/// <summary>
/// Write the specified message into FIX protocol.
/// </summary>
/// <param name="writer">The recorder of data in the FIX protocol format.</param>
/// <param name="message">The message.</param>
/// <returns><see cref="FixMessages"/> value.</returns>
protected override string OnWrite(IFixWriter writer, Message message)
{
var msgType = base.OnWrite(writer, message);
if (message.Type == MessageTypes.OrderCancel)
{
var type = ((OrderCancelMessage)message).OrderType;
if (type != null)
{
writer.Write(FixTags.Text);
writer.Write(type.Value.To <string>());
}
}
return(msgType);
}
/// <summary>
/// Write the specified message into FIX protocol.
/// </summary>
/// <param name="writer">The recorder of data in the FIX protocol format.</param>
/// <param name="message">The message.</param>
/// <returns><see cref="FixMessages"/> value.</returns>
protected override string OnWrite(IFixWriter writer, Message message)
{
var msgType = base.OnWrite(writer, message);
if (message.Type == MessageTypes.OrderCancel)
{
var type = ((OrderCancelMessage)message).OrderType;
if (type != null)
{
writer.Write(FixTags.Text);
writer.Write(type.Value.To<string>());
}
}
return msgType;
}
/// <summary>
/// Write the specified message into FIX protocol.
/// </summary>
/// <param name="writer">The recorder of data in the FIX protocol format.</param>
/// <param name="message">The message.</param>
/// <returns><see cref="FixMessages"/> value.</returns>
protected override string OnWrite(IFixWriter writer, Message message)
{
var msgType = base.OnWrite(writer, message);
var cancelMsg = message as OrderCancelMessage;
if (cancelMsg == null)
{
return(msgType);
}
if (cancelMsg.OrderType == null)
{
return(msgType);
}
writer.Write(FixTags.Text);
writer.Write(cancelMsg.OrderType.Value.To <string>());
return(msgType);
}
protected override void WriterFixOrderCondition(IFixWriter writer, ExecutionMessage message)
{
writer.WriteOrderCondition((QuikOrderCondition)message.Condition, TransactionSession.DateTimeFormat);
}
public static void WriteOrderCondition(this IFixWriter writer, QuikOrderCondition condition, string dateTimeFormat)
{
if (writer == null)
{
throw new ArgumentNullException(nameof(writer));
}
if (condition == null)
{
throw new ArgumentNullException(nameof(condition));
}
if (condition.Type != null)
{
writer.Write((FixTags)QuikFixTags.Type);
writer.Write((int)condition.Type.Value);
}
if (condition.StopPriceCondition != null)
{
writer.Write((FixTags)QuikFixTags.StopPriceCondition);
writer.Write((int)condition.StopPriceCondition.Value);
}
if (condition.ConditionOrderSide != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderSide);
writer.Write((int)condition.ConditionOrderSide.Value);
}
if (condition.LinkedOrderCancel != null)
{
writer.Write((FixTags)QuikFixTags.LinkedOrderCancel);
writer.Write(condition.LinkedOrderCancel.Value);
}
if (condition.Result != null)
{
writer.Write((FixTags)QuikFixTags.Result);
writer.Write((int)condition.Result.Value);
}
if (condition.OtherSecurityId != null)
{
writer.Write((FixTags)QuikFixTags.OtherSecurityCode);
writer.Write(condition.OtherSecurityId.Value.SecurityCode);
}
if (condition.StopPrice != null)
{
writer.Write((FixTags)QuikFixTags.StopPrice);
writer.Write(condition.StopPrice.Value);
}
if (condition.StopLimitPrice != null)
{
writer.Write((FixTags)QuikFixTags.StopLimitPrice);
writer.Write(condition.StopLimitPrice.Value);
}
if (condition.IsMarketStopLimit != null)
{
writer.Write((FixTags)QuikFixTags.IsMarketStopLimit);
writer.Write(condition.IsMarketStopLimit.Value);
}
if (condition.ActiveTime != null)
{
writer.Write((FixTags)QuikFixTags.ActiveTimeFrom);
writer.Write(condition.ActiveTime.Min.UtcDateTime, dateTimeFormat);
writer.Write((FixTags)QuikFixTags.ActiveTimeTo);
writer.Write(condition.ActiveTime.Max.UtcDateTime, dateTimeFormat);
}
if (condition.ConditionOrderId != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderId);
writer.Write(condition.ConditionOrderId.Value);
}
if (condition.ConditionOrderPartiallyMatched != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderPartiallyMatched);
writer.Write(condition.ConditionOrderPartiallyMatched.Value);
}
if (condition.ConditionOrderUseMatchedBalance != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderUseMatchedBalance);
writer.Write(condition.ConditionOrderUseMatchedBalance.Value);
}
if (condition.LinkedOrderPrice != null)
{
writer.Write((FixTags)QuikFixTags.LinkedOrderPrice);
writer.Write(condition.LinkedOrderPrice.Value);
}
if (condition.Offset != null)
{
writer.Write((FixTags)QuikFixTags.Offset);
writer.Write(condition.Offset.ToString());
}
if (condition.Spread != null)
{
writer.Write((FixTags)QuikFixTags.StopSpread);
writer.Write(condition.Spread.ToString());
}
if (condition.IsMarketTakeProfit != null)
{
writer.Write((FixTags)QuikFixTags.IsMarketTakeProfit);
writer.Write(condition.IsMarketTakeProfit.Value);
}
}
/// <summary>
/// Записать данные по условию заявки.
/// </summary>
/// <param name="writer">Писатель FIX данных.</param>
/// <param name="regMsg">Сообщение, содержащее информацию для регистрации заявки.</param>
protected override void WriteOrderCondition(IFixWriter writer, OrderRegisterMessage regMsg)
{
writer.WriteOrderCondition((QuikOrderCondition)regMsg.Condition, TimeStampFormat);
}
protected override void WriterFixOrderCondition(IFixWriter writer, ExecutionMessage message)
{
writer.WriteOrderCondition((QuikOrderCondition)message.Condition, TransactionSession.DateTimeFormat);
}
protected override void WriterFixOrderCondition(IFixWriter writer, ExecutionMessage message)
{
writer.WriteOrderCondition((QuikOrderCondition)message.Condition);
}
protected override void WriterFixOrderCondition(IFixWriter writer, ExecutionMessage message)
{
writer.WriteOrderCondition((QuikOrderCondition)message.Condition);
}
/// <inheritdoc />
protected override string OnWrite(IFixWriter writer, Message message)
{
switch (message.Type)
{
case MessageTypes.OrderRegister:
{
var regMsg = (OrderRegisterMessage)message;
switch (regMsg.OrderType)
{
case null:
case OrderTypes.Limit:
case OrderTypes.Market:
case OrderTypes.Conditional:
break;
default:
throw new NotSupportedException(LocalizedStrings.Str1601Params.Put(regMsg.OrderType, regMsg.TransactionId));
}
var securityId = regMsg.SecurityId;
writer.Write(FixTags.ClOrdID);
writer.Write(regMsg.TransactionId);
writer.WriteHandlInst(regMsg);
writer.Write(FixTags.Symbol);
writer.Write(securityId.SecurityCode);
writer.WriteSide(regMsg.Side);
writer.WriteTransactTime(TimeStampParser);
writer.Write(FixTags.OrderQty);
writer.Write(regMsg.Volume);
writer.Write(FixTags.OrdType);
writer.Write(regMsg.GetFixType());
if (regMsg.OrderType != OrderTypes.Market)
{
writer.Write(FixTags.Price);
writer.Write(regMsg.Price);
}
var condition = (FixOrderCondition)regMsg.Condition;
if (condition?.StopPrice != null)
{
writer.Write(FixTags.StopPx);
writer.Write(condition.StopPrice.Value);
}
if (regMsg.Currency != null)
{
writer.Write(FixTags.Currency);
writer.Write(regMsg.Currency.Value.To <string>());
}
var tif = regMsg.GetFixTimeInForce();
writer.Write(FixTags.TimeInForce);
writer.Write(tif);
if (tif == FixTimeInForce.GoodTillDate)
{
writer.WriteExpiryDate(regMsg, _expiryDateParser, TimeZone);
}
WriteAccount(writer, regMsg);
if (!regMsg.ClientCode.IsEmpty())
{
writer.Write(FixTags.NoPartyIDs);
writer.Write(1);
writer.Write(FixTags.PartyID);
writer.Write(regMsg.ClientCode);
writer.Write(FixTags.PartyIDSource);
writer.Write(PartyIDSource.Mic);
writer.Write(FixTags.PartyRole);
writer.Write((int)PartyRole.ClientId);
}
return(FixMessages.NewOrderSingle);
}
case MessageTypes.OrderCancel:
{
var cancelMsg = (OrderCancelMessage)message;
var securityId = cancelMsg.SecurityId;
writer.Write(FixTags.ClOrdID);
writer.Write(cancelMsg.TransactionId);
if (cancelMsg.OriginalTransactionId != 0)
{
writer.Write(FixTags.OrigClOrdID);
WriteClOrdId(writer, cancelMsg.OriginalTransactionId);
}
if (cancelMsg.OrderId != null)
{
writer.Write(FixTags.OrderID);
writer.Write(cancelMsg.OrderId.Value);
}
writer.Write(FixTags.Symbol);
writer.Write(securityId.SecurityCode);
if (cancelMsg.Side != null)
{
writer.WriteSide(cancelMsg.Side.Value);
}
if (cancelMsg.Volume != null)
{
writer.Write(FixTags.OrderQty);
writer.Write(cancelMsg.Volume.Value);
}
writer.WriteTransactTime(TimeStampParser);
return(FixMessages.OrderCancelRequest);
}
case MessageTypes.OrderReplace:
{
var replaceMsg = (OrderReplaceMessage)message;
var securityId = replaceMsg.SecurityId;
writer.Write(FixTags.ClOrdID);
writer.Write(replaceMsg.TransactionId);
if (replaceMsg.OriginalTransactionId != 0)
{
writer.Write(FixTags.OrigClOrdID);
WriteClOrdId(writer, replaceMsg.OriginalTransactionId);
}
if (replaceMsg.OldOrderId != null)
{
writer.Write(FixTags.OrderID);
writer.Write(replaceMsg.OldOrderId.Value);
}
writer.Write(FixTags.Symbol);
writer.Write(securityId.SecurityCode);
writer.WriteSide(replaceMsg.Side);
writer.Write(FixTags.OrderQty);
writer.Write(replaceMsg.Volume);
writer.Write(FixTags.OrdType);
writer.Write(replaceMsg.GetFixType());
if (replaceMsg.OrderType != OrderTypes.Market)
{
writer.Write(FixTags.Price);
writer.Write(replaceMsg.Price);
}
var condition = (FixOrderCondition)replaceMsg.Condition;
if (condition?.StopPrice != null)
{
writer.Write(FixTags.StopPx);
writer.Write(condition.StopPrice.Value);
}
var tif = replaceMsg.GetFixTimeInForce();
writer.Write(FixTags.TimeInForce);
writer.Write(tif);
if (tif == FixTimeInForce.GoodTillDate)
{
writer.WriteExpiryDate(replaceMsg, _expiryDateParser, TimeZone);
}
writer.WriteTransactTime(TimeStampParser);
return(FixMessages.OrderCancelReplaceRequest);
}
case MessageTypes.OrderStatus:
{
var statusMsg = (OrderStatusMessage)message;
if (statusMsg.OrderId != null || statusMsg.OriginalTransactionId != 0)
{
if (statusMsg.OrderId != null)
{
writer.Write(FixTags.OrderID);
writer.Write(statusMsg.OrderId.Value);
}
if (statusMsg.OriginalTransactionId != 0)
{
writer.Write(FixTags.ClOrdID);
writer.Write(statusMsg.OriginalTransactionId);
}
return(FixMessages.OrderStatusRequest);
}
else
{
if (statusMsg.TransactionId != 0)
{
writer.Write(FixTags.MassStatusReqID);
writer.Write(statusMsg.TransactionId);
}
writer.Write(FixTags.MassStatusReqType);
writer.Write((int)MassStatusReqType.StatusForAllOrders);
return(FixMessages.OrderMassStatusRequest);
}
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
if (!(mdMsg.DataType2 == DataType.Level1 || mdMsg.DataType2 == DataType.MarketDepth))
{
return(null);
}
writer.Write(FixTags.QuoteReqID);
writer.Write(mdMsg.TransactionId);
writer.Write(CfhFixTags.QuoteRequestAction);
writer.Write(mdMsg.IsSubscribe ? 0 : 1);
return(FixMessages.QuoteRequest);
}
case MessageTypes.Portfolio:
{
var pfMsg = (PortfolioMessage)message;
if (!pfMsg.IsSubscribe)
{
return(null);
}
WriteAccount(writer, pfMsg);
return(CfhFixMessages.AccountInfoRequest);
}
default:
return(base.OnWrite(writer, message));
}
}
/// <summary>
/// Записать данные по условию заявки.
/// </summary>
/// <param name="writer">Писатель FIX данных.</param>
/// <param name="regMsg">Сообщение, содержащее информацию для регистрации заявки.</param>
protected override void WriteOrderCondition(IFixWriter writer, OrderRegisterMessage regMsg)
{
writer.WriteOrderCondition((QuikOrderCondition)regMsg.Condition, DateTimeFormat);
}