public void NewOrder(string clrID, char handinst, char sideID, char orderType, string symbolID, string exchange, float?price, long Quantity) { ClOrdID clOrdID = new ClOrdID(clrID); HandlInst inst = new HandlInst('1');//似乎国信只支持直通私有 Side side = new Side(sideID); OrdType ordType = new OrdType(orderType); Symbol symbol = new Symbol(symbolID); TransactTime time = new TransactTime(); QuickFix42.NewOrderSingle message = new QuickFix42.NewOrderSingle(clOrdID, inst, symbol, side, time, ordType); message.setString(38, Quantity.ToString()); if (ordType.getValue() == OrdType.LIMIT) { message.setString(44, price.Value.ToString()); } message.setString(15, "CNY"); if (exchange == "SH") { message.setString(207, "XSHG"); } else if (exchange == "SZ") { message.setString(207, "XSHE"); } SendToServer(message); }
public Message NewOrder(MDEntryGroup entryGroup, double quantity) { bool isInvertedSecurity = entryGroup.OwnerEntry.IsInverted; Message message = null; Account account = new Account(GetOrderSession().getSenderCompID().ToLower()); ClOrdID clOrdId = new ClOrdID("ClOrd_" + Guid.NewGuid()); HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION); OrdType ordType = new OrdType(OrdType.LIMIT); TimeInForce timeInForce = new TimeInForce(TimeInForce.FILL_OR_KILL); TransactTime transactTime = new TransactTime(); Price price = new Price(entryGroup.MDEntryPx); SecurityExchange securityExchange = new SecurityExchange(entryGroup.OwnerEntry.SecurityExchange); SecurityType securityType = new SecurityType(entryGroup.OwnerEntry.SecurityType); Symbol symbol = new Symbol(entryGroup.OwnerEntry.Symbol); SecurityID securityId = new SecurityID(entryGroup.OwnerEntry.SecurityID); OrderQty orderQty = new OrderQty(quantity); Side side = null; switch (entryGroup.MDEntryType) { case MDEntryType.BID: side = new Side(Side.SELL); break; case MDEntryType.OFFER: side = new Side(Side.BUY); break; default: throw new Exception("Undefined entry type."); } //if (isInvertedSecurity && side.getValue() == Side.BUY) // price = new Price(-price.getValue()); message = new QuickFix42.NewOrderSingle(); ((QuickFix42.NewOrderSingle) message).set(account); ((QuickFix42.NewOrderSingle) message).set(clOrdId); ((QuickFix42.NewOrderSingle) message).set(side); ((QuickFix42.NewOrderSingle) message).set(transactTime); ((QuickFix42.NewOrderSingle) message).set(ordType); ((QuickFix42.NewOrderSingle) message).set(price); ((QuickFix42.NewOrderSingle) message).set(orderQty); ((QuickFix42.NewOrderSingle) message).set(securityId); ((QuickFix42.NewOrderSingle) message).set(securityExchange); ((QuickFix42.NewOrderSingle) message).set(timeInForce); ((QuickFix42.NewOrderSingle) message).set(securityType); return message; }
private Queue <QuickFix.FIX42.NewOrderSingle> CreateOrders(int n) { Queue <QuickFix.FIX42.NewOrderSingle> orders = new Queue <QuickFix.FIX42.NewOrderSingle>(n); for (int i = 0; i < n; i++) { ClOrdID cloudOrderId = new ClOrdID(Guid.NewGuid().ToString()); HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION); Symbol symbol = new Symbol("MSFT"); Side side = new Side(Side.BUY); TransactTime time = new TransactTime(); OrdType orderType = new OrdType(OrdType.LIMIT); QuickFix.FIX42.NewOrderSingle order = new QuickFix.FIX42.NewOrderSingle(cloudOrderId, handlInst, symbol, side, time, orderType); order.Account = new Account("Account"); order.OrderQty = new OrderQty(100); order.ExDestination = new ExDestination("*"); order.TimeInForce = new TimeInForce(TimeInForce.DAY); order.Price = new Price(50m); order.SecurityType = new SecurityType(SecurityType.COMMON_STOCK); orders.Enqueue(order); } return(orders); }
public Message CreateNewOrderSingleMessage(string symbol, MarketSide marketSide, string clOrdID, TradingAccount account, decimal price, decimal quantity, OrderType orderType, string execID) { // hard-coded fields var fHandlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); var fOrdType = TranslateFixFields.Translate(orderType); var fSide = TranslateFixFields.Translate(marketSide); var fSymbol = new Symbol(symbol); var fTransactTime = new TransactTime(DateTime.Now); var fClOrdID = new ClOrdID(clOrdID); var nos = new NewOrderSingle(fClOrdID, fHandlInst, fSymbol, fSide, fTransactTime, fOrdType) { OrderQty = new OrderQty(quantity), TimeInForce = new TimeInForce(TimeInForce.GOOD_TILL_CANCEL) }; if (orderType == OrderType.Limit) { nos.Price = new Price(price); } return(nos); }
/// <summary> /// Converts a HandlInst to a string. /// </summary> /// <returns>A HandlInst value.</returns> /// <param name="value">The FIX string representation of a HandlInst.</param> public static string ConvertTo(HandlInst messageType) { return((string)HandlInstConverter.toTable[messageType]); }
public Field(int tag, HandlInst value) : this(tag, ((char)value).ToString()) { }
public Field(Dictionary.Field definition, HandlInst value) : this(definition.Tag, value) { Definition = definition; }