private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
SmartQuant.FIX.ExecutionReport executionReport = new SmartQuant.FIX.ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ClOrdID = record.Order.ClOrdID;
executionReport.OrigClOrdID = record.Order.ClOrdID;
executionReport.OrderID = record.Order.OrderID;
executionReport.Symbol = record.Order.Symbol;
executionReport.SecurityType = record.Order.SecurityType;
executionReport.SecurityExchange = record.Order.SecurityExchange;
executionReport.Currency = record.Order.Currency;
executionReport.CommType = commType;
executionReport.Commission = commission;
executionReport.Side = record.Order.Side;
if (ordStatus == OrdStatus.Replaced)
{
executionReport.OrdType = (record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType);
executionReport.TimeInForce = (record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce);
executionReport.OrderQty = (record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty);
executionReport.Price = (record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : record.Order.Price);
executionReport.StopPx = (record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx);
record.LeavesQty = (int)executionReport.OrderQty - record.CumQty;
}
else
{
executionReport.OrdType = record.Order.OrdType;
executionReport.TimeInForce = record.Order.TimeInForce;
executionReport.OrderQty = record.Order.OrderQty;
executionReport.Price = record.Order.Price;
executionReport.StopPx = record.Order.StopPx;
}
executionReport.LastPx = lastPx;
executionReport.LastQty = (double)lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
executionReport.AvgPx = record.AvgPx;
executionReport.CumQty = (double)record.CumQty;
executionReport.LeavesQty = (double)record.LeavesQty;
executionReport.ExecType = this.GetExecType(ordStatus);
executionReport.OrdStatus = ordStatus;
executionReport.Text = text;
this.EmitExecutionReport(executionReport);
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
this.EmitOrderCancelReject(new OrderCancelReject
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrdStatus = ordStatus,
CxlRejResponseTo = responseTo,
CxlRejReason = CxlRejReason.BrokerOption,
Text = text
});
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
OrderCancelReject reject = new OrderCancelReject();
reject.TransactTime = Clock.Now;
reject.ClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
reject.OrigClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
reject.OrdStatus = ordStatus;
reject.CxlRejResponseTo = responseTo;
reject.CxlRejReason = CxlRejReason.BrokerOption;
reject.Text = text;
this.EmitOrderCancelReject(reject);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
FreeQuant.FIX.ExecutionReport report = new FreeQuant.FIX.ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
report.OrigClOrdID = ((FIXNewOrderSingle)record.Order).ClOrdID;
report.OrderID = record.Order.OrderID;
report.Symbol = ((FIXNewOrderSingle)record.Order).Symbol;
report.SecurityType = ((FIXNewOrderSingle)record.Order).SecurityType;
report.SecurityExchange = ((FIXNewOrderSingle)record.Order).SecurityExchange;
report.Currency = ((FIXNewOrderSingle)record.Order).Currency;
report.CommType = commType;
report.Commission = commission;
report.Side = ((NewOrderSingle)record.Order).Side;
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : ((NewOrderSingle)record.Order).OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : ((NewOrderSingle)record.Order).TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : ((FIXNewOrderSingle)record.Order).OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : ((FIXNewOrderSingle)record.Order).Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : ((FIXNewOrderSingle)record.Order).StopPx;
record.LeavesQty = (int)report.OrderQty - record.CumQty;
}
else
{
report.OrdType = ((NewOrderSingle)record.Order).OrdType;
report.TimeInForce = ((NewOrderSingle)record.Order).TimeInForce;
report.OrderQty = ((FIXNewOrderSingle)record.Order).OrderQty;
report.Price = ((FIXNewOrderSingle)record.Order).Price;
report.StopPx = ((FIXNewOrderSingle)record.Order).StopPx;
}
report.LastPx = lastPx;
report.LastQty = (double)lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
ordStatus = record.LeavesQty <= 0 ? OrdStatus.Filled : OrdStatus.PartiallyFilled;
}
report.AvgPx = record.AvgPx;
report.CumQty = (double)record.CumQty;
report.LeavesQty = (double)record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
this.EmitExecutionReport(report);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
this.EmitExecutionReport(record, ordStatus, lastPx, lastQty, text, CommType.Absolute, 0.0);
}
public void EmitCancelReplaceReject(Order order, OrdStatus status, string message)
{
OrderRecord record = this.orderRecords[order];
this.EmitOrderCancelReject(record, status, CxlRejResponseTo.CancelReplaceRequest, message);
}
public void EmitExecutionReport(Order order, OrdStatus status, string text)
{
OrderRecord record = this.orderRecords[order];
this.EmitExecutionReport(record, status, 0.0, 0, text);
}
public void EmitExecutionReport(Order order, double price, int quantity, CommType commType, double commission)
{
OrderRecord record = this.orderRecords[order];
this.EmitExecutionReport(record, OrdStatus.Undefined, price, quantity, "", commType, commission);
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
this.EmitOrderCancelReject(new OrderCancelReject
{
TransactTime = Clock.Now,
ClOrdID = record.Order.ClOrdID,
OrigClOrdID = record.Order.ClOrdID,
OrdStatus = ordStatus,
CxlRejResponseTo = responseTo,
CxlRejReason = CxlRejReason.BrokerOption,
Text = text
});
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
SmartQuant.FIX.ExecutionReport executionReport = new SmartQuant.FIX.ExecutionReport();
executionReport.TransactTime = Clock.Now;
executionReport.ClOrdID = record.Order.ClOrdID;
executionReport.OrigClOrdID = record.Order.ClOrdID;
executionReport.OrderID = record.Order.OrderID;
executionReport.Symbol = record.Order.Symbol;
executionReport.SecurityType = record.Order.SecurityType;
executionReport.SecurityExchange = record.Order.SecurityExchange;
executionReport.Currency = record.Order.Currency;
executionReport.CommType = commType;
executionReport.Commission = commission;
executionReport.Side = record.Order.Side;
if (ordStatus == OrdStatus.Replaced)
{
executionReport.OrdType = (record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : record.Order.OrdType);
executionReport.TimeInForce = (record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : record.Order.TimeInForce);
executionReport.OrderQty = (record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : record.Order.OrderQty);
executionReport.Price = (record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : record.Order.Price);
executionReport.StopPx = (record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : record.Order.StopPx);
record.LeavesQty = (int)executionReport.OrderQty - record.CumQty;
}
else
{
executionReport.OrdType = record.Order.OrdType;
executionReport.TimeInForce = record.Order.TimeInForce;
executionReport.OrderQty = record.Order.OrderQty;
executionReport.Price = record.Order.Price;
executionReport.StopPx = record.Order.StopPx;
}
executionReport.LastPx = lastPx;
executionReport.LastQty = (double)lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
if (record.LeavesQty > 0)
{
ordStatus = OrdStatus.PartiallyFilled;
}
else
{
ordStatus = OrdStatus.Filled;
}
}
executionReport.AvgPx = record.AvgPx;
executionReport.CumQty = (double)record.CumQty;
executionReport.LeavesQty = (double)record.LeavesQty;
executionReport.ExecType = this.GetExecType(ordStatus);
executionReport.OrdStatus = ordStatus;
executionReport.Text = text;
this.EmitExecutionReport(executionReport);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text)
{
this.EmitExecutionReport(record, ordStatus, lastPx, lastQty, text, CommType.Absolute, 0.0);
}
private void EmitOrderCancelReject(OrderRecord record, OrdStatus ordStatus, CxlRejResponseTo responseTo, string text)
{
OrderCancelReject reject = new OrderCancelReject();
reject.TransactTime = Clock.Now;
reject.ClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
reject.OrigClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
reject.OrdStatus = ordStatus;
reject.CxlRejResponseTo = responseTo;
reject.CxlRejReason = CxlRejReason.BrokerOption;
reject.Text = text;
this.EmitOrderCancelReject(reject);
}
private void EmitExecutionReport(OrderRecord record, OrdStatus ordStatus, double lastPx, int lastQty, string text, CommType commType, double commission)
{
FreeQuant.FIX.ExecutionReport report = new FreeQuant.FIX.ExecutionReport();
report.TransactTime = Clock.Now;
report.ClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
report.OrigClOrdID = ((FIXNewOrderSingle) record.Order).ClOrdID;
report.OrderID = record.Order.OrderID;
report.Symbol = ((FIXNewOrderSingle) record.Order).Symbol;
report.SecurityType = ((FIXNewOrderSingle) record.Order).SecurityType;
report.SecurityExchange = ((FIXNewOrderSingle) record.Order).SecurityExchange;
report.Currency = ((FIXNewOrderSingle) record.Order).Currency;
report.CommType = commType;
report.Commission = commission;
report.Side = ((NewOrderSingle) record.Order).Side;
if (ordStatus == OrdStatus.Replaced)
{
report.OrdType = record.Order.ReplaceOrder.ContainsField(40) ? record.Order.ReplaceOrder.OrdType : ((NewOrderSingle) record.Order).OrdType;
report.TimeInForce = record.Order.ReplaceOrder.ContainsField(59) ? record.Order.ReplaceOrder.TimeInForce : ((NewOrderSingle) record.Order).TimeInForce;
report.OrderQty = record.Order.ReplaceOrder.ContainsField(38) ? record.Order.ReplaceOrder.OrderQty : ((FIXNewOrderSingle) record.Order).OrderQty;
report.Price = record.Order.ReplaceOrder.ContainsField(44) ? record.Order.ReplaceOrder.Price : ((FIXNewOrderSingle) record.Order).Price;
report.StopPx = record.Order.ReplaceOrder.ContainsField(99) ? record.Order.ReplaceOrder.StopPx : ((FIXNewOrderSingle) record.Order).StopPx;
record.LeavesQty = (int) report.OrderQty - record.CumQty;
}
else
{
report.OrdType = ((NewOrderSingle) record.Order).OrdType;
report.TimeInForce = ((NewOrderSingle) record.Order).TimeInForce;
report.OrderQty = ((FIXNewOrderSingle) record.Order).OrderQty;
report.Price = ((FIXNewOrderSingle) record.Order).Price;
report.StopPx = ((FIXNewOrderSingle) record.Order).StopPx;
}
report.LastPx = lastPx;
report.LastQty = (double) lastQty;
if (ordStatus == OrdStatus.Undefined)
{
record.AddFill(lastPx, lastQty);
ordStatus = record.LeavesQty <= 0 ? OrdStatus.Filled : OrdStatus.PartiallyFilled;
}
report.AvgPx = record.AvgPx;
report.CumQty = (double) record.CumQty;
report.LeavesQty = (double) record.LeavesQty;
report.ExecType = this.GetExecType(ordStatus);
report.OrdStatus = ordStatus;
report.Text = text;
this.EmitExecutionReport(report);
}
