/// <summary>
/// Creates a FIX4.4 NewOrderSingle message for Forexware
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX44.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
newOrderSingle.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
newOrderSingle.Set(new Side(Side.SELL));
}
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
//limit, market and stop orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
else if (order.GetType() == typeof(StopOrder))
{
newOrderSingle.Set(new OrdType(OrdType.STOP));
// set StopPX field
// TODO: add StopPx field
}
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
if (order.GetType() == typeof(LimitOrder) || order.GetType() == typeof(StopOrder))
{
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
}
return(newOrderSingle);
}
/// <summary>
/// Creates a FIX4.4 NewOrderSingle message for Fxcm
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX44.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
//var noTradingSession = new QuickFix.Fields.NoTradingSessions(1);
//newOrderSingle.SetField(noTradingSession);
// Create a new Trading Session Group
QuickFix.FIX44.NewOrderSingle.NoTradingSessionsGroup noTradingSession = new QuickFix.FIX44.NewOrderSingle.NoTradingSessionsGroup();
{
var tradingSessionId = new QuickFix.Fields.TradingSessionID(_tradeTargetCompId);
noTradingSession.SetField(tradingSessionId);
var tradingSessionSubId = new QuickFix.Fields.TradingSessionSubID(_tradeTargetSubId);
noTradingSession.SetField(tradingSessionSubId);
newOrderSingle.AddGroup(noTradingSession);
}
var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract);
newOrderSingle.SetField(securityType);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
newOrderSingle.SetField(product);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
newOrderSingle.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
newOrderSingle.Set(new Side(Side.SELL));
}
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
//var minQty = new QuickFix.Fields.MinQty(order.OrderSize);
//newOrderSingle.SetField(minQty);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
//var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize);
//newOrderSingle.SetField(maxShow);
//var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION);
//newOrderSingle.SetField(execInst);
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
//var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
//newOrderSingle.SetField(handlInst);
return(newOrderSingle);
}
public bool EnviarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, int delay = 0, string mnemonic = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX44.NewOrderSingle ordersingle = new QuickFix.FIX44.NewOrderSingle();
if (ordem.Account > 0)
{
ordersingle.Set(new Account(ordem.Account.ToString()));
}
if (!string.IsNullOrEmpty(mnemonic))
{
ordersingle.SetField(new Account(mnemonic), true);
}
// Instrument Identification Block
ordersingle.Set(new Symbol(ordem.Symbol));
if (!string.IsNullOrEmpty(ordem.SecurityID))
{
ordersingle.Set(new SecurityID(ordem.SecurityID));
}
ordersingle.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
//long clOrd =0;
ordersingle.Set(new ClOrdID(ordem.ClOrdID));
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordersingle.Set(new Side(Side.SELL));
}
else
{
ordersingle.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordersingle.Set(tif);
}
ordersingle.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordersingle.Set(ordType);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopLimitada:
case OrdemTipoEnum.StopStart:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
break;
default:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordersingle.Set(new TransactTime(DateTime.Now));
ordersingle.Set(new HandlInst('1'));
if (ordem.MaxFloor > 0)
{
ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
//PartyIDGroup1.set(new PartyID(ordem.Account.ToString()));
PartyIDGroup1.Set(new PartyID(ordem.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup2.Set(new PartyID("227"));
PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Location ID
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
if (ordem.SenderLocation != null && ordem.SenderLocation.Length > 0)
{
PartyIDGroup3.Set(new PartyID(ordem.SenderLocation));
}
else
{
PartyIDGroup3.Set(new PartyID("GRA"));
}
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(PartyRole.SENDER_LOCATION));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID("245427"));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.ENTERING_FIRM));
ordersingle.AddGroup(PartyIDGroup1);
ordersingle.AddGroup(PartyIDGroup2);
ordersingle.AddGroup(PartyIDGroup3);
//ordersingle.AddGroup(PartyIDGroup4);
//BEI - 2012-Nov-13
if (ordem.ForeignFirm != null && ordem.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup5 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup5.Set(new PartyID(ordem.ForeignFirm));
PartyIDGroup5.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup5.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
ordersingle.AddGroup(PartyIDGroup5);
}
//SelfTradeProtection - 2012-Nov-27
if (ordem.InvestorID != null && ordem.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup6 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup6.Set(new PartyID(ordem.InvestorID));
PartyIDGroup6.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup6.Set(new PartyRole(PartyRole.INVESTOR_ID));
ordersingle.AddGroup(PartyIDGroup6);
}
if (ordem.ExecutingTrader != null && ordem.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(ordem.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
ordersingle.AddGroup(PartyIDGroup7);
}
//if (ordem.Account > 0)
//{
// QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
// noAllocsGrp.Set(new AllocAccount(ordem.Account.ToString()));
// noAllocsGrp.Set(new AllocAcctIDSource(99));
// ordersingle.AddGroup(noAllocsGrp);
//}
if (ordem.PositionEffect != null && ordem.PositionEffect.Equals("C"))
{
ordersingle.Set(new PositionEffect('C'));
}
// Memo Field
if (ordem.Memo5149 != null && ordem.Memo5149.Length > 0)
{
if (ordem.Memo5149.Length > 50)
{
ordem.Memo5149 = ordem.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, ordem.Memo5149);
ordersingle.SetField(memo5149);
}
// AccountType
if (ordem.AcountType == ContaTipoEnum.REMOVE_ACCOUNT_INFORMATION)
{
IntField int581 = new IntField(581, 38);
ordersingle.SetField(int581);
}
else if (ordem.AcountType == ContaTipoEnum.GIVE_UP_LINK_IDENTIFIER)
{
IntField int581 = new IntField(581, 40);
ordersingle.SetField(int581);
}
bool bRet = false;
if (ini == 0)
{
bRet = Session.SendToTarget(ordersingle, _session.SessionID);
}
else
{
//_times = times;
//Thread th = new Thread(new ParameterizedThreadStart(ExecOrders));
//th.Start(ordersingle);
long times = fim - ini;
logger.Info("=====================================> INICIO ========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
//logger.Info("XXX: " + i);
ClOrdID xx = new ClOrdID(ini.ToString());
ordersingle.ClOrdID = xx;
bRet = Session.SendToTarget(ordersingle, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
//System.Windows.Forms.Application.DoEvents();
}
logger.Info("=====================================> FIM ========> Qtd: " + times);
}
return(bRet);
}
public bool EnviarOrdem(OrdemInfo ordem)
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX44.NewOrderSingle ordersingle = new QuickFix.FIX44.NewOrderSingle();
if (ordem.Account > 0)
{
ordersingle.Set(new Account(ordem.Account.ToString()));
}
// Instrument Identification Block
ordersingle.Set(new Symbol(ordem.Symbol));
ordersingle.Set(new SecurityID(ordem.SecurityID));
ordersingle.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
ordersingle.Set(new ClOrdID(ordem.ClOrdID));
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordersingle.Set(new Side(Side.SELL));
}
else
{
ordersingle.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordersingle.Set(tif);
}
ordersingle.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordersingle.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordersingle.Set(ordType);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopLimitada:
case OrdemTipoEnum.StopStart:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordersingle.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
break;
default:
ordersingle.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordersingle.Set(new TransactTime(DateTime.Now));
ordersingle.Set(new HandlInst('1'));
if (ordem.MaxFloor > 0)
{
ordersingle.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordersingle.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
//PartyIDGroup1.set(new PartyID(ordem.Account.ToString()));
PartyIDGroup1.Set(new PartyID(ordem.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup2.Set(new PartyID("227"));
PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Location ID
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
if (ordem.SenderLocation != null && ordem.SenderLocation.Length > 0)
{
PartyIDGroup3.Set(new PartyID(ordem.SenderLocation));
}
else
{
PartyIDGroup3.Set(new PartyID("GRA"));
}
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(PartyRole.SENDER_LOCATION));
ordersingle.AddGroup(PartyIDGroup1);
ordersingle.AddGroup(PartyIDGroup2);
ordersingle.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-13
if (ordem.ForeignFirm != null && ordem.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup5 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup5.Set(new PartyID(ordem.ForeignFirm));
PartyIDGroup5.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup5.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
ordersingle.AddGroup(PartyIDGroup5);
}
//SelfTradeProtection - 2012-Nov-27
if (ordem.InvestorID != null && ordem.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup6 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup6.Set(new PartyID(ordem.InvestorID));
PartyIDGroup6.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup6.Set(new PartyRole(PartyRole.INVESTOR_ID));
ordersingle.AddGroup(PartyIDGroup6);
}
if (ordem.ExecutingTrader != null && ordem.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(ordem.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
ordersingle.AddGroup(PartyIDGroup7);
}
//if (ordem.Account > 0)
//{
// QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrp = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
// noAllocsGrp.Set(new AllocAccount(ordem.Account.ToString()));
// noAllocsGrp.Set(new AllocAcctIDSource(99));
// ordersingle.AddGroup(noAllocsGrp);
//}
if (ordem.PositionEffect != null && ordem.PositionEffect.Equals("C"))
{
ordersingle.Set(new PositionEffect('C'));
}
// Memo Field
if (ordem.Memo5149 != null && ordem.Memo5149.Length > 0)
{
if (ordem.Memo5149.Length > 50)
{
ordem.Memo5149 = ordem.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, ordem.Memo5149);
ordersingle.SetField(memo5149);
}
// AccountType
if (ordem.AcountType == ContaTipoEnum.REMOVE_ACCOUNT_INFORMATION)
{
IntField int581 = new IntField(581, 38);
ordersingle.SetField(int581);
}
else if (ordem.AcountType == ContaTipoEnum.GIVE_UP_LINK_IDENTIFIER)
{
IntField int581 = new IntField(581, 40);
ordersingle.SetField(int581);
}
bool bRet = Session.SendToTarget(ordersingle, _session.SessionID);
return(bRet);
}
