public void OnMessage(QuickFix.FIX44.NewOrderSingle n, SessionID s)
{
Symbol symbol = n.Symbol;
Side side = n.Side;
OrdType ordType = n.OrdType;
OrderQty orderQty = n.OrderQty;
Price price = new Price(DEFAULT_MARKET_PRICE);
ClOrdID clOrdID = n.ClOrdID;
switch (ordType.getValue())
{
case OrdType.LIMIT:
price = n.Price;
if (price.Obj == 0)
{
throw new IncorrectTagValue(price.Tag);
}
break;
case OrdType.MARKET: break;
default: throw new IncorrectTagValue(ordType.Tag);
}
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol, //shouldn't be here?
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
exReport.Set(clOrdID);
exReport.Set(symbol);
exReport.Set(orderQty);
exReport.Set(new LastQty(orderQty.getValue()));
exReport.Set(new LastPx(price.getValue()));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
/// <summary>
/// Translate FIX44 NewOrderSingle message to OrderData
/// </summary>
/// <param name="n">The message</param>
/// <returns>The order data</returns>
/// <exception cref="QuickFix.IncorrectTagValue"></exception>
public static OrderData Translate(QuickFix.FIX44.NewOrderSingle n)
{
ValidateIsSupportedOrderType(n.OrdType);
return(TranslateOrderImpl(n.Symbol,
n.Side,
n.OrdType,
n.OrderQty,
n.Price,
n.ClOrdID,
n.IsSetAccount() ? n.Account : null));
}
public void OnMessage(QuickFix.FIX44.NewOrderSingle ord, SessionID sessionID)
{
Symbol symbol = ord.Symbol;
Side side = ord.Side;
OrdType ordType = ord.OrdType;
OrderQty orderQty = ord.OrderQty;
Price price = new Price(10);
//q isso?
ClOrdID clOrdID = ord.ClOrdID;
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue())
);
exReport.ClOrdID = clOrdID;
exReport.Symbol = symbol;
exReport.OrderQty = orderQty;
exReport.LastQty = new LastQty(orderQty.getValue());
exReport.LastPx = new LastPx(price.getValue());
if (ord.IsSetAccount())
{
exReport.Account = ord.Account;
}
try
{
Session.SendToTarget(exReport, sessionID);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private void SendExecution(SessionID s, char ordStatus, char execType, QuickFix.FIX44.NewOrderSingle n, decimal leavesQty, decimal cumQty, decimal avgPx, decimal lastQty, decimal lastPrice)
{
QuickFix.FIX44.ExecutionReport exReport = new QuickFix.FIX44.ExecutionReport(
new OrderID(GenOrderID()),
new ExecID(GenExecID()),
new ExecType(execType),
new OrdStatus(ordStatus),
n.Symbol, //shouldn't be here?
n.Side,
new LeavesQty(leavesQty),
new CumQty(cumQty),
new AvgPx(avgPx));
exReport.ClOrdID = new ClOrdID(n.ClOrdID.getValue());
exReport.Set(new LastQty(lastQty));
exReport.Set(new LastPx(lastPrice));
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
try
{
Session.SendToTarget(exReport, s);
}
catch (SessionNotFound ex)
{
Console.WriteLine("==session not found exception!==");
Console.WriteLine(ex.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
