private void fillOrderInfoForICE(QuickFix.FIX42.NewOrderSingle order, OrderModel orderModel)
{
if (orderModel.TAG47_Rule80A.useTag)
{
order.Rule80A = new Rule80A(orderModel.TAG47_Rule80A.tagCharValue);
}
if (orderModel.TAG204_CustomerOrFirm.useTag)
{
order.CustomerOrFirm = new CustomerOrFirm(orderModel.TAG204_CustomerOrFirm.tagIntValue);
}
if (orderModel.TAG18205_TTAccountType.useTag)
{
order.SetField(new StringField(18205, orderModel.TAG18205_TTAccountType.tagStringValue));
}
if (orderModel.TAG440_ClearingAccount.useTag)
{
order.ClearingAccount = new ClearingAccount(orderModel.TAG440_ClearingAccount.tagStringValue);
}
if (orderModel.TAG16102_FFT2.useTag)
{
order.SetField(new StringField(16102, orderModel.TAG16102_FFT2.tagStringValue));
}
}
private QuickFix.FIX42.NewOrderSingle createHeldOptionOrder(Model.OrderModel orderModel)
{
var order = new QuickFix.FIX42.NewOrderSingle(
new ClOrdID(orderModel.messageId),
new HandlInst('1'),
new Symbol(orderModel.underlyingExchangeSymbol),
StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.side),
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT));
order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
order.SetField(new StringField(18203, orderModel.underlyingGateway));
order.PutOrCall = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.optionType);
order.StrikePrice = new StrikePrice(orderModel.optionStrikePrice); //new StrikePrice(new decimal(207000));
order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
order.OrderQty = new OrderQty(orderModel.orderQty);
order.SetField(new CharField(11028, 'Y'));
//order.SetField(new StringField(50, "TML1"));
//order.SetField(new StringField(16142, "TML NORTH VANCOUVER"));
order.SetField(new StringField(18220, orderModel.broker_18220));
//order.SetField(new StringField(16106, orderModel.stagedOrderMessage));
order.SetField(new CharField(16111, 'I'));
order.Account = new Account(orderModel.acct);
order.Price = new Price(orderModel.orderPrice);
order.ExecInst = new ExecInst("5");
fillOrderInfoForICE(order, orderModel);
//OrderRecord r = new OrderRecord(order);
//lock (_orderViewModel.ordersLock)
//{
// _orderViewModel.Orders.Add(r);
//}
//if (_fixConnectionSystem.InitiatorRunning && _connectionViewModel.IsOrderConnected)
//{
// QuickFix.Session.SendToTarget(order, _fixConnectionSystem.orderSession.SessionID);
//}
return(order);
}
private QuickFix.FIX42.NewOrderSingle createStagedFutureOrder(Model.OrderModel orderModel)
{
var order = new QuickFix.FIX42.NewOrderSingle(
new ClOrdID(orderModel.messageId),
new HandlInst('3'),
new Symbol(orderModel.underlyingExchangeSymbol),
StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.side),
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT));
//if(order.Side.Obj == Side.BUY)
//switch (order.Side.Obj)
//{
// case QuickFix.Fields.Side.BUY:
// Console.Write("t");
// break;
// case QuickFix.Fields.Side.SELL:
// Console.Write("t");
// break;
//}
order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
order.SetField(new StringField(18203, orderModel.underlyingGateway));
order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
order.OrderQty = new OrderQty(orderModel.orderQty);
//order.Price = new Price(new decimal(207175));
order.SetField(new CharField(11028, 'Y'));
//order.SetField(new StringField(50, "TML1"));
//order.SetField(new StringField(16142, "TML NORTH VANCOUVER"));
order.SetField(new StringField(18220, orderModel.broker_18220));
order.SetField(new StringField(16106, orderModel.stagedOrderMessage));
order.SetField(new CharField(16111, 'I'));
order.Account = new Account(orderModel.acct);
order.Price = new Price(0);
fillOrderInfoForICE(order, orderModel);
return(order);
}
/// <summary>
/// Create a NewOrderSingle message.
/// </summary>
/// <param name="customFields"></param>
/// <param name="orderType"></param>
/// <param name="side"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="tif"></param>
/// <param name="price">ignored if orderType=Market</param>
/// <returns></returns>
static public QuickFix.FIX42.NewOrderSingle NewOrderSingle(
Dictionary <int, string> customFields,
OrderType orderType, Side side, string symbol,
int orderQty, TimeInForce tif, decimal price)
{
// hard-coded fields
QuickFix.Fields.HandlInst fHandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
// from params
QuickFix.Fields.OrdType fOrdType = FixEnumTranslator.ToField(orderType);
QuickFix.Fields.Side fSide = FixEnumTranslator.ToField(side);
QuickFix.Fields.Symbol fSymbol = new QuickFix.Fields.Symbol(symbol);
QuickFix.Fields.TransactTime fTransactTime = new QuickFix.Fields.TransactTime(DateTime.Now);
QuickFix.Fields.ClOrdID fClOrdID = GenerateClOrdID();
QuickFix.FIX42.NewOrderSingle nos = new QuickFix.FIX42.NewOrderSingle(
fClOrdID, fHandlInst, fSymbol, fSide, fTransactTime, fOrdType);
nos.OrderQty = new QuickFix.Fields.OrderQty(orderQty);
nos.TimeInForce = FixEnumTranslator.ToField(tif);
if (orderType == OrderType.Limit)
{
nos.Price = new QuickFix.Fields.Price(price);
}
// add custom fields
foreach (KeyValuePair <int, string> p in customFields)
{
nos.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
}
return(nos);
}
public int addOrder(OrderStruct os)
{
OrderDAO odao = new OrderDAO();
Console.WriteLine("Going to call DB");
int ordNo = odao.insertOrder(os);
ClOrdID OrdId = new ClOrdID(Convert.ToString(os.ID));
string symbol = sanitiseField(os.symbol);
var order = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), new Symbol(symbol), new Side(Side.BUY),
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
order.Price = new Price((decimal)os.price);
order.SetField(new OrderQty(1));
Session.SendToTarget(order, FixClient.MySess);
return(ordNo);
}
/// <summary>
/// Create a NewOrderSingle message.
/// </summary>
/// <param name="customFields"></param>
/// <param name="orderType"></param>
/// <param name="side"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="tif"></param>
/// <param name="price">ignored if orderType=Market</param>
/// <returns></returns>
static public QuickFix.FIX42.NewOrderSingle NewOrderSingle(
Dictionary<int,string> customFields,
OrderType orderType, Side side, string symbol,
int orderQty, TimeInForce tif, decimal price)
{
// hard-coded fields
QuickFix.Fields.HandlInst fHandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
// from params
QuickFix.Fields.OrdType fOrdType = FixEnumTranslator.ToField(orderType);
QuickFix.Fields.Side fSide = FixEnumTranslator.ToField(side);
QuickFix.Fields.Symbol fSymbol = new QuickFix.Fields.Symbol(symbol);
QuickFix.Fields.TransactTime fTransactTime = new QuickFix.Fields.TransactTime(DateTime.Now);
QuickFix.Fields.ClOrdID fClOrdID = GenerateClOrdID();
QuickFix.FIX42.NewOrderSingle nos = new QuickFix.FIX42.NewOrderSingle(
fClOrdID, fHandlInst, fSymbol, fSide, fTransactTime, fOrdType);
nos.OrderQty = new QuickFix.Fields.OrderQty(orderQty);
nos.TimeInForce = FixEnumTranslator.ToField(tif);
if (orderType == OrderType.Limit)
nos.Price = new QuickFix.Fields.Price(price);
// add custom fields
foreach (KeyValuePair<int,string> p in customFields)
nos.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
return nos;
}
public int addOrder(OrderStruct os)
{
OrderDAO odao = new OrderDAO();
Console.WriteLine("Going to call DB");
int ordNo = odao.insertOrder(ref os);
// Keep the OrderNO for client and pass the OrderID to FIX.
ClOrdID OrdId = new ClOrdID(Convert.ToString(os.ID));
string symboldata = sanitiseField(os.symbol);
//check Futures or Options Order
string exch = new string(os.exch);
if (exch.Equals("STK"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side, new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
//string expiry = new string(os.expiry);
//orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
orderNFO.Price = new Price((decimal)os.price);
Console.WriteLine("STOCK BUY Order for : " + symbol + "orderType : " + ordType);
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.COMMON_STOCK);
//string expiry = new string(os.expiry);
//orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
orderNFO.Price = new Price((decimal)os.price);
Console.WriteLine("STOCK SELL Order for : " + symbol + "orderType : " + ordType);
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
}
else if (exch.Equals("NFO"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.Price = new Price((decimal)os.price);
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.FUTURE);
string expiry = new string(os.expiry);
orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
Console.WriteLine("NFO BUY Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
var orderNFO = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNFO.Price = new Price((decimal)os.price);
orderNFO.SetField(new OrderQty(Qty));
orderNFO.ExDestination = new ExDestination("NS");
orderNFO.SecurityType = new SecurityType(SecurityType.FUTURE);
string expiry = new string(os.expiry);
orderNFO.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNFO.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNFO.OrdType = ordType;
Console.WriteLine("NFO SELL Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Future order to fix server
Session.SendToTarget(orderNFO, FixClient.MySess);
}
}
else if (exch.Equals("NOP"))
{
if (os.direction == 'B')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
int Qty = (int)os.quantity;
string callput = new string(os.callput);
var orderNOP = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNOP.Price = new Price((decimal)os.price);
orderNOP.SetField(new OrderQty(Qty));
orderNOP.ExDestination = new ExDestination("NS");
orderNOP.SecurityType = new SecurityType(SecurityType.OPTION);
string expiry = new string(os.expiry);
orderNOP.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNOP.StrikePrice = new StrikePrice((decimal)(os.strike));
if (callput.Equals("CE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(1);
}
else if (callput.Equals("PE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(0);
}
orderNOP.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNOP.OrdType = ordType;
Console.WriteLine("NOP BUY Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Option order to fix server
Session.SendToTarget(orderNOP, FixClient.MySess);
}
else if (os.direction == 'S')
{
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.SELL);
int Qty = (int)os.quantity;
string callput = new string(os.callput);
var orderNOP = new QuickFix.FIX42.NewOrderSingle(OrdId, new HandlInst('1'), symbol, side,
new TransactTime(DateTime.Now.ToUniversalTime()), new OrdType(OrdType.LIMIT));
orderNOP.Price = new Price((decimal)os.price);
orderNOP.SetField(new OrderQty(Qty));
orderNOP.ExDestination = new ExDestination("NS");
orderNOP.SecurityType = new SecurityType(SecurityType.OPTION);
string expiry = new string(os.expiry);
orderNOP.MaturityMonthYear = new MaturityMonthYear(expiry.Substring(0, 6));
orderNOP.StrikePrice = new StrikePrice((decimal)(os.strike));
if (callput.Equals("CE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(1);
}
else if (callput.Equals("PE")) // 0 = PE & 1 = CE
{
orderNOP.PutOrCall = new PutOrCall(0);
}
orderNOP.Account = new Account("D2");
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
orderNOP.OrdType = ordType;
Console.WriteLine("NOP SELL Order for ExpiryDate " + expiry.Substring(0, 6));
//Send Option order to fix server
Session.SendToTarget(orderNOP, FixClient.MySess);
}
}
return(ordNo);
}
/// <summary>
/// Creates a FIX4.2 NewOrderSingle message for Redi
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX42.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
if (!string.IsNullOrEmpty(_account))
{
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
}
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
var execInst = new QuickFix.Fields.ExecInst("h");
newOrderSingle.SetField(execInst);
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var exDestination = new QuickFix.Fields.ExDestination(";");
newOrderSingle.SetField(exDestination);
var country = new QuickFix.Fields.DeliverToLocationID("1");
newOrderSingle.SetField(country);
var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
newOrderSingle.SetField(side);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
return(newOrderSingle);
}