiniBlotterForm.LimitPrice);
break;
case OrdType.Stop:
singleOrder = new StopOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty, orderMiniBlotterForm.StopPrice);
break;
case OrdType.StopLimit:
singleOrder = new StopLimitOrder(this.executionProvider, this.portfolio, instrument, side, (double)orderMiniBlotterForm.Qty, orderMiniBlotterForm.LimitPrice, orderMiniBlotterForm.StopPrice);
break;
}
((NewOrderSingle)singleOrder).TimeInForce = orderMiniBlotterForm.TimeInForce;
((FIXNewOrderSingle)singleOrder).Route = (int)orderMiniBlotterForm.Route;
singleOrder.Persistent = this.portfolio.Persistent;
if (!((IProvider)this.executionProvider).IsConnected)
{
bool flag = false;
if (MessageBox.Show(this, "Cannot send the order, because provider is not connected." + Environment.NewLine + "Do you want to connect to " + ((IProvider)this.executionProvider).Name + "?", "Error", MessageBoxButtons.YesNo, MessageBoxIcon.Exclamation) == DialogResult.Yes)
{
flag = true;
((IProvider)this.executionProvider).Connect(15000);
}
if (flag && !((IProvider)this.marketDataProvider).IsConnected)
{
MessageBox.Show(this, "Unable to connect to " + this.marketDataProvider.Name, "Error", MessageBoxButtons.OK, MessageBoxIcon.Hand);
}
}
if (((IProvider)this.executionProvider).IsConnected)
singleOrder.Send();
if ((int)orderMiniBlotterForm.Route > 0)
this.SelectedRoute = orderMiniBlotterForm.Route;
}
orderMiniBlotterForm.Dispose();
}
public void Init(Instrument instrument, OrdType ordType, Side side, byte route)
{
this.Text = string.Format("{0} - {1} {2}", instrument, side, ordType);
int decimalPlaces = PriceFormatHelper.GetDecimalPlaces(instrument);
Decimal num1 = (Decimal)Math.Pow(0.1, (double)decimalPlaces);
this.nudLimitPrice.DecimalPlaces = decimalPlaces;
this.nudStopPrice.DecimalPlaces = decimalPlaces;
this.nudLimitPrice.Increment = num1;
this.nudStopPrice.Increment = num1;
this.nudLimitPrice.Enabled = false;
this.nudStopPrice.Enabled = false;
switch (ordType)
{
case OrdType.Market:
switch (side)
{
case Side.Buy:
this.nudLimitPrice.Value = (Decimal)instrument.Quote.Ask;
this.nudStopPrice.Value = (Decimal)instrument.Quote.Ask;
break;
case Side.Sell:
this.nudLimitPrice.Value = (Decimal)instrument.Quote.Bid;
this.nudStopPrice.Value = (Decimal)instrument.Quote.Bid;
break;
default:
throw new NotSupportedException("Not supported order side - " + ((object)side).ToString());
}
this.cbxTIFs.BeginUpdate();
this.cbxTIFs.Items.Clear();
foreach (OpenQuant.API.TimeInForce timeInForce in Enum.GetValues(typeof (OpenQuant.API.TimeInForce)))
this.cbxTIFs.Items.Add((object)timeInForce);
this.cbxTIFs.SelectedItem = (object)OpenQuant.API.TimeInForce.Day;
this.cbxTIFs.EndUpdate();
if ((int)route > 0)
{
OrderMiniBlotterForm orderMiniBlotterForm = this;
int num2 = orderMiniBlotterForm.Height + 32;
orderMiniBlotterForm.Height = num2;
Button button1 = this.btnSend;
int num3 = button1.Top + 32;
button1.Top = num3;
Button button2 = this.btnCancel;
int num4 = button2.Top + 32;
button2.Top = num4;
GroupBox groupBox = this.groupBox1;
int num5 = groupBox.Height + 32;
groupBox.Height = num5;
Label label = new Label();
label.AutoSize = false;
label.TextAlign = ContentAlignment.MiddleLeft;
label.Location = new Point(16, 144);
label.Size = new Size(70, 20);
label.Text = "Route";
this.groupBox1.Controls.Add((Control)label);
this.cbxRoutes = new ComboBox();
this.cbxRoutes.DropDownStyle = ComboBoxStyle.DropDownList;
this.cbxRoutes.Location = new Point(104, 144);
this.cbxRoutes.Size = new Size(98, 21);
this.cbxRoutes.Sorted = true;
this.groupBox1.Controls.Add((Control)this.cbxRoutes);
this.cbxRoutes.BeginUpdate();
this.cbxRoutes.Items.Clear();
IEnumerator enumerator = ((ProviderList)ProviderManager.ExecutionProviders).GetEnumerator();
try
{
while (enumerator.MoveNext())
{
IExecutionProvider iexecutionProvider = (IExecutionProvider)enumerator.Current;
RouteItem routeItem = new RouteItem(iexecutionProvider.Name, iexecutionProvider.Id);
this.cbxRoutes.Items.Add((object)routeItem);
if ((int)((IProvider)iexecutionProvider).Id == (int)route)
this.cbxRoutes.SelectedItem = (object)routeItem;
}
}
finally
{
IDisposable disposable = enumerator as IDisposable;
if (disposable != null)
disposable.Dispose();
}
if (this.cbxRoutes.Items.Count > 0 && this.cbxRoutes.SelectedItem == null)
this.cbxRoutes.SelectedIndex = 0;
this.cbxRoutes.EndUpdate();
break;
}
else
{
this.cbxRoutes = (ComboBox)null;
break;
}
case OrdType.Limit:
this.nudLimitPrice.Enabled = true;
goto case OrdType.Market;
case OrdType.Stop:
this.nudStopPrice.Enabled = true;
goto case OrdType.Market;
case OrdType.StopLimit:
this.nudLimitPrice.Enabled = true;
this.nudStopPrice.Enabled = true;
goto case OrdType.Market;
default:
throw new NotSupportedException("Not supported order type - " + ordType.ToString());
}
}
public bool AlterarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "", string senderSubID = "", string extraTags = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.OrderCancelReplaceRequest ordercrr = new QuickFix.FIX42.OrderCancelReplaceRequest();
ordercrr.Set(new Account(ordem.Account.ToString()));
if (!string.IsNullOrEmpty(mnemonic))
{
ordercrr.SetField(new Account(mnemonic), true);
}
if (!string.IsNullOrEmpty(senderSubID))
{
ordercrr.Header.SetField(new SenderSubID(senderSubID), true);
}
ordercrr.Set(new Symbol(ordem.Symbol));
ordercrr.Set(new ClOrdID(ordem.ClOrdID));
ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));
if (ordem.ExchangeNumberID != null && ordem.ExchangeNumberID.Length > 0)
{
ordercrr.Set(new OrderID(ordem.ExchangeNumberID));
}
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordercrr.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordercrr.Set(new Side(Side.SELL));
}
else
{
ordercrr.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordercrr.Set(tif);
}
ordercrr.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordercrr.Set(ordType);
}
// Para versao 4.2, os novos tipos de OrdType a serem enviados (5, A ou B);
if (!string.IsNullOrEmpty(ordem.Memo5149))
{
ordercrr.SetField(new OrdType(Convert.ToChar(ordem.Memo5149)), true);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
case OrdemTipoEnum.StopLimitada:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopStart:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
default:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordercrr.Set(new TransactTime(DateTime.Now));
ordercrr.Set(new HandlInst('1'));
ordercrr.Set(new ExecBroker("227"));
if (ordem.MaxFloor > 0)
{
ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount("67"));
ordercrr.AddGroup(noAllocsGrp);
bool bRet = false;
// Tags Customizadas Bloomberg
if (!string.IsNullOrEmpty(extraTags))
{
string[] arr = extraTags.Split(';');
for (int i = 0; i < arr.Length; i++)
{
if (!string.IsNullOrEmpty(arr[i]))
{
string[] valor = arr[i].Split('=');
StringField fld = new StringField(Convert.ToInt32(valor[0]), valor[1]);
ordercrr.SetField(fld);
}
}
}
if (oriini != 0 && orifim != 0)
{
long times = fim - ini;
logger.Info("=====================================> INICIO ALTERAR ORDEM========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
ordercrr.ClOrdID = xx;
ordercrr.OrigClOrdID = xx2;
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
oriini++;
}
logger.Info("=====================================> FIM ALTERAR ORDEM========> Qtd: " + times);
}
else
{
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
}
return(bRet);
}
public static char ToFIX(OrdType ordType)
{
switch (ordType)
{
case OrdType.Market:
return '1';
case OrdType.Limit:
return '2';
case OrdType.Stop:
return '3';
case OrdType.StopLimit:
return '4';
case OrdType.MarketOnClose:
return '5';
case OrdType.WithOrWithout:
return '6';
case OrdType.LimitOrBetter:
return '7';
case OrdType.LimitWithOrWithout:
return '8';
case OrdType.OnBasis:
return '9';
case OrdType.OnClose:
return 'A';
case OrdType.LimitOnClose:
return 'B';
case OrdType.ForexMarket:
return 'C';
case OrdType.PreviouslyQuoted:
return 'D';
case OrdType.PreviouslyIndicated:
return 'E';
case OrdType.ForexLimit:
return 'F';
case OrdType.ForexSwap:
return 'G';
case OrdType.ForexPreviouslyQuoted:
return 'H';
case OrdType.Funari:
return 'I';
case OrdType.MIT:
return 'J';
case OrdType.MarketWithLeftoverAsLimit:
return 'K';
case OrdType.PreviousFundValuationPoint:
return 'L';
case OrdType.NextFundValuationPoint:
return 'M';
case OrdType.Pegged:
return 'P';
case OrdType.TrailingStop:
return 'T';
case OrdType.TrailingStopLimit:
return 'S';
default:
throw new Exception("unknown: " + ((object)ordType).ToString());
}
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderNewSingleRequest" /> 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>
public OrderNewSingleRequest(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>))
{
// to ensure "exchangeId" is required (not null)
if (exchangeId == null)
{
throw new InvalidDataException("exchangeId is a required property for OrderNewSingleRequest 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 OrderNewSingleRequest 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 OrderNewSingleRequest 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 OrderNewSingleRequest 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 OrderNewSingleRequest 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 OrderNewSingleRequest 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 OrderNewSingleRequest and cannot be null");
}
else
{
this.TimeInForce = timeInForce;
}
this.SymbolIdExchange = symbolIdExchange;
this.SymbolIdCoinapi = symbolIdCoinapi;
this.ExpireTime = expireTime;
this.ExecInst = execInst;
}
/// <summary>
/// ConsistirOrdem - efetuar consistencia do order info
/// </summary>
/// <param name="ordem"></param>
/// <param name="alteracao">flag para indicar se é ou nao alteracao de ordem</param>
public static void ConsistirOrdem(OrdemInfo ordem, bool alteracao = false)
{
// Basic order identification
if (ordem.Account < 0)
{
throw new ArgumentException("Account field must be provided");
}
if (alteracao)
{
if (ordem.OrigClOrdID == null || ordem.OrigClOrdID.Length <= 0)
{
throw new ArgumentException("OrigClOrdID field must be provided");
}
}
if (ordem.ClOrdID == null || ordem.ClOrdID.Length <= 0)
{
throw new ArgumentException("ClOrdID field must be provided");
}
// Instrument Identification Block
if (ordem.Symbol == null || ordem.Symbol.Length <= 0)
{
throw new ArgumentException("Symbol must be provided");
}
if (ordem.SecurityID == null || ordem.SecurityID.Length <= 0)
{
throw new ArgumentException("SecurityID field must be provided");
}
if (ordem.OrderQty <= 0)
{
throw new ArgumentException("OrderQty must be > 0 ");
}
// Cliente
if (ordem.ExecBroker == null || ordem.ExecBroker.Length <= 0)
{
throw new ArgumentException("ExecBroker must be provided");
}
TimeInForce tif = TradutorFix.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif == null)
{
throw new ArgumentException("TimeInForce is invalid");
}
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
if (ordem.ExpireDate == null || ordem.ExpireDate <= DateTime.Now)
{
throw new ArgumentException("ExpireDate is invalid");
}
}
OrdType ordType = TradutorFix.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType == null)
{
throw new ArgumentException("OrdType is invalid");
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
if (ordem.Price <= 0.0 && ordem.TimeInForce != OrdemValidadeEnum.BoaParaLeilao)
{
throw new ArgumentException("Price must be > 0");
}
break;
case OrdemTipoEnum.StopLimitada:
case OrdemTipoEnum.StopStart:
if (ordem.Price <= 0.0)
{
throw new ArgumentException("Price must be > 0");
}
if (ordem.StopPrice <= 0.0)
{
throw new ArgumentException("StopPrice must be > 0");
}
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
break;
default:
if (ordem.Price <= 0.0)
{
throw new ArgumentException("Price must be > 0");
}
break;
}
if (ordem.MaxFloor < 0)
{
throw new ArgumentException("MaxFloor must be >= 0");
}
if (ordem.MinQty < 0)
{
throw new ArgumentException("MinQty must be >= 0");
}
if (ordem.ExecBroker == null || ordem.ExecBroker.Length <= 0)
{
throw new ArgumentException("ExecBroker must be provided");
}
}
/// <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;
}
public static char ToFIX(OrdType ordType)
{
switch (ordType)
{
case OrdType.Market:
return('1');
case OrdType.Limit:
return('2');
case OrdType.Stop:
return('3');
case OrdType.StopLimit:
return('4');
case OrdType.MarketOnClose:
return('5');
case OrdType.WithOrWithout:
return('6');
case OrdType.LimitOrBetter:
return('7');
case OrdType.LimitWithOrWithout:
return('8');
case OrdType.OnBasis:
return('9');
case OrdType.OnClose:
return('A');
case OrdType.LimitOnClose:
return('B');
case OrdType.ForexMarket:
return('C');
case OrdType.PreviouslyQuoted:
return('D');
case OrdType.PreviouslyIndicated:
return('E');
case OrdType.ForexLimit:
return('F');
case OrdType.ForexSwap:
return('G');
case OrdType.ForexPreviouslyQuoted:
return('H');
case OrdType.Funari:
return('I');
case OrdType.MIT:
return('J');
case OrdType.MarketWithLeftoverAsLimit:
return('K');
case OrdType.PreviousFundValuationPoint:
return('L');
case OrdType.NextFundValuationPoint:
return('M');
case OrdType.Pegged:
return('P');
case OrdType.TrailingStop:
return('T');
case OrdType.TrailingStopLimit:
return('S');
default:
throw new Exception("unknown: " + ((object)ordType).ToString());
}
}
