/// <summary>
///
/// </summary>
/// <param name="message"></param>
/// <param name="sessionId"></param>
private void OnMessage(QuickFix.FIX42.OrderCancelReject message, SessionID sessionId)
{
try
{
Rejection rejection = new Rejection(new Security()
{
Symbol = String.Empty
}, _provider, message.TransactTime.getValue());
rejection.OrderId = message.OrigClOrdID.getValue();
rejection.RejectioReason = message.CxlRejReason.getValue().ToString();
if (RejectionArrived != null)
{
RejectionArrived(rejection);
}
if (Logger.IsInfoEnabled)
{
Logger.Info("Cancel / CancelReplace rejection arrived : " + rejection.OrderId, _type.FullName, "OnMessage");
}
}
catch (Exception exception)
{
Logger.Error(exception.ToString(), _type.FullName, "OnMessage");
}
}
public void OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX42.OrderCancelReject ocj = new QuickFix.FIX42.OrderCancelReject(
new OrderID(orderid), msg.ClOrdID, msg.OrigClOrdID, new OrdStatus(OrdStatus.REJECTED), new CxlRejResponseTo(CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST));
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.UNKNOWN_ORDER);
ocj.Text = new Text("Executor does not support order cancel/replaces");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
protected void RejectCancelRequest(QuickFix.SessionID session, QuickFix.Fields.ClOrdID clordid, QuickFix.Fields.OrigClOrdID origordid, IOrder nt7_order, string rej_reason, int cxl_rej, bool is_cancelreplace_request)
{
QuickFix.FIX42.OrderCancelReject rej = new QuickFix.FIX42.OrderCancelReject();
if (nt7_order == null)
{
rej.Set(new QuickFix.Fields.OrderID("NONE"));
}
else
{
rej.Set(new QuickFix.Fields.OrderID(clordid.getValue()));
}
rej.Set(origordid);
rej.Set(Converter.c(nt7_order.OrderState));
rej.Set(new QuickFix.Fields.CxlRejResponseTo(is_cancelreplace_request ? QuickFix.Fields.CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST : QuickFix.Fields.CxlRejResponseTo.ORDER_CANCEL_REQUEST));
rej.Set(new QuickFix.Fields.CxlRejReason(cxl_rej));
rej.Set(new QuickFix.Fields.Text(rej_reason));
rej.Set(new QuickFix.Fields.TransactTime(DateTime.Now, true));
QuickFix.Session.SendToTarget(rej, session);
}
public void OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX42.OrderCancelReject ocj = new QuickFix.FIX42.OrderCancelReject(
new OrderID(orderid), msg.ClOrdID, msg.OrigClOrdID, new OrdStatus(OrdStatus.REJECTED), new CxlRejResponseTo(CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST));
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.UNKNOWN_ORDER);
ocj.Text = new Text("Executor does not support order cancel/replaces");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void OnMessage(QuickFix.FIX42.OrderCancelReject msg, QuickFix.SessionID s)
{
}
// public void onMessage(QuickFix.FIX42.ExecutionReport message, SessionID sessionID)
// {
// }
public void onMessage(QuickFix.FIX42.OrderCancelReject message, SessionID sessionID)
{
}
public void OnMessage(QuickFix.FIX42.OrderCancelReject m, SessionID s)
{
Console.WriteLine("Received order cancel reject");
}
protected void RejectCancelRequest(QuickFix.SessionID session, QuickFix.Fields.ClOrdID clordid, QuickFix.Fields.OrigClOrdID origordid, IOrder nt7_order, string rej_reason, int cxl_rej, bool is_cancelreplace_request)
{
QuickFix.FIX42.OrderCancelReject rej = new QuickFix.FIX42.OrderCancelReject();
if (nt7_order == null)
rej.Set(new QuickFix.Fields.OrderID("NONE"));
else
rej.Set(new QuickFix.Fields.OrderID(clordid.getValue()));
rej.Set(origordid);
rej.Set(Converter.c(nt7_order.OrderState));
rej.Set(new QuickFix.Fields.CxlRejResponseTo(is_cancelreplace_request ? QuickFix.Fields.CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST : QuickFix.Fields.CxlRejResponseTo.ORDER_CANCEL_REQUEST));
rej.Set(new QuickFix.Fields.CxlRejReason(cxl_rej));
rej.Set(new QuickFix.Fields.Text(rej_reason));
rej.Set(new QuickFix.Fields.TransactTime(DateTime.Now, true));
QuickFix.Session.SendToTarget(rej, session);
}
public void FromApp(QuickFix.Message msg, SessionID sessionID)
{
logMe("\r\n \r\n" + "FromApp :" + msg.ToString());
try
{
if (msg is QuickFix.FIX42.OrderCancelReject)
{
Console.WriteLine("Order Cancel Reject event raised");
QuickFix.FIX42.OrderCancelReject er = (QuickFix.FIX42.OrderCancelReject)msg;
if (er.IsSetClOrdID())
{
Console.WriteLine("ClOrdID : " + er.ClOrdID);
}
if (er.IsSetOrigClOrdID())
{
Console.WriteLine("OrigClOrdID : " + er.OrigClOrdID);
}
if (er.IsSetOrdStatus())
{
Console.WriteLine("OrderStatus : " + er.OrdStatus);
}
if (er.IsSetCxlRejResponseTo())
{
Console.WriteLine("CxlRejResponseTo : " + er.CxlRejResponseTo);
}
if (er.IsSetCxlRejReason())
{
Console.WriteLine("CxlRejReason : " + er.CxlRejReason);
}
if (er.IsSetOrderID())
{
Console.WriteLine("OrderID : " + er.OrderID);
}
if (er.CxlRejResponseTo.getValue() == CxlRejResponseTo.ORDER_CANCEL_REQUEST)
{
// Order Cancel Rejected reason
// 1= UNKNOWN_ORDER, 2 = Broker Option, 3 = Order already in Pending Cancel or Pending Replace status
string orderDetails = "CANCEL_REJECTED";
Int32 origOrderID = -1;
if (er.IsSetOrigClOrdID())
{
origOrderID = Convert.ToInt32(er.OrigClOrdID.getValue());
}
Orders o = new Orders();
if (er.IsSetEncodedText())
{
orderDetails += " : " + er.EncodedText.getValue();
}
o.FIXResponseCanModRejectHandler(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), origOrderID, er.CxlRejResponseTo.getValue(), "CANCEL_" + getRejectType(er.CxlRejReason), orderDetails);
}
else if (er.CxlRejResponseTo.getValue() == CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST)
{
// Order modification Rejected reason
// 1 = Broker Option
// 3 = Order already in Pending Cancel or Pending Replace status
string orderDetails = "MODIFY_REJECTED";
Int32 origOrderID = -1;
if (er.IsSetOrigClOrdID())
{
origOrderID = Convert.ToInt32(er.OrigClOrdID.getValue());
}
Orders o = new Orders();
if (er.IsSetEncodedText())
{
orderDetails += " : " + er.EncodedText.getValue();
}
o.FIXResponseCanModRejectHandler(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), origOrderID, er.CxlRejResponseTo.getValue(), "MODIFY_" + getRejectType(er.CxlRejReason), orderDetails);
}
}
else if (msg is QuickFix.FIX42.ExecutionReport)
{
string ordTypeField = msg.GetField(40);
if (ordTypeField == "1")
{
IField field = new DecimalField(44, 0);
msg.SetField(field);
}
QuickFix.FIX42.ExecutionReport er = (QuickFix.FIX42.ExecutionReport)msg;
string orderDetails = Convert.ToString(er.ExecType.getValue()) + "|" + er.OrderQty.getValue() + "|" + er.Price.getValue() + "|" + er.LastShares.getValue() + "|" + er.LastPx.getValue() + "|" + er.CumQty.getValue() + "|" + er.AvgPx.getValue() + "|" + er.OrdType.getValue() + "|";
if (er.IsSetText())
{
orderDetails = orderDetails + er.Text + "|";
}
else
{
orderDetails = orderDetails + "NULL|";
}
logMe("\r\n \r\n" + "Got execution Report - ExecType = " + orderDetails);
Console.WriteLine("\r\n \r\n" + "Got execution Report - ExecType = " + orderDetails);
Orders o = new Orders();
if (er.ExecType.getValue() == ExecType.FILL || er.ExecType.getValue() == ExecType.PARTIAL_FILL)
{
o.FIXResponseHandlerForFill(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), (float)Convert.ToDouble(er.OrderQty.getValue()), (float)Convert.ToDouble(er.LastPx.getValue()), (float)Convert.ToDouble(er.LastShares.getValue()), getExecType(er.ExecType), er.ExecType.getValue());
}
else
{
Int32 origOrderID = -1;
float price = -1;
char orderType = '2';
if (er.IsSetOrigClOrdID())
{
origOrderID = Convert.ToInt32(er.OrigClOrdID.getValue());
}
if (er.IsSetPrice())
{
price = (float)Convert.ToDouble(er.Price.getValue());
}
if (er.IsSetOrdType())
{
orderType = er.OrdType.getValue();
}
//orderid is string since value is too large for int variable
o.FIXResponseHandler(Convert.ToInt32(er.ClOrdID.getValue()), er.OrderID.getValue(), origOrderID, er.ExecType.getValue(), getExecType(er.ExecType), orderDetails, price, orderType);
}
}
}
catch (Exception e)
{
Console.WriteLine("exception(FixClient FromAPP) " + e.Message);
}
}
public static QuickFix.FIX42.OrderCancelReject Fix44OCR_2_Fix42OCR(QuickFix.FIX44.OrderCancelReject ocrj44)
{
try
{
// TODO [FF] - Efetuar a conversao do Fix44 para Fix42 de OrderCancelReject
QuickFix.FIX42.OrderCancelReject ocrj42 = new QuickFix.FIX42.OrderCancelReject();
if (ocrj44.IsSetOrderID())
{
ocrj42.Set(new OrderID(ocrj44.OrderID.getValue()));
}
if (ocrj44.IsSetSecondaryOrderID())
{
ocrj42.Set(new SecondaryOrderID(ocrj44.SecondaryOrderID.getValue()));
}
// if (ocrj44.IsSetSecondaryClOrdID()) ocrj42.Set(new SecondaryClOrdID(ocrj44.SecondaryClOrdID.getValue())); // Not Found on 4.2
if (ocrj44.IsSetClOrdID())
{
ocrj42.Set(new ClOrdID(ocrj44.ClOrdID.getValue()));
}
// if (ocrj44.IsSetClOrdLinkID()) ocrj42.Set(new ClOrdLinkID(ocrj44.ClOrdLinkID.getValue())); // Not Found on 4.2
if (ocrj44.IsSetOrigClOrdID())
{
ocrj42.Set(new OrigClOrdID(ocrj44.OrigClOrdID.getValue()));
}
if (ocrj44.IsSetOrdStatus())
{
ocrj42.Set(new OrdStatus(ocrj44.OrdStatus.getValue()));
}
// if (ocrj44.IsSetWorkingIndicator()) ocrj42.Set(new WorkingIndicator(ocrj44.WorkingIndicator.getValue())); // Not found on 4.2
// if (ocrj44.IsSetOrigOrdModTime()) ocrj42.Set(new OrigOrdModTime(ocrj44.OrigOrdModTime.getValue())); // Not found on 4.2
if (ocrj44.IsSetListID())
{
ocrj42.Set(new ListID(ocrj44.ListID.getValue()));
}
if (ocrj44.IsSetAccount())
{
ocrj42.Set(new Account(ocrj44.Account.getValue()));
}
// if (ocrj44.IsSetAcctIDSource()) ocrj42.Set(new AcctIDSource(ocrj44.AcctIDSource.getValue())); // Not found on 4.2
// if (ocrj44.IsSetAccountType()) ocrj42.Set(new AccountType(ocrj44.AccountType.getValue())); // Not found on 4.2
// if (ocrj44.IsSetTradeOriginationDate()) ocrj42.Set(new TradeOriginationDate(ocrj44.TradeOriginationDate.getValue())); // Not found on 4.2
// if (ocrj44.IsSetTradeDate()) ocrj42.Set(new TradeDate(ocrj44.TradeDate.getValue())); // Not found on 4.2
if (ocrj44.IsSetTransactTime())
{
ocrj42.Set(new TransactTime(ocrj44.TransactTime.getValue()));
}
if (ocrj44.IsSetCxlRejResponseTo())
{
ocrj42.Set(new CxlRejResponseTo(ocrj44.CxlRejResponseTo.getValue()));
}
// if (ocrj44.IsSetCxlRejReason()) ocrj42.Set(new CxlRejReason(ocrj44.CxlRejReason.getValue()));
// TODO [FF]: Verify value pattern: Set to "2": BROKER OPTION and describe rejection in text field
if (ocrj44.IsSetCxlRejReason())
{
ocrj42.Set(new CxlRejReason(CxlRejReason.BROKER_OPTION));
}
if (ocrj44.IsSetText())
{
ocrj42.Set(new Text(ocrj44.Text.getValue()));
}
if (ocrj44.IsSetEncodedTextLen())
{
ocrj42.Set(new EncodedTextLen(ocrj44.EncodedTextLen.getValue()));
}
if (ocrj44.IsSetEncodedText())
{
ocrj42.Set(new EncodedText(ocrj44.EncodedText.getValue()));
}
if (ocrj44.IsSetMemo())
{
ocrj42.SetField(new Memo(ocrj44.Memo.getValue()));
}
return(ocrj42);
}
catch (Exception ex)
{
logger.Error("Fix44OCR_2_Fix42OCR(): " + ex.Message, ex);
return(null);
}
}
public static QuickFix.FIX42.OrderCancelReject Fix42Reject2OrderCancelReject(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX42.OrderCancelReject ocr = new QuickFix.FIX42.OrderCancelReject();
if (msgOri.IsSetField(Tags.OrderID))
{
ocr.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
}
else
{
ocr.Set(new OrderID("NONE"));
}
if (msgOri.IsSetField(Tags.SecondaryOrderID))
{
ocr.Set(new SecondaryOrderID(msgOri.GetString(Tags.SecondaryOrderID)));
}
if (msgOri.IsSetField(Tags.ClOrdID))
{
ocr.Set(new ClOrdID(msgOri.GetString(Tags.ClOrdID)));
}
if (msgOri.IsSetField(Tags.OrigClOrdID))
{
ocr.Set(new OrigClOrdID(msgOri.GetString(Tags.OrigClOrdID)));
}
ocr.Set(new OrdStatus(OrdStatus.REJECTED));
// if (msgOri.IsSetField(Tags.ClientID)) ocr.Set(new ClientID(msgOri.GetString(Tags.ClientID))); // not found on 4.4EP
// TODO[FF] - Verificar a montagem do execbroker a partir de party ids
// if (msgOri.IsSetField(Tags.ExecBroker)) ocr.Set(new ExecBroker(msgOri.GetString(Tags.ExecBroker))); // not found on 4.4EP
if (msgOri.IsSetField(Tags.ListID))
{
ocr.Set(new ListID(msgOri.GetString(Tags.ListID)));
}
if (msgOri.IsSetField(Tags.Account))
{
ocr.Set(new Account(msgOri.GetString(Tags.Account)));
}
if (msgOri.IsSetField(Tags.TransactTime))
{
ocr.Set(new TransactTime(msgOri.GetDateTime(Tags.TransactTime)));
}
if (msgOri.Header.GetString(Tags.MsgType).Equals(MsgType.ORDER_CANCEL_REQUEST)) // mandatory
{
ocr.Set(new CxlRejResponseTo('1'));
}
else
{
ocr.Set(new CxlRejResponseTo('2'));
}
//if (msgOri.IsSetField(Tags.CxlRejReason)) ocr.Set(new CxlRejReason(msgOri.GetInt(Tags.CxlRejReason)));
if (msgOri.IsSetField(Tags.CxlRejReason))
{
ocr.Set(new CxlRejReason(CxlRejReason.BROKER_OPTION));
}
if (msgOri.IsSetField(Tags.Text))
{
ocr.Set(new Text(msgOri.GetString(Tags.Text)));
}
if (msgOri.IsSetField(Tags.EncodedTextLen))
{
ocr.Set(new EncodedTextLen(msgOri.GetInt(Tags.EncodedTextLen)));
}
if (msgOri.IsSetField(Tags.EncodedText))
{
ocr.Set(new EncodedText(msgOri.GetString(Tags.EncodedText)));
}
if (msgOri.IsSetField(Tags.Memo))
{
ocr.SetField(new Memo(msgOri.GetString(Tags.Memo)));
}
/*
* if (msgOri.IsSetField(Tags.OrderID))
* ocr.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
* else
* ocr.Set(new OrderID("NONE"));
* ocr.Set(new ClOrdID(msgOri.GetString(Tags.ClOrdID))); // mandatory
* ocr.Set(new OrigClOrdID(msgOri.GetString(Tags.OrigClOrdID))); // mandatory
* ocr.Set(new OrdStatus(OrdStatus.REJECTED)); // mandatory
* if (msgOri.IsSetField(Tags.Account))
* ocr.SetField(new Account(msgOri.GetString(Tags.Account)));
* if (msgOri.Header.GetString(Tags.MsgType).Equals(MsgType.ORDER_CANCEL_REQUEST)) // mandatory
* ocr.Set(new CxlRejResponseTo('1'));
* else
* ocr.Set(new CxlRejResponseTo('2'));
* if (msgReject.IsSetField(Tags.Text))
* ocr.Set(new Text(msgReject.GetString(Tags.Text)));
* int len = msgOri.GetInt(Tags.NoPartyIDs);
* for (int i = 0; i < len; i++)
* {
* Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
* ocr.AddGroup(grp);
* }
* ocr.SetField(new Symbol(msgOri.GetString(Tags.Symbol)));
* if (msgOri.IsSetField(Tags.SecurityID)) ocr.SetField(new SecurityID(msgOri.GetField(Tags.SecurityID)));
* if (msgOri.IsSetField(Tags.SecurityIDSource)) ocr.SetField(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
* ocr.SetField(new Side(msgOri.GetChar(Tags.Side)));
* if (msgOri.IsSetField(Tags.Memo))
* ocr.SetField(new Memo(msgOri.GetString(Tags.Memo)));
*/
return(ocr);
}
catch (Exception ex)
{
logger.Error("Fix42Reject2OrderCancelReject(): " + ex.Message, ex);
return(null);
}
}
