/// <summary>
/// Constructor
/// </summary>
/// <param name="firstOrder"></param>
public OrderHistory(OrderInfo firstOrder)
{
if (firstOrder != null)
{
m_OrderHistory.Add(firstOrder);
m_CurrentOrder = new OrderInfo(firstOrder);
}
}
/// <summary>
/// Submit new order
/// </summary>
/// <param name="sTE">ES Ticker Mnemomic (internal ER symbol for instrument</param>
/// <param name="bBuy">is it a buy or sell</param>
/// <param name="dPrice">price of order</param>
/// <param name="nVolume">volume of order</param>
/// <returns></returns>
public bool SubmitNewOrder(string sTE, bool bBuy, double? dPrice, int nVolume, OrderType sOrderType, TimeInForce sTimeInForce)
{
/*
BodyLength=232
MsgType=NewOrderSingle<D>
ESTickerMnemonic=3FX:EUR-GBP
ESTickerSymbol=EUR-GBP
ESExchange=F
ESPriceFormatCode=0
SecurityExchange=3
PutOrCall=OptionTypePut<0>
SecurityType=FOR
Symbol=EUR
CFICode=MRCXXX
Currency=EUR
ESDecimalPlaces=4
ESUnitTickValue=0.000000
ESCompositeDelta=0.000000
ESShortOptAdjust=0.000000
Side=SideSell<2>
OpenClose=Open<O>
ESAccountID=9
ESAccountName=apj
HandlInst=2
ESDefaultFieldSanityCheck=True
OrdType=OrderTypeLimit<2>
TimeInForce=TimeInForceImmediateOrCancel<3>
Price=0.67501
StopPx=0
TradingSessionID=2
OrderQty=1
*/
OrderInfo order = new OrderInfo(sTE);
order.Price = dPrice;
order.OrderQty = nVolume;
if (bBuy == true)
{
order.Side = MESSAGEFIX3Lib.FIXSideConstants.esFIXSideBuy;
}
else
{
order.Side = MESSAGEFIX3Lib.FIXSideConstants.esFIXSideSell;
}
order.OrderType = sOrderType;
order.TimeInForce = sTimeInForce;
return SubmitNewOrder(order);
}
/// <summary>
/// Update the current order with the FIX message trade or order update
/// </summary>
/// <param name="order"></param>
public void UpdateOrder(OrderInfo order)
{
if (m_CurrentOrder != null)
{
if ((order.ExecutionReportStatus != Status.PendingCancel) &&
(order.ExecutionReportStatus != Status.PendingReplace))
{
m_CurrentOrder.ApplyChanges(order);
}
else
{
if(order.TransactTime != null)
m_CurrentOrder.TransactTime = order.TransactTime;
}
m_OrderHistory.Add(order);
}
}
/// <summary>
/// Submit new order
/// </summary>
/// <param name="newOrder">Deatils fo teh order to be placed</param>
/// <returns></returns>
public bool SubmitNewOrder(OrderInfo newOrder,Hashtable table)
{
//add defaults
MESSAGEFIX3Lib.FIXMsgConstants MsgType = MESSAGEFIX3Lib.FIXMsgConstants.esFIXMsgNewOrderSingle;
FIXMessage message = newOrder.CreateFixMessage(MsgType);
if (message == null)
return false;
Account account = m_AccountManagement.FindAccount(newOrder.AccountID, message);
if (account != null)
{
account.ApplyDefaults(newOrder.Instrument.SecurityExchange, message);
if(table.Count > 0)
account.ApplyDefaults(newOrder.Instrument.SecurityExchange, message,table);
return m_Router.SendMsg((EASYROUTERCOMCLIENTLib.IFIXMessage)message);
}
return false;
}
/// <summary>
/// Pulls order specified
/// </summary>
/// <param name="order">order info object</param>
/// <returns></returns>
public bool PullOrder(OrderInfo order)
{
if (order.Instrument == null)
{
LogFileWriter.TraceEvent(TraceEventType.Error, "Attempt to pull an order {0} with no structure defined", order.ToString());
return false;
}
//MESSAGEFIX3Lib.FIXMsgConstants.esFIXMsgNewOrderSingle
FIXMessage message = order.CreateFixMessage(MESSAGEFIX3Lib.FIXMsgConstants.esFIXMsgNewOrderSingle);
Account account = m_AccountManagement.FindAccount(order.AccountID, message);
if (account != null)
{
account.ApplyDefaults(order.Instrument.SecurityExchange, message);
message.MsgType = MESSAGEFIX3Lib.FIXMsgConstants.esFIXMsgOrderCancelRequest;
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESVAOState, 0);
m_Router.SendMsg((EASYROUTERCOMCLIENTLib.IFIXMessage)message);
return true;
}
return false;
}
/// <summary>
/// Pass in the order information to be modified
/// </summary>
/// <param name="order">order info object</param>
/// <param name="dPrice">new price - enter old price if unchanged</param>
/// <param name="nVolume">new volume - enter old volume if unchanged</param>
/// <returns></returns>
public bool EditOrder(OrderInfo order, double? dPrice, int nVolume)
{
bool bRetVal = true;
switch (order.ExecutionReportStatus)
{
case Status.PendingNew:
case Status.PendingReplace:
case Status.PendingActivate:
case Status.PendingCancel:
case Status.Cancelled:
case Status.Fill:
LogFileWriter.TraceEvent(TraceEventType.Error, "Attempt to edit an order {0} with invalid execution report status {1}", order.ToString(), order.ExecutionReportStatus.ToString());
return false;
}
if (order.Instrument == null)
{
LogFileWriter.TraceEvent(TraceEventType.Error, "Attempt to edit an order {0} with no structure defined", order.ToString());
return false;
}
FIXMessage message = order.CreateFixMessage(MESSAGEFIX3Lib.FIXMsgConstants.esFIXMsgOrderModifyRequest);
Account account = m_AccountManagement.FindAccount(order.AccountID, message);
if (account != null)
{
account.ApplyDefaults(order.Instrument.SecurityExchange, message);
message.RemoveGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagOrderQty);
message.RemoveGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagLeavesQty);
int nDelta = nVolume - order.LeavesQty;
int nOrderQty = order.OrderQty + nDelta;
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagOrderQty, nOrderQty);
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagLeavesQty, nVolume);
message.set_AsNumber(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagESOrderDeltaQty, nDelta);
message.RemoveGroup(EASYROUTERCOMCLIENTLib.FIXTagConstants.esFIXTagPrice);
if (dPrice.HasValue)
message.set_AsDouble(MESSAGEFIX3Lib.FIXTagConstants.esFIXTagPrice, dPrice.Value);
bRetVal = m_Router.SendMsg((EASYROUTERCOMCLIENTLib.IFIXMessage)message);
}
else
{
bRetVal = false;
}
return bRetVal;
}
/// <summary>
/// Apply changes from another Order
/// </summary>
/// <param name="order"></param>
public void ApplyChanges(OrderInfo order)
{
this.m_nLeavesQty = order.m_nLeavesQty;
this.m_nOrderQty = order.m_nOrderQty;
this.m_nCumQty = order.m_nCumQty;
if (this.m_dTotalFilledPrice.HasValue)
this.m_dTotalFilledPrice += order.m_dTotalFilledPrice;
else
this.m_dTotalFilledPrice = order.m_dTotalFilledPrice;
if (order.m_dPrice.HasValue)
this.m_dPrice = order.m_dPrice;
else
order.m_dPrice = this.Price;
this.m_nSecondBOID = order.m_nSecondBOID;
this.m_sExecutionReportStatus = order.m_sExecutionReportStatus;
if (order.m_TransactTime != null)
this.m_TransactTime = order.m_TransactTime;
else
order.m_TransactTime = this.m_TransactTime;
}
/// <summary>
/// constructor
/// </summary>
/// <param name="order"></param>
public OrderInfo(OrderInfo order)
{
this.m_nLeavesQty = order.m_nLeavesQty;
this.m_nOrderQty = order.m_nOrderQty;
this.m_dPrice = order.m_dPrice;
this.m_nSecondBOID = order.m_nSecondBOID;
this.m_sExecutionReportStatus = order.m_sExecutionReportStatus;
this.m_TransactTime = order.m_TransactTime;
this.m_instrument = order.m_instrument;
this.m_nCumQty = order.m_nCumQty;
this.m_sClOrdID = order.m_sClOrdID;
this.m_sSide = order.m_sSide;
this.m_sExecutionReportStatus = order.m_sExecutionReportStatus;
this.m_sTickerMnemonic = order.m_sTickerMnemonic;
this.m_sTimeInForce = order.m_sTimeInForce;
this.m_sOrderType = order.m_sOrderType;
this.PrimaryBOID = order.PrimaryBOID;
this.m_iAccountID = order.m_iAccountID;
}