private void OrderHandler_OnMessageIncoming(Teb.FIX.Model.Order order, string fixMessage)
{
try
{
if (order.SecurityType == CashDefinition.SECURITY_CASH || order.SecurityType == FutureDefinition.SECURITY_FUTURE || order.SecurityType == FutureDefinition.SECURITY_OPTION)
{
//if (Setting.DistributeFixMessages)
//{
// FixMessage fm = new FixMessage()
// {
// Account = order.Account,
// Message = fixMessage,
// SecurityType = order.SecurityType,
// DbID = order.DbID.ToString(),
// TEBID = order.TEBID
// };
// TradeDistrubuter.FixMsgDistQueue.Enqueue(new FixMessageQueueItem() { Message = fm });
//}
}
else
{
//Log(String.Format("{0} mesajının SecurityType = {1} değeri geçerli değildir", fixMessage, order.SecurityType));
}
}
catch (Exception ex)
{
TBYException tex = new TBYException(MethodInfo.GetCurrentMethod().GetFullName(), String.Format("{0} mesajı alıcılara gönderilirken hata oluştu", fixMessage), ex);
Error(tex);
}
}
private void CashOrderHandler_OnOrderUpdated(Teb.FIX.Model.Order order)
{
try
{
if (order.ServerStatus != ContentServerStatus.Waiting)
{
const int orderFee = 0;
QuantConnect.Orders.Order quantOrder = convertHelper.ConvertToOrder(order);
OrderStatus status = convertHelper.ConvertToStatus(order);
var orderEvent = new OrderEvent(quantOrder, Algorithm.UtcTime, orderFee)
{
Status = status
};
OnOrderEvent(orderEvent);
}
_tradeDbHelper.UpdateOrder(order);
}
catch (Exception ex)
{
TBYException tex = new TBYException(MethodInfo.GetCurrentMethod().GetFullName(), String.Format("DbID:{0} TEBID:{1} emir veritabanında güncellenirken hata oluştu", order == null ? "-1" : order.DbID.ToString(),
order == null ? "-1" : order.TEBID), ex);
Error(tex);
}
}
//public string Convert2Side(Orders.OrderDirection direction)
//{
// switch (direction)
// {
// case OrderDirection.Buy:
// return CashDefinition.SIDE_BUY;
// case OrderDirection.Sell:
// return CashDefinition.SIDE_SELL;
// default:
// throw new InvalidEnumArgumentException("order.OrderDirection", (int)direction, typeof(Orders.OrderDirection));
// }
//}
public QuantConnect.Orders.OrderStatus ConvertToStatus(Teb.FIX.Model.Order fo)
{
switch (fo.ServerStatus)
{
case ContentServerStatus.BusinessReject:
case ContentServerStatus.CancelReject:
case ContentServerStatus.CancelReplaceReject:
case ContentServerStatus.Rejected:
case ContentServerStatus.SessionRejected:
case ContentServerStatus.Expired:
case ContentServerStatus.Canceled:
return(OrderStatus.Canceled);
case ContentServerStatus.Fill:
return(OrderStatus.Filled);
case ContentServerStatus.New:
case ContentServerStatus.NewActivated:
return(OrderStatus.Submitted);
case ContentServerStatus.NewNotActivated:
return(OrderStatus.New);
case ContentServerStatus.PartialFill:
return(OrderStatus.PartiallyFilled);
case ContentServerStatus.Waiting:
Log.Error("TEBBrokersBrokerage.ConvertOrderStatus(): ContentServerStatus.Waiting order");
return(OrderStatus.None);
default:
throw new InvalidEnumArgumentException("status", (int)fo.ServerStatus, typeof(ContentServerStatus));
}
}
public int ConvertToQuantity(Teb.FIX.Model.Order tebOrder)
{
switch (tebOrder.Core.Side)
{
case CashDefinition.SIDE_BUY:
return(tebOrder.OrderQty.HasValue ? tebOrder.OrderQty.Value : 0);
case CashDefinition.SIDE_SELL:
return(-(tebOrder.OrderQty.HasValue ? tebOrder.OrderQty.Value : 0));
default:
throw new ArgumentOutOfRangeException();
}
}
public QuantConnect.Orders.Order ConvertToOrder(Teb.FIX.Model.Order tebOrder)
{
QuantConnect.Orders.Order o = null;
if (tebOrder.OrdType == CashDefinition.ORDTYPE_MARKET)
{
o = new QuantConnect.Orders.MarketOrder();
}
else
{
o = new QuantConnect.Orders.LimitOrder();
(o as LimitOrder).LimitPrice = tebOrder.Price.HasValue ? tebOrder.Price.Value : 0;
}
o.Duration = ConvertToTimeInForce(tebOrder.Core.TimeInForce);;
o.Id = int.Parse(tebOrder.ClOrdID.Replace("CS", ""));
o.Price = tebOrder.Price.HasValue ? tebOrder.Price.Value : 0;
o.Quantity = ConvertToQuantity(tebOrder);
o.Status = ConvertToStatus(tebOrder);
o.Time = tebOrder.TransactTime.HasValue ? tebOrder.TransactTime.Value : DateTime.Now;
o.Symbol = tebOrder.Symbol;
o.BrokerId.Add(tebOrder.ConnectionClOrdID);
return(o);
}