/// <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.FIX42.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.FIX42.NewOrderSingle nos = new QuickFix.FIX42.NewOrderSingle(
fClOrdID, fHandlInst, 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 static string Translate(QuickFix.Fields.Side side)
{
switch (side.Obj)
{
case QuickFix.Fields.Side.BUY: return("Buy");
case QuickFix.Fields.Side.SELL: return("Sell");
}
return("unknown");
}
/// <summary>
/// Throws a ArgumentException if field value isn't supported
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
public static Enums.Side ToEnum(QuickFix.Fields.Side field)
{
switch (field.Obj)
{
case QuickFix.Fields.Side.BUY: return(Enums.Side.Buy);
case QuickFix.Fields.Side.SELL: return(Enums.Side.Sell);
}
throw new ArgumentException(String.Format("Field value '{0}' not supported", field.Obj));
}
public static OrderAction c(QuickFix.Fields.Side s)
{
var val = s_sides.Find(v => v.first.getValue() == s.getValue());
if (val == null)
{
throw new Exception("Unmapped QuickFix.Fields.Side value : " + s.ToString());
}
return(val.second);
}
public void Set(QuickFix.Fields.Side val)
{
this.Side = val;
}
/// <summary>
/// Helper Method to process data from message for updating positions
/// </summary>
/// <param name="message"></param>
/// <param name="session"></param>
private void posTableUpdate(QuickFix.FIX42.Message message, SessionID session)
{
string MGT = null;
string acct = null;
string SecEx = null;
string symbol = null;
string secID = null;
string gateway = null;
int tradesize = 0;
char side = char.MinValue;
decimal price = 0.00M;
bool OK2Update = true;
try
{
QuickFix.Fields.SenderSubID subID = new QuickFix.Fields.SenderSubID();
if (message.Header.IsSetField(subID))
{
MGT = message.Header.GetField(subID).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.Account a = new QuickFix.Fields.Account();
if (message.IsSetField(a))
{
acct = message.GetField(a).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.SecurityExchange se = new QuickFix.Fields.SecurityExchange();
if (message.IsSetField(se))
{
SecEx = message.GetField(se).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.Symbol s = new QuickFix.Fields.Symbol();
if (message.IsSetField(s))
{
symbol = message.GetField(s).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.SecurityID sid = new QuickFix.Fields.SecurityID();
if (message.IsSetField(sid))
{
secID = message.GetField(sid).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.ExchangeGateway eg = new Fields.ExchangeGateway();
if (message.IsSetField(eg))
{
gateway = message.GetField(eg).getValue();
}
else
{ OK2Update = false; }
QuickFix.Fields.LastShares q = new QuickFix.Fields.LastShares();
if (message.IsSetField(q))
{
tradesize = (int)message.GetField(q).getValue();
}
QuickFix.Fields.Side bs = new QuickFix.Fields.Side();
if (message.IsSetField(bs))
{
side = message.GetField(bs).getValue();
}
else
{
if (tradesize < 0)
{
tradesize = Math.Abs(tradesize);
side = QuickFix.Fields.Side.SELL;
}
else
{ side = QuickFix.Fields.Side.BUY; }
}
QuickFix.Fields.LastPx fill = new QuickFix.Fields.LastPx();
if (message.IsSetField(fill))
{
price = message.GetField(fill).getValue();
}
if (OK2Update)
{
//MGT, acct, SecEx, symbol, secID, tradesize, side, price, gateway
updatePosition(MGT, acct, SecEx, symbol, secID, tradesize, side, price, gateway);
}
else
{
updateDisplay("Position not updated by following message");
ProcessMessage(message, session);
}
}
catch (Exception ex)
{
updateDisplay("QuickFIX Error");
log.WriteLog("MGT: " + MGT);
log.WriteLog("acct: " + acct);
log.WriteLog("SecEx: " + SecEx);
log.WriteLog("symbol: " + symbol);
log.WriteLog("secID: " + secID);
log.WriteLog("tradesize: " + tradesize.ToString());
log.WriteLog("side: " + side.ToString());
log.WriteLog("price: " + price.ToString());
log.WriteLog("gateway: " + gateway);
log.WriteLog("Start Exception--------------------");
log.WriteLog("Source: " + ex.Source);
log.WriteLog("Message: " + ex.Message);
log.WriteLog("TargetSite: " + ex.TargetSite);
log.WriteLog("InnerException: " + ex.InnerException);
log.WriteLog("HelpLink: " + ex.HelpLink);
log.WriteLog("Data: " + ex.Data);
log.WriteLog("StackTrace: " + ex.StackTrace);
log.WriteLog("Stop Exception details-------------");
}
}
