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());
}
}
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);
}
//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());
}
}
private static void ValidateIsSupportedOrderType(OrdType ordType)
{
switch (ordType.getValue())
{
case OrdType.LIMIT:
break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
}
public static OrderType Convert(OrdType type)
{
switch (type.getValue())
{
case OrdType.LIMIT:
return(OrderType.Limit);
default:
throw new IncorrectTagValue(type.Tag);
}
}
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 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) {}
}
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( QuickFix40.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 );
QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new OrdStatus ( OrdStatus.FILLED ),
symbol,
side,
orderQty,
new LastShares ( orderQty.getValue() ),
new LastPx ( price.getValue() ),
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 ) {}
}
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());
}
}
}
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 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));
}
}
