public void fromApp(QuickFix.Message message, SessionID sessionID)
{
// receiving messages
Symbol sym = new Symbol();
message.getField(sym);
Tick k = new TickImpl(sym.getValue());
{
// bid
BidPx bp = new BidPx();
BidSize bs = new BidSize();
k.bid = (decimal)bp.getValue();
k.bs = (int)message.getField(bs).getValue();
}
{
// ask
OfferPx op = new OfferPx();
OfferSize os = new OfferSize();
k.ask = (decimal)op.getValue();
k.os = (int)message.getField(os).getValue();
}
{
// last
Price price = new Price();
message.getField(price);
k.trade = (decimal)price.getValue();
}
tl.newTick(k);
//ClOrdID clOrdID = new ClOrdID();
//message.getField(clOrdID);
}
//生成返回消息体
protected virtual void ReportExcuResult(string symbol, Message msg, SessionID sid)
{
try
{
var cs = msg.getField(ReportIndex);
var oid = msg.getField(ClientOrderIdIndex);
if (cs == "0") //queued
{
FixReport(msgTypeQueued, msg, ClientOrderIdIndex, string.Format(rspOrderStatus, Queued, symbol, 0, 0, oid));
unFill.ChangeStatus(oid, "Queued");
}
else if (cs == "8") // reject
{
var res = string.Format(rspOrderStatus, Reject, symbol, 0, 0, oid);
res += string.Format(rspError, msg.getField(TextIndex));
FixReport(msgTypeReject, msg, ClientOrderIdIndex, res);
unFill.ChangeStatus(oid, "Reject");
unFill.Remove(oid);
}
else if (cs == "4") // cancel
{
//目前4消息分两种情况：撤单消息返回、市价单不成功或不完全成功。
//撤单消息返回时：有41,44字段。
//市价单不成功时：无41，44字段。
if (msg.isSetField(41) && msg.isSetField(44))
{
FixReport(msgTypeCancel, msg, ClientOrderIdIndex, string.Format(rspCancel, msg.getField(41)));
}
else
{
var res = string.Format(rspOrderStatus, Reject, symbol, 0, 0, oid);
res += string.Format(rspError, "MarketOrder is IOC/FOK(TimeInForce)");
FixReport(msgTypeReject, msg, ClientOrderIdIndex, res);
}
unFill.ChangeStatus(oid, "Canceled Or MarketOrderCanceled");
unFill.Remove(oid);
}
else if (cs == "1") //partiallyFilled
{
var price = msg.getField(PriceIndex);
var qty = (msg.getField(SideIndex) == SideSell ? "-" : "") + msg.getField(QtyIndex);
DefDealProc(symbol, price, qty, oid);
FixReport(msgTypePartFill, msg, ClientOrderIdIndex,
string.Format(rspOrderStatus, PartFill, symbol, price, qty, oid));
unFill.ChangeStatus(oid, "PartiallyFilled");
}
else if (cs == "2") //filled
{
var price = msg.getField(PriceIndex);
var qty = (msg.getField(SideIndex) == SideSell ? "-" : "") + msg.getField(QtyIndex);
DefDealProc(symbol, price, qty, oid);
FixReport(msgTypePartFill, msg, ClientOrderIdIndex,
string.Format(rspOrderStatus, FullFill, symbol, price, qty, oid));
unFill.ChangeStatus(oid, "Filled");
unFill.Remove(oid);
}
}
catch (Exception) { }
}
//网关拒绝撤单
protected virtual void MsgOrderCancelReject(Message msg, SessionID sid)
{
try
{
FixReport(msgTypeCancel, msg, CancelClientOrderIdIndex,
string.Format(rspCancel, msg.getField(CancelClientOrderIdIndex))
+ string.Format(rspError, msg.getField(TextIndex)));
}
catch (Exception){}
}
protected string GetSymbol(Message msg)
{
try
{
return symbolList[msg.getField(ClientOrderIdIndex)];
}
catch (Exception){}
try
{
return msg.getField(SymbolIndex);
}
catch (Exception){}
return string.Empty;
}
protected void FixReport(int type, Message msg, int IDfieldNum, string connect)
{
if (ReportCallBack != null)
{
try
{
ReportCallBack(type, msg.getField(IDfieldNum), connect);
}
catch (Exception)
{
ReportCallBack(type, string.Empty, connect);
}
}
}
void Application.fromApp(QuickFix.Message message, SessionID sessionID)
{
//Console.WriteLine("from app:"+message.ToString());
// 查询股份和资产不是FIX4.2的标准功能，需要特殊处理
if (message.getHeader().getString(35) == "UAP")
{
PosType posType = new PosType();
LongQty longQty = new LongQty();
ShortQty shortQty = new ShortQty();
NoPositions noPositions = new NoPositions();
Group group = new Group(noPositions.getField(), posType.getField());
if ((message.getField(724) == "9") && (FundStatusReport != null))// 资产
{
//string currency = message.getField(15);
double balance = 0.0;
double availableBalance = 0.0;
double totalAsserts = 0.0;
double capitalAsserts = 0.0;
double marketValue = 0.0;
double buyFreezed = 0.0;
for (uint i = 1; i <= int.Parse(message.getField(noPositions.getField())); i++)
{
message.getGroup(i, group);
switch (group.getField(posType.getField()))
{
case "FB":
balance = double.Parse(group.getField(longQty.getField()));
break;
case "FAV":
availableBalance = double.Parse(group.getField(longQty.getField()));
break;
case "MV":
totalAsserts = double.Parse(group.getField(longQty.getField()));
break;
case "F":
capitalAsserts = double.Parse(group.getField(longQty.getField()));
break;
case "SV":
marketValue = double.Parse(group.getField(longQty.getField()));
break;
case "FBF":
buyFreezed = double.Parse(group.getField(shortQty.getField()));
break;
}
}
FundStatusReport(this, new FundStatusReportEventArgs(balance, availableBalance, totalAsserts,
capitalAsserts, marketValue, buyFreezed));
}
else if ((message.getField(724) == "0") && (PositionStatusReport != null)) // 股份
{
string accountID = message.getString(1);;
string securityExchange = message.getString(207);
switch (securityExchange)
{
case "XSHG":
securityExchange = "SH";
break;
case "XSHE":
securityExchange = "SZ";
break;
}
string securityID = message.getString(55);
double balance = 0.0;
double availableBalance = 0.0;
double quantity = 0.0;
for (uint i = 1; i <= int.Parse(message.getField(noPositions.getField())); i++)
{
message.getGroup(i, group);
switch (group.getField(posType.getField()))
{
case "SB": balance = double.Parse(group.getField(longQty.getField())); break;
case "SAV": availableBalance = double.Parse(group.getField(longQty.getField())); break;
case "SQ": quantity = double.Parse(group.getField(longQty.getField())); break;
}
}
PositionStatusReport(this, new PositionStatusReportEventArgs(accountID, securityExchange, securityID,
balance, availableBalance, quantity));
}
}
else
{
base.crack(message, sessionID); // 调用默认处理方法
}
message.Dispose();
}