public override void onMessage(QuickFix50.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);
QuickFix50.ExecutionReport executionReport = new QuickFix50.ExecutionReport
(genOrderID(),
genExecID(),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()));
executionReport.set(clOrdID);
executionReport.set(symbol);
executionReport.set(orderQty);
executionReport.set(new LastQty(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
executionReport.set(new AvgPx(price.getValue()));
if (order.isSetAccount())
{
executionReport.setField(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) { }
}
public override void onMessage(QuickFix50.NewOrderSingle message, SessionID sessionID)
{
process(message, sessionID);
}
