//public void OnMessage(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s) //{ // var noMdEntries = message.NoLegs.getValue(); // var group = new QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup(); // SendNewExecutionReport(message, s, noMdEntries, group); // Thread.Sleep(100); // SendFilledExecutionReport(message, s, noMdEntries, group); //} //private void SendNewExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group) //{ // Symbol symbol = new Symbol("L"); // Side side = new Side('L'); // OrdType ordType = message.OrdType; // QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport( // new OrderID(GenOrderID()), // new ExecID(""), // new ExecTransType(ExecTransType.NEW), // new ExecType(ExecType.NEW), // new OrdStatus(OrdStatus.NEW), // symbol, // side, // new LeavesQty(0), // new CumQty(0), // new AvgPx(0)); // exReport.Set(message.ClOrdID); // exReport.Set(message.TimeInForce); // if (message.IsSetAccount()) // exReport.SetField(message.Account); // for (int i = 1; i <= noMdEntries; i++) // { // var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group); // var Exgroup = new QuickFix.FIX42.ExecutionReport.NoLegsGroup(); // Exgroup.LegOrderQty = new LegOrderQty(n.LegOrderQty.getValue()); // Exgroup.LegPrice = new LegPrice(n.LegPrice.getValue()); // Exgroup.LegSecurityID = new LegSecurityID(n.LegSecurityID.getValue()); // Exgroup.LegProduct = new LegProduct(n.LegProduct.getValue()); // message.AddGroup(Exgroup); // } // 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()); // } //} //private void SendFilledExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group) //{ // for (int i = 1; i <= noMdEntries; i++) // { // var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group); // SecurityID security = new SecurityID(n.LegSecurityID.getValue()); // Symbol symbol = new Symbol(n.LegSymbol.getValue()); // Side side = new Side(n.IsSetLegSide() ? n.LegSide.getValue() : 'B'); // OrdType ordType = message.OrdType; // OrderQty orderQty = new OrderQty(n.LegOrderQty.getValue()); // ClOrdID clOrdID = message.ClOrdID; // Price price = new Price(DEFAULT_MARKET_PRICE); // TimeInForce tm = message.TimeInForce; // switch (ordType.getValue()) // { // case OrdType.LIMIT: // price = new Price(n.LegPrice.getValue()); // if (price.Obj == 0) // throw new IncorrectTagValue(price.Tag); // break; // case OrdType.MARKET: // break; // default: // throw new IncorrectTagValue(ordType.Tag); // } // QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport( // new OrderID(GenOrderID()), // new ExecID(DateTime.Now.ToString("yyyyMMddHHmmss") + 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())); // exReport.Set(security); // exReport.Set(clOrdID); // exReport.Set(orderQty); // exReport.Set(new LastShares(orderQty.getValue())); // exReport.Set(new LastPx(price.getValue())); // exReport.Set(message.TimeInForce); // if (message.IsSetAccount()) // exReport.SetField(message.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 OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s) { Symbol symbol = n.Symbol; Side side = n.Side; OrdType ordType = n.OrdType; OrderQty orderQty = n.OrderQty; ClOrdID clOrdID = n.ClOrdID; Price price = new Price(DEFAULT_MARKET_PRICE); 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.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport( new OrderID(GenOrderID()), new ExecID(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())); exReport.Set(clOrdID); exReport.Set(orderQty); exReport.Set(new LastShares(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> /// Translate FIX42 NewOrderSingle message to OrderData /// </summary> /// <param name="n">The message</param> /// <returns>The order data</returns> /// <exception cref="QuickFix.IncorrectTagValue"></exception> public static OrderData Translate(QuickFix.FIX42.NewOrderSingle n) { ValidateIsSupportedOrderType(n.OrdType); return(TranslateOrderImpl(n.Symbol, n.Side, n.OrdType, n.OrderQty, n.Price, n.ClOrdID, n.IsSetAccount() ? n.Account : null)); }