protected void NextSequenceReset(Message sequenceReset)
{
bool isGapFill = false;
if (sequenceReset.IsSetField(Fields.Tags.GapFillFlag))
{
isGapFill = sequenceReset.GetBoolean(Fields.Tags.GapFillFlag);
}
if (!Verify(sequenceReset, isGapFill, isGapFill))
{
return;
}
if (sequenceReset.IsSetField(Fields.Tags.NewSeqNo))
{
int newSeqNo = sequenceReset.GetInt(Fields.Tags.NewSeqNo);
this.Log.OnEvent("Received SequenceReset FROM: " + state_.GetNextTargetMsgSeqNum() + " TO: " + newSeqNo);
if (newSeqNo > state_.GetNextTargetMsgSeqNum())
{
state_.SetNextTargetMsgSeqNum(newSeqNo);
}
else
{
if (newSeqNo < state_.GetNextTargetMsgSeqNum())
{
GenerateReject(sequenceReset, FixValues.SessionRejectReason.VALUE_IS_INCORRECT);
}
}
}
}
protected void NextLogon(Message logon)
{
Fields.ResetSeqNumFlag resetSeqNumFlag = new Fields.ResetSeqNumFlag(false);
if (logon.IsSetField(resetSeqNumFlag))
{
logon.GetField(resetSeqNumFlag);
}
state_.ReceivedReset = resetSeqNumFlag.Obj;
if (!state_.IsInitiator && this.ResetOnLogon)
{
state_.Reset();
}
if (!Verify(logon, false, true))
{
return;
}
if (!IsGoodTime(logon))
{
this.Log.OnEvent("Logon had bad sending time");
Disconnect("bad sending time");
return;
}
state_.ReceivedLogon = true;
this.Log.OnEvent("Received logon");
if (!state_.IsInitiator)
{
int heartBtInt = logon.GetInt(Fields.Tags.HeartBtInt);
state_.HeartBtInt = heartBtInt;
GenerateLogon(heartBtInt);
this.Log.OnEvent("Responding to logon request");
}
state_.SentReset = false;
state_.ReceivedReset = false;
int msgSeqNum = logon.Header.GetInt(Fields.Tags.MsgSeqNum);
if (IsTargetTooHigh(msgSeqNum) && !resetSeqNumFlag.Obj)
{
DoTargetTooHigh(logon, msgSeqNum);
}
else
{
state_.IncrNextTargetMsgSeqNum();
NextQueued();
}
}
public void ProcessNews(QuickFix.Message msg, SessionID sessionID)
{
if (msg.IsSetField(QuickFix.Fields.Tags.Headline) && (msg.GetString(QuickFix.Fields.Tags.Headline) == "STOPME"))
{
if (this.StopMeEvent != null)
{
StopMeEvent();
}
}
else
{
Echo(msg, sessionID);
}
}
protected bool SendRaw(Message message, int seqNum)
{
lock (sync_)
{
string msgType = message.Header.GetField(Fields.Tags.MsgType);
InitializeHeader(message, seqNum);
if (Message.IsAdminMsgType(msgType))
{
/// FIXME this.Application.ToAdmin(message, this.SessionID);
if (MsgType.LOGON.Equals(msgType) && !state_.ReceivedReset)
{
Fields.ResetSeqNumFlag resetSeqNumFlag = new QuickFix.Fields.ResetSeqNumFlag(false);
if (message.IsSetField(resetSeqNumFlag))
{
message.GetField(resetSeqNumFlag);
}
if (resetSeqNumFlag.getValue())
{
state_.Reset();
message.Header.SetField(new Fields.MsgSeqNum(state_.GetNextSenderMsgSeqNum()));
}
state_.SentReset = resetSeqNumFlag.Obj;
}
}
string messageString = message.ToString();
if (0 == seqNum)
{
Persist(message, messageString);
}
return(Send(messageString));
}
}
protected bool SendRaw(Message message, int seqNum)
{
lock (sync_)
{
string msgType = message.Header.GetField(Fields.Tags.MsgType);
InitializeHeader(message, seqNum);
if (Message.IsAdminMsgType(msgType))
{
this.Application.ToAdmin(message, this.SessionID);
if (MsgType.LOGON.Equals(msgType) && !state_.ReceivedReset)
{
Fields.ResetSeqNumFlag resetSeqNumFlag = new QuickFix.Fields.ResetSeqNumFlag(false);
if (message.IsSetField(resetSeqNumFlag))
message.GetField(resetSeqNumFlag);
if (resetSeqNumFlag.getValue())
{
state_.Reset();
message.Header.SetField(new Fields.MsgSeqNum(state_.GetNextSenderMsgSeqNum()));
}
state_.SentReset = resetSeqNumFlag.Obj;
}
}
else
{
this.Application.ToApp(message, this.SessionID);
}
string messageString = message.ToString();
if (0 == seqNum)
Persist(message, messageString);
return Send(messageString);
}
}
protected void NextSequenceReset(Message sequenceReset)
{
bool isGapFill = false;
if (sequenceReset.IsSetField(Fields.Tags.GapFillFlag))
isGapFill = sequenceReset.GetBoolean(Fields.Tags.GapFillFlag);
if (!Verify(sequenceReset, isGapFill, isGapFill))
return;
if (sequenceReset.IsSetField(Fields.Tags.NewSeqNo))
{
int newSeqNo = sequenceReset.GetInt(Fields.Tags.NewSeqNo);
this.Log.OnEvent("Received SequenceReset FROM: " + state_.GetNextTargetMsgSeqNum() + " TO: " + newSeqNo);
if (newSeqNo > state_.GetNextTargetMsgSeqNum())
{
state_.SetNextTargetMsgSeqNum(newSeqNo);
}
else
{
if (newSeqNo < state_.GetNextTargetMsgSeqNum())
GenerateReject(sequenceReset, FixValues.SessionRejectReason.VALUE_IS_INCORRECT);
}
}
}
protected void NextLogon(Message logon)
{
Fields.ResetSeqNumFlag resetSeqNumFlag = new Fields.ResetSeqNumFlag(false);
if (logon.IsSetField(resetSeqNumFlag))
logon.GetField(resetSeqNumFlag);
state_.ReceivedReset = resetSeqNumFlag.Obj;
if (!state_.IsInitiator && this.ResetOnLogon)
state_.Reset();
if (!Verify(logon, false, true))
return;
if (!IsGoodTime(logon))
{
this.Log.OnEvent("Logon had bad sending time");
Disconnect("bad sending time");
return;
}
state_.ReceivedLogon = true;
this.Log.OnEvent("Received logon");
if (!state_.IsInitiator)
{
int heartBtInt = logon.GetInt(Fields.Tags.HeartBtInt);
state_.HeartBtInt = heartBtInt;
GenerateLogon(logon);
this.Log.OnEvent("Responding to logon request");
}
state_.SentReset = false;
state_.ReceivedReset = false;
int msgSeqNum = logon.Header.GetInt(Fields.Tags.MsgSeqNum);
if (IsTargetTooHigh(msgSeqNum) && !resetSeqNumFlag.Obj)
{
DoTargetTooHigh(logon, msgSeqNum);
}
else
{
state_.IncrNextTargetMsgSeqNum();
NextQueued();
}
if (this.IsLoggedOn)
this.Application.OnLogon(this.SessionID);
}
public void SetFieldsTest()
{
var message = new Message();
var allocId = new AllocID("123456");
var allocAccount = new AllocAccount("QuickFixAccount");
var allocAccountType = new AllocAccountType(AllocAccountType.HOUSE_TRADER);
message.SetFields(new IField[] { allocAccount, allocAccountType, allocId });
Assert.AreEqual(true, message.IsSetField(Tags.AllocID));
Assert.AreEqual("123456", message.GetField(Tags.AllocID));
Assert.AreEqual(true, message.IsSetField(Tags.AllocAccount));
Assert.AreEqual("QuickFixAccount", message.GetField(Tags.AllocAccount));
Assert.AreEqual(true, message.IsSetField(Tags.AllocAccountType));
Assert.AreEqual(AllocAccountType.HOUSE_TRADER, message.GetInt(Tags.AllocAccountType));
}
protected void NextLogon(Message logon)
{
Fields.ResetSeqNumFlag resetSeqNumFlag = new Fields.ResetSeqNumFlag(false);
if (logon.IsSetField(resetSeqNumFlag))
logon.GetField(resetSeqNumFlag);
state_.ReceivedReset = resetSeqNumFlag.Obj;
if (state_.ReceivedReset)
{
this.Log.OnEvent("Sequence numbers reset due to ResetSeqNumFlag=Y");
if (!state_.SentReset)
{
state_.Reset("Reset requested by counterparty");
}
}
if (!state_.IsInitiator && this.ResetOnLogon)
state_.Reset("ResetOnLogon");
if (this.RefreshOnLogon)
Refresh();
if (!Verify(logon, false, true))
return;
if (!IsGoodTime(logon))
{
this.Log.OnEvent("Logon has bad sending time");
Disconnect("bad sending time");
return;
}
state_.ReceivedLogon = true;
this.Log.OnEvent("Received logon");
if (!state_.IsInitiator)
{
int heartBtInt = logon.GetInt(Fields.Tags.HeartBtInt);
state_.HeartBtInt = (int)Math.Floor(heartBtInt / (double)2);
GenerateLogon(logon);
this.Log.OnEvent("Responding to logon request");
}
state_.SentReset = false;
state_.ReceivedReset = false;
int msgSeqNum = logon.Header.GetInt(Fields.Tags.MsgSeqNum);
if (IsTargetTooHigh(msgSeqNum) && !resetSeqNumFlag.Obj)
{
DoTargetTooHigh(logon, msgSeqNum);
}
else
{
state_.IncrNextTargetMsgSeqNum();
}
if (this.IsLoggedOn)
this.Application.OnLogon(this.SessionID);
}
protected bool SendRaw(Message message, int seqNum)
{
lock (sync_)
{
string msgType = message.Header.GetField(Fields.Tags.MsgType);
if (msgType == Fields.MsgType.HEARTBEAT)
{
_log.Info("Sending heartbeat inside sendraw");
}
InitializeHeader(message, seqNum);
if (Message.IsAdminMsgType(msgType))
{
this.Application.ToAdmin(message, this.SessionID);
if (MsgType.LOGON.Equals(msgType) && !state_.ReceivedReset)
{
Fields.ResetSeqNumFlag resetSeqNumFlag = new QuickFix.Fields.ResetSeqNumFlag(false);
if (message.IsSetField(resetSeqNumFlag))
message.GetField(resetSeqNumFlag);
if (resetSeqNumFlag.getValue())
{
state_.Reset("ResetSeqNumFlag");
message.Header.SetField(new Fields.MsgSeqNum(state_.GetNextSenderMsgSeqNum()));
}
state_.SentReset = resetSeqNumFlag.Obj;
}
}
else
{
try
{
this.Application.ToApp(message, this.SessionID);
}
catch (DoNotSend)
{
return false;
}
}
string messageString = message.ToString();
if (0 == seqNum)
Persist(message, messageString);
if (msgType == Fields.MsgType.HEARTBEAT)
{
_log.Info("about to send that heartbeat for real");
}
return Send(messageString, msgType == Fields.MsgType.HEARTBEAT);
}
}
private void _processMessage(TOMessage to)
{
try
{
if (null != to)
{
QuickFix.Message msgQF = to.MensagemQF;
string msgType = msgQF.Header.GetField(Tags.MsgType);
int account = 0;
string strAcc = string.Empty;
#region Limit Validation
// Atualizacao dos valores de limite, de acordo com o execution report
if (this.CalcularLimite)
{
if (this.Config.Bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
strAcc = msgQF.IsSetField(Tags.Account) ? msgQF.GetField(Tags.Account) : string.Empty;
if (!string.IsNullOrEmpty(strAcc))
{
account = Convert.ToInt32(strAcc.Remove(strAcc.Length - 1));
}
else
{
account = 0;
}
}
else
{
strAcc = msgQF.IsSetField(Tags.Account) ? msgQF.GetField(Tags.Account) : string.Empty;
if (!string.IsNullOrEmpty(strAcc))
{
account = Convert.ToInt32(strAcc);
}
else
{
account = 0;
}
}
bool bProfileInst = false;
LimitResponse retProfile = LimiteManager.LimitControl.GetInstance().VerifyInstitutionalProfile(account);
if (0 != retProfile.ErrorCode)
{
bProfileInst = true;
}
if (msgType == MsgType.EXECUTION_REPORT && !bProfileInst)
{
// Validar o perfil instituicional
QuickFix.FIX44.ExecutionReport er = (QuickFix.FIX44.ExecutionReport)msgQF;
// Bovespa
if (this.Config.Bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
// BOVESPA
decimal ultimoPreco = StreamerManager.GetInstance().GetLastPrice(er.Symbol.ToString());
if (Decimal.Zero != ultimoPreco)
{
LimitResponse ret = new LimitResponse();
decimal valorAlocado = er.OrderQty.getValue() * ultimoPreco;
// Retirar o digito verificador
string chaveAtual = er.ClOrdID.ToString() + "-" + strAcc + "-" + er.Symbol.ToString();
switch (er.OrdStatus.getValue())
{
// Alocar limite da parte e contra parte
case OrdStatus.NEW:
case OrdStatus.REPLACED:
case OrdStatus.CANCELED:
{
// Buscar o "new order" referencial para busca do TipoLimite
// toOrder = this.Initiator.GetTOOrderSession(chaveAtual);
if (null == to.Order)
{
logger.Info("RefOrder não encontrada (New): " + chaveAtual);
}
else
{
ret = LimiteManager.LimitControl.GetInstance().UpdateOperationalLimitBovespa(account, to.TipoLimite, valorAlocado, ultimoPreco, Convert.ToInt32(er.Side.ToString()), er.OrdStatus.getValue());
if (0 != ret.ErrorCode)
{
logger.Info("Erro na atualizacao do limite operacional Bovespa (New): " + ret.ErrorMessage);
}
}
}
break;
// Atualizar a quantidade executada
case OrdStatus.FILLED:
case OrdStatus.PARTIALLY_FILLED:
if (null != to.Order)
{
to.Order.CumQty = Convert.ToInt32(er.CumQty.getValue());
valorAlocado = er.CumQty.getValue() * ultimoPreco;
ret = LimiteManager.LimitControl.GetInstance().UpdateOperationalLimitBovespa(account, to.TipoLimite, valorAlocado, ultimoPreco, Convert.ToInt32(er.Side.ToString()), er.OrdStatus.getValue());
if (0 != ret.ErrorCode)
{
logger.Info("Erro na atualizacao do limite operacional Bovespa (Filled / Partially Filled): " + ret.ErrorMessage);
}
}
else
{
logger.Info("RefOrder não encontrada (New): " + chaveAtual);
}
break;
}
}
else
{
string symbol = er.IsSetSymbol() ? er.Symbol.getValue() : string.Empty;
logger.Info("Preco base (ultimo preco) zerado, ignorando o calculo do limite: " + symbol);
}
}
//bmf
else
{
// BMF
// account = er.IsSetField(Tags.Account)? Convert.ToInt32(er.Account.getValue()): 0;
LimitResponse ret = null;
string side = er.Side.getValue() == '1' ? "C" : "V";
switch (er.OrdStatus.getValue())
{
case OrdStatus.NEW:
ret = LimiteManager.LimitControl.GetInstance()
.UpdateOperationalLimitBMF(Convert.ToInt32(er.Account.getValue()), to.TipoLimite,
er.Symbol.getValue(), Convert.ToInt32(er.OrderQty.getValue()), 0, side);
break;
case OrdStatus.REPLACED:
{
int qtdResult = (-1) * (to.Order.OrderQty - to.Order.CumQty);
ret = LimiteManager.LimitControl.GetInstance()
.UpdateOperationalLimitBMF(Convert.ToInt32(er.Account.getValue()), to.TipoLimite,
er.Symbol.getValue(), qtdResult, Convert.ToInt32(er.OrderQty.getValue()), side);
}
break;
case OrdStatus.CANCELED:
{
int qtdResult = (-1) * (to.Order.OrderQty - to.Order.CumQty);
ret = LimiteManager.LimitControl.GetInstance()
.UpdateOperationalLimitBMF(Convert.ToInt32(er.Account.getValue()), to.TipoLimite,
er.Symbol.getValue(), qtdResult, 0, side);
}
break;
// Atualizando a quantidade de
case OrdStatus.FILLED:
case OrdStatus.PARTIALLY_FILLED:
if (null != to.Order)
{
to.Order.CumQty = Convert.ToInt32(er.CumQty.getValue());
}
break;
}
}
}
}
#endregion
// Efetuar verificacao da integracao utilizada, para efetuar a conversao do
switch (this.Config.IntegrationID)
{
case IntegrationId.BBG:
this._sendMessageBBGIntegration(msgType, msgQF, to, account);
break;
case IntegrationId.GRD:
case IntegrationId.IVF:
default:
this._sendDefaultMessageIntegration(msgQF, to, account);
break;
}
}
}
catch (Exception ex)
{
logger.Error("_processMessage(): " + ex.Message, ex);
}
}
public static List <QuickFix.FIX44.ExecutionReport> Fix44Rejection2ExecutionReportNOC(QuickFix.Message msgReject, QuickFix.FIX44.NewOrderCross noc)
{
try
{
QuickFix.FIX44.ExecutionReport er1 = new QuickFix.FIX44.ExecutionReport();
QuickFix.FIX44.ExecutionReport er2 = new QuickFix.FIX44.ExecutionReport();
er1.Set(new OrderID("NONE"));
er2.Set(new OrderID("NONE"));
if (noc.IsSetNoSides() && noc.NoSides.getValue() == 2)
{
QuickFix.Group grpNoSides = noc.GetGroup(1, Tags.NoSides);
if (grpNoSides.IsSetField(Tags.ClOrdID))
{
er1.Set(new ClOrdID(grpNoSides.GetField(Tags.ClOrdID)));
}
er1.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er1.Set(new ExecType(ExecType.REJECTED));
er1.Set(new OrdStatus(OrdStatus.REJECTED));
if (grpNoSides.IsSetField(Tags.Account))
{
er1.Set(new Account(grpNoSides.GetField(Tags.Account)));
}
er1.Set(new Symbol(noc.GetField(Tags.Symbol)));
if (noc.IsSetField(Tags.SecurityID))
{
er1.Set(new SecurityID(noc.GetField(Tags.SecurityID)));
}
if (noc.IsSetField(Tags.SecurityIDSource))
{
er1.Set(new SecurityIDSource(noc.GetField(Tags.SecurityIDSource)));
}
er1.Set(new Side(grpNoSides.GetChar(Tags.Side)));
er1.Set(new OrderQty(grpNoSides.GetDecimal(Tags.OrderQty)));
if (noc.IsSetField(Tags.OrdType))
{
er1.Set(new OrdType(noc.GetChar(Tags.OrdType)));
}
if (noc.IsSetField(Tags.Price))
{
er1.Set(new Price(noc.GetDecimal(Tags.Price)));
}
er1.Set(new LeavesQty(0));
er1.Set(new CumQty(0));
er1.Set(new AvgPx(Decimal.Zero));
DateTime transact1 = DateTime.UtcNow;
er1.Set(new TransactTime(transact1));
if (msgReject.IsSetField(Tags.Text))
{
er1.Set(new Text(msgReject.GetField(Tags.Text)));
}
grpNoSides = noc.GetGroup(2, Tags.NoSides);
if (grpNoSides.IsSetField(Tags.ClOrdID))
{
er2.Set(new ClOrdID(grpNoSides.GetField(Tags.ClOrdID)));
}
er2.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er2.Set(new ExecType(ExecType.REJECTED));
er2.Set(new OrdStatus(OrdStatus.REJECTED));
if (grpNoSides.IsSetField(Tags.Account))
{
er2.Set(new Account(grpNoSides.GetField(Tags.Account)));
}
er2.Set(new Symbol(noc.GetField(Tags.Symbol)));
if (noc.IsSetField(Tags.SecurityID))
{
er2.Set(new SecurityID(noc.GetField(Tags.SecurityID)));
}
if (noc.IsSetField(Tags.SecurityIDSource))
{
er2.Set(new SecurityIDSource(noc.GetField(Tags.SecurityIDSource)));
}
er2.Set(new Side(grpNoSides.GetChar(Tags.Side)));
er2.Set(new OrderQty(grpNoSides.GetDecimal(Tags.OrderQty)));
if (noc.IsSetField(Tags.OrdType))
{
er2.Set(new OrdType(noc.GetChar(Tags.OrdType)));
}
if (noc.IsSetField(Tags.Price))
{
er2.Set(new Price(noc.GetDecimal(Tags.Price)));
}
er2.Set(new LeavesQty(0));
er2.Set(new CumQty(0));
er2.Set(new AvgPx(Decimal.Zero));
DateTime transact2 = DateTime.UtcNow;
er2.Set(new TransactTime(transact2));
if (msgReject.IsSetField(Tags.Text))
{
er2.Set(new Text(msgReject.GetField(Tags.Text)));
}
}
List <QuickFix.FIX44.ExecutionReport> ret = new List <QuickFix.FIX44.ExecutionReport>();
ret.Add(er1);
ret.Add(er2);
return(ret);
}
catch (Exception ex)
{
logger.Error("Fix44Rejection2ExecutionReportNOC(): " + ex.Message, ex);
return(null);
}
}
public static QuickFix.FIX44.OrderCancelReject Fix44Reject2OrderCancelReject(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX44.OrderCancelReject ocr = new QuickFix.FIX44.OrderCancelReject();
if (msgOri.IsSetField(Tags.OrderID))
{
ocr.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
}
else
{
ocr.Set(new OrderID("NONE"));
}
ocr.Set(new ClOrdID(msgOri.GetString(Tags.ClOrdID))); // mandatory
ocr.Set(new OrigClOrdID(msgOri.GetString(Tags.OrigClOrdID))); // mandatory
ocr.Set(new OrdStatus(OrdStatus.REJECTED)); // mandatory
if (msgOri.IsSetField(Tags.Account))
{
ocr.SetField(new Account(msgOri.GetString(Tags.Account)));
}
if (msgOri.Header.GetString(Tags.MsgType).Equals(MsgType.ORDER_CANCEL_REQUEST)) // mandatory
{
ocr.Set(new CxlRejResponseTo('1'));
}
else
{
ocr.Set(new CxlRejResponseTo('2'));
}
if (msgReject.IsSetField(Tags.Text))
{
ocr.Set(new Text(msgReject.GetString(Tags.Text)));
}
// ocr.Set(new CxlRejReason(2137));
// Tratamento tag SecondaryOrderID
// Se nao vier na mensagem busca pelo TO
//if (msgOri.IsSetField(Tags.SecondaryOrderID))
//{
// ocr.Set(new SecondaryOrderID(msgOri.GetString(Tags.SecondaryOrderID)));
//}
//else
//{
// if (null != to)
// {
// if (!string.IsNullOrEmpty(to.SecondaryOrderID))
// ocr.Set(new SecondaryOrderID(to.SecondaryOrderID));
//
// if (!string.IsNullOrEmpty(to.TradeDate))
// ocr.Set(new TradeDate(to.TradeDate));
// }
//}
int len = msgOri.GetInt(Tags.NoPartyIDs);
for (int i = 0; i < len; i++)
{
Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
ocr.AddGroup(grp);
}
ocr.Set(new Symbol(msgOri.GetString(Tags.Symbol)));
if (msgOri.IsSetField(Tags.SecurityID))
{
ocr.Set(new SecurityID(msgOri.GetField(Tags.SecurityID)));
}
if (msgOri.IsSetField(Tags.SecurityIDSource))
{
ocr.Set(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
}
ocr.Set(new Side(msgOri.GetChar(Tags.Side)));
if (msgOri.IsSetField(Tags.Memo))
{
ocr.Set(new Memo(msgOri.GetString(Tags.Memo)));
}
return(ocr);
}
catch (Exception ex)
{
logger.Error("Fix44Reject2OrderCancelReject(): " + ex.Message, ex);
return(null);
}
}
public static QuickFix.FIX44.ExecutionReport Fix44Rejection2ExecutionReport(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX44.ExecutionReport er = new QuickFix.FIX44.ExecutionReport();
if (msgOri.IsSetField(Tags.OrderID))
{
er.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
}
else
{
er.Set(new OrderID("NONE"));
}
if (msgOri.IsSetField(Tags.ClOrdID))
{
er.Set(new ClOrdID(msgOri.GetField(Tags.ClOrdID)));
}
if (msgOri.IsSetField(Tags.OrigClOrdID))
{
er.Set(new OrigClOrdID(msgOri.GetField(Tags.OrigClOrdID)));
}
// Fazer atribuicao dos PartyIDs da mensagem original
int len = msgOri.GetInt(Tags.NoPartyIDs);
for (int i = 0; i < len; i++)
{
Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
er.AddGroup(grp);
}
er.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er.Set(new ExecType(ExecType.REJECTED));
er.Set(new OrdStatus(OrdStatus.REJECTED));
if (msgOri.IsSetField(Tags.Account))
{
er.Set(new Account(msgOri.GetField(Tags.Account)));
}
er.Set(new Symbol(msgOri.GetField(Tags.Symbol)));
if (msgOri.IsSetField(Tags.SecurityID))
{
er.Set(new SecurityID(msgOri.GetField(Tags.SecurityID)));
}
if (msgOri.IsSetField(Tags.SecurityIDSource))
{
er.Set(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
}
er.Set(new Side(msgOri.GetChar(Tags.Side)));
er.Set(new OrderQty(msgOri.GetDecimal(Tags.OrderQty)));
if (msgOri.IsSetField(Tags.OrdType))
{
er.Set(new OrdType(msgOri.GetChar(Tags.OrdType)));
}
if (msgOri.IsSetField(Tags.Price))
{
er.Set(new Price(msgOri.GetDecimal(Tags.Price)));
}
if (msgOri.IsSetField(Tags.StopPx))
{
er.Set(new StopPx(msgOri.GetDecimal(Tags.StopPx)));
}
if (msgOri.IsSetField(Tags.TimeInForce))
{
er.Set(new TimeInForce(msgOri.GetChar(Tags.TimeInForce)));
}
if (msgOri.IsSetField(Tags.ExpireDate))
{
er.Set(new ExpireDate(msgOri.GetField(Tags.ExpireDate)));
}
er.Set(new LeavesQty(0));
er.Set(new CumQty(0));
er.Set(new AvgPx(Decimal.Zero));
DateTime transact = DateTime.UtcNow;
er.Set(new TransactTime(transact));
if (msgOri.IsSetField(Tags.MaxFloor))
{
er.Set(new MaxFloor(msgOri.GetDecimal(Tags.MaxFloor)));
}
if (msgOri.IsSetField(Tags.Memo))
{
er.SetField(new Memo(msgOri.GetString(Tags.Memo)));
}
if (msgReject.IsSetField(Tags.Text))
{
er.Set(new Text(msgReject.GetField(Tags.Text)));
}
if (msgReject.IsSetField(Tags.OrderID))
{
er.Set(new OrderID(msgReject.GetField(Tags.OrderID)));
}
return(er);
}
catch (Exception ex)
{
logger.Error("Fix44Rejection2ExecutionReport(): " + ex.Message, ex);
return(null);
}
}
public static QuickFix.FIX42.OrderCancelReject Fix42Reject2OrderCancelReject(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX42.OrderCancelReject ocr = new QuickFix.FIX42.OrderCancelReject();
if (msgOri.IsSetField(Tags.OrderID))
{
ocr.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
}
else
{
ocr.Set(new OrderID("NONE"));
}
if (msgOri.IsSetField(Tags.SecondaryOrderID))
{
ocr.Set(new SecondaryOrderID(msgOri.GetString(Tags.SecondaryOrderID)));
}
if (msgOri.IsSetField(Tags.ClOrdID))
{
ocr.Set(new ClOrdID(msgOri.GetString(Tags.ClOrdID)));
}
if (msgOri.IsSetField(Tags.OrigClOrdID))
{
ocr.Set(new OrigClOrdID(msgOri.GetString(Tags.OrigClOrdID)));
}
ocr.Set(new OrdStatus(OrdStatus.REJECTED));
// if (msgOri.IsSetField(Tags.ClientID)) ocr.Set(new ClientID(msgOri.GetString(Tags.ClientID))); // not found on 4.4EP
// TODO[FF] - Verificar a montagem do execbroker a partir de party ids
// if (msgOri.IsSetField(Tags.ExecBroker)) ocr.Set(new ExecBroker(msgOri.GetString(Tags.ExecBroker))); // not found on 4.4EP
if (msgOri.IsSetField(Tags.ListID))
{
ocr.Set(new ListID(msgOri.GetString(Tags.ListID)));
}
if (msgOri.IsSetField(Tags.Account))
{
ocr.Set(new Account(msgOri.GetString(Tags.Account)));
}
if (msgOri.IsSetField(Tags.TransactTime))
{
ocr.Set(new TransactTime(msgOri.GetDateTime(Tags.TransactTime)));
}
if (msgOri.Header.GetString(Tags.MsgType).Equals(MsgType.ORDER_CANCEL_REQUEST)) // mandatory
{
ocr.Set(new CxlRejResponseTo('1'));
}
else
{
ocr.Set(new CxlRejResponseTo('2'));
}
//if (msgOri.IsSetField(Tags.CxlRejReason)) ocr.Set(new CxlRejReason(msgOri.GetInt(Tags.CxlRejReason)));
if (msgOri.IsSetField(Tags.CxlRejReason))
{
ocr.Set(new CxlRejReason(CxlRejReason.BROKER_OPTION));
}
if (msgOri.IsSetField(Tags.Text))
{
ocr.Set(new Text(msgOri.GetString(Tags.Text)));
}
if (msgOri.IsSetField(Tags.EncodedTextLen))
{
ocr.Set(new EncodedTextLen(msgOri.GetInt(Tags.EncodedTextLen)));
}
if (msgOri.IsSetField(Tags.EncodedText))
{
ocr.Set(new EncodedText(msgOri.GetString(Tags.EncodedText)));
}
if (msgOri.IsSetField(Tags.Memo))
{
ocr.SetField(new Memo(msgOri.GetString(Tags.Memo)));
}
/*
* if (msgOri.IsSetField(Tags.OrderID))
* ocr.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
* else
* ocr.Set(new OrderID("NONE"));
* ocr.Set(new ClOrdID(msgOri.GetString(Tags.ClOrdID))); // mandatory
* ocr.Set(new OrigClOrdID(msgOri.GetString(Tags.OrigClOrdID))); // mandatory
* ocr.Set(new OrdStatus(OrdStatus.REJECTED)); // mandatory
* if (msgOri.IsSetField(Tags.Account))
* ocr.SetField(new Account(msgOri.GetString(Tags.Account)));
* if (msgOri.Header.GetString(Tags.MsgType).Equals(MsgType.ORDER_CANCEL_REQUEST)) // mandatory
* ocr.Set(new CxlRejResponseTo('1'));
* else
* ocr.Set(new CxlRejResponseTo('2'));
* if (msgReject.IsSetField(Tags.Text))
* ocr.Set(new Text(msgReject.GetString(Tags.Text)));
* int len = msgOri.GetInt(Tags.NoPartyIDs);
* for (int i = 0; i < len; i++)
* {
* Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
* ocr.AddGroup(grp);
* }
* ocr.SetField(new Symbol(msgOri.GetString(Tags.Symbol)));
* if (msgOri.IsSetField(Tags.SecurityID)) ocr.SetField(new SecurityID(msgOri.GetField(Tags.SecurityID)));
* if (msgOri.IsSetField(Tags.SecurityIDSource)) ocr.SetField(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
* ocr.SetField(new Side(msgOri.GetChar(Tags.Side)));
* if (msgOri.IsSetField(Tags.Memo))
* ocr.SetField(new Memo(msgOri.GetString(Tags.Memo)));
*/
return(ocr);
}
catch (Exception ex)
{
logger.Error("Fix42Reject2OrderCancelReject(): " + ex.Message, ex);
return(null);
}
}
