/// <summary>
/// 委托执行回报，订单的任何执行回报都会触发本事件，通过rpt可访问回报信息。
/// </summary>
/// <param name="rpt"></param>
public override void OnExecRpt(ExecRpt rpt)
{
Console.WriteLine(
"rpt: cl_ord_id={0} price={1} amount={2} exec_type={3}",
rpt.cl_ord_id,
rpt.price,
rpt.amount,
rpt.exec_type);
}
/// <summary>
/// 撤单请求被拒绝时，触发本事件
/// </summary>
/// <param name="rpt"></param>
public override void OnOrderCancelRejected(ExecRpt rpt)
{
Console.WriteLine("order cancel failed: {0}", rpt.cl_ord_id);
}
public static void on_execrpt(ExecRpt e)
{
System.Console.WriteLine("execution: {0}", e.cl_ord_id);
}
/// <summary>
/// 撤单请求被拒绝时，触发本事件
/// </summary>
/// <param name="rpt"></param>
public override void OnOrderCancelRejected(ExecRpt rpt)
{
}
/// <summary>
/// 委托执行回报，订单的任何执行回报都会触发本事件，通过rpt可访问回报信息。
/// </summary>
/// <param name="rpt"></param>
public override void OnExecRpt(ExecRpt rpt)
{
}
public async Task <ExecRpt> CreateOrder(string account, string symbol, double quantity, double price, bool gtc = false)
{
var xml = new XmlDocument();
var root = xml.CreateElement("FIXML", "http://www.fixprotocol.org/FIXML-5-0-SP2");
xml.AppendChild(root);
var order = xml.CreateElement("Order", xml.DocumentElement.NamespaceURI);
var attr = xml.CreateAttribute("Side");
attr.Value = quantity > 0 ? "1" : "2"; // buy/sell
order.Attributes.Append(attr);
attr = xml.CreateAttribute("Acct");
attr.Value = account;
order.Attributes.Append(attr);
attr = xml.CreateAttribute("Typ");
attr.Value = price > 0 ? "2" : "1"; // order type
order.Attributes.Append(attr);
if (price > 0)
{
attr = xml.CreateAttribute("Px");
attr.Value = Convert.ToString(price);
order.Attributes.Append(attr);
}
attr = xml.CreateAttribute("TmInForce");
attr.Value = gtc ? "1" : "0";
order.Attributes.Append(attr);
var instrmt = xml.CreateElement("Instrmt", xml.DocumentElement.NamespaceURI);
attr = xml.CreateAttribute("SecTyp");
attr.Value = "CS";
instrmt.Attributes.Append(attr);
attr = xml.CreateAttribute("Sym");
attr.Value = symbol.ToUpper();
instrmt.Attributes.Append(attr);
var OrdQty = xml.CreateElement("OrdQty", xml.DocumentElement.NamespaceURI);
attr = xml.CreateAttribute("Qty");
attr.Value = Convert.ToString(Math.Abs(quantity));
OrdQty.Attributes.Append(attr);
order.AppendChild(instrmt);
order.AppendChild(OrdQty);
root.AppendChild(order);
var request = new RestRequest("/accounts/{id}/orders.json", Method.POST);
request.AddHeader("TKI_OVERRIDE", "true");
request.AddUrlSegment("id", account);
request.AddParameter("application/xml", XmlToString(xml), ParameterType.RequestBody);
var response = await client.ExecuteAsync(request);
if (response.StatusCode == HttpStatusCode.OK)
{
JObject o = JObject.Parse(response.Content);
if ((string)o["response"]["error"] == "Success")
{
string order_id = (string)o["response"]["clientorderid"];
var exec = new ExecRpt();
exec.TrdDt = DateTime.Now;
exec.OrdID = order_id;
exec.ID = order_id;
exec.Stat = (int)OrderState.Pending;
exec.Side = quantity > 0 ? 1 : 2; // buy / sell
exec.Typ = price > 0 ? 1 : 2; // limit
if (price > 0)
{
exec.Px = price; // limit price
}
exec.TmInForce = gtc ? "1" : "0"; // duration
exec.Acct = account;
exec.Instrmt = new Instrmt();
exec.Instrmt.Sym = symbol;
exec.Instrmt.SecTyp = "CS";
exec.OrdQty = new OrdQty();
exec.OrdQty.Qty = Math.Abs(quantity);
return(exec);
}
}
return(null);
}
public async Task <bool> CreateOrder(ExecRpt exec)
{
var xml = new XmlDocument();
var root = xml.CreateElement("FIXML", "http://www.fixprotocol.org/FIXML-5-0-SP2");
xml.AppendChild(root);
var order = xml.CreateElement("Order", xml.DocumentElement.NamespaceURI);
var attr = xml.CreateAttribute("Side");
attr.Value = Convert.ToString(exec.Side); // buy/sell
order.Attributes.Append(attr);
attr = xml.CreateAttribute("Acct");
attr.Value = exec.Acct;
order.Attributes.Append(attr);
attr = xml.CreateAttribute("Typ");
attr.Value = Convert.ToString(exec.Typ); // order type
order.Attributes.Append(attr);
if (exec.Typ == 2) // limit
{
attr = xml.CreateAttribute("Px");
attr.Value = Convert.ToString(exec.Px);
order.Attributes.Append(attr);
}
attr = xml.CreateAttribute("TmInForce");
attr.Value = exec.TmInForce;
order.Attributes.Append(attr);
var instrmt = xml.CreateElement("Instrmt", xml.DocumentElement.NamespaceURI);
attr = xml.CreateAttribute("SecTyp");
attr.Value = exec.Instrmt.SecTyp;
instrmt.Attributes.Append(attr);
attr = xml.CreateAttribute("Sym");
attr.Value = exec.Instrmt.Sym;
instrmt.Attributes.Append(attr);
var OrdQty = xml.CreateElement("OrdQty", xml.DocumentElement.NamespaceURI);
attr = xml.CreateAttribute("Qty");
attr.Value = Convert.ToString(exec.OrdQty.Qty);
OrdQty.Attributes.Append(attr);
order.AppendChild(instrmt);
order.AppendChild(OrdQty);
root.AppendChild(order);
var request = new RestRequest("/accounts/{id}/orders.json", Method.POST);
request.AddHeader("TKI_OVERRIDE", "true");
request.AddUrlSegment("id", exec.Acct);
request.AddParameter("application/xml", XmlToString(xml), ParameterType.RequestBody);
var response = await client.ExecuteAsync(request);
if (response.StatusCode == HttpStatusCode.OK)
{
JObject o = JObject.Parse(response.Content);
if ((string)o["response"]["error"] == "Success")
{
return(true);
}
}
return(false);
}
