public int addFills(OrderFillStruct ofs) // stored the fills in db and send it to fillpublisher
{
OrderDAO ord = new OrderDAO();
int ordStatus = ord.addOrderFills(ofs);
if (ordStatus == -1)
{
Console.WriteLine("error in DB");
return(-1);
}
else if (ordStatus == 0)
{
Console.WriteLine("This Order is completed now [Order ID] = " + ofs.OrderNo);
}
else
{
Console.WriteLine("Order qty diff : " + ordStatus);
}
string machineID = "";
string userID = "";
ord.getMachineAndUserFromDB(ofs.OrderNo, ref machineID, ref userID);
OMFillPub ofp = new OMFillPub();
if (ofp.zmqUpdate(ofs, machineID, userID) == 0)
{
Console.WriteLine("Zmq update success");
}
else
{
Console.WriteLine("Zmq update fail");
}
return(0);
}
public int cancelOrder(OrderStruct os) //will add check in case of already filled, no cancel.
{
OrderDAO ord = new OrderDAO();
OrderStruct dbos = new OrderStruct(8, 8);
if (ord.getOrderFromDB(os.OrderNo, ref dbos) < 0)
{
Console.WriteLine("Error : Unable to get order details from DB");
return(-1);
}
Console.WriteLine("DBG: truct val");
dbos.display();
string ordStatus = new string(dbos.OrderStatus);
if (ordStatus.Equals("CANCELED") || ordStatus.Equals("COMPLETED"))
{
Console.WriteLine("Order is already " + ordStatus);
return(-1);
}
Console.WriteLine("Order No [" + dbos.OrderNo + "] : Status [" + ordStatus + "]");
//return -1;
if (ord.cancelOrder(dbos) < 0)
{
return(-1);
}
Console.WriteLine("TODO: Send FIX - cancel for os.ID");
//Send FIX - cancel for os.ID
return(0);
}
public int cancelOrder(OrderStruct os)
{//will add check in case of already filled, no cancel.
OrderDAO ord = new OrderDAO();
OrderStruct dbos = new OrderStruct(11, 8);
if (ord.getOrderFromDB(os.OrderNo, ref dbos) < 0)
{
Console.WriteLine("Error : Unable to get order details from DB");
return(-1);
}
Console.WriteLine("DBG: truct val");
dbos.display();
string ordStatus = new string(dbos.OrderStatus);
//if(ordStatus.Equals("CANCELED") || ordStatus.Equals("COMPLETED"))
//{
// Console.WriteLine("Order is already "+ordStatus);
// return -1;
//}
Console.WriteLine("Order No [" + dbos.OrderNo + "] : Status [" + ordStatus + "]");
//return -1;
int ordNo = ord.cancelOrder(ref dbos);
if (ordNo < 0)
{
return(-1);
}
Console.WriteLine("TODO: Send FIX - cancel for os.ID");
//Send FIX - cancel for os.ID
OrigClOrdID origCLOrdID = new OrigClOrdID(Convert.ToString(dbos.fixAcceptedID));
ClOrdID OrdId = new ClOrdID(Convert.ToString(ordNo));
string symboldata = sanitiseField(os.symbol);
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
if (os.direction == 'S')
{
side = new Side(Side.SELL);
}
Console.WriteLine("cancelling origOrdId : " + dbos.fixAcceptedID + " newOrdId : " + ordNo);
Console.WriteLine("symboldata : " + symboldata + " side : " + side);
var orderCan = new QuickFix.FIX42.OrderCancelRequest(origCLOrdID, OrdId, symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()));
Session.SendToTarget(orderCan, FixClient.MySess);
return(os.OrderNo);
}
public int amendOrder(ref OrderStruct os)
{
if (!isOrderAmendPossible(os.OrderStatus))
{
return(-1);
}
OrderDAO ord = new OrderDAO();
int ordNo = ord.amendOrder(ref os);
Console.WriteLine("TODO: Send FIX - cancel for os.LinkedOrderID ; Send FIX - New for os.ID");
//Send FIX - cancel for os.LinkedOrderID
//Send FIX - New for os.ID
return(ordNo);
}
public int FIXResponseHandler(Int32 OrderID, string ExchangeOrderId, Int32 origOrdID, char status, string status_msg, string other_msg, float price, char orderType)
{
string data = "";
OrderDAO ord = new OrderDAO();
OrderStruct os = new OrderStruct();
int iret = -1;
if (status == 'X') // i am considering the reject of amendment.
{ // rejected so move the order to originalID
iret = ord.setOrdersWithReplacedFixResponse(origOrdID, getExecType(status), ExchangeOrderId, ref os);
}
else if (status == '5')
{ // accepted the amendment i.e. Replaced so add the new ord no.
iret = ord.setOrdersWithReplacedFixResponse(OrderID, getExecType(status), ExchangeOrderId, ref os);
} // In case of Order Rejected - call DB for reject status.
else if (status == 'D')
{
iret = ord.setOrdersWithFixResponseRestated(OrderID, getExecType(status), ExchangeOrderId, price, orderType, ref os);
os.price = price;
os.orderType = Convert.ToInt32(orderType);
}
else
{
iret = ord.setOrdersWithFixResponse(OrderID, getExecType(status), ExchangeOrderId, ref os);
}
if (iret == -1)
{
Console.WriteLine("Error from DB [" + data + "]");
//return -1;
}
else
{
Console.WriteLine("Order Updated");
}
data = new string(os.machineID) + ":" + new string(os.userID) + ":" + os.OrderNo + ":" + new string(os.OrderStatus) + ":" + ExchangeOrderId + ":" + status + ":" + status_msg + ":" + other_msg;
OMFillPub ofp = new OMFillPub();
if (ofp.zmqUpdates(data) == 0)
{
Console.WriteLine("Zmq update success");
}
else
{
Console.WriteLine("Zmq update fail");
}
ord.addFIXResponse(OrderID, ExchangeOrderId, status, status_msg, other_msg);
return(0);
}
public int addFills(OrderFillStruct ofs)
{
OrderDAO ord = new OrderDAO();
int ordStatus = ord.addOrderFills(ofs);
if (ordStatus == 0)
{
Console.WriteLine("This Order is completed now [Order ID] = " + ofs.OrderNo);
}
else
{
Console.WriteLine("Order qty diff : " + ordStatus);
}
//this will calculate the qty and mark order as complete and all.
return(0);
}
public int addOrder(OrderStruct os)
{
OrderDAO odao = new OrderDAO();
Console.WriteLine("Going to call DB");
int ordNo = odao.insertOrder(os);
ClOrdID OrdId = new ClOrdID(Convert.ToString(os.ID));
string symbol = sanitiseField(os.symbol);
var order = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), new Symbol(symbol), new Side(Side.BUY),
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
order.Price = new Price((decimal)os.price);
order.SetField(new OrderQty(1));
Session.SendToTarget(order, FixClient.MySess);
return(ordNo);
}
public int FIXResponseCanModRejectHandler(Int32 OrderID, string ExchangeOrderId, Int32 origOrdID, char status, string status_msg, string other_msg)
{
string data = "";
OrderDAO ord = new OrderDAO();
OrderStruct os = new OrderStruct();
int iret = -1;
Console.WriteLine("FIXResponseCanModRejectHandler : " + status);
if (status == '1')
{ // rejected so move the order to originalID
//iret = ord.setOrdersWithReplacedFixResponse(origOrdID, "CANCEL_REJECTED", ExchangeOrderId, ref os);
iret = ord.setOrdersWithFixResponse(OrderID, "CANCEL_REJECTED", ExchangeOrderId, ref os);
}
else if (status == '2')
{ // rejected so move the order to originalID
//iret = ord.setOrdersWithReplacedFixResponse(origOrdID, "MODIFY_REJECTED", ExchangeOrderId, ref os);
iret = ord.setOrdersWithFixResponse(OrderID, "MODIFY_REJECTED", ExchangeOrderId, ref os);
}
if (iret == -1)
{
Console.WriteLine("Error from DB [" + data + "]");
//return -1;
}
else
{
Console.WriteLine("Order Updated");
}
data = new string(os.machineID) + ":" + new string(os.userID) + ":" + os.OrderNo + ":" + new string(os.OrderStatus) + ":" + ExchangeOrderId + ":" + status + ":" + status_msg + ":" + other_msg;
OMFillPub ofp = new OMFillPub();
if (ofp.zmqUpdates(data) == 0)
{
Console.WriteLine("Zmq update success");
}
else
{
Console.WriteLine("Zmq update fail");
}
ord.addFIXResponse(OrderID, ExchangeOrderId, status, status_msg, other_msg);
return(0);
}
public int FIXResponseHandlerForFill(int OrderID, string ExchangeOrderId, float qty, float price, float filledQty, string status, char exectype)
{
OrderDAO ord = new OrderDAO();
OrderStruct os = new OrderStruct();
int orderNo = ord.getOrderNoFromOrderID(OrderID);
ord.addOrderFillsFromFIX(OrderID, orderNo, ExchangeOrderId, qty, price, filledQty, status);
ord.getOrderFromDB(orderNo, ref os);
float pos = ord.getCurrentPosition(os.tokenID, new string(os.userID));
string other_msg = Convert.ToString(pos);
string data = new string(os.machineID) + ":" + new string(os.userID) + ":" + os.OrderNo + ":" + new string(os.OrderStatus) + ":" + ExchangeOrderId + ":" + exectype + ":" + status + ":" + other_msg;
OMFillPub ofp = new OMFillPub();
if (ofp.zmqUpdates(data) == 0)
{
Console.WriteLine("Zmq update success");
}
else
{
Console.WriteLine("Zmq update fail");
}
return(0);
}
public int amendOrder(ref OrderStruct os)
{
if (!isOrderAmendPossible(os.OrderStatus))
{
return(-1);
}
OrderDAO ord = new OrderDAO();
int newOrdID = ord.amendOrder(ref os); // OrderID is the last FixAccepted version
Console.WriteLine("TODO: Send FIX - cancel for os.LinkedOrderID ; Send FIX - New for os.ID");
OrigClOrdID origCLOrdID = new OrigClOrdID(Convert.ToString(os.ID));
ClOrdID OrdId = new ClOrdID(Convert.ToString(newOrdID));
string symboldata = sanitiseField(os.symbol);
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
if (os.direction == 'S')
{
side = new Side(Side.SELL);
}
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
var orderMod = new QuickFix.FIX42.OrderCancelReplaceRequest(origCLOrdID, OrdId, new HandlInst('1'), symbol, side, new TransactTime(DateTime.Now.ToUniversalTime()), ordType);
int Qty = (int)os.quantity;
orderMod.Price = new Price((decimal)os.price);
orderMod.SetField(new OrderQty(Qty));
Console.WriteLine("Modifying origOrdId/FixAcceptedID : " + os.ID + " newOrderID : " + newOrdID);
Console.WriteLine("symboldata : " + symboldata + " side : " + side + " Price : " + os.price + " qty : " + os.quantity);
Session.SendToTarget(orderMod, FixClient.MySess);
return(os.OrderNo);
}
public int takeEODPositions()
{
OrderDAO ord = new OrderDAO();
return(ord.runEodPositions());
}
public int addOrder(OrderStruct os)
{
OrderDAO odao = new OrderDAO();
Console.WriteLine("Going to call DB");
int ordNo = odao.insertOrder(ref os);
// Keep the OrderNO for client and pass the OrderID to FIX.
ClOrdID OrdId = new ClOrdID(Convert.ToString(os.ID));
string symboldata = sanitiseField(os.symbol);
//check Futures or Options Order
string exch = new string(os.exch);
if (exch.Equals("STK"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side, new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
//string expiry = new string(os.expiry);
//orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
orderNFO.Price = new Price((decimal)os.price);
Console.WriteLine("STOCK BUY Order for : " + symbol + "orderType : " + ordType);
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
//string expiry = new string(os.expiry);
//orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
orderNFO.Price = new Price((decimal)os.price);
Console.WriteLine("STOCK SELL Order for : " + symbol + "orderType : " + ordType);
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
}
else if (exch.Equals("NFO"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.Price = new Price((decimal)os.price);
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.FUTURE);
string expiry = new string(os.expiry);
orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
Console.WriteLine("NFO BUY Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.Price = new Price((decimal)os.price);
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.FUTURE);
string expiry = new string(os.expiry);
orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
Console.WriteLine("NFO SELL Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
}
else if (exch.Equals("NOP"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
string callput = new string(os.callput);
var orderNOP = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNOP.Price = new Price((decimal)os.price);
orderNOP.SetField(new OrderQty(Qty));
orderNOP.ExDestination = new ExDestination("NS");
orderNOP.SecurityType = new SecurityType(SecurityType.OPTION);
string expiry = new string(os.expiry);
orderNOP.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNOP.StrikePrice = new StrikePrice((decimal)(os.strike));
if (callput.Equals("CE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(1);
}
else if (callput.Equals("PE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(0);
}
orderNOP.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNOP.OrdType = ordType;
Console.WriteLine("NOP BUY Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Option order to fix server
Session.SendToTarget(orderNOP, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
string callput = new string(os.callput);
var orderNOP = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNOP.Price = new Price((decimal)os.price);
orderNOP.SetField(new OrderQty(Qty));
orderNOP.ExDestination = new ExDestination("NS");
orderNOP.SecurityType = new SecurityType(SecurityType.OPTION);
string expiry = new string(os.expiry);
orderNOP.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNOP.StrikePrice = new StrikePrice((decimal)(os.strike));
if (callput.Equals("CE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(1);
}
else if (callput.Equals("PE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(0);
}
orderNOP.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNOP.OrdType = ordType;
Console.WriteLine("NOP SELL Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Option order to fix server
Session.SendToTarget(orderNOP, FixClient.MySess);
}
}
return(ordNo);
}