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()); } }
/// <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)); }
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()); } }
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()); } }