//Shows example of parsing a custom TT group
public void onGatewayStatusMessage(QuickFix42.Message message, SessionID session)
{
parseMessage(message, session);
if (message.hasGroup(TT.NoGatewayStatus.FIELD))
{
updateDisplay(string.Format("Found {0} NoGatewayStatus groups", message.groupCount(TT.NoGatewayStatus.FIELD)));
QuickFix.Group g = new Group(18201, 18202, new int[] { 18202, 207, 18203, 18204, 58, 0 });
for (uint i = 1; i <= message.groupCount(TT.NoGatewayStatus.FIELD); i++)
{
message.getGroup(i, g);
updateDisplay(string.Format("GatewayStatus: {0}", g.getField(new TT.GatewayStatus())));
updateDisplay(string.Format("SecurityExchange: {0}", g.getField(new QuickFix.SecurityExchange())));
updateDisplay(string.Format("ExchangeGateway: {0}", g.getField(new TT.ExchangeGateway())));
updateDisplay(string.Format("SubExchangeGateway: {0}", g.getField(new TT.SubExchangeGateway())));
if (g.isSetField(new QuickFix.Text()))
{
updateDisplay(string.Format("Text: {0}", g.getField(new QuickFix.Text())));
}
string s = g.getField(new TT.ExchangeGateway()).ToString();
if (!_gateways.Contains(s))
{
_gateways.Add(s);
}
}
}
updateFormData();
}
/// <summary>
/// 查询股份
/// </summary>
public void QueryHold()
{
QuickFix42.Message message = new QuickFix42.Message(new MsgType("UAN"));
message.setString(710, getNextID()); // 请求ID
message.setInt(724, 0); // 请求类别
SendToServer(message);
}
private void readFileInfo()
{
bool endofmsgs = false;
TextReader tr = new StreamReader(persistentOrderFile);
string line = tr.ReadLine();
while (line != null)
{
if (line.Equals(";"))
{
endofmsgs = true;
line = tr.ReadLine();
continue;
}
if (!endofmsgs)
{
QuickFix42.Message oldMsg = new QuickFix42.Message();
}
else
{
}
}
}
public void Logout()
{
QuickFix42.Message message = new QuickFix42.Message(new MsgType("5"));
SendToServer(message);
Session session = Session.lookupSession(ssnid);
if ((session != null) && session.isLoggedOn())
{
session.logout();
}
}
public void SendToServer(QuickFix42.Message message)//发送信息请求
{
if (ssnid != null && Session.lookupSession(ssnid).isLoggedOn())
{
Session.sendToTarget(message, ssnid);
}
else
{
throw new Exception("missing ssnid");
}
}
/// <summary>
/// Submit FIX request to retreive all the days trades, SODs and manual Fills
/// </summary>
/// <param name="session"></param>
/// <param name="reqtype"></param>
public void ttRequestForPosition(int reqtype)
{
try
{
QuickFix42.Message rfp = new QuickFix42.Message(new QuickFix.MsgType("UAN"));
rfp.setField(new TT.PosReqId(uniqueID()));
rfp.setField(new TT.PosReqType(reqtype));
QuickFix.Session.sendToTarget(rfp, orderSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}
/// <summary>
/// Submit a FIX message to subscribe to gateway status. Status is displayed but no action is attached.
/// </summary>
/// <param name="session"></param>
/// <param name="SubscriptionRequestType"></param>
public void ttGatewayStatusRequest(char SubscriptionRequestType)
{
try
{
//Gateway Status Request
QuickFix42.Message gsr = new QuickFix42.Message(new QuickFix.MsgType("UAR"));
gsr.setChar(QuickFix.SubscriptionRequestType.FIELD, SubscriptionRequestType);
gsr.setField(new TT.GatewayStatusReqId(uniqueID()));
QuickFix.Session.sendToTarget(gsr, orderSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}
public QuickFix42.OrderCancelRequest GenerateCancelRequest(string clOrdId, int index)
{
string originalId = (string)LimitOrders[index];
QuickFix42.Message msg = Msgs[originalId];
//check for a recent ID
string temp = LimitLib.GetRecentId(originalId);
if (temp != null)
{
//limitLib.add(originalID, clOrdId); //associate new Id
originalId = temp; //send with most recent from previous request
}
Side oldSide = new Side();
msg.getField(oldSide);
TransactTime uTime = new TransactTime();
msg.getField(uTime);
QuickFix42.OrderCancelRequest ocr = new QuickFix42.OrderCancelRequest(
new OrigClOrdID(originalId),
new ClOrdID(clOrdId),
new Symbol(msg.getField(Symbol.FIELD)), //Necessary Field for canceling child orders
oldSide, //Necessary Field for canceling child orders
uTime);
OrderID oid = new OrderID("x");
ocr.setField(oid);
//Neccessary Field for canceling child orders
Price limitPrice = new Price();
msg.getField(limitPrice);
//OCR.setField(limitPrice);
ocr.setField(57, msg.getField(57));
ocr.setField(9102, msg.getField(9102));
return(ocr);
}
public static void Add(QuickFix42.Message msg)
{
ClOrdID clientId = new ClOrdID();
OrdType orderType = new OrdType();
msg.getField(clientId);
Msgs.Add(clientId.getValue(), msg);
if (msg.isSetField(orderType))
{
msg.getField(orderType);
if (orderType.getValue() == OrdType.LIMIT)
{
LimitOrders.Add(clientId.getValue());
LimitLib.Add(clientId.getValue());
}
}
}
public int PrintLimitList()
{
Symbol sym = new Symbol();
Side sd = new Side();
OrderQty oq = new OrderQty();
Console.WriteLine(" Index\tOrderID");
int count = 0;
foreach (string strOrdId in LimitOrders)
{
QuickFix42.Message msg = Msgs[strOrdId];
msg.getField(sym);
msg.getField(sd);
msg.getField(oq);
Console.WriteLine("\t" + count + "\t" + strOrdId + "\t" + sym + " " + sd + " " + oq);
count++;
}
return(count);
}
public QuickFix42.OrderCancelReplaceRequest GenerateReplaceRequest(string clOrdId, int qty, double limitPx, double stopPx, int index)
{
string originalId = (string)LimitOrders[index];
QuickFix42.Message msg = Msgs[originalId];
//check for a recent ID
string temp = LimitLib.GetRecentId(originalId);
if (temp != null)
{
LimitLib.Add(originalId, clOrdId); //associate new Id
originalId = temp; //send with most recent from previous request
}
else
{
LimitLib.Add(originalId, clOrdId);
}
Side oldSide = new Side();
msg.getField(oldSide);
TransactTime uTime = new TransactTime();
msg.getField(uTime);
QuickFix42.OrderCancelReplaceRequest ocrr = new QuickFix42.OrderCancelReplaceRequest(
new OrigClOrdID(originalId),
new ClOrdID(clOrdId),
new HandlInst('1'),
new Symbol(msg.getField(Symbol.FIELD)),
oldSide,
uTime,
new OrdType(OrdType.LIMIT));
// Update prices and quantity
ocrr.set(limitPx > 0 ? new Price(limitPx) : new Price(double.Parse(msg.getField(Price.FIELD))));
if (stopPx > 0) // If the user specified a new stop price
{
ocrr.set(new StopPx(stopPx));
}
else
{ // Otherwise use the original stop price
StopPx spx = new StopPx();
if (msg.isSetField(spx))
{
msg.getField(spx);
ocrr.set(spx);
}
else
{
msg.setField(spx);
}
}
ocrr.set(qty > 0 ? new OrderQty(qty) : new OrderQty(int.Parse(msg.getField(OrderQty.FIELD))));
OrderID oid = new OrderID("x");
ocrr.setField(oid);
ocrr.setField(57, msg.getField(57));
ocrr.setField(9102, msg.getField(9102));
return(ocrr);
}
public void onPositionReportMessage(QuickFix42.Message message, SessionID session)
{
parseMessage(message, session);
}
