Exemplo n.º 1
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 public QuickFix.ClOrdID getClOrdID()
 {
     QuickFix.ClOrdID value = new QuickFix.ClOrdID();
     getField(value); return value;
 }
Exemplo n.º 2
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 public bool isSet(QuickFix.ClOrdID field)
 {
     return(isSetField(field));
 }
Exemplo n.º 3
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        /// <summary>
        /// submit an order to IB using a incomming FIX new order single
        /// </summary>
        /// <param name="myMsg"></param>
        private void submitOrder(KaiTrade.Interfaces.IMessage myMsg)
        {
            QuickFix.Message myQFOrder = null;
            try
            {
                // Extract the raw FIX Message from the inbound message
                string strOrder = myMsg.Data;

                // Use QuickFix to handle the message
                myQFOrder = new QuickFix.Message(strOrder);

                // Use product manager to validate the product specified on
                // the order exists for this adapter

                // Get the product associated with the FIX message

                //QuickFix.Symbol symbol = new QuickFix.Symbol();
                //myQFOrder.getField(symbol);

                QuickFix.Side mySide = new QuickFix.Side();
                QuickFix.OrdType myOrdType = new QuickFix.OrdType();
                QuickFix.OrderQty myOrderQty = new QuickFix.OrderQty();
                QuickFix.Price myPrice = new QuickFix.Price();
                QuickFix.StopPx myStopPx = new QuickFix.StopPx();
                QuickFix.Account myAccount = new QuickFix.Account();

                QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
                QuickFix.TimeInForce myTimeInForce = new QuickFix.TimeInForce();

                // the account code is mandatory
                if (myQFOrder.isSetField(myAccount))
                {
                    myQFOrder.getField(myAccount);
                }
                else
                {
                    this.SendAdvisoryMessage("IB TWS: you need to provide a valid account");
                    throw new Exception("IB TWS: you need to provide a valid account");
                }

                myQFOrder.getField(myClOrdID);

                // Get the Order type
                myQFOrder.getField(myOrdType);

                // Get the QTY
                myQFOrder.getField(myOrderQty);

                // get the Side of the order
                myQFOrder.getField(mySide);

                // Set order duration
                myQFOrder.getField(myTimeInForce);

                // Prices
                if (myQFOrder.isSetField(myPrice))
                {
                    myQFOrder.getField(myPrice);
                }

                if (myQFOrder.isSetField(myStopPx))
                {
                    myQFOrder.getField(myStopPx);
                }

                // get the contract
                TWSLib.IContract myContract = getIBContract(myQFOrder);
                if (myContract == null)
                {
                    this.SendAdvisoryMessage("IB TWS: cannot find a valid contract");
                    throw new Exception("IB TWS: cannot find a valid contract");
                }

                // create an IB Order
                TWSLib.IOrder myIBOrder = m_Host.TWS.createOrder();

                myIBOrder.whatIf = 0;
                myIBOrder.account = myAccount.getValue();

                if(myOrdType.getValue() == QuickFix.OrdType.LIMIT)
                {
                    myIBOrder.orderType = "LMT";
                    myIBOrder.lmtPrice = myPrice.getValue();
                }
                else if(myOrdType.getValue() == QuickFix.OrdType.MARKET)
                {
                    myIBOrder.orderType = "MKT";
                }
                else if (myOrdType.getValue() == QuickFix.OrdType.STOP)
                {
                    myIBOrder.orderType = "STP";
                    myIBOrder.auxPrice = myStopPx.getValue();
                    if (myPrice.getValue() == -1)
                    {
                        myIBOrder.lmtPrice = myStopPx.getValue();
                    }
                    else
                    {
                        myIBOrder.lmtPrice = myPrice.getValue();
                    }
                }
                else if (myOrdType.getValue() == QuickFix.OrdType.STOP_LIMIT)
                {
                    myIBOrder.orderType = "STP";
                    myIBOrder.auxPrice = myStopPx.getValue();
                    if (myPrice.getValue() == -1)
                    {
                        myIBOrder.lmtPrice = myStopPx.getValue();
                    }
                    else
                    {
                        myIBOrder.lmtPrice = myPrice.getValue();
                    }
                }
                else
                {
                    this.SendAdvisoryMessage("IB TWS: order type not supported");
                    throw new Exception("IB TWS: order type not supported");
                }

                myIBOrder.totalQuantity = (int) myOrderQty.getValue();

                // Side
                string myAction = KaiUtil.QFUtils.DecodeSide(mySide).ToUpper();
                myIBOrder.action = myAction;

                // Time in force
                string myTIF = KaiUtil.QFUtils.DecodeTimeInForce(myTimeInForce).ToUpper();
                myIBOrder.timeInForce = myTIF;

                if (myOrdType.getValue() == QuickFix.OrdType.LIMIT)
                {
                    myIBOrder.lmtPrice = myPrice.getValue();
                }

                DriverBase.OrderContext myCntx = RecordOrderContext(myClOrdID.getValue(), myQFOrder, null, m_NextID.ToString());
                SetContextCommand(myCntx, DriverBase.ORCommand.Undefined, DriverBase.ORCommand.Submit);

                myCntx.OrderQty = myIBOrder.totalQuantity;
                myCntx.CumQty = 0;

                m_Host.TWS.placeOrderEx(m_NextID++, myContract, myIBOrder);

            }
            catch (Exception myE)
            {

                _log.Error("submitOrder", myE);
                // To provide the end user with more information
                // send an advisory message, again this is optional
                // and depends on the adpater
                this.SendAdvisoryMessage("IB TWS:submitOrder: problem submitting order:" + myE.ToString());

                QuickFix.OrdStatus myOrdStatus;
                QuickFix.ExecType myExecType = new QuickFix.ExecType(QuickFix.ExecType.REJECTED);

                myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
                QuickFix.OrderQty orderQty = new QuickFix.OrderQty();
                if (myQFOrder != null)
                {
                    myQFOrder.getField(orderQty);
                    QuickFix.OrdRejReason myRejReason = new QuickFix.OrdRejReason(QuickFix.OrdRejReason.OTHER);
                    sendExecReport(myQFOrder, new QuickFix.OrderID("UNKNOWN"), myOrdStatus, myExecType, 0.0, (int)orderQty.getValue(), 0, 0, 0, myE.Message, myRejReason);
                }

            }
        }
Exemplo n.º 4
0
 public QuickFix.ClOrdID getClOrdID()
 {
     QuickFix.ClOrdID value = new QuickFix.ClOrdID();
     getField(value); return(value);
 }
Exemplo n.º 5
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 public QuickFix.ClOrdID get(QuickFix.ClOrdID value)
 {
     getField(value); return(value);
 }
Exemplo n.º 6
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 public void set(QuickFix.ClOrdID value)
 {
     setField(value);
 }
Exemplo n.º 7
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        /// <summary>
        /// Handle an incomming execution report
        /// </summary>
        /// <param name="myMsg"></param>
        public void HandleExecReport(KaiTrade.Interfaces.Message myMsg)
        {
            try
            {
                if (m_Log.IsInfoEnabled)
                {
                    m_Log.Info("OrderService:HandleExecReport:" + myMsg.Data);
                }
                if (m_ORLog.IsInfoEnabled)
                {
                    m_ORLog.Info("OrderService:HandleExecReport:" + myMsg.Data);
                }
                // Get order manager
                KaiTrade.Interfaces.OrderManager myOM = KTAFacade.Instance().Factory.GetOrderManager();

                //Create a quickfix message object
                QuickFix.Message myFixMsg = new QuickFix.Message(myMsg.Data);

                QuickFix.ExecID myExecID = new QuickFix.ExecID();
                myFixMsg.getField(myExecID);

                // check if we have already processed this report
                if (!myOM.RecordExecutionReport(myExecID.getValue(), myFixMsg))
                {
                    // we have processed this already
                    m_Log.Warn("HandleExecReport: Duplicate Exec Report:" + myMsg.Data);
                    return;
                }

                // these fields must be present
                QuickFix.OrderID myOrderID = new QuickFix.OrderID();
                myFixMsg.getField(myOrderID);

                QuickFix.ExecType myExecType = new QuickFix.ExecType();
                myFixMsg.getField(myExecType);

                QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
                myFixMsg.getField(myOrdStatus);

                // we need the clordid to update an existing order - if
                // it is not present or unknow we create a synthetic order
                QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
                KaiTrade.Interfaces.Order myOrder = null;
                if (myFixMsg.isSetField(myClOrdID))
                {
                    myFixMsg.getField(myClOrdID);
                    myOrder = myOM.GetOrderWithClOrdIDID(myClOrdID.getValue());
                }
                if (myOrder == null)
                {
                    myOrder = CreateSyntheticOrder(myFixMsg);
                }

                // add the ExecRep to the Order
                KaiTrade.Interfaces.Fill myFill = new K2DataObjects.FillData();
                myFill.OrderID = myOrder.Identity;
                myFill.SetUpFromFixExecReport(myFixMsg.ToString());

                myOrder.FillsList.Add(myFill);

                // update mandatory fields
                myOrder.OrderID = myOrderID;
                myOrder.OrdStatus = myOrdStatus;
                QuickFix.Text myText = new QuickFix.Text();
                if (myFixMsg.isSetField(myText))
                {
                    myFixMsg.getField(myText);
                    myOrder.Text = myText.getValue();
                }

                QuickFix.Account myAccount = new QuickFix.Account();
                if (myFixMsg.isSetField(myAccount))
                {
                    myFixMsg.getField(myAccount);

                    myOrder.Account = myAccount;
                }

                // process the execution depanding on type of ExecReport
                switch (myExecType.getValue())
                {
                    case QuickFix.ExecType.NEW:
                        processGeneralExecRep(ref myOrder, myFixMsg);
                        /*
                        if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
                        {
                            order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
                        }
                        else
                        {
                            m_Log.Error("HandleExecReport:OrderStatus new not expected");
                        }
                         * */
                        break;
                    case QuickFix.ExecType.FILL:
                        if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
                        {
                            order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
                        }

                        processFill(ref myOrder, myFixMsg);
                        break;
                    case QuickFix.ExecType.PARTIAL_FILL:
                        if (order.LastOrderCommand == KaiTrade.Interfaces.LastOrderCommand.neworder)
                        {
                            order.LastOrderCommand = KaiTrade.Interfaces.LastOrderCommand.none;
                        }
                        processFill(ref myOrder, myFixMsg);
                        break;
                    case QuickFix.ExecType.ORDER_STATUS:
                        processGeneralExecRep(ref myOrder, myFixMsg);
                        break;
                    default:
                        processGeneralExecRep(ref myOrder, myFixMsg);
                        break;
                }

                myOM.SetChanged(myOrder.Identity);

                // Check if the order is part of a strategy
                if (myOrder.ParentIdentity != null)
                {
                    // get the strategy concerned
                    KaiTrade.Interfaces.IStrategy myStrat = KTAFacade.Instance().Factory.GetStrategyManager().GetStrategy(myOrder.ParentIdentity);
                    if (myStrat != null)
                    {
                        myStrat.HandleExecReport(myFixMsg, myOrder);
                    }
                    else
                    {
                        m_Log.Error("Strategy not found for:" + myOrder.ParentIdentity);
                    }
                }

                if (myOrder.OCAGroupName.Length > 0)
                {
                    KTAFacade.Instance().Factory.GetOCOManager().OnOrderTraded(myOrder);
                }
                if (m_ORLog.IsInfoEnabled)
                {
                    m_ORLog.Info("OrderService:HandleExecRep:Exit:" + myOrder.ToString());
                }
            }
            catch (Exception myE)
            {
                m_Log.Error("HandleExecReport", myE);
            }
        }
Exemplo n.º 8
0
        /// <summary>
        /// Create a synthetic order
        /// </summary>
        /// <param name="myMsg"></param>
        /// <returns>n order</returns>
        public KaiTrade.Interfaces.Order CreateSyntheticOrder(QuickFix.Message myFixMsg)
        {
            KaiTrade.Interfaces.Order myOrder = null;
            try
            {
                if (m_Log.IsInfoEnabled)
                {
                    m_Log.Info("exec report recd:" + myFixMsg.ToString());
                }

                // Get order manager
                KaiTrade.Interfaces.OrderManager myOM = KTAFacade.Instance().Factory.GetOrderManager();

                // these fields must be present
                QuickFix.OrderID myOrderID = new QuickFix.OrderID();
                myFixMsg.getField(myOrderID);

                QuickFix.ExecType myExecType = new QuickFix.ExecType();
                myFixMsg.getField(myExecType);

                QuickFix.ExecID myExecID = new QuickFix.ExecID();
                myFixMsg.getField(myExecID);

                QuickFix.OrdStatus myOrdStatus = new QuickFix.OrdStatus();
                myFixMsg.getField(myOrdStatus);

                // Create the order
                myOrder = myOM.CreateOrder();

                // we need the clordid to update an existing order - if
                // it is not present or unknow we create a synthetic order
                QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
                if (myFixMsg.isSetField(myClOrdID))
                {
                    myOrder.ClOrdID = myClOrdID;
                }
            }
            catch (Exception myE)
            {
                m_Log.Error("CreateSyntheticOrder", myE);
            }
            return myOrder;
        }