private OrderPartiallyFilled GenerateOrderPartiallyFilledEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var executionId = new ExecutionId(message.GetField(Tags.ExecID));
var positionIdBroker = new PositionIdBroker(message.GetField(FxcmTags.PosID));
var symbol = this.GetSymbol(message.GetField(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var filledQuantity = Quantity.Create(message.GetDecimal(Tags.CumQty));
var averagePrice = Price.Create(message.GetDecimal(Tags.AvgPx));
var quoteCurrency = this.GetQuoteCurrency(symbol, message.GetField(Tags.Currency));
var leavesQuantity = Quantity.Create(message.GetInt(Tags.LeavesQty));
var executionTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderPartiallyFilled(
this.accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
leavesQuantity,
averagePrice,
quoteCurrency,
executionTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderWorking GenerateOrderWorkingEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var symbol = this.GetSymbol(message.GetField(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType));
var quantity = Quantity.Create(message.GetDecimal(Tags.OrderQty));
var price = FxcmMessageHelper.GetOrderPrice(orderType, message);
var timeInForce = FxcmMessageHelper.GetTimeInForce(message.GetField(Tags.TimeInForce));
var expireTime = FxcmMessageHelper.GetExpireTime(message);
var workingTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderWorking(
this.accountId,
orderId,
orderIdBroker,
symbol,
orderSide,
orderType,
quantity,
price,
timeInForce,
expireTime,
workingTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderExpired GenerateOrderExpiredEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var expiredTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderExpired(
this.accountId,
orderId,
expiredTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderRejected GenerateOrderRejectedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var rejectedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
var rejectReason = message.GetField(FxcmTags.ErrorDetails).TrimEnd('.');
return(new OrderRejected(
this.accountId,
orderId,
rejectedTime,
rejectReason,
this.NewGuid(),
this.TimeNow()));
}
private OrderModified GenerateOrderModifiedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType));
var quantity = message.IsSetField(Tags.LeavesQty)
? Quantity.Create(message.GetDecimal(Tags.LeavesQty))
: Quantity.Create(message.GetDecimal(Tags.OrderQty));
var price = FxcmMessageHelper.GetOrderPrice(orderType, message);
var modifiedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderModified(
this.accountId,
orderId,
orderIdBroker,
quantity,
price,
modifiedTime,
this.NewGuid(),
this.TimeNow()));
}
public void OnMessage(QuickFix.FIX44.OrderCancelReject message)
{
Debug.NotNull(this.tradingGateway, nameof(this.tradingGateway));
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(OrderCancelReject)}");
var orderId = this.GetOrderId(message);
var rejectedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
var rejectResponseTo = FxcmMessageHelper.GetCxlRejResponseTo(message.CxlRejResponseTo);
var rejectReason = message.GetField(FxcmTags.ErrorDetails).TrimEnd('.');
var orderCancelReject = new OrderCancelReject(
this.accountId,
orderId,
rejectedTime,
rejectResponseTo,
rejectReason,
this.NewGuid(),
this.TimeNow());
this.tradingGateway?.Send(orderCancelReject);
}
private ZonedDateTime GetMarketDataTimestamp()
{
var dateTimeString = $"{this.mdBidGroup.GetField(Tags.MDEntryDate)}-{this.mdBidGroup.GetField(Tags.MDEntryTime)}";
return(FxcmMessageHelper.ParseTimestamp(dateTimeString));
}
public void OnMessage(SecurityList message)
{
Debug.NotNull(this.dataGateway, nameof(this.dataGateway));
var responseId = message.GetField(Tags.SecurityResponseID);
var result = FxcmMessageHelper.GetSecurityRequestResult(message.SecurityRequestResult);
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(SecurityList)}(ResponseId={responseId}, Result={result}).");
var instruments = new List <Instrument>();
var groupCount = int.Parse(message.NoRelatedSym.ToString());
var group = new SecurityList.NoRelatedSymGroup();
for (var i = 1; i <= groupCount; i++)
{
message.GetGroup(i, group);
var symbol = this.GetSymbol(group.GetField(Tags.Symbol));
var securityType = FxcmMessageHelper.GetSecurityType(group.GetField(FxcmTags.ProductID));
var tickPrecision = group.GetInt(FxcmTags.SymPrecision);
var tickSize = group.GetDecimal(FxcmTags.SymPointSize) * 0.1m; // Field 9002 returns 'point' size (* 0.1m to get tick size)
var roundLot = group.GetInt(Tags.RoundLot);
var minStopDistanceEntry = group.GetInt(FxcmTags.CondDistEntryStop);
var minLimitDistanceEntry = group.GetInt(FxcmTags.CondDistEntryLimit);
var minStopDistance = group.GetInt(FxcmTags.CondDistStop);
var minLimitDistance = group.GetInt(FxcmTags.CondDistLimit);
var minTradeSize = group.GetInt(FxcmTags.MinQuantity);
var maxTradeSize = group.GetInt(FxcmTags.MaxQuantity);
var rolloverInterestBuy = group.GetDecimal(FxcmTags.SymInterestBuy);
var rolloverInterestSell = group.GetDecimal(FxcmTags.SymInterestSell);
if (securityType == SecurityType.Forex)
{
var forexInstrument = new ForexInstrument(
symbol,
tickPrecision,
0,
minStopDistanceEntry,
minLimitDistanceEntry,
minStopDistance,
minLimitDistance,
Price.Create(tickSize, tickPrecision),
Quantity.Create(roundLot),
Quantity.Create(minTradeSize),
Quantity.Create(maxTradeSize),
rolloverInterestBuy,
rolloverInterestSell,
this.TimeNow());
instruments.Add(forexInstrument);
}
else
{
var instrument = new Instrument(
symbol,
group.GetField(Tags.Currency).ToEnum <Nautilus.DomainModel.Enums.Currency>(),
securityType,
tickPrecision,
0,
minStopDistanceEntry,
minLimitDistanceEntry,
minStopDistance,
minLimitDistance,
Price.Create(tickSize, tickPrecision),
Quantity.Create(roundLot),
Quantity.Create(minTradeSize),
Quantity.Create(maxTradeSize),
rolloverInterestBuy,
rolloverInterestSell,
this.TimeNow());
instruments.Add(instrument);
}
}
this.dataGateway?.OnData(instruments);
}
