private void SendExecReport(NewOrderSingle newOrderSingle, IExecutionEngineSettings settings)
{
OrdType ordType = newOrderSingle.OrdType;
Price price = new Price(10);
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = newOrderSingle.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET:
break;
default:
throw new IncorrectTagValue(ordType.Tag);
}
OrderQty orderQty = newOrderSingle.OrderQty;
var exReport = new QuickFix.FIX42.ExecutionReport();
exReport.CopyFromOrder(newOrderSingle);
exReport.Set(new ExecTransType(ExecTransType.NEW));
exReport.Set(new ExecType(ExecType.FILL));
exReport.Set(new LastPx(price.getValue()));
exReport.Set(new AvgPx(price.getValue()));
decimal qtyPerSlice = orderQty.getValue() *
((settings.EachFillPercentange ?? 100) / 100m);
decimal leaves = orderQty.getValue();
decimal cumQty = 0;
while (leaves != 0)
{
if (leaves <= qtyPerSlice)
{
leaves = 0;
qtyPerSlice = leaves;
exReport.Set(new OrdStatus(OrdStatus.FILLED));
}
else
{
leaves -= qtyPerSlice;
exReport.Set(new OrdStatus(OrdStatus.PARTIALLY_FILLED));
}
cumQty += qtyPerSlice;
exReport.Set(new OrderID(GenOrderID()));
exReport.Set(new ExecID(GenExecID()));
exReport.Set(new LeavesQty(leaves));
exReport.Set(new CumQty(cumQty));
exReport.Set(new LastShares(qtyPerSlice));
SendExecReport(exReport);
Thread.Sleep(Convert.ToInt32(settings.SecondsBetweenFills * 1000));
}
}
public ExecutionEngine42(ISession session, IExecutionEngineSettings executionEngineSettings)
: base(session)
{
_executionEngineSettings = executionEngineSettings;
}
