public void PublishFakeExecutionReport()
{
int i = 1;
while (true)
{
QuickFix41.ExecutionReport exReport = new QuickFix41.ExecutionReport();
exReport.setField(new ExecID(i.ToString()));
exReport.setField(new ExecTransType(ExecTransType.NEW));
exReport.setField(new ClOrdID(i.ToString()));
exReport.setField(new OrderID(i.ToString()));
exReport.setField(new ExecType(ExecType.NEW));
exReport.setField(new OrdStatus(OrdStatus.NEW));
exReport.setField(new TransactTime(DateTime.Now));
exReport.setField(new LeavesQty(1));
exReport.setField(new CumQty(0));
exReport.setField(new AvgPx(0));
exReport.setField(new MultiLegReportingType(MultiLegReportingType.SINGLE));
exReport.setField(new SecurityID("TVPP"));
exReport.setField(new Symbol("TVPP"));
exReport.setField(new Account("1"));
//exReport.setField(new OrderCapacity(OrderCapacity.PRINCIPAL));
//exReport.setField(new CustOrderCapacity(CustOrderCapacity.MEMBER_TRADING_FOR_THEIR_OWN_ACCOUNT));
exReport.setField(new Side(Side.BUY));
exReport.setField(new OrdType(OrdType.MARKET));
exReport.setField(new OpenClose(OpenClose.OPEN));
exReport.setField(new TimeInForce(TimeInForce.GOOD_TILL_CANCEL));
Session.sendToTarget(exReport, SessionID);
i++;
Thread.Sleep(1000);
}
}
public override void onMessage(QuickFix41.NewOrderSingle order, SessionID sessionID)
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get(ordType);
if (ordType.getValue() != OrdType.LIMIT)
{
throw new IncorrectTagValue(ordType.getField());
}
order.get(symbol);
order.get(side);
order.get(orderQty);
order.get(price);
order.get(clOrdID);
QuickFix41.ExecutionReport executionReport = new QuickFix41.ExecutionReport
(genOrderID(),
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()));
executionReport.set(clOrdID);
if (order.isSetAccount())
{
executionReport.set(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
public override void onMessage( QuickFix41.NewOrderSingle order, SessionID sessionID )
{
Symbol symbol = new Symbol();
Side side = new Side();
OrdType ordType = new OrdType();
OrderQty orderQty = new OrderQty();
Price price = new Price();
ClOrdID clOrdID = new ClOrdID();
order.get( ordType );
if ( ordType.getValue() != OrdType.LIMIT )
throw new IncorrectTagValue( ordType.getField() );
order.get( symbol );
order.get( side );
order.get( orderQty );
order.get( price );
order.get( clOrdID );
QuickFix41.ExecutionReport executionReport = new QuickFix41.ExecutionReport
( genOrderID(),
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() ) );
executionReport.set( clOrdID );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}