/// <summary>
/// Markets the data incremental refresh message.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="marketDataRequestID">Unique quote request id. New ID for a new subscription, same one as previously used for subscription removal.</param>
/// <param name="noMarketDataEntries">Number of entries following. This repeating group contains a list of all types of Market Data Entries the requester wants to receive.</param>
/// <param name="marketDataUpdateAction">Type of Market Data update action. Valid values: 0 = NEW, 2 = DELETE.</param>
/// <param name="marketDataEntryType">Valid values are: 0 = BID, 1 = OFFER.</param>
/// <param name="marketDataEntryID">ID of Market Data Entry.</param>
/// <param name="noRelatedSymbol">The no related symbol.</param>
/// <param name="marketDataEntryPrice">Conditionally required when MDUpdateAction <279> = New(0).</param>
/// <param name="marketDataEntrySize">Conditionally required when MDUpdateAction <279> = New(0).</param>
/// <param name="symbol">/Instrument identificators are provided by Spotware.</param>
/// <returns></returns>
public string MarketDataIncrementalRefreshMessage(SessionQualifier qualifier, int messageSequenceNumber, string marketDataRequestID, int noMarketDataEntries, int marketDataUpdateAction, int marketDataEntryType, string marketDataEntryID, int noRelatedSymbol, decimal marketDataEntryPrice = 0, double marketDataEntrySize = 0, long symbol = 0)
{
var body = new StringBuilder();
//Unique quote request id. New ID for a new subscription, same one as previously used for subscription removal.
body.Append("262=" + marketDataRequestID + "|");
//Number of entries following. This repeating group contains a list of all types of Market Data Entries the requester wants to receive
body.Append("268=" + noMarketDataEntries + "|");
//Type of Market Data update action. Valid values: 0 = NEW, 2 = DELETE
body.Append("279=" + marketDataUpdateAction + "|");
//Valid values are: 0 = BID, 1 = OFFER
body.Append("269=" + marketDataEntryType + "|");
//ID of Market Data Entry.
body.Append("278=" + marketDataEntryID + "|");
//Instrument identificators are provided by Spotware
body.Append("55=" + symbol + "|");
if (marketDataEntryPrice > 0)
{
//Conditionally required when MDUpdateAction <279> = New(0)
body.Append("270=" + marketDataEntryPrice + "|");
}
if (marketDataEntrySize > 0)
{
//Conditionally required when MDUpdateAction <279> = New(0)
body.Append("271=" + marketDataEntrySize + "|");
}
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.MarketDataIncrementalRefresh), messageSequenceNumber, string.Empty);
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
return(headerAndMessageAndTrailer);
}
/// <summary>
/// News the order single message.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="stopPx">Stop Price.</param>
/// <param name="minQty">Minimum quantity of an order to be executed.</param>
/// <param name="maxFloor">Maximum quantity within an order to be shown at any given time.</param>
/// <param name="account">Unique identifier for the order, allocated by the client.</param>
/// <param name="clientId">Unique identifier for the order, allocated by the client.</param>
/// <param name="traderId">Unique identifier for the order, allocated by the client.</param>
/// <param name="orderID">Unique identifier for the order, allocated by the client.</param>
/// <param name="symbol">The symbol.</param>
/// <param name="side">1= Buy, 2 = Sell.</param>
/// <param name="orderQuantity">The fixed currency amount.</param>
/// <param name="orderType">1 = Market, the Order will be processed by 'Immediate Or Cancel'scheme(see TimeInForce(59): IOC);
/// 2 = Limit, the Order will be processed by 'Good Till Cancel' scheme(see TimeInForce(59): GTC).</param>
/// <param name="timeInForce">1 = Good Till Cancel (GTC), it will be active only for Limit Orders (see OrdType(40)) ;
/// 3 = Immediate Or Cancel (IOC), it will be active only for Market Orders(see OrdType(40));
/// 6 = Good Till Date(GTD), it will be active only if ExpireTime is defined (see ExpireTime(126)).
/// GTD has a high priority, so if ExpireTime is defined, GTD will be used for the Order processing.</param>
/// <param name="price">The worst client price that the client will accept.
/// Required when OrdType = 2, in which case the order will notfill unless this price can be met.</param>
/// <param name="expireTime"> Expire Time in YYYYMMDDHH:MM:SS format.If is assigned then the Order will be processed by 'Good Till Date' scheme
/// (see TimeInForce: GTD).</param>
/// <returns></returns>
public string OrderCancelRequestMessage(SessionQualifier qualifier, int messageSequenceNumber, string origOrderID, string orderID, string symbol, int side, int orderQuantity)
{
var body = new StringBuilder();
//Unique identifier for the order, allocated by the client.
body.Append("11=" + orderID + "|");
//SecurityIDSource = 4 (ISIN number).
body.Append("22=" + "4" + "|");
//The fixed currency amount.
body.Append("38=" + orderQuantity + "|");
//Instrument identificators are provided by Spotware.
body.Append("55=" + symbol + "|");
//1= Buy, 2 = Sell
body.Append("54=" + side + "|");
// Client generated request time.
body.Append("60=" + DateTime.UtcNow.ToString("yyyyMMdd-HH:mm:ss") + "|");
//OrigOrderID
body.Append("9945=" + origOrderID + "|");
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.OrderCancelRequest), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Constructs a message for requesting market data.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="marketDataRequestID">Unique quote request id. New ID for a new subscription, same one as previously used for subscription removal.</param>
/// <param name="subscriptionRequestType">1 = Snapshot plus updates (subscribe) 2 = Disable previous snapshot plus update request (unsubscribe).</param>
/// <param name="marketDepth">Full book will be provided, 0 = Depth subscription, 1 = Spot subscription.</param>
/// <param name="marketDataEntryType">Always set to 2 (both bid and ask will be sent).</param>
/// <param name="noRelatedSymbol">Number of symbols requested.</param>
/// <param name="symbol">Instrument identificators are provided by Spotware.</param>
/// <returns></returns>
public string MarketDataRequestMessage(SessionQualifier qualifier, int messageSequenceNumber, string marketDataRequestID, int subscriptionRequestType, int marketDepth, int marketDataEntryType, int noRelatedSymbol, long symbol = 0)
{
var body = new StringBuilder();
//Unique quote request id. New ID for a new subscription, same one as previously used for subscription removal.
body.Append("262=" + marketDataRequestID + "|");
//1 = Snapshot plus updates (subscribe) 2 = Disable previous snapshot plus update request (unsubscribe)
body.Append("263=" + subscriptionRequestType + "|");
//Full book will be provided, 0 = Depth subscription, 1 = Spot subscription
body.Append("264=" + marketDepth + "|");
//Only Incremental refresh is supported.
body.Append("265=1|");
//Always set to 2 (both bid and ask will be sent).
body.Append("267=2|");
//Always set to 2 (both bid and ask will be sent).
body.Append("269=0|269=1|");
//Number of symbols requested.
body.Append("146=" + noRelatedSymbol + "|");
//Instrument identificators are provided by Spotware.
body.Append("55=" + symbol + "|");
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.MarketDataRequest), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Constructs the message header.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="type">The message type.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="bodyMessage">The body message.</param>
/// <returns></returns>
private string ConstructHeader(SessionQualifier qualifier, string type,
int messageSequenceNumber, string bodyMessage)
{
var header = new StringBuilder();
// Protocol version. FIX.4.4 (Always unencrypted, must be first field
// in message.
header.Append("8=FIX.4.4|");
var message = new StringBuilder();
// Message type. Always unencrypted, must be third field in message.
message.Append("35=" + type + "|");
// ID of the trading party in following format: <BrokerUID>.<Trader Login>
// where BrokerUID is provided by cTrader and Trader Login is numeric
// identifier of the trader account.
message.Append("49=" + _senderCompID + "|");
// Message target. Valid value is "CSERVER"
message.Append("56=" + _targetCompID + "|");
// Additional session qualifier. Possible values are: "QUOTE", "TRADE".
message.Append("57=" + qualifier.ToString() + "|");
// Assigned value used to identify specific message originator.
message.Append("50=" + _senderSubID + "|");
// Message Sequence Number
message.Append("34=" + messageSequenceNumber + "|");
// Time of message transmission (always expressed in UTC(Universal Time
// Coordinated, also known as 'GMT').
message.Append("52=" + DateTime.UtcNow.ToString("yyyyMMdd-HH:mm:ss") + "|");
var length = message.Length + bodyMessage.Length;
// Message body length. Always unencrypted, must be second field in message.
header.Append("9=" + length + "|");
header.Append(message);
return(header.ToString());
}
/// <summary>
/// Logons the message.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="heartBeatSeconds">The heart beat seconds.</param>
/// <param name="resetSeqNum">All sides of FIX session should have sequence numbers reset. Valid value
///is "Y" = Yes(reset)..</param>
/// <returns></returns>
public string LogonMessage(SessionQualifier qualifier, int messageSequenceNumber,
int heartBeatSeconds, bool resetSeqNum)
{
var body = new StringBuilder();
//Defines a message encryption scheme.Currently, only transportlevel security
//is supported.Valid value is "0"(zero) = NONE_OTHER (encryption is not used).
body.Append("98=0|");
//Heartbeat interval in seconds.
//Value is set in the 'config.properties' file (client side) as 'SERVER.POLLING.INTERVAL'.
//30 seconds is default interval value. If HeartBtInt is set to 0, no heart beat message
//is required.
body.Append("108=" + heartBeatSeconds + "|");
// All sides of FIX session should have
//sequence numbers reset. Valid value
//is "Y" = Yes(reset).
if (resetSeqNum)
{
body.Append("141=Y|");
}
//The numeric User ID. User is linked to SenderCompID (#49) value (the
//user’s organization).
body.Append("553=" + _username + "|");
//USer Password
body.Append("554=" + _password + "|");
var header = ConstructHeader(qualifier, SessionMessageCode(SessionMessageType.Logon),
messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
public string HeartbeatMessage(SessionQualifier qualifier, int messageSequenceNumber)
{
var header = ConstructHeader(qualifier, SessionMessageCode(SessionMessageType.Heartbeat), messageSequenceNumber, string.Empty);
var trailer = ConstructTrailer(header);
var headerAndMessageAndTrailer = header + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
public string SequenceResetMessage(SessionQualifier qualifier, int messageSequenceNumber, int rejectSequenceNumber)
{
var body = new StringBuilder();
//New Sequence Number
body.Append("36=" + rejectSequenceNumber + "|");
var header = ConstructHeader(qualifier, SessionMessageCode(SessionMessageType.SequenceReset), messageSequenceNumber, string.Empty);
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Resends the message.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">Message sequence number of last record in range to be resent.</param>
/// <param name="endSequenceNo">The end sequence no.</param>
/// <returns></returns>
public string ResendMessage(SessionQualifier qualifier, int messageSequenceNumber, int endSequenceNo)
{
var body = new StringBuilder();
//Message sequence number of last record in range to be resent.
body.Append("16=" + endSequenceNo + "|");
var header = ConstructHeader(qualifier, SessionMessageCode(SessionMessageType.Resend), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
public string TestRequestMessage(SessionQualifier qualifier, int messageSequenceNumber, int testRequestID)
{
var body = new StringBuilder();
//Heartbeat message ID. TestReqID should be incremental.
body.Append("112=" + testRequestID + "|");
var header = ConstructHeader(qualifier, SessionMessageCode(SessionMessageType.TestRequest), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// News the order single message.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="orderID">Unique identifier for the order, allocated by the client.</param>
/// <param name="symbol">The symbol.</param>
/// <param name="side">1= Buy, 2 = Sell.</param>
/// <param name="transactTime">Client generated request time.</param>
/// <param name="orderQuantity">The fixed currency amount.</param>
/// <param name="orderType">1 = Market, the Order will be processed by 'Immediate Or Cancel'scheme(see TimeInForce(59): IOC);
/// 2 = Limit, the Order will be processed by 'Good Till Cancel' scheme(see TimeInForce(59): GTC).</param>
/// <param name="timeInForce">1 = Good Till Cancel (GTC), it will be active only for Limit Orders (see OrdType(40)) ;
/// 3 = Immediate Or Cancel (IOC), it will be active only for Market Orders(see OrdType(40));
/// 6 = Good Till Date(GTD), it will be active only if ExpireTime is defined (see ExpireTime(126)).
/// GTD has a high priority, so if ExpireTime is defined, GTD will be used for the Order processing.</param>
/// <param name="price">The worst client price that the client will accept.
/// Required when OrdType = 2, in which case the order will notfill unless this price can be met.</param>
/// /// <param name="stopPrice">Reserved for future use</param>
/// <param name="expireTime"> Expire Time in YYYYMMDDHH:MM:SS format.If is assigned then the Order will be processed by 'Good Till Date' scheme
/// (see TimeInForce: GTD).</param>
/// <param name="positionID">Position ID, where this order should be placed. If not set, new position will be created, it’s id will be returned in ExecutionReport(8) message.</param>
/// <returns></returns>
public string NewOrderSingleMessage(SessionQualifier qualifier, int messageSequenceNumber, string orderID, long symbol, int side, string transactTime, int orderQuantity, int orderType, string timeInForce, decimal price = 0, decimal stopPrice = 0, string expireTime = "", string positionID = "")
{
var body = new StringBuilder();
//Unique identifier for the order, allocated by the client.
body.Append("11=" + orderID + "|");
//Instrument identificators are provided by Spotware.
body.Append("55=" + symbol + "|");
//1= Buy, 2 = Sell
body.Append("54=" + side + "|");
// Client generated request time.
body.Append("60=" + transactTime + "|");
//The fixed currency amount.
body.Append("38=" + orderQuantity + "|");
//1 = Market, the Order will be processed by 'Immediate Or Cancel'scheme(see TimeInForce(59): IOC);
//2 = Limit, the Order will be processed by 'Good Till Cancel' scheme(see TimeInForce(59): GTC).
body.Append("40=" + orderType + "|");
if (price != 0)
{
//Reserved for future use.
body.Append("44=" + price + "|");
}
if (stopPrice != 0)
{
//The worst client price that the client will accept.
//Required when OrdType = 2, in which case the order will notfill unless this price can be met.
body.Append("99=" + stopPrice + "|");
}
// 1 = Good Till Cancel (GTC), it will be active only for Limit Orders (see OrdType(40)) ;
// 3 = Immediate Or Cancel (IOC), it will be active only for Market Orders(see OrdType(40));
// 6 = Good Till Date(GTD), it will be active only if ExpireTime is defined (see ExpireTime(126)).
// GTD has a high priority, so if ExpireTime is defined, GTD will be used for the Order processing.
body.Append("59=" + timeInForce + "|");
if (expireTime != string.Empty)
{
// Expire Time in YYYYMMDDHH:MM:SS format.If is assigned then the Order will be processed by 'Good Till Date' scheme
// (see TimeInForce: GTD).
body.Append("126=" + expireTime + "|");
}
if (positionID != string.Empty)
{
// Position ID, where this order should be placed. If not set, new position will be created, it’s id will be returned in ExecutionReport(8) message.
body.Append("721=" + positionID + "|");
}
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.NewOrderSingle), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Gets the position of reporting.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="requestID">Id of RequestForPositions.</param>
/// <param name="totalNumberOfPositionReports">Total count of PositionReport’s in sequence when PosReqResult(728) is VALID_REQUEST, otherwise = 0.</param>
/// <param name="positionRequestResult">0 = Valid Request; 2 = No open positions found that match criteria.</param>
/// <param name="positionID">Position ID (is not set if PosReqResult(728) is not VALID_REQUEST).</param>
/// <param name="symbol">The symbol for which the current Position Report is prepared. (is not set if PosReqResult(728) is not VALID_REQUEST).</param>
/// <param name="noOfPositions">1 when PosReqResult(728) is VALID_REQUEST, otherwise not set.</param>
/// <param name="longQuantity">Position’s open volume in case of BUY trade side, = 0 in case of SELL trade side, is not set if PosReqResult(728) is not VALID_REQUEST.</param>
/// <param name="shortQuantity">Position’s open volume in case of SELL trade side, = 0 in case of BUY trade side, is not set if PosReqResult(728) is not VALID_REQUEST.</param>
/// <param name="settlementPrice">Average price of the opened volume in the current PositionReport.</param>
/// <returns></returns>
public string PositionReport(SessionQualifier qualifier, int messageSequenceNumber, string requestID, string totalNumberOfPositionReports, string positionRequestResult,
string positionID = "", string symbol = "", string noOfPositions = "", string longQuantity = "", string shortQuantity = "", string settlementPrice = "")
{
var body = new StringBuilder();
// Id of RequestForPositions.
body.Append("710=" + requestID + "|");
if (positionID != string.Empty)
{
// Position ID (is not set if PosReqResult(728) is not VALID_REQUEST).
body.Append("721=" + positionID + "|");
}
// Total count of PositionReport’s in sequence when PosReqResult(728) is VALID_REQUEST, otherwise = 0.
body.Append("727=" + totalNumberOfPositionReports + "|");
// 0 = Valid Request; 2 = No open positions found that match criteria.
body.Append("728=" + positionRequestResult + "|");
if (symbol != string.Empty)
{
// The symbol for which the current Position Report is prepared. (is not set if PosReqResult(728) is not VALID_REQUEST).
body.Append("55=" + symbol + "|");
}
if (noOfPositions != string.Empty)
{
// 1 when PosReqResult(728) is VALID_REQUEST, otherwise not set.
body.Append("702=" + noOfPositions + "|");
}
if (longQuantity != string.Empty)
{
// Position’s open volume in case of BUY trade side, = 0 in case of SELL trade side, is not set if PosReqResult(728) is not VALID_REQUEST.
body.Append("704=" + requestID + "|");
}
if (shortQuantity != string.Empty)
{
//Position’s open volume in case of SELL trade side, = 0 in case of BUY trade side, is not set if PosReqResult(728) is not VALID_REQUEST.
body.Append("705=" + shortQuantity + "|");
}
if (settlementPrice != string.Empty)
{
// Average price of the opened volume in the current PositionReport.
body.Append("730=" + settlementPrice + "|");
}
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.PositionReport), messageSequenceNumber, string.Empty);
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Orders the status request.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="orderID">Unique identifier for the order, allocated by the client.</param>
/// <returns></returns>
public string OrderStatusRequest(SessionQualifier qualifier, int messageSequenceNumber, string orderID)
{
var body = new StringBuilder();
// Unique identifier for the order, allocated by the client.
body.Append("11=" + orderID + "|");
// 1 = Buy; 2 = Sell. There is for the FIX compatibility only, so it will be ignored.
body.Append("54=1|");
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.OrderStatusRequest), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Requests for positions.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="requestID">Unique request ID (set by client).</param>
/// <param name="positionRequestID">Position ID to request. If not set, all open positions will be returned.</param>
/// <returns></returns>
public string RequestForPositions(SessionQualifier qualifier, int messageSequenceNumber, string requestID, string positionRequestID = "")
{
var body = new StringBuilder();
// Unique request ID (set by client).
body.Append("710=" + requestID + "|");
if (positionRequestID != string.Empty)
{
// Position ID to request. If not set, all open positions will be returned.
body.Append("721=" + positionRequestID + "|");
}
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.RequestForPosition), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Constructs a message for requesting market data snapshot.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="symbol">Instrument identificators are provided by Spotware.</param>
/// <param name="noMarketDataEntries">Number of entries following.</param>
/// <param name="entryType">Valid values are: 0 = BID, 1 = OFFER.</param>
/// <param name="entryPrice">Price of Market Data Entry.</param>
/// <param name="marketDataRequestID">Unique quote request id. New ID for a new subscription, same one as previously used for subscription removal.</param>
/// <returns></returns>
public string MarketDataSnapshotMessage(SessionQualifier qualifier, int messageSequenceNumber, long symbol, string noMarketDataEntries, int entryType, decimal entryPrice, string marketDataRequestID = "")
{
var body = new StringBuilder();
//Unique quote request id. New ID for a new subscription, same one as previously used for subscription removal.
body.Append("262=" + marketDataRequestID + "|");
//Instrument identificators are provided by Spotware.
body.Append("55=" + symbol + "|");
//Number of entries following.
body.Append("268=" + noMarketDataEntries + "|");
//Valid values are: 0 = BID, 1 = OFFER.
body.Append("269=" + entryType + "|");
//Price of Market Data Entry.
body.Append("270=" + entryPrice + "|");
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.MarketDataRequest), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Businesses the message reject.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="referenceSequenceNum">MsgSeqNum<34> of rejected message.</param>
/// <param name="referenceMessageType">TThe MsgType<35> of the FIX message being referenced.</param>
/// <param name="businessRejectRefID">The value of the business-level 'ID' field on the message being referenced.Required unless the corresponding ID field was not specified.</param>
/// <param name="businessRejectReason">Where possible, message to explain reason for rejection.</param>
/// <param name="text">Where possible, message to explain reason for rejection.</param>
/// <returns></returns>
public string BusinessMessageReject(SessionQualifier qualifier, int messageSequenceNumber, int referenceSequenceNum = 0, string referenceMessageType = "", string businessRejectRefID = "", int businessRejectReason = -1, string text = "")
{
var body = new StringBuilder();
if (referenceSequenceNum != 0)
{
// MsgSeqNum<34> of rejected message.
body.Append("45=" + referenceSequenceNum + "|");
}
if (referenceMessageType != string.Empty)
{
// The MsgType<35> of the FIX message being referenced.
body.Append("372=" + referenceMessageType + "|");
}
if (businessRejectRefID != string.Empty)
{
// The value of the business-level 'ID' field on the message being referenced.Required unless the corresponding ID field was not specified.
body.Append("379=" + businessRejectRefID + "|");
}
if (businessRejectReason != -1)
{
// Code to identify reason for a Business Message Reject<j> message. 0 = OTHER.
body.Append("380=" + businessRejectReason + "|");
}
if (text != string.Empty)
{
// Where possible, message to explain reason for rejection.
body.Append("58=" + text + "|");
}
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.BusinessMessageReject), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// News the order single message.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="stopPx">Stop Price.</param>
/// <param name="minQty">Minimum quantity of an order to be executed.</param>
/// <param name="maxFloor">Maximum quantity within an order to be shown at any given time.</param>
/// <param name="account">Unique identifier for the order, allocated by the client.</param>
/// <param name="clientId">Unique identifier for the order, allocated by the client.</param>
/// <param name="traderId">Unique identifier for the order, allocated by the client.</param>
/// <param name="orderID">Unique identifier for the order, allocated by the client.</param>
/// <param name="symbol">The symbol.</param>
/// <param name="side">1= Buy, 2 = Sell.</param>
/// <param name="orderQuantity">The fixed currency amount.</param>
/// <param name="orderType">1 = Market, the Order will be processed by 'Immediate Or Cancel'scheme(see TimeInForce(59): IOC);
/// 2 = Limit, the Order will be processed by 'Good Till Cancel' scheme(see TimeInForce(59): GTC).</param>
/// <param name="timeInForce">1 = Good Till Cancel (GTC), it will be active only for Limit Orders (see OrdType(40)) ;
/// 3 = Immediate Or Cancel (IOC), it will be active only for Market Orders(see OrdType(40));
/// 6 = Good Till Date(GTD), it will be active only if ExpireTime is defined (see ExpireTime(126)).
/// GTD has a high priority, so if ExpireTime is defined, GTD will be used for the Order processing.</param>
/// <param name="price">The worst client price that the client will accept.
/// Required when OrdType = 2, in which case the order will notfill unless this price can be met.</param>
/// <param name="expireTime"> Expire Time in YYYYMMDDHH:MM:SS format.If is assigned then the Order will be processed by 'Good Till Date' scheme
/// (see TimeInForce: GTD).</param>
/// <returns></returns>
public string NewOrderSingleMessage(SessionQualifier qualifier, int messageSequenceNumber, string stopPx, string minQty, string maxFloor, string account, string clientId, string traderId, string orderID, string symbol, int side, int orderQuantity, int orderType, string timeInForce, decimal price, string expireTime)
{
var body = new StringBuilder();
// HandlInst.
body.Append("21=" + "1" + "|");
// Client generated request time.
body.Append("60=" + DateTime.UtcNow.ToString("yyyyMMdd-HH:mm:ss") + "|");
//Unique identifier for the order, allocated by the client.
body.Append("11=" + orderID + "|");
//SecurityIDSource = 4 (ISIN number).
body.Append("48=" + symbol + "|");
//SecurityIDSource = 4 (ISIN number).
body.Append("22=" + "4" + "|");
//Instrument identificators are provided by Spotware.
body.Append("55=" + symbol + "|");
//1= Buy, 2 = Sell
body.Append("54=" + side + "|");
//The fixed currency amount.
body.Append("38=" + orderQuantity + "|");
//1 = Market, the Order will be processed by 'Immediate Or Cancel'scheme(see TimeInForce(59): IOC);
//2 = Limit, the Order will be processed by 'Good Till Cancel' scheme(see TimeInForce(59): GTC).
body.Append("40=" + orderType + "|");
if (price != 0)
{
//Reserved for future use.
body.Append("44=" + price + "|");
}
// 1 = Good Till Cancel (GTC), it will be active only for Limit Orders (see OrdType(40)) ;
// 3 = Immediate Or Cancel (IOC), it will be active only for Market Orders(see OrdType(40));
// 6 = Good Till Date(GTD), it will be active only if ExpireTime is defined (see ExpireTime(126)).
// GTD has a high priority, so if ExpireTime is defined, GTD will be used for the Order processing.
body.Append("59=" + timeInForce + "|");
//Rule80A.
//FIX <->NSC
//C <-> 1 = Client
//N <-> 2 = House
//M <-> 6 = Market Maker
body.Append("47=" + "C" + "|");
//Account ==> 012-----2763.
body.Append("1=" + account + "|");
//ClientID.
body.Append("109=" + clientId + "|");
//ID of the Trader issuing the order.
body.Append("9947=" + traderId + "|");
//Text.
body.Append("58=" + "Test buy ASE" + "|");
if (expireTime.Nvl("").Trim() != "")
{
// Expire Time in YYYYMMDDHH:MM:SS format.If is assigned then the Order will be processed by 'Good Till Date' scheme
// (see TimeInForce: GTD).
body.Append("126=" + expireTime + "|");
}
if (stopPx.Nvl("").Trim() != "")
{
// StopPx
body.Append("99=" + stopPx + "|");
}
if (minQty.Nvl("").Trim() != "")
{
// MinQty
body.Append("110=" + minQty + "|");
}
if (maxFloor.Nvl("").Trim() != "")
{
// MaxFloor
body.Append("111=" + maxFloor + "|");
}
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.NewOrderSingle), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
/// <summary>
/// Executions the report.
/// </summary>
/// <param name="qualifier">The session qualifier.</param>
/// <param name="messageSequenceNumber">The message sequence number.</param>
/// <param name="cTraderOrderID">cTrader order id..</param>
/// <param name="orderStatus"> 0 = New; 1 = Partially filled; 2 = Filled; 8 = Rejected; 4 = Cancelled(When an order is partially filled, "Cancelled" is
/// returned signifying Tag 151: LeavesQty is cancelled and will not be subsequently filled); C = Expired.</param>
/// <param name="transactTime">Time the transaction represented by this ExecutionReport occurred message(in UTC).</param>
/// <param name="symbol">Instrument identificators are provided by Spotware..</param>
/// <param name="side">1 = Buy; 2 = Sell.</param>
/// <param name="averagePrice">The price at which the deal was filled.For an IOC or GTD order, this is the VWAP(Volume Weighted Average Price) of the filled order.</param>
/// <param name="orderQuantity"> The fixed currency amount.</param>
/// <param name="leavesQuantity">The amount of the order still to be filled.This is a value between 0 (fully filled) and OrderQty (partially filled).</param>
/// <param name="cumQuantity">The total amount of the order which has been filled.</param>
/// <param name="orderID"> Unique identifier for the order, allocated by the client.</param>
/// <param name="orderType"> 1 = Market; 2 = Limit.</param>
/// <param name="price">If supplied in the NewOrderSingle, it is echoed back in this ExecutionReport.</param>
/// <param name="stopPrice">If supplied in the NewOrderSingle, it is echoed back in this ExecutionReport.</param>
/// <param name="timeInForce">U1 = Good Till Cancel (GTC); 3 = Immediate Or Cancel (IOC); 6 = Good Till Date (GTD).</param>
/// <param name="expireTime"> If supplied in the NewOrderSingle, it is echoed back in this ExecutionReport.</param>
/// <param name="text">Where possible, message to explain execution report.</param>
/// <param name="orderRejectionReason">0 = OrdRejReason.BROKER_EXCHANGE_OPTION</param>
/// <param name="positionID">Position ID.</param>
/// <returns></returns>
public string ExecutionReport(SessionQualifier qualifier, int messageSequenceNumber, string cTraderOrderID, string orderStatus, string transactTime, long symbol = 0, int side = 1,
int averagePrice = 0, int orderQuantity = 0, int leavesQuantity = 0, int cumQuantity = 0, string orderID = "", string orderType = "", int price = 0, int stopPrice = 0,
string timeInForce = "", string expireTime = "", string text = "", int orderRejectionReason = -1, string positionID = "")
{
var body = new StringBuilder();
// cTrader order id.
body.Append("37=" + cTraderOrderID + "|");
// Unique identifier for the order, allocated by the client.
body.Append("11=" + orderID + "|");
// Execution Type.
body.Append("150=F|");
// 0 = New; 1 = Partially filled; 2 = Filled; 8 = Rejected; 4 = Cancelled(When an order is partially filled, "Cancelled" is
// returned signifying Tag 151: LeavesQty is cancelled and will not be subsequently filled); C = Expired.
body.Append("39=" + orderStatus + "|");
// Instrument identificators are provided by Spotware.
body.Append("55=" + symbol + "|");
// 1 = Buy; 2 = Sell.
body.Append("54=" + side + "|");
// Time the transaction represented by this ExecutionReport occurred message(in UTC).
body.Append("60=" + transactTime + "|");
if (averagePrice > 0)
{
// The price at which the deal was filled.For an IOC or GTD order, this is the VWAP(Volume Weighted Average Price) of the filled order.
body.Append("6=" + averagePrice + "|");
}
if (orderQuantity > 0)
{
// The fixed currency amount.
body.Append("38=" + orderQuantity + "|");
}
if (leavesQuantity > 0)
{
// The amount of the order still to be filled.This is a value between 0 (fully filled) and OrderQty (partially filled).
body.Append("151=" + leavesQuantity + "|");
}
if (cumQuantity > 0)
{
// The total amount of the order which has been filled.
body.Append("14=" + cumQuantity + "|");
}
if (orderType != string.Empty)
{
// 1 = Market; 2 = Limit.
body.Append("40=" + orderType + "|");
}
if (price > 0)
{
// If supplied in the NewOrderSingle, it is echoed back in this ExecutionReport.
body.Append("44=" + price + "|");
}
if (stopPrice > 0)
{
// If supplied in the NewOrderSingle, it is echoed back in this ExecutionReport.
body.Append("99=" + stopPrice + "|");
}
if (timeInForce != string.Empty)
{
// U1 = Good Till Cancel (GTC); 3 = Immediate Or Cancel (IOC); 6 = Good Till Date (GTD).
body.Append("59=" + timeInForce + "|");
}
if (expireTime != string.Empty)
{
// If supplied in the NewOrderSingle, it is echoed back in this ExecutionReport.
body.Append("126=" + expireTime + "|");
}
if (text != string.Empty)
{
// Where possible, message to explain execution report.
body.Append("58=" + text + "|");
}
if (orderRejectionReason != -1)
{
// 0 = OrdRejReason.BROKER_EXCHANGE_OPTION
body.Append("103=" + orderRejectionReason + "|");
}
if (positionID != string.Empty)
{
// Position ID.
body.Append("721=" + positionID + "|");
}
var header = ConstructHeader(qualifier, ApplicationMessageCode(ApplicationMessageType.OrderStatusRequest), messageSequenceNumber, body.ToString());
var headerAndBody = header + body;
var trailer = ConstructTrailer(headerAndBody);
var headerAndMessageAndTrailer = header + body + trailer;
return(headerAndMessageAndTrailer.Replace("|", "\u0001"));
}
