/// <summary>
/// Creates and returns a new <see cref="NewOrderSingle"/> FIX message.
/// </summary>
/// <param name="accountNumber">The account number.</param>
/// <param name="order">The order to submit.</param>
/// <param name="positionIdBroker">The optional broker position identifier.</param>
/// <param name="timeNow">The time now.</param>
/// <returns>The FIX message.</returns>
public static NewOrderSingle Create(
AccountNumber accountNumber,
Order order,
PositionIdBroker?positionIdBroker,
ZonedDateTime timeNow)
{
Debug.NotDefault(timeNow, nameof(timeNow));
var message = new NewOrderSingle();
message.SetField(new ClOrdID(order.Id.Value));
message.SetField(new Account(accountNumber.Value));
message.SetField(new Symbol(order.Symbol.Code));
message.SetField(FxcmMessageHelper.GetFixOrderSide(order.OrderSide));
message.SetField(FxcmMessageHelper.GetFixOrderType(order.OrderType));
message.SetField(FxcmMessageHelper.GetFixTimeInForce(order.TimeInForce));
message.SetField(new OrderQty(order.Quantity.Value));
message.SetField(new TransactTime(timeNow.ToDateTimeUtc()));
if (!(positionIdBroker is null))
{
message.SetField(new StringField(FxcmTags.PosID, positionIdBroker.Value));
}
if (order.ExpireTime.HasValue)
{
var expireTime = FxcmMessageHelper.ToExpireTimeFormat(order.ExpireTime.Value);
message.SetField(new StringField(126, expireTime));
}
// Add price
if (order.Price?.Value != null)
{
switch (order.OrderType)
{
case OrderType.Limit:
message.SetField(new Price(order.Price.Value));
break;
case OrderType.Stop:
message.SetField(new StopPx(order.Price.Value));
break;
case OrderType.StopLimit:
message.SetField(new StopPx(order.Price.Value));
break;
case OrderType.Market:
case OrderType.Undefined:
goto default;
default:
throw ExceptionFactory.InvalidSwitchArgument(order.OrderType, nameof(order.OrderType));
}
}
return(message);
}
/// <summary>
/// Creates and returns a new <see cref="OrderCancelRequest"/> FIX message.
/// </summary>
/// <param name="order">The order.</param>
/// <param name="transactionTime">The transaction time.</param>
/// <returns>The FIX message.</returns>
public static OrderCancelRequest Create(
Order order,
ZonedDateTime transactionTime)
{
Debug.NotDefault(transactionTime, nameof(transactionTime));
var message = new OrderCancelRequest();
message.SetField(new OrigClOrdID(order.Id.Value));
message.SetField(new OrderID(order.IdBroker?.Value));
message.SetField(new ClOrdID(order.Id.Value));
message.SetField(new Symbol(order.Symbol.Code));
message.SetField(new Quantity(order.Quantity.Value));
message.SetField(FxcmMessageHelper.GetFixOrderSide(order.OrderSide));
message.SetField(new TransactTime(transactionTime.ToDateTimeUtc()));
return(message);
}
/// <summary>
/// Creates and returns a new <see cref="OrderCancelReplaceRequest"/> FIX message.
/// </summary>
/// <param name="order">The order.</param>
/// <param name="modifiedQuantity">The quantity to modify the order to.</param>
/// <param name="modifiedPrice">The price to modify the order to.</param>
/// <param name="transactionTime">The transaction time.</param>
/// <returns>The FIX message.</returns>
public static OrderCancelReplaceRequest Create(
Order order,
decimal modifiedQuantity,
decimal modifiedPrice,
ZonedDateTime transactionTime)
{
Debug.NotDefault(transactionTime, nameof(transactionTime));
var message = new OrderCancelReplaceRequest();
message.SetField(new OrigClOrdID(order.Id.Value));
message.SetField(new OrderID(order.IdBroker?.Value));
message.SetField(new ClOrdID(order.Id.Value));
message.SetField(new Symbol(order.Symbol.Code));
message.SetField(new Quantity(modifiedQuantity));
message.SetField(FxcmMessageHelper.GetFixOrderSide(order.OrderSide));
message.SetField(new TransactTime(transactionTime.ToDateTimeUtc()));
message.SetField(FxcmMessageHelper.GetFixOrderType(order.OrderType));
// Set the order price depending on order type.
switch (order.OrderType)
{
case OrderType.Limit:
message.SetField(new Price(modifiedPrice));
break;
case OrderType.StopLimit:
message.SetField(new StopPx(modifiedPrice));
break;
case OrderType.Stop:
message.SetField(new StopPx(modifiedPrice));
break;
case OrderType.Market:
case OrderType.Undefined:
goto default;
default:
throw ExceptionFactory.InvalidSwitchArgument(order.OrderType, nameof(order.OrderType));
}
return(message);
}
/// <summary>
/// Creates and returns a new <see cref="NewOrderList"/> FIX message with contingency orders.
/// </summary>
/// <param name="symbolCode">The brokers symbol.</param>
/// <param name="accountNumber">The account number.</param>
/// <param name="bracketOrder">The bracket order.</param>
/// <param name="timeNow">The time now.</param>
/// <returns>The FIX message.</returns>
public static NewOrderList CreateWithStopLoss(
string symbolCode,
AccountNumber accountNumber,
BracketOrder bracketOrder,
ZonedDateTime timeNow)
{
Debug.NotEmptyOrWhiteSpace(symbolCode, nameof(symbolCode));
Debug.NotDefault(timeNow, nameof(timeNow));
var message = new NewOrderList();
message.SetField(new ListID(timeNow.TickOfDay.ToString()));
message.SetField(new TotNoOrders(2));
message.SetField(new ContingencyType(101));
message.SetField(new NoOrders(2));
message.SetField(new BidType(3));
message.SetField(new TransactTime(timeNow.ToDateTimeUtc()));
// Order 1
var entry = bracketOrder.Entry;
var order1 = new NewOrderList.NoOrdersGroup();
order1.SetField(new ClOrdID(entry.Id.Value));
order1.SetField(new ListSeqNo(0));
order1.SetField(new ClOrdLinkID("1"));
order1.SetField(new Account(accountNumber.Value));
order1.SetField(new Symbol(symbolCode));
order1.SetField(FxcmMessageHelper.GetFixOrderSide(entry.OrderSide));
order1.SetField(FxcmMessageHelper.GetFixOrderType(entry.OrderType));
order1.SetField(FxcmMessageHelper.GetFixTimeInForce(entry.TimeInForce));
order1.SetField(new OrderQty(entry.Quantity.Value));
// Add price
if (entry.Price?.Value != null)
{
switch (entry.OrderType)
{
case OrderType.Limit:
order1.SetField(new Price(entry.Price.Value));
break;
case OrderType.Stop:
order1.SetField(new StopPx(entry.Price.Value));
break;
case OrderType.StopLimit:
order1.SetField(new StopPx(entry.Price.Value));
break;
case OrderType.Market:
case OrderType.Undefined:
goto default;
default:
throw ExceptionFactory.InvalidSwitchArgument(entry.OrderType, nameof(entry.OrderType));
}
}
// Optional tags
if (entry.ExpireTime.HasValue)
{
var expireTime = FxcmMessageHelper.ToExpireTimeFormat(entry.ExpireTime.Value);
order1.SetField(new StringField(126, expireTime));
}
// Order 2 -----------------------------------------------------------------------------
var stopLoss = bracketOrder.StopLoss;
var order2 = new NewOrderList.NoOrdersGroup();
order2.SetField(new ClOrdID(stopLoss.Id.Value));
order2.SetField(new ListSeqNo(1));
order2.SetField(new ClOrdLinkID("2"));
order2.SetField(new Account(accountNumber.Value));
order2.SetField(new Symbol(symbolCode));
order2.SetField(FxcmMessageHelper.GetFixOrderSide(stopLoss.OrderSide));
order2.SetField(new OrdType(OrdType.STOP));
order2.SetField(FxcmMessageHelper.GetFixTimeInForce(stopLoss.TimeInForce));
order2.SetField(new OrderQty(stopLoss.Quantity.Value));
// Stop-loss orders should always have a stop price
if (stopLoss.Price?.Value != null)
{
order2.SetField(new StopPx(stopLoss.Price.Value));
}
message.AddGroup(order1);
message.AddGroup(order2);
return(message);
}
