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());
}
}
/// <summary>
/// Translate FIX44 NewOrderSingle message to OrderData
/// </summary>
/// <param name="n">The message</param>
/// <returns>The order data</returns>
/// <exception cref="QuickFix.IncorrectTagValue"></exception>
public static OrderData Translate(QuickFix.FIX44.NewOrderSingle n)
{
ValidateIsSupportedOrderType(n.OrdType);
return TranslateOrderImpl(n.Symbol,
n.Side,
n.OrdType,
n.OrderQty,
n.Price,
n.ClOrdID,
n.IsSetAccount() ? n.Account : null);
}
public void OnMessage(QuickFix.FIX40.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.FIX40.ExecutionReport exReport = new QuickFix.FIX40.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecTransType(ExecTransType.NEW),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
orderQty,
new LastShares(orderQty.getValue()),
new LastPx(price.getValue()),
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.Message);
}
catch (Exception ex)
{
Console.WriteLine("==unknown exception==");
Console.WriteLine(ex.ToString());
Console.WriteLine(ex.StackTrace);
}
}