public static QuickFix.TimeInForce deOrdemValidadeParaTimeInForce(OrdemValidadeEnum ordValidade)
{
QuickFix.TimeInForce retorno = null;
switch (ordValidade)
{
case OrdemValidadeEnum.ValidaParaODia:
retorno = new QuickFix.TimeInForce(QuickFix.TimeInForce.DAY);
break;
case OrdemValidadeEnum.ExecutaIntegralParcialOuCancela:
retorno = new QuickFix.TimeInForce(QuickFix.TimeInForce.IMMEDIATEORCANCEL);
break;
case OrdemValidadeEnum.ExecutaIntegralOuCancela:
retorno = new QuickFix.TimeInForce(QuickFix.TimeInForce.FILL_OR_KILL);
break;
case OrdemValidadeEnum.ValidaAteSerCancelada:
retorno = new QuickFix.TimeInForce(QuickFix.TimeInForce.GOOD_TILL_CANCEL);
break;
case OrdemValidadeEnum.ValidoAteDeterminadaData:
retorno = new QuickFix.TimeInForce(QuickFix.TimeInForce.GOOD_TILL_DATE);
break;
case OrdemValidadeEnum.ValidaParaAberturaDoMercado:
retorno = new QuickFix.TimeInForce(QuickFix.TimeInForce.ATTHEOPENING);
break;
case OrdemValidadeEnum.FechamentoDoMercado:
retorno = new QuickFix.TimeInForce(QuickFix.TimeInForce.ATTHECLOSE);
break;
case OrdemValidadeEnum.BoaParaLeilao:
retorno = new QuickFix.TimeInForce('A');
break;
default:
logger.Error("TradutorFix.deOrdemValidadeParaTimeInForce() - Validade de ordem não implementado: " + ordValidade.ToString());
retorno = null;
break;
}
return(retorno);
}
public QuickFix.TimeInForce getTimeInForce()
{ QuickFix.TimeInForce value = new QuickFix.TimeInForce();
getField(value); return value; }
public bool isSet(QuickFix.TimeInForce field)
{
return(isSetField(field));
}
public QuickFix.TimeInForce getTimeInForce()
{
QuickFix.TimeInForce value = new QuickFix.TimeInForce();
getField(value); return(value);
}
public QuickFix.TimeInForce get(QuickFix.TimeInForce value)
{
getField(value); return(value);
}
public void set(QuickFix.TimeInForce value)
{
setField(value);
}
/// <summary>
/// submit an order to IB using a incomming FIX new order single
/// </summary>
/// <param name="myMsg"></param>
private void submitOrder(KaiTrade.Interfaces.IMessage myMsg)
{
QuickFix.Message myQFOrder = null;
try
{
// Extract the raw FIX Message from the inbound message
string strOrder = myMsg.Data;
// Use QuickFix to handle the message
myQFOrder = new QuickFix.Message(strOrder);
// Use product manager to validate the product specified on
// the order exists for this adapter
// Get the product associated with the FIX message
//QuickFix.Symbol symbol = new QuickFix.Symbol();
//myQFOrder.getField(symbol);
QuickFix.Side mySide = new QuickFix.Side();
QuickFix.OrdType myOrdType = new QuickFix.OrdType();
QuickFix.OrderQty myOrderQty = new QuickFix.OrderQty();
QuickFix.Price myPrice = new QuickFix.Price();
QuickFix.StopPx myStopPx = new QuickFix.StopPx();
QuickFix.Account myAccount = new QuickFix.Account();
QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
QuickFix.TimeInForce myTimeInForce = new QuickFix.TimeInForce();
// the account code is mandatory
if (myQFOrder.isSetField(myAccount))
{
myQFOrder.getField(myAccount);
}
else
{
this.SendAdvisoryMessage("IB TWS: you need to provide a valid account");
throw new Exception("IB TWS: you need to provide a valid account");
}
myQFOrder.getField(myClOrdID);
// Get the Order type
myQFOrder.getField(myOrdType);
// Get the QTY
myQFOrder.getField(myOrderQty);
// get the Side of the order
myQFOrder.getField(mySide);
// Set order duration
myQFOrder.getField(myTimeInForce);
// Prices
if (myQFOrder.isSetField(myPrice))
{
myQFOrder.getField(myPrice);
}
if (myQFOrder.isSetField(myStopPx))
{
myQFOrder.getField(myStopPx);
}
// get the contract
TWSLib.IContract myContract = getIBContract(myQFOrder);
if (myContract == null)
{
this.SendAdvisoryMessage("IB TWS: cannot find a valid contract");
throw new Exception("IB TWS: cannot find a valid contract");
}
// create an IB Order
TWSLib.IOrder myIBOrder = m_Host.TWS.createOrder();
myIBOrder.whatIf = 0;
myIBOrder.account = myAccount.getValue();
if(myOrdType.getValue() == QuickFix.OrdType.LIMIT)
{
myIBOrder.orderType = "LMT";
myIBOrder.lmtPrice = myPrice.getValue();
}
else if(myOrdType.getValue() == QuickFix.OrdType.MARKET)
{
myIBOrder.orderType = "MKT";
}
else if (myOrdType.getValue() == QuickFix.OrdType.STOP)
{
myIBOrder.orderType = "STP";
myIBOrder.auxPrice = myStopPx.getValue();
if (myPrice.getValue() == -1)
{
myIBOrder.lmtPrice = myStopPx.getValue();
}
else
{
myIBOrder.lmtPrice = myPrice.getValue();
}
}
else if (myOrdType.getValue() == QuickFix.OrdType.STOP_LIMIT)
{
myIBOrder.orderType = "STP";
myIBOrder.auxPrice = myStopPx.getValue();
if (myPrice.getValue() == -1)
{
myIBOrder.lmtPrice = myStopPx.getValue();
}
else
{
myIBOrder.lmtPrice = myPrice.getValue();
}
}
else
{
this.SendAdvisoryMessage("IB TWS: order type not supported");
throw new Exception("IB TWS: order type not supported");
}
myIBOrder.totalQuantity = (int) myOrderQty.getValue();
// Side
string myAction = KaiUtil.QFUtils.DecodeSide(mySide).ToUpper();
myIBOrder.action = myAction;
// Time in force
string myTIF = KaiUtil.QFUtils.DecodeTimeInForce(myTimeInForce).ToUpper();
myIBOrder.timeInForce = myTIF;
if (myOrdType.getValue() == QuickFix.OrdType.LIMIT)
{
myIBOrder.lmtPrice = myPrice.getValue();
}
DriverBase.OrderContext myCntx = RecordOrderContext(myClOrdID.getValue(), myQFOrder, null, m_NextID.ToString());
SetContextCommand(myCntx, DriverBase.ORCommand.Undefined, DriverBase.ORCommand.Submit);
myCntx.OrderQty = myIBOrder.totalQuantity;
myCntx.CumQty = 0;
m_Host.TWS.placeOrderEx(m_NextID++, myContract, myIBOrder);
}
catch (Exception myE)
{
_log.Error("submitOrder", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
this.SendAdvisoryMessage("IB TWS:submitOrder: problem submitting order:" + myE.ToString());
QuickFix.OrdStatus myOrdStatus;
QuickFix.ExecType myExecType = new QuickFix.ExecType(QuickFix.ExecType.REJECTED);
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
QuickFix.OrderQty orderQty = new QuickFix.OrderQty();
if (myQFOrder != null)
{
myQFOrder.getField(orderQty);
QuickFix.OrdRejReason myRejReason = new QuickFix.OrdRejReason(QuickFix.OrdRejReason.OTHER);
sendExecReport(myQFOrder, new QuickFix.OrderID("UNKNOWN"), myOrdStatus, myExecType, 0.0, (int)orderQty.getValue(), 0, 0, 0, myE.Message, myRejReason);
}
}
}
