public double GetExecutionPrice(ExecutionReport report)
{
double avgPx = report.AvgPx;
if (report.OrdStatus == OrdStatus.Filled)
{
switch (report.Side)
{
case Side.Buy:
avgPx += avgPx * this.Slippage;
break;
case Side.Sell:
case Side.SellShort:
avgPx -= avgPx * this.Slippage;
break;
}
}
return report.AvgPx = avgPx;
}
public OrderList Load()
{
lock (this)
{
OrderList orders = new OrderList();
IDbCommand command = this.connection.CreateCommand();
// TODO:
command.CommandText = "select order from";
IDataReader reader = command.ExecuteReader();
while (reader.Read())
{
int orderId = reader.GetInt32(0);
Type orderType = this.jW5iqEmeD[reader.GetInt32(1)];
int instrumentId = reader.IsDBNull(2) ? -1 : reader.GetInt32(2);
int providerId = reader.IsDBNull(3) ? -1 : reader.GetInt32(3);
int portfolioId = reader.IsDBNull(4) ? -1 : reader.GetInt32(4);
IOrder order = (IOrder)Activator.CreateInstance(orderType, true);
order.Id = orderId;
order.Instrument = InstrumentManager.Instruments.GetById(instrumentId);
order.Provider = ProviderManager.ExecutionProviders[(byte)providerId];
order.Portfolio = PortfolioManager.Portfolios.GetById(portfolioId);
order.Persistent = true;
orders.Add(order);
}
reader.Close();
command.Dispose();
FIXDbServer.LoadFIXGroups(this.connection, orders, "order.table");
ExecutionReportList reports = new ExecutionReportList();
IDbCommand cmd = this.connection.CreateCommand();
cmd.CommandText = "commadn";
IDataReader reader2 = cmd.ExecuteReader();
while (reader2.Read())
{
int reportId = reader2.GetInt32(0);
int orderId = reader2.GetInt32(1);
ExecutionReport report = new ExecutionReport();
report.Id = reportId;
orders.GetById(orderId).Reports.Add(report);
reports.Add(report);
}
reader2.Close();
cmd.Dispose();
FIXDbServer.LoadFIXGroups(this.connection, reports, "report.table");
return orders;
}
}
internal void EmitExecutionReport(ExecutionReport report)
{
if ((report.OrdStatus == OrdStatus.New || report.OrdStatus == OrdStatus.PendingNew) && report.ContainsField(37))
this.OrderID = report.OrderID;
if (report.Text == "")
report.Text = this.Text;
this.CumQty = report.CumQty;
this.LeavesQty = report.LeavesQty;
this.AvgPx = report.AvgPx;
this.OrdStatus = report.OrdStatus;
if (report.ExecType == ExecType.PartialFill || report.ExecType == ExecType.Fill || report.ExecType == ExecType.Trade)
{
this.LastPx = report.LastPx;
this.LastQty = report.LastQty;
if (report.ContainsField(13))
{
double num1 = 0.0;
// switch (report.CommType)
// {
// case CommType.PerShare:
// num1 = report.Commission * report.LastQty;
// break;
// case CommType.Percent:
// num1 = report.Commission * (report.LastPx * report.LastQty);
// break;
// case CommType.Absolute:
// num1 = report.Commission;
// break;
// }
SingleOrder singleOrder = this;
double num2 = singleOrder.Commission + num1;
singleOrder.Commission = num2;
}
}
this.reports.Add(report);
if (this.ExecutionReport != null)
{
this.ExecutionReport((object)this, new ExecutionReportEventArgs(report));
}
}
private void lCXP6mCfhb(NewOrderSingle e)
{
SingleOrder singleOrder = e as SingleOrder;
if (singleOrder.IsFilled || singleOrder.IsCancelled)
return;
if (e.OrderQty > 0.0)
{
ExecutionReport report = new ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = e.ClOrdID;
report.ExecType = ExecType.New;
report.OrdStatus = OrdStatus.New;
report.Symbol = e.Symbol;
report.OrdType = e.OrdType;
report.Side = e.Side;
report.Price = e.Price;
report.StopPx = e.StopPx;
report.TrailingAmt = e.TrailingAmt;
report.OrderQty = e.OrderQty;
report.CumQty = 0.0;
report.LeavesQty = e.OrderQty;
report.Currency = e.Currency;
report.Text = e.Text;
this.JPVPJSWclF(report);
zo21q6cy3fImtUHATQ zo21q6cy3fImtUhatq = new zo21q6cy3fImtUHATQ(this, e);
}
else
{
ExecutionReport report = new ExecutionReport();
report.TransactTime = DateTime.Now;
report.ClOrdID = e.ClOrdID;
report.ExecType = ExecType.Rejected;
report.OrdStatus = OrdStatus.Rejected;
report.Symbol = e.Symbol;
report.OrdType = e.OrdType;
report.Side = e.Side;
report.Price = e.Price;
report.StopPx = e.StopPx;
report.TrailingAmt = e.TrailingAmt;
report.OrderQty = e.OrderQty;
report.CumQty = 0.0;
report.LeavesQty = e.OrderQty;
report.Currency = e.Currency;
report.Text = e.Text;
this.JPVPJSWclF(report);
}
}
protected virtual void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
}
protected override void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
this.klBiFcxZsD.OnExecutionReport(order, report);
this.csNiLdTRqH[order.Instrument].OnExecutionReport(order, report);
}
internal void CfcFBQBLXe(FIXOrderCancelReplaceRequest obj0)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
this.D7GFelmgQp();
this.A8bFJItyyx.MyIPdEI7fi.Remove((object) obj0.OrigClOrdID);
ExecutionReport executionReport = new ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ClOrdID = obj0.ClOrdID;
executionReport.OrigClOrdID = obj0.OrigClOrdID;
executionReport.ExecType = ExecType.Replace;
executionReport.OrdStatus = OrdStatus.Replaced;
executionReport.Symbol = singleOrder.Symbol;
executionReport.Side = singleOrder.Side;
executionReport.OrdType = FIXOrdType.FromFIX(obj0.OrdType);
executionReport.CumQty = singleOrder.CumQty;
executionReport.OrderQty = obj0.OrderQty;
executionReport.LeavesQty = obj0.OrderQty - singleOrder.CumQty;
executionReport.AvgPx = singleOrder.AvgPx;
executionReport.Price = obj0.Price;
executionReport.StopPx = obj0.StopPx;
executionReport.TrailingAmt = obj0.TrailingAmt;
executionReport.Currency = singleOrder.Currency;
executionReport.TimeInForce = FIXTimeInForce.FromFIX(obj0.TimeInForce);
executionReport.Text = singleOrder.Text;
this.A8bFJItyyx.JPVPJSWclF(executionReport);
zo21q6cy3fImtUHATQ zo21q6cy3fImtUhatq = new zo21q6cy3fImtUHATQ(this.A8bFJItyyx, (FIXNewOrderSingle) singleOrder);
}
private void D35FmNWSPm(double obj0, double obj1)
{
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.IsDone)
return;
if (obj1 < singleOrder.LeavesQty)
{
this.aXtFGP76FH = false;
ExecutionReport report = new ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = singleOrder.ClOrdID;
report.ExecType = ExecType.PartialFill;
report.OrdStatus = OrdStatus.PartiallyFilled;
report.Symbol = singleOrder.Symbol;
report.Side = singleOrder.Side;
report.OrdType = singleOrder.OrdType;
report.AvgPx = (singleOrder.AvgPx * singleOrder.CumQty + obj0 * obj1) / (singleOrder.CumQty + obj1);
report.OrderQty = singleOrder.OrderQty;
report.LastQty = obj1;
report.CumQty = singleOrder.CumQty + obj1;
report.LeavesQty = singleOrder.LeavesQty - obj1;
report.LastPx = obj0;
report.Price = singleOrder.Price;
report.StopPx = singleOrder.StopPx;
report.SecurityType = singleOrder.SecurityType;
report.SecurityExchange = singleOrder.SecurityExchange;
report.Currency = singleOrder.Currency;
report.Text = singleOrder.Text;
FIXCommissionData commissionData = this.A8bFJItyyx.CommissionProvider.GetCommissionData((FIXExecutionReport) report);
report.CommType = FIXCommType.FromFIX(commissionData.CommType);
report.Commission = commissionData.Commission;
report.AvgPx = this.A8bFJItyyx.SlippageProvider.GetExecutionPrice(report);
this.A8bFJItyyx.JPVPJSWclF(report);
}
else
{
this.D7GFelmgQp();
this.A8bFJItyyx.MyIPdEI7fi.Remove((object) this.PYBF7sahqY.ClOrdID);
this.aXtFGP76FH = true;
obj1 = singleOrder.LeavesQty;
ExecutionReport report = new ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = singleOrder.ClOrdID;
report.ExecType = ExecType.Fill;
report.OrdStatus = OrdStatus.Filled;
report.Symbol = singleOrder.Symbol;
report.Side = singleOrder.Side;
report.OrdType = singleOrder.OrdType;
report.AvgPx = (singleOrder.AvgPx * singleOrder.CumQty + obj0 * obj1) / (singleOrder.CumQty + obj1);
report.OrderQty = singleOrder.OrderQty;
report.LastQty = singleOrder.LeavesQty;
report.CumQty = singleOrder.OrderQty;
report.LeavesQty = 0.0;
report.LastPx = obj0;
report.Price = singleOrder.Price;
report.StopPx = singleOrder.StopPx;
report.SecurityType = singleOrder.SecurityType;
report.SecurityExchange = singleOrder.SecurityExchange;
report.Currency = singleOrder.Currency;
report.Text = singleOrder.Text;
FIXCommissionData commissionData = this.A8bFJItyyx.CommissionProvider.GetCommissionData((FIXExecutionReport) report);
report.CommType = FIXCommType.FromFIX(commissionData.CommType);
report.Commission = commissionData.Commission;
report.AvgPx = this.A8bFJItyyx.SlippageProvider.GetExecutionPrice(report);
this.A8bFJItyyx.JPVPJSWclF(report);
}
}
internal static void SendOrder(SingleOrder order)
{
if (order.Provider == null)
throw new ApplicationException("order.Provider == null");
if (order.Persistent)
OrderManager.server.AddOrder(order);
OrderManager.orders.Add(order);
OrderManager.EmitNewOrder(order);
if (order.OCAGroup != "" && (int)order.Provider.Id != 4 && OrderManager.oca.Contains((object)order.OCAGroup))
{
ExecutionReport report = new ExecutionReport();
report.TransactTime = DateTime.Now;
report.ClOrdID = order.ClOrdID;
report.OrigClOrdID = order.ClOrdID;
report.ExecType = ExecType.Rejected;
report.OrdStatus = OrdStatus.Rejected;
report.Symbol = order.Symbol;
report.Side = order.Side;
report.OrdType = order.OrdType;
report.Currency = order.Currency;
report.Text = "" + order.OCAGroup;
OrderManager.ExecutionReport(null, new ExecutionReportEventArgs(report));
}
else
order.Provider.SendNewOrderSingle((NewOrderSingle)order);
}
protected override void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
this.XSvR57mV5s.OnExecutionReport(order, report);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
FreeQuant.FIX.ExecutionReport report = new FreeQuant.FIX.ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
report.OrigClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
report.OrderID = record.Order.OrderID;
report.Symbol = ((FIXNewOrderSingle) record.Order).Symbol;
report.SecurityType = ((FIXNewOrderSingle) record.Order).SecurityType;
report.SecurityExchange = ((FIXNewOrderSingle) record.Order).SecurityExchange;
report.Currency = ((FIXNewOrderSingle) record.Order).Currency;
report.CommType = commType;
report.Commission = commission;
report.Side = ((NewOrderSingle) record.Order).Side;
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : ((NewOrderSingle) record.Order).OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : ((NewOrderSingle) record.Order).TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : ((FIXNewOrderSingle) record.Order).OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : ((FIXNewOrderSingle) record.Order).Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : ((FIXNewOrderSingle) record.Order).StopPx;
record.LeavesQty = (int) report.OrderQty - record.CumQty;
}
else
{
report.OrdType = ((NewOrderSingle) record.Order).OrdType;
report.TimeInForce = ((NewOrderSingle) record.Order).TimeInForce;
report.OrderQty = ((FIXNewOrderSingle) record.Order).OrderQty;
report.Price = ((FIXNewOrderSingle) record.Order).Price;
report.StopPx = ((FIXNewOrderSingle) record.Order).StopPx;
}
report.LastPx = lastPx;
report.LastQty = (double) lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
ordStatus = record.LeavesQty <= 0 ? OrdStatus.Filled : OrdStatus.PartiallyFilled;
}
report.AvgPx = record.AvgPx;
report.CumQty = (double) record.CumQty;
report.LeavesQty = (double) record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
this.EmitExecutionReport(report);
}
private ExecutionReport feHpgokAEH([In] SingleOrder obj0)
{
ExecutionReport executionReport = new ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ExecID = DateTime.Now.ToString();
executionReport.ClOrdID = obj0.ClOrdID;
executionReport.OrderID = obj0.OrderID;
executionReport.ExecTransType = ExecTransType.New;
executionReport.Symbol = obj0.Symbol;
executionReport.SecurityType = obj0.SecurityType;
executionReport.SecurityExchange = obj0.SecurityExchange;
executionReport.Currency = obj0.Currency;
executionReport.TimeInForce = obj0.TimeInForce;
executionReport.Side = obj0.Side;
executionReport.OrdType = obj0.OrdType;
executionReport.Price = obj0.Price;
executionReport.StopPx = obj0.StopPx;
executionReport.OrderQty = obj0.OrderQty;
this.fU8pNJpaT5[obj0].Add(executionReport);
return executionReport;
}
public void onMessage(QuickFix.FIX43.ExecutionReport report, SessionID sessionID)
{
FreeQuant.FIX.ExecutionReport report1 = new FreeQuant.FIX.ExecutionReport();
if (report.isSetOrderID())
report1.OrderID = report.getOrderID().getValue();
if (report.isSetSecondaryOrderID())
report1.SecondaryOrderID = report.getSecondaryOrderID().getValue();
if (report.isSetClOrdID())
report1.ClOrdID = report.getClOrdID().getValue();
if (report.isSetOrigClOrdID())
report1.OrigClOrdID = report.getOrigClOrdID().getValue();
if (report.isSetListID())
report1.ListID = report.getListID().getValue();
if (report.isSetExecID())
report1.ExecID = report.getExecID().getValue();
if (report.isSetExecRefID())
report1.ExecRefID = report.getExecRefID().getValue();
if (report.isSetExecType())
((FIXExecutionReport)report1).ExecType = report.getExecType().getValue();
if (report.isSetOrdStatus())
((FIXExecutionReport)report1).OrdStatus = report.getOrdStatus().getValue();
if (report.isSetOrdRejReason())
report1.OrdRejReason = report.getOrdRejReason().getValue();
if (report.isSetExecRestatementReason())
report1.ExecRestatementReason = report.getExecRestatementReason().getValue();
if (report.isSetAccount())
report1.Account = report.getAccount().getValue();
if (report.isSetSettlmntTyp())
report1.SettlType = report.getSettlmntTyp().getValue();
if (report.isSetSymbol())
report1.Symbol = report.getSymbol().getValue();
if (report.isSetSymbolSfx())
report1.SymbolSfx = report.getSymbolSfx().getValue();
if (report.isSetSecurityID())
report1.SecurityID = report.getSecurityID().getValue();
if (report.isSetSecurityType())
report1.SecurityType = report.getSecurityType().getValue();
if (report.isSetMaturityMonthYear())
report1.MaturityMonthYear = report.getMaturityMonthYear().getValue();
if (report.isSetStrikePrice())
report1.StrikePrice = report.getStrikePrice().getValue();
if (report.isSetOptAttribute())
report1.OptAttribute = report.getOptAttribute().getValue();
if (report.isSetContractMultiplier())
report1.ContractMultiplier = report.getContractMultiplier().getValue();
if (report.isSetCouponRate())
report1.CouponRate = report.getCouponRate().getValue();
if (report.isSetSecurityExchange())
report1.SecurityExchange = report.getSecurityExchange().getValue();
if (report.isSetIssuer())
report1.Issuer = report.getIssuer().getValue();
if (report.isSetEncodedIssuerLen())
report1.EncodedIssuerLen = report.getEncodedIssuerLen().getValue();
if (report.isSetEncodedIssuer())
report1.EncodedIssuer = report.getEncodedIssuer().getValue();
if (report.isSetSecurityDesc())
report1.SecurityDesc = report.getSecurityDesc().getValue();
if (report.isSetEncodedSecurityDescLen())
report1.EncodedSecurityDescLen = report.getEncodedSecurityDescLen().getValue();
if (report.isSetEncodedSecurityDesc())
report1.EncodedSecurityDesc = report.getEncodedSecurityDesc().getValue();
if (report.isSetSide())
((FIXExecutionReport)report1).Side = report.getSide().getValue();
if (report.isSetOrderQty())
report1.OrderQty = report.getOrderQty().getValue();
if (report.isSetCashOrderQty())
report1.CashOrderQty = report.getCashOrderQty().getValue();
if (report.isSetOrdType())
((FIXExecutionReport)report1).OrdType = report.getOrdType().getValue();
if (report.isSetPrice())
report1.Price = report.getPrice().getValue();
if (report.isSetStopPx())
report1.StopPx = report.getStopPx().getValue();
if (report.isSetDiscretionInst())
report1.DiscretionInst = report.getDiscretionInst().getValue();
if (report.isSetDiscretionOffset())
report1.DiscretionOffsetValue = report.getDiscretionOffset().getValue();
if (report.isSetCurrency())
report1.Currency = report.getCurrency().getValue();
if (report.isSetComplianceID())
report1.ComplianceID = report.getComplianceID().getValue();
if (report.isSetTimeInForce())
((FIXExecutionReport)report1).TimeInForce = report.getTimeInForce().getValue();
if (report.isSetEffectiveTime())
report1.EffectiveTime = report.getEffectiveTime().getValue();
if (report.isSetExpireDate())
report1.ExpireDate = DateTime.Parse(report.getExpireDate().getValue());
if (report.isSetExpireTime())
report1.ExpireTime = report.getExpireTime().getValue();
if (report.isSetExecInst())
report1.ExecInst = report.getExecInst().getValue();
if (report.isSetLastPx())
report1.LastPx = report.getLastPx().getValue();
if (report.isSetLastSpotRate())
report1.LastSpotRate = report.getLastSpotRate().getValue();
if (report.isSetLastForwardPoints())
report1.LastForwardPoints = report.getLastForwardPoints().getValue();
if (report.isSetLastMkt())
report1.LastMkt = report.getLastMkt().getValue();
if (report.isSetTradingSessionID())
report1.TradingSessionID = report.getTradingSessionID().getValue();
if (report.isSetLastCapacity())
report1.LastCapacity = report.getLastCapacity().getValue();
if (report.isSetLeavesQty())
report1.LeavesQty = report.getLeavesQty().getValue();
if (report.isSetCumQty())
report1.CumQty = report.getCumQty().getValue();
if (report.isSetAvgPx())
report1.AvgPx = report.getAvgPx().getValue();
if (report.isSetDayOrderQty())
report1.DayOrderQty = report.getDayOrderQty().getValue();
if (report.isSetDayCumQty())
report1.DayCumQty = report.getDayCumQty().getValue();
if (report.isSetDayAvgPx())
report1.DayAvgPx = report.getDayAvgPx().getValue();
if (report.isSetGTBookingInst())
report1.GTBookingInst = report.getGTBookingInst().getValue();
if (report.isSetTradeDate())
report1.TradeDate = DateTime.Parse(report.getTradeDate().getValue());
if (report.isSetTransactTime())
report1.TransactTime = report.getTransactTime().getValue();
if (report.isSetCommission())
report1.Commission = report.getCommission().getValue();
if (report.isSetCommType())
((FIXExecutionReport)report1).CommType = report.getCommType().getValue();
if (report.isSetGrossTradeAmt())
report1.GrossTradeAmt = report.getGrossTradeAmt().getValue();
if (report.isSetSettlCurrAmt())
report1.SettlCurrAmt = report.getSettlCurrAmt().getValue();
if (report.isSetSettlCurrency())
report1.SettlCurrency = report.getSettlCurrency().getValue();
if (report.isSetHandlInst())
report1.HandlInst = report.getHandlInst().getValue();
if (report.isSetMinQty())
report1.MinQty = report.getMinQty().getValue();
if (report.isSetMaxFloor())
report1.MaxFloor = report.getMaxFloor().getValue();
if (report.isSetMaxShow())
report1.MaxShow = report.getMaxShow().getValue();
if (report.isSetText())
report1.Text = report.getText().getValue();
if (report.isSetEncodedTextLen())
report1.EncodedTextLen = report.getEncodedTextLen().getValue();
if (report.isSetEncodedText())
report1.EncodedText = report.getEncodedText().getValue();
if (report.isSetOrderQty2())
report1.OrderQty2 = report.getOrderQty2().getValue();
if (report.isSetMultiLegReportingType())
report1.MultiLegReportingType = report.getMultiLegReportingType().getValue();
if (this.grxym6Rmr == null)
return;
this.grxym6Rmr((object)this, new ExecutionReportEventArgs(report1));
}
internal void JPVPJSWclF(ExecutionReport report)
{
if (this.ExecutionReport != null)
this.ExecutionReport(this, new ExecutionReportEventArgs(report));
}
public virtual void SendNewOrderSingle(NewOrderSingle order)
{
if (this.IsConnected)
{
this.application.Send((FIXNewOrderSingle)order);
}
else
{
ExecutionReport report = new ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = order.ClOrdID;
report.ExecType = FreeQuant.FIX.ExecType.Rejected;
report.OrdStatus = FreeQuant.FIX.OrdStatus.Rejected;
report.Symbol = order.Symbol;
report.SecurityType = order.SecurityType;
report.SecurityExchange = order.SecurityExchange;
report.Currency = order.Currency;
report.Side = order.Side;
report.OrdType = order.OrdType;
report.TimeInForce = order.TimeInForce;
report.OrderQty = order.OrderQty;
report.Price = order.Price;
report.StopPx = order.StopPx;
report.LastPx = 0.0;
report.LastQty = 0.0;
report.AvgPx = 0.0;
report.CumQty = 0.0;
report.LeavesQty = order.OrderQty;
report.Text = BeAEwTZGlZaeOmY5cm.J00weU3cM6(4016);
if (this.q8X4lYTN4C != null)
this.q8X4lYTN4C((object)this, new ExecutionReportEventArgs(report));
if (this.j4t4Wyi2Ea == null)
return;
this.j4t4Wyi2Ea(new ProviderErrorEventArgs((IProvider)this, -1, -1, BeAEwTZGlZaeOmY5cm.J00weU3cM6(4070)));
}
}
public void SendExecutionReport(IExecutionService service, ExecutionReport report)
{
this.orders[report.OrderID].EmitExecutionReport(report);
service.Send((FIXExecutionReport)report);
this.EmitExecutionReport(report);
}
protected override void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
Instrument instrument = order.Instrument;
this.HeHpDewVKD.OnExecutionReport(order, report);
this.A6MpF2380O.OnExecutionReport(order, report);
this.entries[instrument].OnExecutionReport(order, report);
this.exits[instrument].OnExecutionReport(order, report);
}
private void EmitExecutionReport(ExecutionReport report)
{
if (this.ExecutionReport != null)
{
this.ExecutionReport(this, new ExecutionReportEventArgs(report));
}
}
internal void XNWFfvowtr()
{
this.D7GFelmgQp();
this.A8bFJItyyx.MyIPdEI7fi.Remove((object) this.PYBF7sahqY.ClOrdID);
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
ExecutionReport executionReport = new ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ClOrdID = singleOrder.ClOrdID;
executionReport.OrigClOrdID = singleOrder.ClOrdID;
executionReport.ExecType = ExecType.Cancelled;
executionReport.OrdStatus = OrdStatus.Cancelled;
executionReport.Symbol = singleOrder.Symbol;
executionReport.Side = singleOrder.Side;
executionReport.OrdType = singleOrder.OrdType;
executionReport.AvgPx = singleOrder.AvgPx;
executionReport.LeavesQty = singleOrder.LeavesQty;
executionReport.CumQty = singleOrder.CumQty;
executionReport.OrderQty = singleOrder.OrderQty;
executionReport.Price = singleOrder.Price;
executionReport.StopPx = singleOrder.StopPx;
executionReport.Currency = singleOrder.Currency;
executionReport.Text = singleOrder.Text;
this.A8bFJItyyx.JPVPJSWclF(executionReport);
}
public ExecutionReportEventArgs(ExecutionReport report) : this(null, report)
{
}
internal void mhsWZDndbE(StrategyBase obj0, ExecutionReport obj1)
{
IExecutionService service = (IExecutionService)null;
switch (this.metaStrategyMode)
{
case MetaStrategyMode.Simulation:
service = ServiceManager.ExecutionSimulator;
break;
case MetaStrategyMode.Live:
service = obj0.ExecutionService;
break;
}
OrderManager.SellSide.SendExecutionReport(service, obj1);
}
public ExecutionReportEventArgs(NewOrderSingle order, ExecutionReport report)
{
this.Order = order;
this.ExecutionReport = report;
}
internal void RM9EmoIgF(ExecutionReport obj0)
{
this.MetaStrategyBase.mhsWZDndbE(this, obj0);
}
public virtual void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
}
internal void a9XY5Muph(SingleOrder obj0, ExecutionReport obj1)
{
this.OnExecutionReport(obj0, obj1);
}
public void SendNewOrderSingle(NewOrderSingle order)
{
if (this.IsConnected)
{
if (this.Latency == 0)
this.lCXP6mCfhb(order);
else
Clock.AddReminder(new ReminderEventHandler(this.MxtPRD9hCH), DateTime.Now.AddMilliseconds(this.Latency), order);
}
else
{
ExecutionReport report = new ExecutionReport();
report.TransactTime = DateTime.Now;
report.ClOrdID = order.ClOrdID;
report.ExecType = ExecType.Rejected;
report.OrdStatus = OrdStatus.Rejected;
report.Symbol = order.Symbol;
report.SecurityType = order.SecurityType;
report.SecurityExchange = order.SecurityExchange;
report.Currency = order.Currency;
report.Side = order.Side;
report.OrdType = order.OrdType;
report.TimeInForce = order.TimeInForce;
report.OrderQty = order.OrderQty;
report.Price = order.Price;
report.StopPx = order.StopPx;
report.LastPx = 0.0;
report.LastQty = 0.0;
report.AvgPx = 0.0;
report.CumQty = 0.0;
report.LeavesQty = order.OrderQty;
report.Text = "text";
this.JPVPJSWclF(report);
}
}
