public void OnMessage(QuickFix.FIX41.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX41.ExecutionReport exReport = new QuickFix.FIX41.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
orderQty,
new LastShares(orderQty.getValue()),
new LastPx(price.getValue()),
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private QuickFix.FIX41.NewOrderSingle QueryNewOrderSingle41()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX41.NewOrderSingle newOrderSingle = new QuickFix.FIX41.NewOrderSingle(
QueryClOrdID(),
new HandlInst('1'),
QuerySymbol(),
QuerySide(),
ordType = QueryOrdType());
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryPrice());
}
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryStopPx());
}
QueryHeader(newOrderSingle.Header);
return(newOrderSingle);
}
public void OnMessage(QuickFix.FIX41.NewOrderSingle nos, SessionID sessionID)
{
ProcessNOS(nos, sessionID);
}
private QuickFix.FIX41.NewOrderSingle QueryNewOrderSingle41()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX41.NewOrderSingle newOrderSingle = new QuickFix.FIX41.NewOrderSingle(
QueryClOrdID(),
new HandlInst('1'),
QuerySymbol(),
QuerySide(),
ordType = QueryOrdType());
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryPrice());
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryStopPx());
QueryHeader(newOrderSingle.Header);
return newOrderSingle;
}
