public void OnMessage(QuickFix.FIX44.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.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
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());
}
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Console.WriteLine("* Got a NewOrderSingle. Responding with an ExecutionReport.");
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.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
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 void SendExecution(SessionID s, char ordStatus, char execType, QuickFix.FIX44.NewOrderSingle n, decimal leavesQty, decimal cumQty, decimal avgPx, decimal lastQty, decimal lastPrice)
{
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(execType),
new OrdStatus(ordStatus),
n.Symbol, //shouldn't be here?
n.Side,
new LeavesQty(leavesQty),
new CumQty(cumQty),
new AvgPx(avgPx));
exReport.ClOrdID = new ClOrdID(n.ClOrdID.getValue());
exReport.Set(new LastQty(lastQty));
exReport.Set(new LastPx(lastPrice));
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());
}
}
public void OnMessage(QuickFix.FIX44.Quote quote, SessionID s)
{
try
{
Console.WriteLine("Received Quote Message.");
QuickFix.FIX44.ExecutionReport exec = new QuickFix.FIX44.ExecutionReport();
exec.SetField(new OrderID(quote.QuoteID.getValue()));
exec.SetField(new ClOrdID(quote.QuoteReqID.getValue()));
exec.SetField(new Side(quote.Side.getValue()));
exec.SetField(new Symbol(quote.Symbol.getValue()));
exec.SetField(new Currency(quote.Currency.getValue()));
exec.SetField(new SecurityType(quote.SecurityType.getValue()));
exec.SetField(new CFICode(quote.CFICode.getValue()));
if (quote.BidPx.getValue() > 0)
{
exec.SetField(new Price(quote.OfferPx.getValue()));
}
else
{
exec.SetField(new Price(quote.BidPx.getValue()));
}
exec.SetField(new OrderQty(quote.OrderQty.getValue()));
exec.SetField(new TransactTime(DateTime.Now.Date));
exec.SetField(new SettlDate(quote.SettlDate.getValue()));
exec.SetField(new Account(quote.Account.getValue()));
_session.Send(exec);
Console.WriteLine(exec.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
public static QuickFix.FIX44.ExecutionReport Fix44Rejection2ExecutionReport(QuickFix.Message msgReject, QuickFix.Message msgOri)
{
try
{
QuickFix.FIX44.ExecutionReport er = new QuickFix.FIX44.ExecutionReport();
if (msgOri.IsSetField(Tags.OrderID))
{
er.Set(new OrderID(msgOri.GetString(Tags.OrderID)));
}
else
{
er.Set(new OrderID("NONE"));
}
if (msgOri.IsSetField(Tags.ClOrdID))
{
er.Set(new ClOrdID(msgOri.GetField(Tags.ClOrdID)));
}
if (msgOri.IsSetField(Tags.OrigClOrdID))
{
er.Set(new OrigClOrdID(msgOri.GetField(Tags.OrigClOrdID)));
}
// Fazer atribuicao dos PartyIDs da mensagem original
int len = msgOri.GetInt(Tags.NoPartyIDs);
for (int i = 0; i < len; i++)
{
Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs);
er.AddGroup(grp);
}
er.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff")));
er.Set(new ExecType(ExecType.REJECTED));
er.Set(new OrdStatus(OrdStatus.REJECTED));
if (msgOri.IsSetField(Tags.Account))
{
er.Set(new Account(msgOri.GetField(Tags.Account)));
}
er.Set(new Symbol(msgOri.GetField(Tags.Symbol)));
if (msgOri.IsSetField(Tags.SecurityID))
{
er.Set(new SecurityID(msgOri.GetField(Tags.SecurityID)));
}
if (msgOri.IsSetField(Tags.SecurityIDSource))
{
er.Set(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource)));
}
er.Set(new Side(msgOri.GetChar(Tags.Side)));
er.Set(new OrderQty(msgOri.GetDecimal(Tags.OrderQty)));
if (msgOri.IsSetField(Tags.OrdType))
{
er.Set(new OrdType(msgOri.GetChar(Tags.OrdType)));
}
if (msgOri.IsSetField(Tags.Price))
{
er.Set(new Price(msgOri.GetDecimal(Tags.Price)));
}
if (msgOri.IsSetField(Tags.StopPx))
{
er.Set(new StopPx(msgOri.GetDecimal(Tags.StopPx)));
}
if (msgOri.IsSetField(Tags.TimeInForce))
{
er.Set(new TimeInForce(msgOri.GetChar(Tags.TimeInForce)));
}
if (msgOri.IsSetField(Tags.ExpireDate))
{
er.Set(new ExpireDate(msgOri.GetField(Tags.ExpireDate)));
}
er.Set(new LeavesQty(0));
er.Set(new CumQty(0));
er.Set(new AvgPx(Decimal.Zero));
DateTime transact = DateTime.UtcNow;
er.Set(new TransactTime(transact));
if (msgOri.IsSetField(Tags.MaxFloor))
{
er.Set(new MaxFloor(msgOri.GetDecimal(Tags.MaxFloor)));
}
if (msgOri.IsSetField(Tags.Memo))
{
er.SetField(new Memo(msgOri.GetString(Tags.Memo)));
}
if (msgReject.IsSetField(Tags.Text))
{
er.Set(new Text(msgReject.GetField(Tags.Text)));
}
if (msgReject.IsSetField(Tags.OrderID))
{
er.Set(new OrderID(msgReject.GetField(Tags.OrderID)));
}
return(er);
}
catch (Exception ex)
{
logger.Error("Fix44Rejection2ExecutionReport(): " + ex.Message, ex);
return(null);
}
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = n.Price;
ClOrdID clOrdID = n.ClOrdID;
if (ordType.getValue() != OrdType.LIMIT)
throw new IncorrectTagValue(ordType.Tag);
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
exReport.SetField(n.Account);
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.Message);
}
catch (Exception ex)
{
Console.WriteLine("==unknown exception==");
Console.WriteLine(ex.ToString());
Console.WriteLine(ex.StackTrace);
}
}