public void OnMessage(QuickFix.FIX42.ExecutionReport m, SessionID s)
{
_mainform._addMsg("Received execution report (4.2)\r\n");
string msg = "Order Dump Begin =======================\r\n";
msg += "\r\n";
msg += "OrdemInfo:\r\n";
msg += "==========\r\n";
msg += "Account .........: " + m.Account.getValue() + "\r\n";
msg += "Numero da ordem .: " + m.ClOrdID.getValue() + "\r\n";
msg += "Symbol ..........: " + m.Symbol.getValue() + "\r\n";
msg += "ExchangeNumber ..: " + m.OrderID.getValue() + "\r\n";
msg += "Status ..........: " + m.OrdStatus.getValue() + "\r\n";
msg += "Status ..........: " + FixMessageUtilities.TraduzirOrdemStatus(m.OrdStatus.getValue()) + "\r\n";
msg += "Quantidade ......: " + m.OrderQty.getValue() + "\r\n";
msg += "Qtde restante ...: " + (m.OrderQty.getValue() - m.CumQty.getValue()) + "\r\n";
if (m.IsSetLastPx())
{
msg += "Preco ...........: " + m.LastPx.getValue() + "\r\n";
}
if (m.IsSetText())
{
msg += "Text ............: [" + m.Text.getValue() + "]\r\n";
}
if (m.IsSetField(5149))
{
msg += "Memo5149 ........: " + m.GetString(5149) + "\r\n";
}
msg += "\r\n";
msg += "\r\nOrder Dump End =========================\r\n";
_mainform._addMsg(msg);
}
public bool AlterarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "", string senderSubID = "", string extraTags = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.OrderCancelReplaceRequest ordercrr = new QuickFix.FIX42.OrderCancelReplaceRequest();
ordercrr.Set(new Account(ordem.Account.ToString()));
if (!string.IsNullOrEmpty(mnemonic))
{
ordercrr.SetField(new Account(mnemonic), true);
}
if (!string.IsNullOrEmpty(senderSubID))
{
ordercrr.Header.SetField(new SenderSubID(senderSubID), true);
}
ordercrr.Set(new Symbol(ordem.Symbol));
ordercrr.Set(new ClOrdID(ordem.ClOrdID));
ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));
if (ordem.ExchangeNumberID != null && ordem.ExchangeNumberID.Length > 0)
{
ordercrr.Set(new OrderID(ordem.ExchangeNumberID));
}
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordercrr.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordercrr.Set(new Side(Side.SELL));
}
else
{
ordercrr.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordercrr.Set(tif);
}
ordercrr.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordercrr.Set(ordType);
}
// Para versao 4.2, os novos tipos de OrdType a serem enviados (5, A ou B);
if (!string.IsNullOrEmpty(ordem.Memo5149))
{
ordercrr.SetField(new OrdType(Convert.ToChar(ordem.Memo5149)), true);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
case OrdemTipoEnum.StopLimitada:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopStart:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
default:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordercrr.Set(new TransactTime(DateTime.Now));
ordercrr.Set(new HandlInst('1'));
ordercrr.Set(new ExecBroker("227"));
if (ordem.MaxFloor > 0)
{
ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount("67"));
ordercrr.AddGroup(noAllocsGrp);
bool bRet = false;
// Tags Customizadas Bloomberg
if (!string.IsNullOrEmpty(extraTags))
{
string[] arr = extraTags.Split(';');
for (int i = 0; i < arr.Length; i++)
{
if (!string.IsNullOrEmpty(arr[i]))
{
string[] valor = arr[i].Split('=');
StringField fld = new StringField(Convert.ToInt32(valor[0]), valor[1]);
ordercrr.SetField(fld);
}
}
}
if (oriini != 0 && orifim != 0)
{
long times = fim - ini;
logger.Info("=====================================> INICIO ALTERAR ORDEM========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
ordercrr.ClOrdID = xx;
ordercrr.OrigClOrdID = xx2;
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
oriini++;
}
logger.Info("=====================================> FIM ALTERAR ORDEM========> Qtd: " + times);
}
else
{
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
}
return(bRet);
}
public bool EnviarOrdemCross(OrdemCrossInfo crossinfo)
{
OrdemInfo ordemCompra = crossinfo.OrdemInfoCompra;
OrdemInfo ordemVenda = crossinfo.OrdemInfoVenda;
// Cria mensagem de new order cross -
// Essa mensagem nao é padrao do 4.2 - some weird f*****g things can
// f*****g happen with this f*****g shit code
QuickFix.FIX44.NewOrderCross ordercross = new QuickFix.FIX44.NewOrderCross();
ordercross.Set(new CrossID(crossinfo.CrossID));
// Unico valor aceito 1 - Negocio executado total ou parcial
ordercross.Set(new CrossType(1));
// Prioridade de uma das pontas. Unico valor aceito: 0 - nenhuma
ordercross.Set(new CrossPrioritization(0));
// Ordem cross, sempre 2 pernas
// Informacoes da perna de compra
QuickFix.FIX44.NewOrderCross.NoSidesGroup sideGroupC = new QuickFix.FIX44.NewOrderCross.NoSidesGroup();
sideGroupC.Set(new Side(Side.BUY));
sideGroupC.Set(new ClOrdID(ordemCompra.ClOrdID));
if (ordemCompra.Account > 0)
{
sideGroupC.Set(new Account(ordemCompra.Account.ToString()));
}
sideGroupC.Set(new OrderQty(ordemCompra.OrderQty));
//sideGroupC.Set(new PositionEffect('C'));
if (ordemCompra.PositionEffect != null && ordemCompra.PositionEffect.Equals("C"))
{
sideGroupC.Set(new PositionEffect('C'));
}
// PartIDs Compra
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC1.Set(new PartyID(ordemCompra.ExecBroker));
PartyIDGroupC1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC2 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC2.Set(new PartyID("227"));
PartyIDGroupC2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC2.Set(new PartyRole(PartyRole.ENTERING_FIRM));
// Sender Location
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC3.Set(new PartyID("GRA"));
PartyIDGroupC3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC3.Set(new PartyRole(54));
// Adiciono os partIDs ao Side (perna de Compra)
sideGroupC.AddGroup(PartyIDGroupC1);
sideGroupC.AddGroup(PartyIDGroupC2);
sideGroupC.AddGroup(PartyIDGroupC3);
//BEI - 2012-Nov-14
if (ordemCompra.ForeignFirm != null && ordemCompra.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupC4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupC4.Set(new PartyID(ordemCompra.ForeignFirm));
PartyIDGroupC4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupC4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
sideGroupC.AddGroup(PartyIDGroupC4);
}
//SelfTradeProtection - 2012-Nov-27
if (ordemCompra.InvestorID != null && ordemCompra.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(ordemCompra.InvestorID));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.INVESTOR_ID));
sideGroupC.AddGroup(PartyIDGroup4);
}
if (ordemCompra.Account > 0)
{
QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrpC = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
noAllocsGrpC.Set(new AllocAccount(ordemCompra.Account.ToString()));
noAllocsGrpC.Set(new AllocAcctIDSource(99));
sideGroupC.AddGroup(noAllocsGrpC);
}
// Insere informacoes da perna de venda
QuickFix.FIX44.NewOrderCross.NoSidesGroup sideGroupV = new QuickFix.FIX44.NewOrderCross.NoSidesGroup();
sideGroupV.Set(new Side(Side.SELL));
sideGroupV.Set(new ClOrdID(ordemVenda.ClOrdID));
if (ordemVenda.Account > 0)
{
sideGroupV.Set(new Account(ordemVenda.Account.ToString()));
}
sideGroupV.Set(new OrderQty(ordemVenda.OrderQty));;
sideGroupV.Set(new PositionEffect('C'));
if (ordemVenda.PositionEffect != null && ordemVenda.PositionEffect.Equals("C"))
{
sideGroupV.Set(new PositionEffect('C'));
}
// Cliente
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup1.Set(new PartyID(ordemVenda.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));
// Sender Location ID
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup3.Set(new PartyID("GRA"));
PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup3.Set(new PartyRole(54));
// Adiciono os partIDs ao Side (perna de venda)
sideGroupV.AddGroup(PartyIDGroup1);
sideGroupV.AddGroup(PartyIDGroup2);
sideGroupV.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-14
if (ordemVenda.ForeignFirm != null && ordemVenda.ForeignFirm.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroupV4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroupV4.Set(new PartyID(ordemVenda.ForeignFirm));
PartyIDGroupV4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroupV4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
sideGroupV.AddGroup(PartyIDGroupV4);
}
//SelfTradeProtection - 2012-Nov-27
if (ordemVenda.InvestorID != null && ordemVenda.InvestorID.Length > 0)
{
QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.NewOrderSingle.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(ordemVenda.InvestorID));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.INVESTOR_ID));
sideGroupV.AddGroup(PartyIDGroup4);
}
if (ordemVenda.Account > 0)
{
QuickFix.FIX44.NewOrderSingle.NoAllocsGroup noAllocsGrpV = new QuickFix.FIX44.NewOrderSingle.NoAllocsGroup();
noAllocsGrpV.Set(new AllocAccount(ordemVenda.Account.ToString()));
noAllocsGrpV.Set(new AllocAcctIDSource(99));
sideGroupV.AddGroup(noAllocsGrpV);
}
// Insere os grupos das 2 pernas
ordercross.AddGroup(sideGroupC);
ordercross.AddGroup(sideGroupV);
ordercross.Set(new Symbol(crossinfo.Symbol));
if (crossinfo.SecurityID != null &&
crossinfo.SecurityID.Length > 0)
{
ordercross.Set(new SecurityID(crossinfo.SecurityID));
ordercross.Set(new SecurityIDSource("8"));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(crossinfo.OrdType);
if (ordType != null)
{
ordercross.Set(ordType);
}
ordercross.Set(new Price(Convert.ToDecimal(crossinfo.Price)));
ordercross.Set(new TransactTime(DateTime.Now));
// Memo Field
if (crossinfo.Memo5149 != null && crossinfo.Memo5149.Length > 0)
{
if (crossinfo.Memo5149.Length > 50)
{
crossinfo.Memo5149 = crossinfo.Memo5149.Substring(0, 50);
}
StringField memo5149 = new StringField(5149, crossinfo.Memo5149);
ordercross.SetField(memo5149);
}
bool bRet = Session.SendToTarget(ordercross, _session.SessionID);
return(bRet);
}
/*
* public void ExecOrders(object arg)
* {
* NewOrderSingle ordem = (NewOrderSingle)arg;
* long clordid = Convert.ToInt64(DateTime.Now.ToString("yyyyMMddhhmmssfff"));
* bool bRet;
* logger.Info("=====================================> INICIO ========> Regs: " + _times);
* for (int i =0; i<_times; i++)
* {
* ClOrdID xx = new ClOrdID(clordid++.ToString());
* ordem.ClOrdID = xx;
* //Thread.Sleep(1);
* bRet = Session.SendToTarget(ordem, _session.SessionID);
* }
* logger.Info("=====================================> FIM ========> Regs: " + _times);
* }
*/
public bool AlterarOrdem(OrdemInfo ordem, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX44.OrderCancelReplaceRequest orderCancelReplaceReq = new QuickFix.FIX44.OrderCancelReplaceRequest();
orderCancelReplaceReq.Set(new OrigClOrdID(ordem.OrigClOrdID));
if (ordem.Account > 0)
{
orderCancelReplaceReq.Set(new Account(ordem.Account.ToString()));
}
if (!string.IsNullOrEmpty(mnemonic))
{
orderCancelReplaceReq.SetField(new Account(mnemonic), true);
}
// Instrument Identification Block
orderCancelReplaceReq.Set(new Symbol(ordem.Symbol));
orderCancelReplaceReq.Set(new SecurityID(ordem.SecurityID));
orderCancelReplaceReq.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
if (ordem.ExchangeNumberID != null && ordem.ExchangeNumberID.Length > 0)
{
orderCancelReplaceReq.Set(new OrderID(ordem.ExchangeNumberID));
}
orderCancelReplaceReq.Set(new ClOrdID(ordem.ClOrdID));
//ordersingle.set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
orderCancelReplaceReq.Set(new Side(Side.SELL));
}
else
{
orderCancelReplaceReq.Set(new Side(Side.BUY));
}
orderCancelReplaceReq.Set(new Price(Convert.ToDecimal(ordem.Price)));
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
orderCancelReplaceReq.Set(tif);
}
orderCancelReplaceReq.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
orderCancelReplaceReq.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
orderCancelReplaceReq.Set(ordType);
}
//if (ordem.OrdType == OrdemTipoEnum.StopLimitada )
//{
// ordersingle.set(new StopPx(ordem.StopPx));
//}
orderCancelReplaceReq.Set(new TransactTime(DateTime.Now));
// Cliente
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup1.Set(new PartyID(ordem.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.OrderCancelReplaceRequest.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.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.OrderCancelReplaceRequest.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(54));
orderCancelReplaceReq.AddGroup(PartyIDGroup1);
orderCancelReplaceReq.AddGroup(PartyIDGroup2);
orderCancelReplaceReq.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-14
if (ordem.ForeignFirm != null && ordem.ForeignFirm.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(ordem.ForeignFirm));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
orderCancelReplaceReq.AddGroup(PartyIDGroup4);
}
if (ordem.Account > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX44.OrderCancelReplaceRequest.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount(ordem.Account.ToString()));
noAllocsGrp.Set(new AllocAcctIDSource(99));
orderCancelReplaceReq.AddGroup(noAllocsGrp);
}
//SelfTradeProtection - 2012-Nov-27
if (ordem.InvestorID != null && ordem.InvestorID.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup5 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup5.Set(new PartyID(ordem.InvestorID));
PartyIDGroup5.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup5.Set(new PartyRole(PartyRole.INVESTOR_ID));
orderCancelReplaceReq.AddGroup(PartyIDGroup5);
}
if (ordem.ExecutingTrader != null && ordem.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(ordem.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
orderCancelReplaceReq.AddGroup(PartyIDGroup7);
}
// 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);
orderCancelReplaceReq.SetField(memo5149);
}
bool bRet = false;
if (oriini != 0 && orifim != 0)
{
long times = fim - ini;
logger.Info("=====================================> INICIO ALTERAR ORDEM========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
orderCancelReplaceReq.ClOrdID = xx;
orderCancelReplaceReq.OrigClOrdID = xx2;
bRet = Session.SendToTarget(orderCancelReplaceReq, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
oriini++;
//System.Windows.Forms.Application.DoEvents();
}
logger.Info("=====================================> FIM ALTERAR ORDEM========> Qtd: " + times);
}
else
{
bRet = Session.SendToTarget(orderCancelReplaceReq, _session.SessionID);
}
return(bRet);
}
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 static OrdemInfo Fix44ExecutionReport2OrdemInfo(QuickFix.FIX44.ExecutionReport er, FixSessionItem cfg)
{
try
{
OrdemInfo order = new OrdemInfo();
string descricao = string.Empty;
// order = new OrdemInfo();
order.Account = Convert.ToInt32(er.IsSetAccount() ? er.Account.getValue() : "0");
order.Exchange = cfg.Bolsa;
order.ChannelID = cfg.Operador;
order.ClOrdID = er.ClOrdID.ToString();//chaveClOrdId;
order.OrigClOrdID = er.IsSetOrigClOrdID() ? er.OrigClOrdID.getValue() : null;
order.ExecBroker = "227";
if (er.IsSetExpireDate())
{
string expdate = er.ExpireDate.getValue() + "235959";
order.ExpireDate = DateTime.ParseExact(expdate, "yyyyMMddHHmmss", CultureInfo.InvariantCulture);
}
else
{
order.ExpireDate = DateTime.MinValue;
}
order.MaxFloor = er.IsSetMaxFloor() ? Convert.ToDouble(er.MaxFloor.getValue()) : 0;
order.MinQty = er.IsSetMinQty() ? Convert.ToDouble(er.MinQty.getValue()) : 0;
order.OrderQty = Convert.ToInt32(er.IsSetOrderQty() ? er.OrderQty.getValue() : 0);
order.OrdType = FixMessageUtilities.TraduzirOrdemTipo(er.OrdType.getValue());
order.Price = er.IsSetPrice() ? Convert.ToDouble(er.Price.getValue()) : 0;
order.SecurityID = er.IsSetSecurityID() ? er.SecurityID.ToString() : null;
order.Side = er.IsSetSide() ? (OrdemDirecaoEnum)Convert.ToInt32(er.Side.ToString()) : OrdemDirecaoEnum.NaoInformado;
order.Symbol = er.IsSetSymbol() ? er.Symbol.ToString() : null;
order.TimeInForce = er.IsSetTimeInForce() ? FixMessageUtilities.deTimeInForceParaOrdemValidade(er.TimeInForce) : OrdemValidadeEnum.NaoInformado;
//}
order.ExchangeNumberID = er.IsSetOrderID() ? er.OrderID.getValue() : null;
order.OrderQtyRemmaining = Convert.ToInt32(er.IsSetLeavesQty() ? er.LeavesQty.getValue() : 0);
order.CumQty = Convert.ToInt32(er.IsSetCumQty() ? er.CumQty.getValue() : 0);
order.OrdStatus = FixMessageUtilities.TraduzirOrdemStatus(er.OrdStatus.getValue());
order.Memo5149 = er.IsSetField(5149) ? er.GetField(5149) : String.Empty;
order.PossDupFlag = er.Header.IsSetField(Tags.PossDupFlag) ? er.Header.GetBoolean(Tags.PossDupFlag) : false;
order.PossResend = er.Header.IsSetField(Tags.PossResend) ? er.Header.GetBoolean(Tags.PossResend) : false;
order.CompIDBolsa = er.Header.IsSetField(Tags.SenderCompID) ? er.Header.GetString(Tags.SenderCompID) : cfg.SenderCompID;
order.CompIDOMS = er.Header.IsSetField(Tags.TargetCompID) ? er.Header.GetString(Tags.TargetCompID) : cfg.TargetCompID;
switch (order.OrdStatus)
{
case OrdemStatusEnum.NOVA:
descricao = "Ordem aberta";
order.RegisterTime = DateTime.Now;
break;
case OrdemStatusEnum.CANCELADA:
descricao = "Ordem cancelada";
break;
case OrdemStatusEnum.PARCIALMENTEEXECUTADA:
descricao = "Ordem com execucao parcial";
break;
case OrdemStatusEnum.SUSPENSA:
descricao = "Ordem suspensa";
break;
case OrdemStatusEnum.EXECUTADA:
descricao = "Ordem executada";
break;
case OrdemStatusEnum.SUBSTITUIDA:
descricao = "Ordem substituida";
break;
case OrdemStatusEnum.REJEITADA:
if (er.IsSetText())
{
descricao = er.Text.getValue();
}
break;
}
order.TransactTime = DateTime.Now;
// Try get the msg seq number
order.FixMsgSeqNum = er.Header.IsSetField(Tags.MsgSeqNum) ? er.Header.GetInt(Tags.MsgSeqNum) : 0;
order.ProtectionPrice = Convert.ToDecimal(er.IsSetField(35001) ? er.GetString(35001) : "0");
// Setando informações de acompanhamento
AcompanhamentoOrdemInfo acompanhamento = new AcompanhamentoOrdemInfo();
acompanhamento.NumeroControleOrdem = order.ClOrdID;
acompanhamento.CodigoDoCliente = order.Account;
acompanhamento.CodigoResposta = order.ExchangeNumberID;
acompanhamento.CodigoTransacao = er.IsSetExecID() ? er.ExecID.getValue() : null;
acompanhamento.Instrumento = order.Symbol;
acompanhamento.SecurityID = order.SecurityID;
acompanhamento.CanalNegociacao = order.ChannelID;
acompanhamento.Direcao = order.Side;
acompanhamento.QuantidadeSolicitada = order.OrderQty;
acompanhamento.QuantidadeExecutada = (int)er.CumQty.getValue();
acompanhamento.QuantidadeRemanescente = (int)er.LeavesQty.getValue();
acompanhamento.QuantidadeNegociada = er.IsSetLastQty() ? (int)er.LastQty.getValue() : 0;
acompanhamento.Preco = new Decimal(order.Price);
acompanhamento.StatusOrdem = FixMessageUtilities.TraduzirOrdemStatus(er.OrdStatus.getValue());
acompanhamento.DataOrdemEnvio = order.TransactTime;
acompanhamento.DataAtualizacao = DateTime.Now;
acompanhamento.CodigoRejeicao = er.IsSetOrdRejReason() ? er.OrdRejReason.ToString() : "0";
acompanhamento.Descricao = descricao;
// Try get the msg seq number
acompanhamento.FixMsgSeqNum = er.Header.IsSetField(Tags.MsgSeqNum) ? er.Header.GetInt(Tags.MsgSeqNum) : 0;
acompanhamento.LastPx = er.IsSetLastPx() ? (Decimal)er.LastPx.getValue() : new Decimal(order.Price);
acompanhamento.TradeDate = er.IsSetTradeDate() ? er.TradeDate.getValue() : DateTime.Now.ToString("yyyyMMdd");
//BEI Fields
//Added in 2012-Nov-13 by ATP
acompanhamento.ExchangeOrderID = er.IsSetField(35022) ? er.GetString(35022) : String.Empty;
acompanhamento.ExchangeExecID = er.IsSetField(35023) ? er.GetString(35023) : String.Empty;
acompanhamento.LastPxInIssuedCurrency = Convert.ToDecimal(er.IsSetField(35024) ? er.GetString(35024) : "0");
acompanhamento.PriceInIssuedCurrency = Convert.ToDecimal(er.IsSetField(35025) ? er.GetString(35025) : "0");
acompanhamento.ExchangeSecondaryOrderID = er.IsSetField(35026) ? er.GetString(35026) : String.Empty;
acompanhamento.TradeLinkID = er.IsSetField(820) ? er.GetString(820) : String.Empty;
acompanhamento.OrderLinkID = er.IsSetField(5975) ? er.GetString(5975) : String.Empty;
acompanhamento.ExchangeQuoteID = er.IsSetField(5001) ? er.GetString(5001) : String.Empty;
acompanhamento.PossDupFlag = er.Header.IsSetField(Tags.PossDupFlag) ? er.Header.GetBoolean(Tags.PossDupFlag) : false;
acompanhamento.PossResend = er.Header.IsSetField(Tags.PossResend) ? er.Header.GetBoolean(Tags.PossResend) : false;
acompanhamento.CompIDBolsa = er.Header.IsSetField(Tags.SenderCompID) ? er.Header.GetString(Tags.SenderCompID) : cfg.SenderCompID;
acompanhamento.CompIDOMS = er.Header.IsSetField(Tags.TargetCompID) ? er.Header.GetString(Tags.TargetCompID) : cfg.TargetCompID;
if (er.IsSetNoMiscFees())
{
int ocorr = er.GetInt(Tags.NoMiscFees);// noMiscFees.getValue();
for (uint i = 0; i < ocorr; i++)
{
EmolumentoInfo emol = new EmolumentoInfo();
Group feeGroup = er.GetGroup((int)i, Tags.NoMiscFees);
emol.Valor = Convert.ToDecimal(feeGroup.IsSetField(Tags.MiscFeeAmt) ? feeGroup.GetString(Tags.MiscFeeAmt) : "0");
emol.BaseEmolumento = Convert.ToInt32(feeGroup.IsSetField(Tags.MiscFeeBasis) ? feeGroup.GetString(Tags.MiscFeeBasis) : "0");
emol.Currency = feeGroup.GetString(Tags.MiscFeeCurr);
emol.Tipo = (EmolumentoTipoEnum)feeGroup.GetInt(Tags.MiscFeeType);
}
}
// Adicionando informações de acompanhamento ao OrdemInfo
order.Acompanhamentos.Clear();
order.Acompanhamentos.Add(acompanhamento);
return(order);
}
catch (Exception ex)
{
logger.Error("Fix44ExecutionReport2OrdemInfo(): " + ex.Message, ex);
}
return(null);
}
public bool AlterarOrdem(OrdemInfo ordem)
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.OrderCancelReplaceRequest ordercrr = new QuickFix.FIX42.OrderCancelReplaceRequest();
ordercrr.Set(new Account(ordem.Account.ToString()));
ordercrr.Set(new Symbol(ordem.Symbol));
ordercrr.Set(new ClOrdID(ordem.ClOrdID));
ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));
if (ordem.ExchangeNumberID != null && ordem.ExchangeNumberID.Length > 0)
{
ordercrr.Set(new OrderID(ordem.ExchangeNumberID));
}
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordercrr.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordercrr.Set(new Side(Side.SELL));
}
else
{
ordercrr.Set(new Side(Side.BUY));
}
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
ordercrr.Set(tif);
}
ordercrr.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
ordercrr.Set(ordType);
}
// Verifica envio do preco
switch (ordem.OrdType)
{
case OrdemTipoEnum.Limitada:
case OrdemTipoEnum.MarketWithLeftOverLimit:
case OrdemTipoEnum.StopLimitada:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
case OrdemTipoEnum.StopStart:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
break;
case OrdemTipoEnum.Mercado:
case OrdemTipoEnum.OnClose:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
default:
ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
break;
}
ordercrr.Set(new TransactTime(DateTime.Now));
ordercrr.Set(new HandlInst('1'));
ordercrr.Set(new ExecBroker("227"));
if (ordem.MaxFloor > 0)
{
ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
}
if (ordem.MinQty > 0)
{
ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
}
QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount("67"));
ordercrr.AddGroup(noAllocsGrp);
bool bRet = Session.SendToTarget(ordercrr, _session.SessionID);
return(bRet);
}
public bool AlterarOrdem(OrdemInfo ordem)
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX44.OrderCancelReplaceRequest orderCancelReplaceReq = new QuickFix.FIX44.OrderCancelReplaceRequest();
orderCancelReplaceReq.Set(new OrigClOrdID(ordem.OrigClOrdID));
if (ordem.Account > 0)
{
orderCancelReplaceReq.Set(new Account(ordem.Account.ToString()));
}
// Instrument Identification Block
orderCancelReplaceReq.Set(new Symbol(ordem.Symbol));
orderCancelReplaceReq.Set(new SecurityID(ordem.SecurityID));
orderCancelReplaceReq.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));
if (ordem.ExchangeNumberID != null && ordem.ExchangeNumberID.Length > 0)
{
orderCancelReplaceReq.Set(new OrderID(ordem.ExchangeNumberID));
}
orderCancelReplaceReq.Set(new ClOrdID(ordem.ClOrdID));
//ordersingle.set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
orderCancelReplaceReq.Set(new Side(Side.SELL));
}
else
{
orderCancelReplaceReq.Set(new Side(Side.BUY));
}
orderCancelReplaceReq.Set(new Price(Convert.ToDecimal(ordem.Price)));
TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
if (tif != null)
{
orderCancelReplaceReq.Set(tif);
}
orderCancelReplaceReq.Set(new OrderQty(ordem.OrderQty));
if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
{
DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
orderCancelReplaceReq.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
}
OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
if (ordType != null)
{
orderCancelReplaceReq.Set(ordType);
}
//if (ordem.OrdType == OrdemTipoEnum.StopLimitada )
//{
// ordersingle.set(new StopPx(ordem.StopPx));
//}
orderCancelReplaceReq.Set(new TransactTime(DateTime.Now));
// Cliente
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup1.Set(new PartyID(ordem.ExecBroker));
PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));
// Corretora
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.OrderCancelReplaceRequest.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.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.OrderCancelReplaceRequest.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(54));
orderCancelReplaceReq.AddGroup(PartyIDGroup1);
orderCancelReplaceReq.AddGroup(PartyIDGroup2);
orderCancelReplaceReq.AddGroup(PartyIDGroup3);
//BEI - 2012-Nov-14
if (ordem.ForeignFirm != null && ordem.ForeignFirm.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup4.Set(new PartyID(ordem.ForeignFirm));
PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));
orderCancelReplaceReq.AddGroup(PartyIDGroup4);
}
if (ordem.Account > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX44.OrderCancelReplaceRequest.NoAllocsGroup();
noAllocsGrp.Set(new AllocAccount(ordem.Account.ToString()));
noAllocsGrp.Set(new AllocAcctIDSource(99));
orderCancelReplaceReq.AddGroup(noAllocsGrp);
}
//SelfTradeProtection - 2012-Nov-27
if (ordem.InvestorID != null && ordem.InvestorID.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup5 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup5.Set(new PartyID(ordem.InvestorID));
PartyIDGroup5.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup5.Set(new PartyRole(PartyRole.INVESTOR_ID));
orderCancelReplaceReq.AddGroup(PartyIDGroup5);
}
if (ordem.ExecutingTrader != null && ordem.ExecutingTrader.Length > 0)
{
QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.OrderCancelReplaceRequest.NoPartyIDsGroup();
PartyIDGroup7.Set(new PartyID(ordem.ExecutingTrader));
PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));
orderCancelReplaceReq.AddGroup(PartyIDGroup7);
}
// 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);
orderCancelReplaceReq.SetField(memo5149);
}
bool bRet = Session.SendToTarget(orderCancelReplaceReq, _session.SessionID);
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);
}
