public void SendPrevQuotedOrder(string strSymbol, double dLots, char chSide, string strQuoteID)
{
try
{
if (m_SessionID == null)
{
return;
}
string strCIOrdID = "KYO" + DateTime.UtcNow.ToString("yyyyMMddHHmmssffff");
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
new ClOrdID(strCIOrdID),
new Symbol(strSymbol),
new Side(chSide),
new TransactTime(DateTime.UtcNow),
new OrdType(OrdType.PREVIOUSLY_QUOTED));
newOrderSingle.Set(new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION));
newOrderSingle.Set(new OrderQty(Convert.ToDecimal(dLots * Math.Pow(10, 5))));
newOrderSingle.Set(new TimeInForce(TimeInForce.IMMEDIATE_OR_CANCEL));
newOrderSingle.Set(new QuoteID(strQuoteID));
Session.SendToTarget(newOrderSingle, m_SessionID);
Logger.Instance().Log($"REQUEST (SendPreviouslyQuotedOrder) => Symbol: {strSymbol}, Lots: {dLots}, Type: {new Side(chSide)}, QuoteID: {strQuoteID}");
}
catch (Exception ex)
{
Logger.Instance().LogToFile(ex.ToString());
}
}
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(new HandlInst('1'));
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryPrice());
}
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryStopPx());
}
return(newOrderSingle);
}
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle();
newOrderSingle.ClOrdID = new ClOrdID(DateTime.Now.Millisecond.ToString());
var noContraBrokersGroup = new QuickFix.FIX44.ExecutionReport.NoContraBrokersGroup();
noContraBrokersGroup.Set(QueryPool());
newOrderSingle.AddGroup(noContraBrokersGroup);
newOrderSingle.Symbol = QuerySymbol();
newOrderSingle.Side = QuerySide();
newOrderSingle.OrdType = new OrdType(OrdType.MARKET);
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(new TimeInForce(TimeInForce.FILL_OR_KILL));
return(newOrderSingle);
}
/// <summary>
/// Create FIX request for new limit order
/// </summary>
/// <param name="vol"></param>
/// <param name="price"></param>
/// <param name="side"></param>
/// <returns></returns>
public static Message CreateNewOrderRequest(double vol, double price, char side, char type)
{
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
newOrderSingleRequest.Set(new Account(AccountUtil.APIKey + "," + AccountUtil.SecretKey));
newOrderSingleRequest.Set(new ClOrdID(GetFreeID));
newOrderSingleRequest.Set(new OrderQty(new decimal(vol)));
newOrderSingleRequest.Set(new OrdType(type));
newOrderSingleRequest.Set(new Price(new decimal(price)));
newOrderSingleRequest.Set(new Side(side));
newOrderSingleRequest.Set(TradeSymbol);
newOrderSingleRequest.Set(new TransactTime(DateTime.Now));
return(newOrderSingleRequest);
}
public void SendLimitOrder(string strSymbol, double dLots, double dPrice, char chSide)
{
if (m_SessionID == null)
{
return;
}
string strCIOrdID = "KYO" + DateTime.UtcNow.ToString("yyyyMMddHHmmssffff");
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
new ClOrdID(strCIOrdID),
new Symbol(strSymbol),
new Side(chSide),
new TransactTime(DateTime.UtcNow),
new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION));
newOrderSingle.Set(new Price(Convert.ToDecimal(dPrice)));
newOrderSingle.Set(new OrderQty(Convert.ToDecimal(dLots * Math.Pow(10, 5))));
newOrderSingle.Set(new TimeInForce(TimeInForce.GOOD_TILL_CANCEL));
Session.SendToTarget(newOrderSingle, m_SessionID);
Logger.Instance().Log($"REQUEST (SendLimitOrder) => Symbol: {strSymbol}, Lots: {dLots}, Price: {dPrice}, Type: {new Side(chSide)}");
}
/**
* new Order request
* @throws IOException
*/
public static Message createOrderBookRequest()
{
//this new Order request type (D)
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
//In there you should Set your partner and securitykey must contain a comma
newOrderSingleRequest.Set(new Account(AccountUtil.apiKey+","+AccountUtil.sercretKey));
//this is your unique id you can fill any string
newOrderSingleRequest.Set(new ClOrdID("123"));
//the amount you want to operate (buy or sell)
newOrderSingleRequest.Set(new OrderQty(1));
//There is operate type. "1" means marker price order,"2" means limit price order
newOrderSingleRequest.Set(new OrdType('1'));
newOrderSingleRequest.Set(new Price(10));
//1 means buy;2 means sell
newOrderSingleRequest.Set(new Side('1'));
//type BTC/CNY or LTC/CNY other formart not supported
newOrderSingleRequest.Set(new Symbol("LTC/CNY"));
//time
newOrderSingleRequest.Set(new TransactTime());
return newOrderSingleRequest;
}
/**
* new Order request
* @throws IOException
*/
public static Message createOrderBookRequest()
{
//this new Order request type (D)
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
//In there you should Set your partner and securitykey must contain a comma
newOrderSingleRequest.Set(new Account(AccountUtil.apiKey + "," + AccountUtil.sercretKey));
//this is your unique id you can fill any string
newOrderSingleRequest.Set(new ClOrdID("123"));
//the amount you want to operate (buy or sell)
newOrderSingleRequest.Set(new OrderQty(1));
//There is operate type. "1" means marker price order,"2" means limit price order
newOrderSingleRequest.Set(new OrdType('1'));
newOrderSingleRequest.Set(new Price(10));
//1 means buy;2 means sell
newOrderSingleRequest.Set(new Side('1'));
//type BTC/CNY or LTC/CNY other formart not supported
newOrderSingleRequest.Set(new Symbol("LTC/CNY"));
//time
newOrderSingleRequest.Set(new TransactTime());
return(newOrderSingleRequest);
}
private QuickFix.FIX44.NewOrderSingle QueryNewOrderSingle44()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX44.NewOrderSingle newOrderSingle = new QuickFix.FIX44.NewOrderSingle(
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(new HandlInst('1'));
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryPrice());
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryStopPx());
return newOrderSingle;
}
private void TransmitNewOrderSingle()
{
QuickFix.FIX44.NewOrderSingle msg = new QuickFix.FIX44.NewOrderSingle(
new ClOrdID("woooot"),
new Symbol("IBM"),
new Side(Side.BUY),
new TransactTime(DateTime.Now),
new OrdType(OrdType.MARKET));
msg.Set(new OrderQty(99));
SendMessage(msg);
}
public static Message CreateOrderBookRequest(decimal price, char side, bool open)
{
QuickFix.FIX44.NewOrderSingle newOrderSingleRequest = new QuickFix.FIX44.NewOrderSingle();
newOrderSingleRequest.Set(AccountUtil.Account);
newOrderSingleRequest.Set(new ClOrdID("111"));
newOrderSingleRequest.Set(new OrderQty(1));
newOrderSingleRequest.Set(new OrdType('2'));
newOrderSingleRequest.Set(new Price(price));
newOrderSingleRequest.Set(new Side(side));
newOrderSingleRequest.Set(new PositionEffect(open ? 'O' : 'C'));
newOrderSingleRequest.Set(new Symbol("quarter"));
newOrderSingleRequest.Set(new Currency("btc_usd"));
newOrderSingleRequest.Set(new SecurityType(SecurityType.FUTURE));
newOrderSingleRequest.Set(new MarginRatio(20));
newOrderSingleRequest.Set(new TransactTime());
return(newOrderSingleRequest);
}