public void HandleExecutionReport(QuickFix.FIX44.ExecutionReport msg)
{
try
{
string execId = msg.ExecID.Obj;
//string transType = FixEnumTranslator.Translate(msg.ExecType);
string execType = FixEnumTranslator.Translate(msg.ExecType);
Trace.WriteLine("EVM: Handling ExecutionReport: " + execId + " / " + execType);
ExecutionRecord exRec = new ExecutionRecord(
msg.ExecID.Obj,
msg.OrderID.Obj,
string.Empty,
execType,
msg.Symbol.Obj,
FixEnumTranslator.Translate(msg.Side));
exRec.LeavesQty = msg.LeavesQty.getValue();
exRec.TotalFilledQty = msg.CumQty.getValue();
exRec.LastQty = msg.LastQty.getValue();
SmartDispatcher.Invoke(new Action <ExecutionRecord>(AddExecution), exRec);
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
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);
}
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.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void OnMessage(QuickFix.FIX44.ExecutionReport msg, QuickFix.SessionID s)
{
if (Fix44ExecReportEvent != null)
{
Fix44ExecReportEvent(msg);
}
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Console.WriteLine("* Got a NewOrderSingle. Responding with an ExecutionReport.");
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.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.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void OneIncomingExecution()
{
UnitTestContext context = new UnitTestContext();
context.Login();
ExecutionViewModel vm = new ExecutionViewModel(context.App);
QuickFix.FIX44.ExecutionReport ex = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.NEW,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "IBM", QuickFix.Fields.Side.BUY, 1.23m, 4.56m, 7.89m);
context.App.FromApp(ex, context.Session.SessionID);
Assert.AreEqual(1, vm.Executions.Count);
}
public void ToXMLWithGroupsTest()
{
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load(Path.Combine(TestContext.CurrentContext.TestDirectory, "spec", "fix", "FIX44.xml"));
string[] msgFields =
{
// header
"8=FIX.4.4", "9=638", "35=8", "34=360", "49=BLPTSOX", "52=20130321-15:21:23", "56=THINKTSOX", "57=6804469", "128=ZERO",
// non-group body fields
"6=122.255", "11=61101189", "14=1990000", "15=GBP", "17=VCON:20130321:50018:5:12", "22=4", "31=122.255", "32=1990000",
"37=116", "38=1990000", "39=2", "48=GB0032452392", "54=1", "55=[N/A]", "60=20130321-15:21:23", "64=20130322", "75=20130321",
"106=UK TSY 4 1/4% 2036", "118=2436321.85", "150=F", "151=0", "157=15", "159=3447.35", "192=0", "198=3739:20130321:50018:5",
"223=0.0425", "228=1", "236=0.0291371041", "238=0", "381=2432874.5", "423=1", "470=GB", "541=20360307",
// NoPartyIDs
"453=6",
"448=VCON", "447=D", "452=1", "802=1", "523=14", "803=4",
"448=TFOLIO:6804469", "447=D", "452=12",
"448=TFOLIO", "447=D", "452=11",
"448=THINKFOLIO LTD", "447=D", "452=13",
"448=SXT", "447=D", "452=16",
"448=TFOLIO:6804469", "447=D", "452=36",
"10=152"
};
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.ExecutionReport msg = new QuickFix.FIX44.ExecutionReport();
msg.FromString(msgStr, true, dd, dd, null); // <-- null factory!
var expectedArr = new List <string>();
expectedArr.Add("<message>");
expectedArr.Add("<header>");
expectedArr.Add(@"<field number=""8""><![CDATA[FIX.4.4]]></field><field number=""9""><![CDATA[638]]></field><field number=""34""><![CDATA[360]]></field><field number=""35""><![CDATA[8]]></field><field number=""49""><![CDATA[BLPTSOX]]></field><field number=""52""><![CDATA[20130321-15:21:23]]></field><field number=""56""><![CDATA[THINKTSOX]]></field><field number=""57""><![CDATA[6804469]]></field><field number=""128""><![CDATA[ZERO]]></field>");
expectedArr.Add("</header>");
expectedArr.Add("<body>");
expectedArr.Add(@"<field number=""6""><![CDATA[122.255]]></field><field number=""11""><![CDATA[61101189]]></field><field number=""14""><![CDATA[1990000]]></field><field number=""15""><![CDATA[GBP]]></field><field number=""17""><![CDATA[VCON:20130321:50018:5:12]]></field><field number=""22""><![CDATA[4]]></field><field number=""31""><![CDATA[122.255]]></field><field number=""32""><![CDATA[1990000]]></field><field number=""37""><![CDATA[116]]></field><field number=""38""><![CDATA[1990000]]></field><field number=""39""><![CDATA[2]]></field><field number=""48""><![CDATA[GB0032452392]]></field><field number=""54""><![CDATA[1]]></field><field number=""55""><![CDATA[[N/A]]]></field><field number=""60""><![CDATA[20130321-15:21:23]]></field><field number=""64""><![CDATA[20130322]]></field><field number=""75""><![CDATA[20130321]]></field><field number=""106""><![CDATA[UK TSY 4 1/4% 2036]]></field><field number=""118""><![CDATA[2436321.85]]></field><field number=""150""><![CDATA[F]]></field><field number=""151""><![CDATA[0]]></field><field number=""157""><![CDATA[15]]></field><field number=""159""><![CDATA[3447.35]]></field><field number=""192""><![CDATA[0]]></field><field number=""198""><![CDATA[3739:20130321:50018:5]]></field><field number=""223""><![CDATA[0.0425]]></field><field number=""228""><![CDATA[1]]></field><field number=""236""><![CDATA[0.0291371041]]></field><field number=""238""><![CDATA[0]]></field><field number=""381""><![CDATA[2432874.5]]></field><field number=""423""><![CDATA[1]]></field><field number=""453""><![CDATA[6]]></field><field number=""470""><![CDATA[GB]]></field><field number=""541""><![CDATA[20360307]]></field><group><field number=""447""><![CDATA[D]]></field><field number=""448""><![CDATA[VCON]]></field><field number=""452""><![CDATA[1]]></field><field number=""802""><![CDATA[1]]></field><group><field number=""523""><![CDATA[14]]></field><field number=""803""><![CDATA[4]]></field></group></group><group><field number=""447""><![CDATA[D]]></field><field number=""448""><![CDATA[TFOLIO:6804469]]></field><field number=""452""><![CDATA[12]]></field></group><group><field number=""447""><![CDATA[D]]></field><field number=""448""><![CDATA[TFOLIO]]></field><field number=""452""><![CDATA[11]]></field></group><group><field number=""447""><![CDATA[D]]></field><field number=""448""><![CDATA[THINKFOLIO LTD]]></field><field number=""452""><![CDATA[13]]></field></group><group><field number=""447""><![CDATA[D]]></field><field number=""448""><![CDATA[SXT]]></field><field number=""452""><![CDATA[16]]></field></group><group><field number=""447""><![CDATA[D]]></field><field number=""448""><![CDATA[TFOLIO:6804469]]></field><field number=""452""><![CDATA[36]]></field></group>");
expectedArr.Add("</body>");
expectedArr.Add("<trailer>");
expectedArr.Add(@"<field number=""10""><![CDATA[152]]></field>");
expectedArr.Add("</trailer>");
expectedArr.Add("</message>");
expectedArr.Add("");
var expected = string.Join(Environment.NewLine, expectedArr);
Assert.AreEqual(expected, msg.ToXML());
}
//////////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////////////////
#region "FIX42 Conversions to Fix44"
/*
* public static QuickFix.FIX44.SequenceReset Fix42SR_2_Fix44SR(QuickFix.FIX42.SequenceReset sr42)
* {
* try
* {
* QuickFix.FIX44.SequenceReset sr44 = new QuickFix.FIX44.SequenceReset();
* _fix42Header_2_Fix44Header(sr42.Header, sr44.Header);
*
* if (sr42.IsSetNewSeqNo()) sr44.Set(new NewSeqNo(sr42.NewSeqNo.getValue()));
* if (sr42.IsSetGapFillFlag()) sr44.Set(new GapFillFlag(sr42.GapFillFlag.getValue()));
* return sr44;
* }
* catch (Exception ex)
* {
* logger.Error("Fix42SR_2_Fix44SR(): Problemas na conversao da mensagem SR: " + ex.Message, ex);
* return null;
* }
* }
*/
public static void Generate44RejectMessage(QuickFix.Message msg, SessionID s, string msgType, Exception ex, SessionAcceptor ssAcceptor, string msgText)
{
try
{
if (null != ex)
{
string aux = string.Format("QuickFix44 MsgType: [{0}], Message: [{1}]", msgType, ex.Message);
logger.Error(aux, ex);
}
QuickFix.FIX44.Reject rej = new QuickFix.FIX44.Reject();
rej.Set(new RefMsgType(msgType));
rej.Set(new RefSeqNum(msg.Header.GetInt(Tags.MsgSeqNum)));
if (string.IsNullOrEmpty(msgText))
{
rej.Set(new Text("System unavaliable")); // Mensagem generica para nao expor possiveis erros de aplicacao
}
else
{
rej.Set(new Text(msgText));
}
if (msgType.Equals(MsgType.ORDER_CANCEL_REQUEST) || msgType.Equals(MsgType.ORDER_CANCEL_REPLACE_REQUEST))
{
QuickFix.FIX44.OrderCancelReject ocr = Fix44Translator.Fix44Reject2OrderCancelReject(rej, msg);
Session.SendToTarget(ocr, s);
if (null != ssAcceptor)
{
ssAcceptor.Send2DropCopy(ocr);
}
}
else
{
QuickFix.FIX44.ExecutionReport er = Fix44Translator.Fix44Rejection2ExecutionReport(rej, msg);
Session.SendToTarget(er, s);
if (null != ssAcceptor)
{
ssAcceptor.Send2DropCopy(er);
}
}
}
catch (Exception exC)
{
logger.Error("Problemas na geracao de mensagem de reject (tratamento de excecoes) de mensagem fix 4.2: " + exC.Message, exC);
}
}
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());
}
}
public void MessageHasDecimalWithNoLeadingZero()
{
// issue 160
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
string[] msgFields = { "8=FIX.4.4", "9=122", "35=8", "34=2", "49=sender", "52=20121024-12:21:42.170", "56=target",
"37=orderid", "17=execid", "150=0", "39=0",
"55=ibm", "228=.23", // Instrument component; 228 is a float type in the spec
"54=1", "151=1", "14=1", "6=1", "10=45" };
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.ExecutionReport msg = new QuickFix.FIX44.ExecutionReport();
msg.FromString(msgStr, true, dd, dd, _defaultMsgFactory);
Assert.AreEqual(0.23, msg.Factor.getValue());
}
private void timer3_Tick(object sender, EventArgs e)
{
QuickFix.FIX44.ExecutionReport[] trades = new QuickFix.FIX44.ExecutionReport[application.trades.Count];
application.trades.CopyTo(trades);
int count = 0;
foreach (QuickFix.FIX44.ExecutionReport trade in trades)
{
dOrderTable.Rows.Add();
dOrderTable.Rows[count].Cells[0].Value = trade.Header.GetDateTime(52).ToString();
dOrderTable.Rows[count].Cells[1].Value = trade.Symbol.ToString();
dOrderTable.Rows[count].Cells[2].Value = trade.Price.getValue().ToString();
dOrderTable.Rows[count].Cells[3].Value = trade.CumQty.getValue().ToString();
dOrderTable.Rows[count++].Cells[4].Value = (trade.Side.getValue() == '1')? "Buy":"Sell";
}
if (count > 0)
{
dOrderTable.RowCount = count;
}
}
public void NestedRepeatingGroupParseGroupTest()
{
String data = "8=FIX.4.4\x01" + "9=309\x01" + "35=8\x01" + "49=ASX\x01" + "56=CL1_FIX44\x01" + "34=4\x01" + "52=20060324-01:05:58\x01" + ""
+ "17=X-B-WOW-1494E9A0:58BD3F9D-1109\x01" + "150=D\x01" + "39=0\x01" + "11=184271\x01" + "38=200\x01" + "198=1494E9A0:58BD3F9D\x01" + ""
+ "526=4324\x01" + "37=B-WOW-1494E9A0:58BD3F9D\x01" + "55=WOW\x01" + "54=1\x01" + "151=200\x01" + "14=0\x01" + "40=2\x01" + "44=15\x01" + "59=1\x01" + "6=0\x01" + ""
+ "453=3\x01"
+ "448=AAA35791\x01" + "447=D\x01" + "452=3\x01" + "802=1\x01" + "523=OHAI123\x01"
+ "448=8\x01" + "447=D\x01" + "452=4\x01"
+ "448=FIX11\x01" + "447=D\x01" + "452=36\x01" + ""
+ "60=20060320-03:34:29\x01" + "10=169\x01" + "";
var msg = new QuickFix.FIX44.ExecutionReport();
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
msg.FromString(data, false, dd, dd, _defaultMsgFactory);
var subGrp = msg.GetGroup(1, Tags.NoPartyIDs).GetGroup(1, Tags.NoPartySubIDs);
Assert.That(subGrp.GetString(Tags.PartySubID), Is.EqualTo("OHAI123"));
}
public void OnMessage(QuickFix.FIX44.ExecutionReport m, SessionID s)
{
FillModel fill = new FillModel
{
AvgPx = m.Price.getValue(),
ClOrderId = m.ClOrdID.getValue(),
CumQty = (int)m.CumQty.getValue(),
LastQty = (int)m.LastQty.getValue(),
LeavesQty = (int)m.LeavesQty.getValue(),
OrderQty = (int)m.OrderQty.getValue(),
Side = m.Side.getValue(),
OrdStatus = m.OrdStatus.getValue(),
TickerSymbol = m.Symbol.getValue(),
ExecId = m.ExecID.getValue(),
ExecType = m.ExecType.getValue() - '0',
OrderId = m.OrderID.getValue(),
};
FillReceived?.Invoke(this, fill);
}
public void HandleExecutionReport(QuickFix.FIX44.ExecutionReport msg)
{
try
{
string clOrdId = msg.ClOrdID.Obj;
string status = FixEnumTranslator.Translate(msg.OrdStatus);
Trace.WriteLine("OVM: Handling ExecutionReport: " + clOrdId + " / " + status);
lock (_ordersLock)
{
foreach (OrderRecord r in Orders)
{
if (r.ClOrdID == clOrdId)
{
r.Status = status;
if (msg.IsSetLastPx())
{
r.Price = msg.LastPx.Obj;
}
if (msg.IsSetOrderID())
{
r.OrderID = msg.OrderID.Obj;
}
r.LeavesQty = msg.LeavesQty.getValue();
r.TotalFilledQty = msg.CumQty.getValue();
r.LastQty = msg.LastQty.getValue();
return;
}
}
}
Trace.WriteLine("OVM: No order corresponds to ClOrdID '" + clOrdId + "'");
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
public OrderRecord(QuickFix.FIX44.ExecutionReport msg)
{
// If creating from an ExecutionReport then it's from an incoming message
// and therefore we shouldn't need the NOS details that don't exist anyway
OriginalNos = null;
ClOrdID = msg.ClOrdID.Obj;
OrderID = msg.OrderID.Obj;
Symbol = msg.Symbol.Obj;
Side = Services.TranslateFixFields.Translate(msg.Side);
//OrdType = FIXApplication.FixEnumTranslator.Translate(msg.OrdType);
OrdType = OrderType.Limit; // Not specified in ExecutionReport
//Price = msg.Price.Obj; // Not specified in ExecutionReport
Price = msg.AvgPx.Obj; // TODO We may need to be smarter, updates should use LastPx but what about new orders?
Quantity = msg.LeavesQty.Obj;
Status = Services.TranslateFixFields.Translate(msg.OrdStatus);
if (Status == OrderStatus.Rejected && msg.IsSetOrdRejReason())
{
RejectReason = msg.OrdRejReason.ToString();
}
}
public void OnMessage(QuickFix.FIX44.Quote quote, SessionID s)
{
try
{
Console.WriteLine("Received Quote Message.");
QuickFix.FIX44.ExecutionReport exec = new QuickFix.FIX44.ExecutionReport();
exec.SetField(new OrderID(quote.QuoteID.getValue()));
exec.SetField(new ClOrdID(quote.QuoteReqID.getValue()));
exec.SetField(new Side(quote.Side.getValue()));
exec.SetField(new Symbol(quote.Symbol.getValue()));
exec.SetField(new Currency(quote.Currency.getValue()));
exec.SetField(new SecurityType(quote.SecurityType.getValue()));
exec.SetField(new CFICode(quote.CFICode.getValue()));
if (quote.BidPx.getValue() > 0)
{
exec.SetField(new Price(quote.OfferPx.getValue()));
}
else
{
exec.SetField(new Price(quote.BidPx.getValue()));
}
exec.SetField(new OrderQty(quote.OrderQty.getValue()));
exec.SetField(new TransactTime(DateTime.Now.Date));
exec.SetField(new SettlDate(quote.SettlDate.getValue()));
exec.SetField(new Account(quote.Account.getValue()));
_session.Send(exec);
Console.WriteLine(exec.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
public void FromString_Groups_NoFactory()
{
// issue 179
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
string[] msgFields =
{
// header
"8=FIX.4.4", "9=638", "35=8", "34=360", "49=BLPTSOX", "52=20130321-15:21:23", "56=THINKTSOX", "57=6804469", "128=ZERO",
// non-group body fields
"6=122.255", "11=61101189", "14=1990000", "15=GBP", "17=VCON:20130321:50018:5:12", "22=4", "31=122.255", "32=1990000",
"37=116", "38=1990000", "39=2", "48=GB0032452392", "54=1", "55=[N/A]", "60=20130321-15:21:23", "64=20130322", "75=20130321",
"106=UK TSY 4 1/4% 2036", "118=2436321.85", "150=F", "151=0", "157=15", "159=3447.35", "192=0", "198=3739:20130321:50018:5",
"223=0.0425", "228=1", "236=0.0291371041", "238=0", "381=2432874.5", "423=1", "470=GB", "541=20360307",
// NoPartyIDs
"453=6",
"448=VCON", "447=D", "452=1", "802=1", "523=14", "803=4",
"448=TFOLIO:6804469", "447=D", "452=12",
"448=TFOLIO", "447=D", "452=11",
"448=THINKFOLIO LTD", "447=D", "452=13",
"448=SXT", "447=D", "452=16",
"448=TFOLIO:6804469", "447=D", "452=36",
"10=152"
};
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.ExecutionReport msg = new QuickFix.FIX44.ExecutionReport();
msg.FromString(msgStr, true, dd, dd, null); // <-- null factory!
Console.WriteLine(msg.ToString());
QuickFix.FIX44.ExecutionReport.NoPartyIDsGroup partyGroup = new QuickFix.FIX44.ExecutionReport.NoPartyIDsGroup();
msg.GetGroup(2, partyGroup);
Assert.False(partyGroup.IsSetNoPartySubIDs());
}
public void calculateProfit(QuickFix.FIX44.ExecutionReport order)
{
try
{
if (order.Side.getValue() == '1')
{
buyingPrices.Add(askPrices.Count, (double)order.Price.getValue());
}
else if (order.Side.getValue() == '2')
{
sellingPrices.Add(askPrices.Count, (double)order.Price.getValue());
}
}
catch (Exception e)
{
logger.Error(e.Message);
logger.Error(e.StackTrace);
}
if (order.Side.getValue() == '1')
{
portfolioValue -= (order.Price.getValue() + brokerage) * order.CumQty.getValue();
totalOrders += (long)order.CumQty.getValue();
}
else if (order.Side.getValue() == '2')
{
portfolioValue += (order.Price.getValue() - brokerage) * order.CumQty.getValue();
totalOrders -= (long)order.CumQty.getValue();
}
if (totalOrders < 0)
{
profit = portfolioValue + (Convert.ToDecimal(askPrices[askPrices.Count - 1]) + brokerage) * totalOrders;
}
else if (totalOrders > 0)
{
profit = portfolioValue + (Convert.ToDecimal(bidPrices[bidPrices.Count - 1]) - brokerage) * totalOrders;
}
}
public void OrderUpdate()
{
UnitTestContext context = new UnitTestContext();
context.Login();
OrderViewModel vm = new OrderViewModel(context.App, new FIXApplication.NullFixStrategy());
// send an order with default arguments
vm.SendBuyCommand.Execute(null);
Assert.AreEqual(1, context.Session.MsgLookup[QuickFix.FIX44.NewOrderSingle.MsgType].Count);
QuickFix.FIX44.NewOrderSingle msg = context.Session.MsgLookup[QuickFix.FIX44.NewOrderSingle.MsgType][0] as QuickFix.FIX44.NewOrderSingle;
// verify grid content (redundant with earlier tests, but whatever)
Assert.AreEqual(1, vm.Orders.Count);
OrderRecord or = vm.Orders.First();
Assert.AreEqual("IBM", or.Symbol);
Assert.AreEqual(-1, or.Price);
Assert.AreEqual("Market", or.OrdType);
Assert.AreEqual("Buy", or.Side);
Assert.AreEqual("New", or.Status);
// send an execution report that will update the grid
QuickFix.FIX44.ExecutionReport r = CreateExReport(
or.ClOrdID, "foo", QuickFix.Fields.ExecTransType.NEW, QuickFix.Fields.ExecType.FILL,
QuickFix.Fields.OrdStatus.FILLED, "IBM", QuickFix.Fields.Side.BUY, 0, 0, 0);
r.LastPx = new QuickFix.Fields.LastPx(999m);
r.ClOrdID = new QuickFix.Fields.ClOrdID(msg.ClOrdID.Obj);
context.App.FromApp(r, context.Session.SessionID);
// check that it got changed
Assert.AreEqual(1, vm.Orders.Count);
Assert.AreEqual(999, or.Price);
Assert.AreEqual("Filled", or.Status);
}
private void SendExecution(SessionID s, char ordStatus, char execType, QuickFix.FIX44.NewOrderSingle n, decimal leavesQty, decimal cumQty, decimal avgPx, decimal lastQty, decimal lastPrice)
{
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(execType),
new OrdStatus(ordStatus),
n.Symbol, //shouldn't be here?
n.Side,
new LeavesQty(leavesQty),
new CumQty(cumQty),
new AvgPx(avgPx));
exReport.ClOrdID = new ClOrdID(n.ClOrdID.getValue());
exReport.Set(new LastQty(lastQty));
exReport.Set(new LastPx(lastPrice));
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 ManyExecutions()
{
UnitTestContext context = new UnitTestContext();
context.Login();
ExecutionViewModel vm = new ExecutionViewModel(context.App);
QuickFix.FIX44.ExecutionReport ex1 = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.NEW,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "IBM", QuickFix.Fields.Side.BUY, 1.23m, 4.56m, 7.89m);
QuickFix.FIX44.ExecutionReport ex2 = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.CORRECT,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "ABC", QuickFix.Fields.Side.SELL, 1.23m, 4.56m, 7.89m);
QuickFix.FIX44.ExecutionReport ex3 = CreateExReport("order1", "exec1", QuickFix.Fields.ExecTransType.CANCEL,
QuickFix.Fields.ExecType.NEW, QuickFix.Fields.OrdStatus.NEW, "XYZ", QuickFix.Fields.Side.BUY, 1.23m, 4.56m, 7.89m);
context.App.FromApp(ex1, context.Session.SessionID);
context.App.FromApp(ex2, context.Session.SessionID);
context.App.FromApp(ex3, context.Session.SessionID);
Assert.AreEqual(3, vm.Executions.Count);
Assert.AreEqual("order1", vm.Executions[0].OrderID);
Assert.AreEqual("New", vm.Executions[0].ExecTransType);
Assert.AreEqual("IBM", vm.Executions[0].Symbol);
Assert.AreEqual("Buy", vm.Executions[0].Side);
Assert.AreEqual("order1", vm.Executions[1].OrderID);
Assert.AreEqual("Correct", vm.Executions[1].ExecTransType);
Assert.AreEqual("ABC", vm.Executions[1].Symbol);
Assert.AreEqual("Sell", vm.Executions[1].Side);
Assert.AreEqual("order1", vm.Executions[2].OrderID);
Assert.AreEqual("Cancel", vm.Executions[2].ExecTransType);
Assert.AreEqual("XYZ", vm.Executions[2].Symbol);
Assert.AreEqual("Buy", vm.Executions[2].Side);
}
public void NestedRepeatingGroupParseGroupTest()
{
String data = "8=FIX.4.4\x01" + "9=309\x01" + "35=8\x01" + "49=ASX\x01" + "56=CL1_FIX44\x01" + "34=4\x01" + "52=20060324-01:05:58\x01" + ""
+ "17=X-B-WOW-1494E9A0:58BD3F9D-1109\x01" + "150=D\x01" + "39=0\x01" + "11=184271\x01" + "38=200\x01" + "198=1494E9A0:58BD3F9D\x01" + ""
+ "526=4324\x01" + "37=B-WOW-1494E9A0:58BD3F9D\x01" + "55=WOW\x01" + "54=1\x01" + "151=200\x01" + "14=0\x01" + "40=2\x01" + "44=15\x01" + "59=1\x01" + "6=0\x01" + ""
+ "453=3\x01"
+ "448=AAA35791\x01" + "447=D\x01" + "452=3\x01" + "802=1\x01" + "523=OHAI123\x01"
+ "448=8\x01" + "447=D\x01" + "452=4\x01"
+ "448=FIX11\x01" + "447=D\x01" + "452=36\x01" + ""
+ "60=20060320-03:34:29\x01" + "10=169\x01" + "";
var msg = new QuickFix.FIX44.ExecutionReport();
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
msg.FromString(data, false, dd, dd, _defaultMsgFactory);
var subGrp = msg.GetGroup(1, Tags.NoPartyIDs).GetGroup(1, Tags.NoPartySubIDs);
Assert.That(subGrp.GetString(Tags.PartySubID), Is.EqualTo("OHAI123"));
}
public void OnMessage(QuickFix.FIX44.ExecutionReport m, SessionID s)
{
Console.WriteLine("Received execution report");
}
public void OnMessage(QuickFix.FIX44.ExecutionReport m, SessionID s)
{
Logger.Instance().Log($"REPLY (ExecutionReport) => {m.ToString()}");
}
public void OnMessage(QuickFix.FIX44.ExecutionReport msg, SessionID sessionID)
{
}
public static QuickFix.FIX44.ExecutionReport Fix44Rejection2ExecutionReport(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX44.ExecutionReport er = new QuickFix.FIX44.ExecutionReport();
if (msgOri.IsSetField(Tags.OrderID))
{
er.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
}
else
{
er.Set(new OrderID("NONE"));
}
if (msgOri.IsSetField(Tags.ClOrdID))
{
er.Set(new ClOrdID(msgOri.GetField(Tags.ClOrdID)));
}
if (msgOri.IsSetField(Tags.OrigClOrdID))
{
er.Set(new OrigClOrdID(msgOri.GetField(Tags.OrigClOrdID)));
}
// Fazer atribuicao dos PartyIDs da mensagem original
int len = msgOri.GetInt(Tags.NoPartyIDs);
for (int i = 0; i < len; i++)
{
Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
er.AddGroup(grp);
}
er.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er.Set(new ExecType(ExecType.REJECTED));
er.Set(new OrdStatus(OrdStatus.REJECTED));
if (msgOri.IsSetField(Tags.Account))
{
er.Set(new Account(msgOri.GetField(Tags.Account)));
}
er.Set(new Symbol(msgOri.GetField(Tags.Symbol)));
if (msgOri.IsSetField(Tags.SecurityID))
{
er.Set(new SecurityID(msgOri.GetField(Tags.SecurityID)));
}
if (msgOri.IsSetField(Tags.SecurityIDSource))
{
er.Set(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
}
er.Set(new Side(msgOri.GetChar(Tags.Side)));
er.Set(new OrderQty(msgOri.GetDecimal(Tags.OrderQty)));
if (msgOri.IsSetField(Tags.OrdType))
{
er.Set(new OrdType(msgOri.GetChar(Tags.OrdType)));
}
if (msgOri.IsSetField(Tags.Price))
{
er.Set(new Price(msgOri.GetDecimal(Tags.Price)));
}
if (msgOri.IsSetField(Tags.StopPx))
{
er.Set(new StopPx(msgOri.GetDecimal(Tags.StopPx)));
}
if (msgOri.IsSetField(Tags.TimeInForce))
{
er.Set(new TimeInForce(msgOri.GetChar(Tags.TimeInForce)));
}
if (msgOri.IsSetField(Tags.ExpireDate))
{
er.Set(new ExpireDate(msgOri.GetField(Tags.ExpireDate)));
}
er.Set(new LeavesQty(0));
er.Set(new CumQty(0));
er.Set(new AvgPx(Decimal.Zero));
DateTime transact = DateTime.UtcNow;
er.Set(new TransactTime(transact));
if (msgOri.IsSetField(Tags.MaxFloor))
{
er.Set(new MaxFloor(msgOri.GetDecimal(Tags.MaxFloor)));
}
if (msgOri.IsSetField(Tags.Memo))
{
er.SetField(new Memo(msgOri.GetString(Tags.Memo)));
}
if (msgReject.IsSetField(Tags.Text))
{
er.Set(new Text(msgReject.GetField(Tags.Text)));
}
if (msgReject.IsSetField(Tags.OrderID))
{
er.Set(new OrderID(msgReject.GetField(Tags.OrderID)));
}
return(er);
}
catch (Exception ex)
{
logger.Error("Fix44Rejection2ExecutionReport(): " + ex.Message, ex);
return(null);
}
}
public void OnMessage(QuickFix.FIX44.ExecutionReport m, SessionID s)
{
var utcNow = DateTime.UtcNow;
var stringBuilder = new StringBuilder("***Execution report***:\r\n");
stringBuilder.Append("================\r\n");
for (int i = 1; i <= m.GetInt(QuickFix.Fields.Tags.NoContraBrokers); i++)
{
var group = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup();
m.GetGroup(i, group);
stringBuilder.Append("LP:").Append(group.ContraBroker.getValue()).Append("\r\n");
}
stringBuilder.Append("Price:").Append(m.AvgPx.getValue()).Append("\r\n");
stringBuilder.Append("Side:").Append(m.Side.getValue() == '1'?"Buy" :"Sell").Append("\r\n");
stringBuilder.Append("Quantity:").Append(m.OrderQty.getValue()).Append("\r\n");
var TimeIn = default(DateTime);
var TimeOut = default(DateTime);
var BrokerReceipt = default(DateTime);
var BrokerExec = default(DateTime);
for (int i = 1; i <= m.GetInt(QuickFix.Fields.Tags.NoTrdRegTimestamps); i++)
{
var group = new QuickFix.FIX44.CollateralReport.NoTrdRegTimestampsGroup();
m.GetGroup(i, group);
switch (i)
{
case 1:
TimeIn = group.TrdRegTimestamp.getValue();
break;
case 2:
TimeOut = group.TrdRegTimestamp.getValue();
break;
case 3:
BrokerReceipt = group.TrdRegTimestamp.getValue();
break;
case 4:
BrokerExec = group.TrdRegTimestamp.getValue();
break;
}
}
var clientSentDate = this._orderClientTimestamp[m.ClOrdID.getValue()];
stringBuilder.Append("TimeStamps:\r\n");
stringBuilder.Append("Customer sent:").Append(clientSentDate.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Time in:").Append(TimeIn.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Broker receipt:").Append(BrokerReceipt.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Broker exec:").Append(BrokerExec.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Time out:").Append(TimeOut.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Customer exec:").Append(utcNow.ToString("h:m:s.fff")).Append("\r\n");
stringBuilder.Append("Customer | IdsRoot | LP\r\n").Append("\r\n");
stringBuilder.Append("Customer sent->| |\r\n").Append("\r\n");
stringBuilder.Append(" |-> Time in |\r\n").Append("\r\n");
stringBuilder.Append(" | |-> Broker Receipt\r\n").Append("\r\n");
stringBuilder.Append(" | |<- Broker exec\r\n").Append("\r\n");
stringBuilder.Append(" |<- Time out |\r\n").Append("\r\n");
stringBuilder.Append("Customer exec<-| |\r\n").Append("\r\n");
Console.WriteLine(stringBuilder.ToString());
}
public void FromString_Groups_NoFactory()
{
// issue 179
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
string[] msgFields = {
// header
"8=FIX.4.4","9=638", "35=8", "34=360", "49=BLPTSOX", "52=20130321-15:21:23", "56=THINKTSOX", "57=6804469", "128=ZERO",
// non-group body fields
"6=122.255", "11=61101189", "14=1990000", "15=GBP", "17=VCON:20130321:50018:5:12", "22=4", "31=122.255", "32=1990000",
"37=116", "38=1990000", "39=2", "48=GB0032452392", "54=1", "55=[N/A]", "60=20130321-15:21:23", "64=20130322", "75=20130321",
"106=UK TSY 4 1/4% 2036", "118=2436321.85", "150=F", "151=0", "157=15", "159=3447.35", "192=0", "198=3739:20130321:50018:5",
"223=0.0425", "228=1", "236=0.0291371041", "238=0", "381=2432874.5", "423=1", "470=GB", "541=20360307",
// NoPartyIDs
"453=6",
"448=VCON", "447=D", "452=1", "802=1", "523=14", "803=4",
"448=TFOLIO:6804469", "447=D", "452=12",
"448=TFOLIO", "447=D", "452=11",
"448=THINKFOLIO LTD", "447=D", "452=13",
"448=SXT", "447=D", "452=16",
"448=TFOLIO:6804469", "447=D", "452=36",
"10=152"
};
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.ExecutionReport msg = new QuickFix.FIX44.ExecutionReport();
msg.FromString(msgStr, true, dd, dd, null); // <-- null factory!
Console.WriteLine(msg.ToString());
QuickFix.FIX44.ExecutionReport.NoPartyIDsGroup partyGroup = new QuickFix.FIX44.ExecutionReport.NoPartyIDsGroup();
msg.GetGroup(2, partyGroup);
Assert.False(partyGroup.IsSetNoPartySubIDs());
}
public static OrdemInfo Fix44ExecutionReport2OrdemInfo(QuickFix.FIX44.ExecutionReport er, FixSessionItem cfg)
{
try
{
OrdemInfo order = new OrdemInfo();
string descricao = string.Empty;
// order = new OrdemInfo();
order.Account = Convert.ToInt32(er.IsSetAccount() ? er.Account.getValue() : "0");
order.Exchange = cfg.Bolsa;
order.ChannelID = cfg.Operador;
order.ClOrdID = er.ClOrdID.ToString();//chaveClOrdId;
order.OrigClOrdID = er.IsSetOrigClOrdID() ? er.OrigClOrdID.getValue() : null;
order.ExecBroker = "227";
if (er.IsSetExpireDate())
{
string expdate = er.ExpireDate.getValue() + "235959";
order.ExpireDate = DateTime.ParseExact(expdate, "yyyyMMddHHmmss", CultureInfo.InvariantCulture);
}
else
{
order.ExpireDate = DateTime.MinValue;
}
order.MaxFloor = er.IsSetMaxFloor() ? Convert.ToDouble(er.MaxFloor.getValue()) : 0;
order.MinQty = er.IsSetMinQty() ? Convert.ToDouble(er.MinQty.getValue()) : 0;
order.OrderQty = Convert.ToInt32(er.IsSetOrderQty() ? er.OrderQty.getValue() : 0);
order.OrdType = FixMessageUtilities.TraduzirOrdemTipo(er.OrdType.getValue());
order.Price = er.IsSetPrice() ? Convert.ToDouble(er.Price.getValue()) : 0;
order.SecurityID = er.IsSetSecurityID() ? er.SecurityID.ToString() : null;
order.Side = er.IsSetSide() ? (OrdemDirecaoEnum)Convert.ToInt32(er.Side.ToString()) : OrdemDirecaoEnum.NaoInformado;
order.Symbol = er.IsSetSymbol() ? er.Symbol.ToString() : null;
order.TimeInForce = er.IsSetTimeInForce() ? FixMessageUtilities.deTimeInForceParaOrdemValidade(er.TimeInForce) : OrdemValidadeEnum.NaoInformado;
//}
order.ExchangeNumberID = er.IsSetOrderID() ? er.OrderID.getValue() : null;
order.OrderQtyRemmaining = Convert.ToInt32(er.IsSetLeavesQty() ? er.LeavesQty.getValue() : 0);
order.CumQty = Convert.ToInt32(er.IsSetCumQty() ? er.CumQty.getValue() : 0);
order.OrdStatus = FixMessageUtilities.TraduzirOrdemStatus(er.OrdStatus.getValue());
order.Memo5149 = er.IsSetField(5149) ? er.GetField(5149) : String.Empty;
order.PossDupFlag = er.Header.IsSetField(Tags.PossDupFlag) ? er.Header.GetBoolean(Tags.PossDupFlag) : false;
order.PossResend = er.Header.IsSetField(Tags.PossResend) ? er.Header.GetBoolean(Tags.PossResend) : false;
order.CompIDBolsa = er.Header.IsSetField(Tags.SenderCompID) ? er.Header.GetString(Tags.SenderCompID) : cfg.SenderCompID;
order.CompIDOMS = er.Header.IsSetField(Tags.TargetCompID) ? er.Header.GetString(Tags.TargetCompID) : cfg.TargetCompID;
switch (order.OrdStatus)
{
case OrdemStatusEnum.NOVA:
descricao = "Ordem aberta";
order.RegisterTime = DateTime.Now;
break;
case OrdemStatusEnum.CANCELADA:
descricao = "Ordem cancelada";
break;
case OrdemStatusEnum.PARCIALMENTEEXECUTADA:
descricao = "Ordem com execucao parcial";
break;
case OrdemStatusEnum.SUSPENSA:
descricao = "Ordem suspensa";
break;
case OrdemStatusEnum.EXECUTADA:
descricao = "Ordem executada";
break;
case OrdemStatusEnum.SUBSTITUIDA:
descricao = "Ordem substituida";
break;
case OrdemStatusEnum.REJEITADA:
if (er.IsSetText())
{
descricao = er.Text.getValue();
}
break;
}
order.TransactTime = DateTime.Now;
// Try get the msg seq number
order.FixMsgSeqNum = er.Header.IsSetField(Tags.MsgSeqNum) ? er.Header.GetInt(Tags.MsgSeqNum) : 0;
order.ProtectionPrice = Convert.ToDecimal(er.IsSetField(35001) ? er.GetString(35001) : "0");
// Setando informações de acompanhamento
AcompanhamentoOrdemInfo acompanhamento = new AcompanhamentoOrdemInfo();
acompanhamento.NumeroControleOrdem = order.ClOrdID;
acompanhamento.CodigoDoCliente = order.Account;
acompanhamento.CodigoResposta = order.ExchangeNumberID;
acompanhamento.CodigoTransacao = er.IsSetExecID() ? er.ExecID.getValue() : null;
acompanhamento.Instrumento = order.Symbol;
acompanhamento.SecurityID = order.SecurityID;
acompanhamento.CanalNegociacao = order.ChannelID;
acompanhamento.Direcao = order.Side;
acompanhamento.QuantidadeSolicitada = order.OrderQty;
acompanhamento.QuantidadeExecutada = (int)er.CumQty.getValue();
acompanhamento.QuantidadeRemanescente = (int)er.LeavesQty.getValue();
acompanhamento.QuantidadeNegociada = er.IsSetLastQty() ? (int)er.LastQty.getValue() : 0;
acompanhamento.Preco = new Decimal(order.Price);
acompanhamento.StatusOrdem = FixMessageUtilities.TraduzirOrdemStatus(er.OrdStatus.getValue());
acompanhamento.DataOrdemEnvio = order.TransactTime;
acompanhamento.DataAtualizacao = DateTime.Now;
acompanhamento.CodigoRejeicao = er.IsSetOrdRejReason() ? er.OrdRejReason.ToString() : "0";
acompanhamento.Descricao = descricao;
// Try get the msg seq number
acompanhamento.FixMsgSeqNum = er.Header.IsSetField(Tags.MsgSeqNum) ? er.Header.GetInt(Tags.MsgSeqNum) : 0;
acompanhamento.LastPx = er.IsSetLastPx() ? (Decimal)er.LastPx.getValue() : new Decimal(order.Price);
acompanhamento.TradeDate = er.IsSetTradeDate() ? er.TradeDate.getValue() : DateTime.Now.ToString("yyyyMMdd");
//BEI Fields
//Added in 2012-Nov-13 by ATP
acompanhamento.ExchangeOrderID = er.IsSetField(35022) ? er.GetString(35022) : String.Empty;
acompanhamento.ExchangeExecID = er.IsSetField(35023) ? er.GetString(35023) : String.Empty;
acompanhamento.LastPxInIssuedCurrency = Convert.ToDecimal(er.IsSetField(35024) ? er.GetString(35024) : "0");
acompanhamento.PriceInIssuedCurrency = Convert.ToDecimal(er.IsSetField(35025) ? er.GetString(35025) : "0");
acompanhamento.ExchangeSecondaryOrderID = er.IsSetField(35026) ? er.GetString(35026) : String.Empty;
acompanhamento.TradeLinkID = er.IsSetField(820) ? er.GetString(820) : String.Empty;
acompanhamento.OrderLinkID = er.IsSetField(5975) ? er.GetString(5975) : String.Empty;
acompanhamento.ExchangeQuoteID = er.IsSetField(5001) ? er.GetString(5001) : String.Empty;
acompanhamento.PossDupFlag = er.Header.IsSetField(Tags.PossDupFlag) ? er.Header.GetBoolean(Tags.PossDupFlag) : false;
acompanhamento.PossResend = er.Header.IsSetField(Tags.PossResend) ? er.Header.GetBoolean(Tags.PossResend) : false;
acompanhamento.CompIDBolsa = er.Header.IsSetField(Tags.SenderCompID) ? er.Header.GetString(Tags.SenderCompID) : cfg.SenderCompID;
acompanhamento.CompIDOMS = er.Header.IsSetField(Tags.TargetCompID) ? er.Header.GetString(Tags.TargetCompID) : cfg.TargetCompID;
if (er.IsSetNoMiscFees())
{
int ocorr = er.GetInt(Tags.NoMiscFees);// noMiscFees.getValue();
for (uint i = 0; i < ocorr; i++)
{
EmolumentoInfo emol = new EmolumentoInfo();
Group feeGroup = er.GetGroup((int)i, Tags.NoMiscFees);
emol.Valor = Convert.ToDecimal(feeGroup.IsSetField(Tags.MiscFeeAmt) ? feeGroup.GetString(Tags.MiscFeeAmt) : "0");
emol.BaseEmolumento = Convert.ToInt32(feeGroup.IsSetField(Tags.MiscFeeBasis) ? feeGroup.GetString(Tags.MiscFeeBasis) : "0");
emol.Currency = feeGroup.GetString(Tags.MiscFeeCurr);
emol.Tipo = (EmolumentoTipoEnum)feeGroup.GetInt(Tags.MiscFeeType);
}
}
// Adicionando informações de acompanhamento ao OrdemInfo
order.Acompanhamentos.Clear();
order.Acompanhamentos.Add(acompanhamento);
return(order);
}
catch (Exception ex)
{
logger.Error("Fix44ExecutionReport2OrdemInfo(): " + ex.Message, ex);
}
return(null);
}
public void ToXMLWithGroupsTest()
{
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
string[] msgFields = {
// header
"8=FIX.4.4","9=638", "35=8", "34=360", "49=BLPTSOX", "52=20130321-15:21:23", "56=THINKTSOX", "57=6804469", "128=ZERO",
// non-group body fields
"6=122.255", "11=61101189", "14=1990000", "15=GBP", "17=VCON:20130321:50018:5:12", "22=4", "31=122.255", "32=1990000",
"37=116", "38=1990000", "39=2", "48=GB0032452392", "54=1", "55=[N/A]", "60=20130321-15:21:23", "64=20130322", "75=20130321",
"106=UK TSY 4 1/4% 2036", "118=2436321.85", "150=F", "151=0", "157=15", "159=3447.35", "192=0", "198=3739:20130321:50018:5",
"223=0.0425", "228=1", "236=0.0291371041", "238=0", "381=2432874.5", "423=1", "470=GB", "541=20360307",
// NoPartyIDs
"453=6",
"448=VCON", "447=D", "452=1", "802=1", "523=14", "803=4",
"448=TFOLIO:6804469", "447=D", "452=12",
"448=TFOLIO", "447=D", "452=11",
"448=THINKFOLIO LTD", "447=D", "452=13",
"448=SXT", "447=D", "452=16",
"448=TFOLIO:6804469", "447=D", "452=36",
"10=152"
};
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.ExecutionReport msg = new QuickFix.FIX44.ExecutionReport();
msg.FromString(msgStr, true, dd, dd, null); // <-- null factory!
string xmlDoc = msg.toXML();
System.Diagnostics.Debug.Print(xmlDoc.ToString());
XDocument doc = null;
try
{
doc = XDocument.Parse(xmlDoc);
}
catch (Exception e)
{
Assert.Fail("Badly formed XML generated: " + e.Message);
}
var groups = doc.Descendants("message").Descendants("body").Elements("group")
.Select(group =>
new
{
numbers = group.Descendants("field").Attributes("number"),
values = group.Descendants("field")
})
.ToList();
int ct = 0;
foreach (var elem in groups)
{
int number = 0;
Group group = msg.GetGroup(++ct, 453);
var valueEnum = elem.values.GetEnumerator();
foreach (var numberEnum in elem.numbers)
{
valueEnum.MoveNext();
string value = valueEnum.Current.Value;
if (int.TryParse(numberEnum.Value.ToString(), out number) == false)
{
Assert.Fail("should be number " + numberEnum.Value.ToString());
}
else
{
if (group.IsSetField(number))
{
string msgValue = group.GetField(number);
Assert.That(value, Is.EqualTo(msgValue));
}
}
}
}
}
/// <summary>
/// Report after a request about orders is made
/// Possible cause:
/// - New order
/// - Cancel order
/// - Rejected order
/// - Requested order info
/// - Order filled or partially filled
/// </summary>
/// <param name="msg"></param>
/// <param name="sessionID"></param>
public void OnMessage(QuickFix.FIX44.ExecutionReport msg, SessionID sessionID)
{
char executionReportType = msg.GetChar(Tags.ExecType);
int clientOrderID = msg.GetInt(Tags.ClOrdID);
switch (executionReportType)
{
case ExecType.NEW:
{
// New order execution report
string avgPrice = msg.GetString(Tags.AvgPx);
char side = msg.GetChar(Tags.Side);
var order = new Order()
{
OrderID = msg.GetString(Tags.ExecID),
ClientOrderID = clientOrderID,
Price = double.Parse(avgPrice),
Side = side
};
CurrentOrders.Add(order);
OrderSubmitCallback?.Invoke(false);
OrderSubmitCallback = null;
Log.Write($"Submission confirmed {order}", 2);
break;
}
case ExecType.PARTIAL_FILL:
{
// Order executed
double executionPrice = (double)msg.GetDecimal(Tags.AvgPx);
int orderStatus = msg.GetInt(Tags.OrdStatus);
char side = msg.GetChar(Tags.Side);
double remainingQty = (double)msg.GetDecimal(Tags.LeavesQty);
var order = CurrentOrders.First(o => o.ClientOrderID == clientOrderID);
order.FilledVolume = order.Volume - remainingQty;
Log.Write($"Partial fill {order}", 2);
break;
}
case ExecType.FILL:
{
// Order executed
double executionPrice = (double)msg.GetDecimal(Tags.AvgPx);
int orderStatus = msg.GetInt(Tags.OrdStatus);
char side = msg.GetChar(Tags.Side);
var order = CurrentOrders.First(o => o.ClientOrderID == clientOrderID);
order.FilledVolume = order.Volume;
//CurrentOrders.Remove(order);
Log.Write($"Fill {order}", 2);
break;
}
case ExecType.CANCELED:
{
// Order cancel report
string orderID = msg.GetString(Tags.ExecID);
CurrentOrders.RemoveAll(o => o.ClientOrderID == clientOrderID);
OrderCancelCallback?.Invoke(false);
OrderCancelCallback = null;
break;
}
case ExecType.REJECTED:
{
// Rejected order execution report
OrderSubmitCallback?.Invoke(true);
OrderSubmitCallback = null;
string orderStatus = msg.GetString(Tags.OrdStatus);
string text = msg.GetString(Tags.Text);
Log.Write($"Order rejected | status: {orderStatus} | reason: {text}", 1);
break;
}
case ExecType.PENDING_NEW:
{
// Requested Order info
int numReports = msg.GetInt(Tags.TotNumReports);
if (!CurrentOrders.Exists(o => o.ClientOrderID.Equals(clientOrderID)))
{
CurrentOrders.Add(new Order()
{
OrderID = msg.GetString(Tags.OrderID),
ClientOrderID = clientOrderID,
Price = (double)msg.GetDecimal(Tags.AvgPx),
Side = msg.GetChar(Tags.Side)
});
}
break;
}
default:
Log.Write($"Unknown execution report type {executionReportType}", 0);
break;
}
}
public static List <QuickFix.FIX44.ExecutionReport> Fix44Rejection2ExecutionReportNOC(QuickFix.Message msgReject, QuickFix.FIX44.NewOrderCross noc)
{
try
{
QuickFix.FIX44.ExecutionReport er1 = new QuickFix.FIX44.ExecutionReport();
QuickFix.FIX44.ExecutionReport er2 = new QuickFix.FIX44.ExecutionReport();
er1.Set(new OrderID("NONE"));
er2.Set(new OrderID("NONE"));
if (noc.IsSetNoSides() && noc.NoSides.getValue() == 2)
{
QuickFix.Group grpNoSides = noc.GetGroup(1, Tags.NoSides);
if (grpNoSides.IsSetField(Tags.ClOrdID))
{
er1.Set(new ClOrdID(grpNoSides.GetField(Tags.ClOrdID)));
}
er1.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er1.Set(new ExecType(ExecType.REJECTED));
er1.Set(new OrdStatus(OrdStatus.REJECTED));
if (grpNoSides.IsSetField(Tags.Account))
{
er1.Set(new Account(grpNoSides.GetField(Tags.Account)));
}
er1.Set(new Symbol(noc.GetField(Tags.Symbol)));
if (noc.IsSetField(Tags.SecurityID))
{
er1.Set(new SecurityID(noc.GetField(Tags.SecurityID)));
}
if (noc.IsSetField(Tags.SecurityIDSource))
{
er1.Set(new SecurityIDSource(noc.GetField(Tags.SecurityIDSource)));
}
er1.Set(new Side(grpNoSides.GetChar(Tags.Side)));
er1.Set(new OrderQty(grpNoSides.GetDecimal(Tags.OrderQty)));
if (noc.IsSetField(Tags.OrdType))
{
er1.Set(new OrdType(noc.GetChar(Tags.OrdType)));
}
if (noc.IsSetField(Tags.Price))
{
er1.Set(new Price(noc.GetDecimal(Tags.Price)));
}
er1.Set(new LeavesQty(0));
er1.Set(new CumQty(0));
er1.Set(new AvgPx(Decimal.Zero));
DateTime transact1 = DateTime.UtcNow;
er1.Set(new TransactTime(transact1));
if (msgReject.IsSetField(Tags.Text))
{
er1.Set(new Text(msgReject.GetField(Tags.Text)));
}
grpNoSides = noc.GetGroup(2, Tags.NoSides);
if (grpNoSides.IsSetField(Tags.ClOrdID))
{
er2.Set(new ClOrdID(grpNoSides.GetField(Tags.ClOrdID)));
}
er2.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er2.Set(new ExecType(ExecType.REJECTED));
er2.Set(new OrdStatus(OrdStatus.REJECTED));
if (grpNoSides.IsSetField(Tags.Account))
{
er2.Set(new Account(grpNoSides.GetField(Tags.Account)));
}
er2.Set(new Symbol(noc.GetField(Tags.Symbol)));
if (noc.IsSetField(Tags.SecurityID))
{
er2.Set(new SecurityID(noc.GetField(Tags.SecurityID)));
}
if (noc.IsSetField(Tags.SecurityIDSource))
{
er2.Set(new SecurityIDSource(noc.GetField(Tags.SecurityIDSource)));
}
er2.Set(new Side(grpNoSides.GetChar(Tags.Side)));
er2.Set(new OrderQty(grpNoSides.GetDecimal(Tags.OrderQty)));
if (noc.IsSetField(Tags.OrdType))
{
er2.Set(new OrdType(noc.GetChar(Tags.OrdType)));
}
if (noc.IsSetField(Tags.Price))
{
er2.Set(new Price(noc.GetDecimal(Tags.Price)));
}
er2.Set(new LeavesQty(0));
er2.Set(new CumQty(0));
er2.Set(new AvgPx(Decimal.Zero));
DateTime transact2 = DateTime.UtcNow;
er2.Set(new TransactTime(transact2));
if (msgReject.IsSetField(Tags.Text))
{
er2.Set(new Text(msgReject.GetField(Tags.Text)));
}
}
List <QuickFix.FIX44.ExecutionReport> ret = new List <QuickFix.FIX44.ExecutionReport>();
ret.Add(er1);
ret.Add(er2);
return(ret);
}
catch (Exception ex)
{
logger.Error("Fix44Rejection2ExecutionReportNOC(): " + ex.Message, ex);
return(null);
}
}
private void OmsFixClient_OnExecutionReport(object sender, QuickFix.FIX44.ExecutionReport e)
{
Console.WriteLine("EXECUTION REPORT " + e);
}
public void OnMessage(QuickFix.FIX44.ExecutionReport n, SessionID s)
{
OnExecutionReport?.Invoke(this, n);
}
public void MessageHasDecimalWithNoLeadingZero()
{
// issue 160
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
string[] msgFields = { "8=FIX.4.4", "9=122", "35=8", "34=2", "49=sender", "52=20121024-12:21:42.170", "56=target",
"37=orderid", "17=execid", "150=0", "39=0",
"55=ibm", "228=.23", // Instrument component; 228 is a float type in the spec
"54=1", "151=1", "14=1", "6=1", "10=45"
};
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.ExecutionReport msg = new QuickFix.FIX44.ExecutionReport();
msg.FromString(msgStr, true, dd, dd, _defaultMsgFactory);
Assert.AreEqual(0.23, msg.Factor.getValue());
}
public void TestQuickFIXCompatibleGroups()
{
// allow QuickFIX compatible group parsing (note test MissingDelimiterField proves the reverse)
var dd = new QuickFix.DataDictionary.DataDictionary();
dd.Load("../../../spec/fix/FIX44.xml");
// group 555 does not begin with 600
string[] msgFields = { "8=FIX.4.4", "9=296", "35=8", "34=2", "49=XXXXX", "52=20150731-12:00:00.000", "56=CLIENT2",
"1=C", "11=T01", "17=123", "37=ST1", "39=0", "44=10000", "54=1", "55=CAD", "60=20150731-12:00:00.000",
"75=20150731", "109=BRK","150=0","167=F", "375=ABC", "423=0","555=1", "687=1","943=R1", "5296=1",
"5322=ABC","5442=MST1", "5444=1", "5474=S", "5475=MAR16", "5476=PRIV1",
"5477=PUB1", "5478=0","5479=0","5681=0","7931=0","10=43"
};
string msgStr = String.Join(Message.SOH, msgFields) + Message.SOH;
QuickFix.FIX44.ExecutionReport msg = new QuickFix.FIX44.ExecutionReport();
msg.QuickFIXCompatibleGroups = true;
Assert.DoesNotThrow(delegate { msg.FromString(msgStr, true, dd, dd, _defaultMsgFactory); });
Group group = msg.GetGroup(1, 555);
Assert.IsNotNull(group, "Group should be created");
}
private void _processMessage(TOMessage to)
{
try
{
if (null != to)
{
QuickFix.Message msgQF = to.MensagemQF;
string msgType = msgQF.Header.GetField(Tags.MsgType);
int account = 0;
string strAcc = string.Empty;
#region Limit Validation
// Atualizacao dos valores de limite, de acordo com o execution report
if (this.CalcularLimite)
{
if (this.Config.Bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
strAcc = msgQF.IsSetField(Tags.Account) ? msgQF.GetField(Tags.Account) : string.Empty;
if (!string.IsNullOrEmpty(strAcc))
{
account = Convert.ToInt32(strAcc.Remove(strAcc.Length - 1));
}
else
{
account = 0;
}
}
else
{
strAcc = msgQF.IsSetField(Tags.Account) ? msgQF.GetField(Tags.Account) : string.Empty;
if (!string.IsNullOrEmpty(strAcc))
{
account = Convert.ToInt32(strAcc);
}
else
{
account = 0;
}
}
bool bProfileInst = false;
LimitResponse retProfile = LimiteManager.LimitControl.GetInstance().VerifyInstitutionalProfile(account);
if (0 != retProfile.ErrorCode)
{
bProfileInst = true;
}
if (msgType == MsgType.EXECUTION_REPORT && !bProfileInst)
{
// Validar o perfil instituicional
QuickFix.FIX44.ExecutionReport er = (QuickFix.FIX44.ExecutionReport)msgQF;
// Bovespa
if (this.Config.Bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
// BOVESPA
decimal ultimoPreco = StreamerManager.GetInstance().GetLastPrice(er.Symbol.ToString());
if (Decimal.Zero != ultimoPreco)
{
LimitResponse ret = new LimitResponse();
decimal valorAlocado = er.OrderQty.getValue() * ultimoPreco;
// Retirar o digito verificador
string chaveAtual = er.ClOrdID.ToString() + "-" + strAcc + "-" + er.Symbol.ToString();
switch (er.OrdStatus.getValue())
{
// Alocar limite da parte e contra parte
case OrdStatus.NEW:
case OrdStatus.REPLACED:
case OrdStatus.CANCELED:
{
// Buscar o "new order" referencial para busca do TipoLimite
// toOrder = this.Initiator.GetTOOrderSession(chaveAtual);
if (null == to.Order)
{
logger.Info("RefOrder não encontrada (New): " + chaveAtual);
}
else
{
ret = LimiteManager.LimitControl.GetInstance().UpdateOperationalLimitBovespa(account, to.TipoLimite, valorAlocado, ultimoPreco, Convert.ToInt32(er.Side.ToString()), er.OrdStatus.getValue());
if (0 != ret.ErrorCode)
{
logger.Info("Erro na atualizacao do limite operacional Bovespa (New): " + ret.ErrorMessage);
}
}
}
break;
// Atualizar a quantidade executada
case OrdStatus.FILLED:
case OrdStatus.PARTIALLY_FILLED:
if (null != to.Order)
{
to.Order.CumQty = Convert.ToInt32(er.CumQty.getValue());
valorAlocado = er.CumQty.getValue() * ultimoPreco;
ret = LimiteManager.LimitControl.GetInstance().UpdateOperationalLimitBovespa(account, to.TipoLimite, valorAlocado, ultimoPreco, Convert.ToInt32(er.Side.ToString()), er.OrdStatus.getValue());
if (0 != ret.ErrorCode)
{
logger.Info("Erro na atualizacao do limite operacional Bovespa (Filled / Partially Filled): " + ret.ErrorMessage);
}
}
else
{
logger.Info("RefOrder não encontrada (New): " + chaveAtual);
}
break;
}
}
else
{
string symbol = er.IsSetSymbol() ? er.Symbol.getValue() : string.Empty;
logger.Info("Preco base (ultimo preco) zerado, ignorando o calculo do limite: " + symbol);
}
}
//bmf
else
{
// BMF
// account = er.IsSetField(Tags.Account)? Convert.ToInt32(er.Account.getValue()): 0;
LimitResponse ret = null;
string side = er.Side.getValue() == '1' ? "C" : "V";
switch (er.OrdStatus.getValue())
{
case OrdStatus.NEW:
ret = LimiteManager.LimitControl.GetInstance()
.UpdateOperationalLimitBMF(Convert.ToInt32(er.Account.getValue()), to.TipoLimite,
er.Symbol.getValue(), Convert.ToInt32(er.OrderQty.getValue()), 0, side);
break;
case OrdStatus.REPLACED:
{
int qtdResult = (-1) * (to.Order.OrderQty - to.Order.CumQty);
ret = LimiteManager.LimitControl.GetInstance()
.UpdateOperationalLimitBMF(Convert.ToInt32(er.Account.getValue()), to.TipoLimite,
er.Symbol.getValue(), qtdResult, Convert.ToInt32(er.OrderQty.getValue()), side);
}
break;
case OrdStatus.CANCELED:
{
int qtdResult = (-1) * (to.Order.OrderQty - to.Order.CumQty);
ret = LimiteManager.LimitControl.GetInstance()
.UpdateOperationalLimitBMF(Convert.ToInt32(er.Account.getValue()), to.TipoLimite,
er.Symbol.getValue(), qtdResult, 0, side);
}
break;
// Atualizando a quantidade de
case OrdStatus.FILLED:
case OrdStatus.PARTIALLY_FILLED:
if (null != to.Order)
{
to.Order.CumQty = Convert.ToInt32(er.CumQty.getValue());
}
break;
}
}
}
}
#endregion
// Efetuar verificacao da integracao utilizada, para efetuar a conversao do
switch (this.Config.IntegrationID)
{
case IntegrationId.BBG:
this._sendMessageBBGIntegration(msgType, msgQF, to, account);
break;
case IntegrationId.GRD:
case IntegrationId.IVF:
default:
this._sendDefaultMessageIntegration(msgQF, to, account);
break;
}
}
}
catch (Exception ex)
{
logger.Error("_processMessage(): " + ex.Message, ex);
}
}
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);
}
}
