public void SendPrevQuotedOrder(string strSymbol, double dLots, char chSide, string strQuoteID)
{
try
{
if (m_SessionID == null)
{
return;
}
string strCIOrdID = "KYO" + DateTime.UtcNow.ToString("yyyyMMddHHmmssffff");
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
new ClOrdID(strCIOrdID),
new Symbol(strSymbol),
new Side(chSide),
new TransactTime(DateTime.UtcNow),
new OrdType(OrdType.PREVIOUSLY_QUOTED));
newOrderSingle.Set(new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION));
newOrderSingle.Set(new OrderQty(Convert.ToDecimal(dLots * Math.Pow(10, 5))));
newOrderSingle.Set(new TimeInForce(TimeInForce.IMMEDIATE_OR_CANCEL));
newOrderSingle.Set(new QuoteID(strQuoteID));
Session.SendToTarget(newOrderSingle, m_SessionID);
Logger.Instance().Log($"REQUEST (SendPreviouslyQuotedOrder) => Symbol: {strSymbol}, Lots: {dLots}, Type: {new Side(chSide)}, QuoteID: {strQuoteID}");
}
catch (Exception ex)
{
Logger.Instance().LogToFile(ex.ToString());
}
}
public static QuickFix.FIX44.OrderCancelReplaceRequest OrderCancelReplaceRequest(
Dictionary <int, string> customFields,
QuickFix.FIX44.NewOrderSingle nos, int newQty, decimal newPrice)
{
QuickFix.FIX44.OrderCancelReplaceRequest ocrq = new QuickFix.FIX44.OrderCancelReplaceRequest(
new QuickFix.Fields.OrigClOrdID(nos.ClOrdID.Obj),
GenerateClOrdID(),
nos.Symbol,
nos.Side,
new QuickFix.Fields.TransactTime(DateTime.Now),
nos.OrdType);
ocrq.HandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
ocrq.OrderQty = new QuickFix.Fields.OrderQty(newQty);
if (nos.OrdType.Obj != QuickFix.Fields.OrdType.MARKET)
{
ocrq.Price = new QuickFix.Fields.Price(newPrice);
}
// other fields to relay
ocrq.TimeInForce = nos.TimeInForce;
// add custom fields
foreach (KeyValuePair <int, string> p in customFields)
{
ocrq.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
}
return(ocrq);
}
/// <summary>
/// Create a NewOrderSingle message.
/// </summary>
/// <param name="customFields"></param>
/// <param name="orderType"></param>
/// <param name="side"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="tif"></param>
/// <param name="price">ignored if orderType=Market</param>
/// <returns></returns>
static public QuickFix.FIX44.NewOrderSingle NewOrderSingle(
Dictionary <int, string> customFields,
OrderType orderType, Side side, string symbol,
int orderQty, TimeInForce tif, decimal price)
{
// hard-coded fields
QuickFix.Fields.HandlInst fHandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
// from params
QuickFix.Fields.OrdType fOrdType = FixEnumTranslator.ToField(orderType);
QuickFix.Fields.Side fSide = FixEnumTranslator.ToField(side);
QuickFix.Fields.Symbol fSymbol = new QuickFix.Fields.Symbol(symbol);
QuickFix.Fields.TransactTime fTransactTime = new QuickFix.Fields.TransactTime(DateTime.Now);
QuickFix.Fields.ClOrdID fClOrdID = GenerateClOrdID();
QuickFix.FIX44.NewOrderSingle nos = new QuickFix.FIX44.NewOrderSingle(
fClOrdID, fSymbol, fSide, fTransactTime, fOrdType);
nos.OrderQty = new QuickFix.Fields.OrderQty(orderQty);
nos.TimeInForce = FixEnumTranslator.ToField(tif);
if (orderType == OrderType.Limit)
{
nos.Price = new QuickFix.Fields.Price(price);
}
// add custom fields
foreach (KeyValuePair <int, string> p in customFields)
{
nos.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
}
return(nos);
}
public void LimitBuy()
{
UnitTestContext context = new UnitTestContext();
context.Login();
OrderViewModel vm = new OrderViewModel(context.App, new FIXApplication.NullFixStrategy());
vm.OrderType = FIXApplication.Enums.OrderType.Limit;
vm.Symbol = "LIM";
vm.OrderQtyString = "9";
vm.LimitPriceString = "3.45";
vm.SendBuyCommand.Execute(null);
// messaging of sent order
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;
Assert.AreEqual("LIM", msg.Symbol.Obj);
Assert.AreEqual(9, msg.OrderQty.Obj);
Assert.AreEqual(3.45m, msg.Price.Obj);
Assert.AreEqual(QuickFix.Fields.OrdType.LIMIT, msg.OrdType.Obj);
Assert.AreEqual(QuickFix.Fields.Side.BUY, msg.Side.Obj);
// what's in the grid
Assert.AreEqual(1, vm.Orders.Count);
OrderRecord o = vm.Orders.First();
Assert.AreEqual("LIM", o.Symbol);
Assert.AreEqual(3.45m, o.Price);
Assert.AreEqual("Limit", o.OrdType);
Assert.AreEqual("Buy", o.Side);
}
public void DefaultBuyOrder()
{
UnitTestContext context = new UnitTestContext();
context.Login();
OrderViewModel vm = new OrderViewModel(context.App, new FIXApplication.NullFixStrategy());
vm.SendBuyCommand.Execute(null);
// messaging of sent order
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;
Assert.AreEqual("IBM", msg.Symbol.Obj);
Assert.AreEqual(5, msg.OrderQty.Obj);
Assert.AreEqual(QuickFix.Fields.OrdType.MARKET, msg.OrdType.Obj);
Assert.AreEqual(QuickFix.Fields.Side.BUY, msg.Side.Obj);
// what's in the grid
Assert.AreEqual(1, vm.Orders.Count);
OrderRecord o = vm.Orders.First();
Assert.AreEqual("IBM", o.Symbol);
Assert.AreEqual(-1, o.Price);
Assert.AreEqual("Market", o.OrdType);
Assert.AreEqual("Buy", o.Side);
}
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());
}
}
private void SendOrder(Side side)
{
try
{
Trace.WriteLine(String.Format("Send New Order: Type={0} Side={1} Symbol=[{2}] Qty=[{3}] LimitPrice=[{4}] TIF={5}",
this.OrderType.ToString(), side.ToString(), this.Symbol,
this.OrderQtyString, this.LimitPriceString, this.TimeInForce.ToString()));
Dictionary <int, string> customFieldsDict = new Dictionary <int, string>();
foreach (CustomFieldRecord cfr in this.CustomFields)
{
customFieldsDict[cfr.Tag] = cfr.Value;
}
int orderQty = int.Parse(this.OrderQtyString);
decimal limitPrice = decimal.Parse(this.LimitPriceString);
QuickFix.FIX44.NewOrderSingle nos = MessageCreator44.NewOrderSingle(
customFieldsDict,
this.OrderType, side, this.Symbol, orderQty, this.TimeInForce, limitPrice);
OrderRecord r = new OrderRecord(nos);
lock (_ordersLock)
{
Orders.Add(r);
}
_qfapp.Send(nos);
}
catch (Exception e)
{
Trace.WriteLine("Failed to send order\n" + e.ToString());
}
}
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(new HandlInst('1'));
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryPrice());
}
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryStopPx());
}
return(newOrderSingle);
}
public QuickFix.FIX44.NewOrderSingle createOrder(long orderQty, Side side, string symbol = "MFM")
{
QuickFix.FIX44.NewOrderSingle order = new QuickFix.FIX44.NewOrderSingle();
order.ClOrdID = new ClOrdID(symbol + DateTime.Now.TimeOfDay);
order.TransactTime = new TransactTime(DateTime.Now, true);
order.Symbol = new Symbol(symbol);
order.OrderQty = new OrderQty(orderQty);
order.OrdType = new OrdType(OrdType.MARKET);
order.Side = side;
return(order);
}
/// <summary>
/// Translate FIX44 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.FIX44.NewOrderSingle n)
{
ValidateIsSupportedOrderType(n.OrdType);
return(TranslateOrderImpl(n.Symbol,
n.Side,
n.OrdType,
n.OrderQty,
n.Price,
n.ClOrdID,
n.IsSetAccount() ? n.Account : null));
}
private void QueryEnterOrder()
{
Console.WriteLine("\nNewOrderSingle");
QuickFix.FIX44.NewOrderSingle m = QueryNewOrderSingle44();
if (m != null && QueryConfirm("Send order"))
{
m.Header.GetString(Tags.BeginString);
SendMessage(m);
}
}
/// <summary>
/// Create FIX request for new limit order
/// </summary>
/// <param name="vol"></param>
/// <param name="price"></param>
/// <param name="side"></param>
/// <returns></returns>
public static Message CreateNewOrderRequest(double vol, double price, char side, char type)
{
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
newOrderSingleRequest.Set(new Account(AccountUtil.APIKey + "," + AccountUtil.SecretKey));
newOrderSingleRequest.Set(new ClOrdID(GetFreeID));
newOrderSingleRequest.Set(new OrderQty(new decimal(vol)));
newOrderSingleRequest.Set(new OrdType(type));
newOrderSingleRequest.Set(new Price(new decimal(price)));
newOrderSingleRequest.Set(new Side(side));
newOrderSingleRequest.Set(TradeSymbol);
newOrderSingleRequest.Set(new TransactTime(DateTime.Now));
return(newOrderSingleRequest);
}
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle();
newOrderSingle.ClOrdID = new ClOrdID(DateTime.Now.Millisecond.ToString());
var noContraBrokersGroup = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup();
noContraBrokersGroup.Set(QueryPool());
newOrderSingle.AddGroup(noContraBrokersGroup);
newOrderSingle.Symbol = QuerySymbol();
newOrderSingle.Side = QuerySide();
newOrderSingle.OrdType = new OrdType(OrdType.MARKET);
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(new TimeInForce(TimeInForce.FILL_OR_KILL));
return(newOrderSingle);
}
private void QueryEnterOrder()
{
Console.WriteLine("\nNewOrderSingle");
QuickFix.FIX44.NewOrderSingle m = QueryNewOrderSingle44();
if (m != null && QueryConfirm("Send order"))
{
m.Header.GetField(Tags.BeginString);
var transactTime = DateTime.UtcNow;
this._orderClientTimestamp.Add(m.ClOrdID.getValue(), transactTime);
m.TransactTime = new TransactTime(transactTime);
SendMessage(m, ".OD");
}
}
public static Message CreateOrderBookRequest(decimal price, char side, bool open)
{
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
newOrderSingleRequest.Set(AccountUtil.Account);
newOrderSingleRequest.Set(new ClOrdID("111"));
newOrderSingleRequest.Set(new OrderQty(1));
newOrderSingleRequest.Set(new OrdType('2'));
newOrderSingleRequest.Set(new Price(price));
newOrderSingleRequest.Set(new Side(side));
newOrderSingleRequest.Set(new PositionEffect(open ? 'O' : 'C'));
newOrderSingleRequest.Set(new Symbol("quarter"));
newOrderSingleRequest.Set(new Currency("btc_usd"));
newOrderSingleRequest.Set(new SecurityType(SecurityType.FUTURE));
newOrderSingleRequest.Set(new MarginRatio(20));
newOrderSingleRequest.Set(new TransactTime());
return(newOrderSingleRequest);
}
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 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 OrderRecord(QuickFix.FIX44.NewOrderSingle nos)
{
OriginalNOS = nos;
decimal price = -1;
if (nos.OrdType.Obj == QuickFix.Fields.OrdType.LIMIT && nos.IsSetPrice())
{
price = nos.Price.Obj;
}
ClOrdID = nos.ClOrdID.Obj;
Symbol = nos.Symbol.Obj;
Side = FIXApplication.FixEnumTranslator.Translate(nos.Side);
OrdType = FIXApplication.FixEnumTranslator.Translate(nos.OrdType);
Price = price;
Status = "New";
}
public OrderRecord(QuickFix.FIX44.NewOrderSingle nos)
{
OriginalNos = nos;
decimal price = -1;
if (nos.OrdType.Obj == QuickFix.Fields.OrdType.LIMIT && nos.IsSetPrice())
{
price = nos.Price.Obj;
}
ClOrdID = nos.ClOrdID.Obj;
Symbol = nos.Symbol.Obj;
Side = Services.TranslateFixFields.Translate(nos.Side);
OrdType = Services.TranslateFixFields.Translate(nos.OrdType);
Price = price;
Quantity = nos.OrderQty.Obj;
Status = OrderStatus.New;
}
private void AddOrder(string exchange, string orderId, string symbol, bool isBuy, decimal amount, decimal price, ESymbolSource symbolSource)
{
var newOrder = new QuickFix.FIX44.NewOrderSingle();
newOrder.ClOrdID = new QuickFix.Fields.ClOrdID(orderId);
//newOrder.ExecInst
newOrder.ExDestination = new QuickFix.Fields.ExDestination(exchange);
newOrder.Symbol = new QuickFix.Fields.Symbol(symbol);
newOrder.SecurityID = new QuickFix.Fields.SecurityID(symbol);
newOrder.SecurityIDSource = new QuickFix.Fields.SecurityIDSource(symbolSource.ToString("D"));
newOrder.SecurityExchange = new QuickFix.Fields.SecurityExchange(exchange);
newOrder.Side = new QuickFix.Fields.Side(isBuy ? '1' : '2'); //BUY : SELL
newOrder.TransactTime = new QuickFix.Fields.TransactTime(DateTime.Now.ToUniversalTime());
newOrder.OrderQty = new QuickFix.Fields.OrderQty(amount);
newOrder.OrdType = new QuickFix.Fields.OrdType('2'); //LIMIT
newOrder.Price = new QuickFix.Fields.Price(price);
newOrder.TimeInForce = new QuickFix.Fields.TimeInForce('1'); //GTC
newOrder.ClOrdLinkID = new QuickFix.Fields.ClOrdLinkID(orderId);
//newOrder.ExpireTime //GTD
SendMessage(newOrder);
}
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();
}
}
/**
* new Order request
* @throws IOException
*/
public static Message createOrderBookRequest()
{
//this new Order request type (D)
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
//In there you should Set your partner and securitykey must contain a comma
newOrderSingleRequest.Set(new Account(AccountUtil.apiKey+","+AccountUtil.sercretKey));
//this is your unique id you can fill any string
newOrderSingleRequest.Set(new ClOrdID("123"));
//the amount you want to operate (buy or sell)
newOrderSingleRequest.Set(new OrderQty(1));
//There is operate type. "1" means marker price order,"2" means limit price order
newOrderSingleRequest.Set(new OrdType('1'));
newOrderSingleRequest.Set(new Price(10));
//1 means buy;2 means sell
newOrderSingleRequest.Set(new Side('1'));
//type BTC/CNY or LTC/CNY other formart not supported
newOrderSingleRequest.Set(new Symbol("LTC/CNY"));
//time
newOrderSingleRequest.Set(new TransactTime());
return newOrderSingleRequest;
}
/**
* new Order request
* @throws IOException
*/
public static Message createOrderBookRequest()
{
//this new Order request type (D)
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
//In there you should Set your partner and securitykey must contain a comma
newOrderSingleRequest.Set(new Account(AccountUtil.apiKey + "," + AccountUtil.sercretKey));
//this is your unique id you can fill any string
newOrderSingleRequest.Set(new ClOrdID("123"));
//the amount you want to operate (buy or sell)
newOrderSingleRequest.Set(new OrderQty(1));
//There is operate type. "1" means marker price order,"2" means limit price order
newOrderSingleRequest.Set(new OrdType('1'));
newOrderSingleRequest.Set(new Price(10));
//1 means buy;2 means sell
newOrderSingleRequest.Set(new Side('1'));
//type BTC/CNY or LTC/CNY other formart not supported
newOrderSingleRequest.Set(new Symbol("LTC/CNY"));
//time
newOrderSingleRequest.Set(new TransactTime());
return(newOrderSingleRequest);
}
public void SendLimitOrder(string strSymbol, double dLots, double dPrice, char chSide)
{
if (m_SessionID == null)
{
return;
}
string strCIOrdID = "KYO" + DateTime.UtcNow.ToString("yyyyMMddHHmmssffff");
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
new ClOrdID(strCIOrdID),
new Symbol(strSymbol),
new Side(chSide),
new TransactTime(DateTime.UtcNow),
new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION));
newOrderSingle.Set(new Price(Convert.ToDecimal(dPrice)));
newOrderSingle.Set(new OrderQty(Convert.ToDecimal(dLots * Math.Pow(10, 5))));
newOrderSingle.Set(new TimeInForce(TimeInForce.GOOD_TILL_CANCEL));
Session.SendToTarget(newOrderSingle, m_SessionID);
Logger.Instance().Log($"REQUEST (SendLimitOrder) => Symbol: {strSymbol}, Lots: {dLots}, Price: {dPrice}, Type: {new Side(chSide)}");
}
public void SendOrder(OrderModel order)
{
var orderSingle = new QuickFix.FIX44.NewOrderSingle
{
Symbol = new Symbol(order.TickerSymbol),
ClOrdID = new ClOrdID(order.ClOrderId),
Side = new Side(order.Side),
OrderQty = new OrderQty(order.Quantity),
OrdType = new OrdType(order.Type),
TimeInForce = new TimeInForce(order.TIF),
Account = new Account(order.Allocation.ToString()),
StopPx = new StopPx(order.StopPrice),
Price = new Price(order.LimitPrice),
Commission = new Commission(order.CommissionAndFees),
TransactTime = new TransactTime(order.OrderDate)
};
if (_session != null)
{
_ = _session.Send(orderSingle);
}
}
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 QuickFix.Message CreateNewOrderSingle(string clOrderId, string symbol, Fwk.Main.Common.Enums.Side?side, Fwk.Main.Common.Enums.OrdType?ordType,
Fwk.Main.Common.Enums.SettlType?settlType, Fwk.Main.Common.Enums.TimeInForce?timeInForce, DateTime?effectiveTime,
double?ordQty, double?price, double?stopPx, string account, string exchange)
{
QuickFix.FIX44.NewOrderSingle nos = new QuickFix.FIX44.NewOrderSingle();
if (!string.IsNullOrEmpty(account))
{
nos.SetField(new Account(account));
}
if (!string.IsNullOrEmpty(clOrderId))
{
nos.SetField(new ClOrdID(clOrderId));
}
if (!string.IsNullOrEmpty(exchange))
{
nos.SetField(new SecurityExchange(exchange));
}
if (effectiveTime != null)
{
nos.SetField(new TransactTime(effectiveTime.Value));
}
if (!string.IsNullOrEmpty(symbol))
{
nos.SetField(new Symbol(symbol));
}
if (ordQty != null)
{
nos.SetField(new OrderQty(Convert.ToDecimal(ordQty.Value)));
}
if (ordType != null)
{
nos.SetField(new QuickFix.Fields.OrdType(Convert.ToChar(ordType.Value)));
}
if (price != null)
{
nos.SetField(new Price(Convert.ToDecimal(price.Value)));
}
if (stopPx != null)
{
nos.SetField(new StopPx(Convert.ToDecimal(stopPx.Value)));
}
if (side != null)
{
nos.SetField(new QuickFix.Fields.Side(Convert.ToChar(side.Value)));
}
if (timeInForce.HasValue)
{
nos.SetField(new QuickFix.Fields.TimeInForce(Convert.ToChar(timeInForce.Value)));
}
return(nos);
}
public void sendOrderRequest(QuickFix.FIX44.NewOrderSingle order)
{
logger.Info("Order Details: " + order.ToString());
Session.SendToTarget(order, session.SessionID);
}
private void TransmitNewOrderSingle()
{
QuickFix.FIX44.NewOrderSingle msg = new QuickFix.FIX44.NewOrderSingle(
new ClOrdID("woooot"),
new Symbol("IBM"),
new Side(Side.BUY),
new TransactTime(DateTime.Now),
new OrdType(OrdType.MARKET));
msg.Set(new OrderQty(99));
SendMessage(msg);
}
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(new HandlInst('1'));
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryPrice());
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryStopPx());
return newOrderSingle;
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle nos, SessionID sessionID)
{
ProcessNOS(nos, sessionID);
}
public void ProcessOrderCancelReplaceRequest(QuickFix.FIX44.NewOrderSingle nos, QuickFix.FIX44.OrderCancelReplaceRequest msg)
{
}
