private OrderFilled GenerateOrderFilledEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var executionId = new ExecutionId(message.GetField(Tags.ExecID));
var positionIdBroker = new PositionIdBroker(message.GetField(FxcmTags.PosID));
var symbol = this.GetSymbol(message.GetString(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var filledQuantity = Quantity.Create(message.GetDecimal(Tags.CumQty));
var averagePrice = Price.Create(message.GetDecimal(Tags.AvgPx));
var quoteCurrency = this.GetQuoteCurrency(symbol, message.GetField(Tags.Currency));
var executionTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderFilled(
this.accountId,
orderId,
executionId,
positionIdBroker,
symbol,
orderSide,
filledQuantity,
averagePrice,
quoteCurrency,
executionTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderAccepted GenerateOrderAcceptedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var acceptedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderAccepted(
this.accountId,
orderId,
orderIdBroker,
acceptedTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderRejected GenerateOrderRejectedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var rejectedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
var rejectReason = message.GetField(FxcmTags.ErrorDetails).TrimEnd('.');
return(new OrderRejected(
this.accountId,
orderId,
rejectedTime,
rejectReason,
this.NewGuid(),
this.TimeNow()));
}
private OrderModified GenerateOrderModifiedEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType));
var quantity = message.IsSetField(Tags.LeavesQty)
? Quantity.Create(message.GetDecimal(Tags.LeavesQty))
: Quantity.Create(message.GetDecimal(Tags.OrderQty));
var price = FxcmMessageHelper.GetOrderPrice(orderType, message);
var modifiedTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderModified(
this.accountId,
orderId,
orderIdBroker,
quantity,
price,
modifiedTime,
this.NewGuid(),
this.TimeNow()));
}
private OrderWorking GenerateOrderWorkingEvent(ExecutionReport message)
{
var orderId = this.GetOrderId(message);
var orderIdBroker = new OrderIdBroker(message.GetField(Tags.OrderID));
var symbol = this.GetSymbol(message.GetField(Tags.Symbol));
var orderSide = FxcmMessageHelper.GetOrderSide(message.GetField(Tags.Side));
var orderType = FxcmMessageHelper.GetOrderType(message.GetField(Tags.OrdType));
var quantity = Quantity.Create(message.GetDecimal(Tags.OrderQty));
var price = FxcmMessageHelper.GetOrderPrice(orderType, message);
var timeInForce = FxcmMessageHelper.GetTimeInForce(message.GetField(Tags.TimeInForce));
var expireTime = FxcmMessageHelper.GetExpireTime(message);
var workingTime = FxcmMessageHelper.ParseTimestamp(message.GetField(Tags.TransactTime));
return(new OrderWorking(
this.accountId,
orderId,
orderIdBroker,
symbol,
orderSide,
orderType,
quantity,
price,
timeInForce,
expireTime,
workingTime,
this.NewGuid(),
this.TimeNow()));
}
private static string ObtenerIdTransaccionContraparte(ExecutionReport reporteEjecucion)
{
return(reporteEjecucion.GetField(new NumericOrderID(NumericOrderID.NumericOrderIDTag)).getValue());
}
public override object GetField(Fields field)
{
if (ExecutionReport == null)
{
return(ExecutionReportFields.NULL);
}
if (field == Fields.KEY)
{
return(Key);
}
else
{
ExecutionReportFields xrField = (ExecutionReportFields)field;
if (xrField == ExecutionReportFields.OrderID)
{
return(GetOrdId(ExecutionReport, QuickFix.Fields.Tags.OrderID));
}
else if (xrField == ExecutionReportFields.ClOrdID)
{
return(GetOrdId(ExecutionReport, QuickFix.Fields.Tags.ClOrdID));
}
else if (xrField == ExecutionReportFields.OrigClOrdID)
{
return(GetOrdId(ExecutionReport, QuickFix.Fields.Tags.OrigClOrdID));
}
else if (xrField == ExecutionReportFields.ExecType)
{
return(GetExecType(ExecutionReport.GetChar(QuickFix.Fields.Tags.ExecType)));
}
else if (xrField == ExecutionReportFields.ExecID)
{
return(ExecutionReport.GetString(QuickFix.Fields.Tags.ExecID));
}
else if (xrField == ExecutionReportFields.OrdStatus)
{
return(GetOrdStatus(ExecutionReport.GetChar(QuickFix.Fields.Tags.OrdStatus)));
}
else if (xrField == ExecutionReportFields.OrdRejReason)
{
return(FixHelper.GetNullIntFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.OrdRejReason));
}
else if (xrField == ExecutionReportFields.LeavesQty)
{
return(ExecutionReport.GetInt(QuickFix.Fields.Tags.LeavesQty));
}
else if (xrField == ExecutionReportFields.CumQty)
{
return(ExecutionReport.GetInt(QuickFix.Fields.Tags.CumQty));
}
else if (xrField == ExecutionReportFields.AvgPx)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.AvgPx));
}
else if (xrField == ExecutionReportFields.Commission)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Commission));
}
else if (xrField == ExecutionReportFields.Text)
{
return(ExecutionReport.GetField(QuickFix.Fields.Tags.Text));
}
else if (xrField == ExecutionReportFields.TransactTime)
{
return(DateTime.Now);
}
else if (xrField == ExecutionReportFields.LastQty)
{
return(FixHelper.GetNullIntFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.LastQty));
}
else if (xrField == ExecutionReportFields.LastPx)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.LastPx));
}
else if (xrField == ExecutionReportFields.LastMkt)
{
return(FixHelper.GetNullFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.LastMkt));
}
else if (xrField == ExecutionReportFields.Symbol)
{
return(FixHelper.GetNullFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Symbol));
}
else if (xrField == ExecutionReportFields.OrderQty)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.OrderQty));
}
else if (xrField == ExecutionReportFields.CashOrderQty)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.CashOrderQty));
}
else if (xrField == ExecutionReportFields.OrdType)
{
return(GetOrdType(ExecutionReport.GetChar(QuickFix.Fields.Tags.OrdType)));
}
else if (xrField == ExecutionReportFields.Price)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Price));
}
else if (xrField == ExecutionReportFields.StopPx)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.StopPx));
}
else if (xrField == ExecutionReportFields.Currency)
{
return(FixHelper.GetNullFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.Currency));
}
else if (xrField == ExecutionReportFields.ExpireDate)
{
return(FixHelper.GetDateTimeFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.ExpireDate));
}
else if (xrField == ExecutionReportFields.MinQty)
{
return(FixHelper.GetNullDoubleFieldIfSet(ExecutionReport, QuickFix.Fields.Tags.MinQty));
}
else if (xrField == ExecutionReportFields.Side)
{
GetSide(ExecutionReport.GetChar(QuickFix.Fields.Tags.Side));
}
else if (xrField == ExecutionReportFields.QuantityType)
{
return(QuantityType.SHARES);
}
else if (xrField == ExecutionReportFields.PriceType)
{
return(PriceType.FixedAmount);
}
else if (xrField == ExecutionReportFields.Account)
{
return(ExecutionReport.GetField(QuickFix.Fields.Tags.Account));
}
else if (xrField == ExecutionReportFields.ExecInst)
{
return(ExecutionReport.GetField(QuickFix.Fields.Tags.ExecInst));
}
}
return(ExecutionReportFields.NULL);
}
public void OnMessage(ExecutionReport message)
{
Debug.NotNull(this.tradingGateway, nameof(this.tradingGateway));
switch (message.OrdStatus.Obj)
{
case OrdStatus.REJECTED:
{
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.REJECTED)})");
this.tradingGateway?.Send(this.GenerateOrderRejectedEvent(message));
break;
}
case OrdStatus.PENDING_NEW:
{
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_NEW)}).");
// Do nothing
break;
}
case OrdStatus.NEW:
{
var fxcmOrdStatus = message.GetField(FxcmTags.OrdStatus);
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.NEW)}-{fxcmOrdStatus})");
switch (fxcmOrdStatus)
{
case "P": // In Process
this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message));
this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message));
break;
case "I": // Dealer Intervention
this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message));
this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message));
break;
case "W": // Waiting (conditional order inactive state)
if (message.IsSetField(Tags.SecondaryOrderID))
{
// Accepted Conditional Order
this.tradingGateway?.Send(this.GenerateOrderAcceptedEvent(message));
}
else
{
// Working Primary Order
this.tradingGateway?.Send(this.GenerateOrderWorkingEvent(message));
}
break;
default:
this.Logger.LogError(LogId.Network, $"Cannot process event (FXCMOrdStatus {fxcmOrdStatus} not recognized).");
break;
}
break;
}
case OrdStatus.PENDING_CANCEL:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_CANCEL)}).");
#endif
// Do nothing
break;
}
case OrdStatus.CANCELED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.CANCELED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderCancelledEvent(message));
break;
}
case OrdStatus.REPLACED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.REPLACED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderModifiedEvent(message));
break;
}
case OrdStatus.EXPIRED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.EXPIRED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderExpiredEvent(message));
break;
}
case OrdStatus.STOPPED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.STOPPED)}).");
#endif
// Order is executing
break;
}
case OrdStatus.FILLED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.FILLED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderFilledEvent(message));
break;
}
case OrdStatus.PARTIALLY_FILLED:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.PARTIALLY_FILLED)})");
#endif
this.tradingGateway?.Send(this.GenerateOrderPartiallyFilledEvent(message));
break;
}
case OrdStatus.SUSPENDED:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.SUSPENDED)}).");
break;
}
case OrdStatus.CALCULATED:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.CALCULATED)}).");
break;
}
case OrdStatus.DONE_FOR_DAY:
{
#if DEBUG
this.Logger.LogDebug(LogId.Network, $"{Received}{Fix} {nameof(ExecutionReport)}({nameof(OrdStatus.DONE_FOR_DAY)}).");
#endif
this.tradingGateway?.Send(this.GenerateOrderExpiredEvent(message));
break;
}
case OrdStatus.PENDING_REPLACE:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.PENDING_REPLACE)}).");
break;
}
case OrdStatus.ACCEPTED_FOR_BIDDING:
{
this.Logger.LogError(LogId.Network, $"{Received}{Fix} Unhandled {nameof(ExecutionReport)}({nameof(OrdStatus.ACCEPTED_FOR_BIDDING)}).");
break;
}
default:
throw ExceptionFactory.InvalidSwitchArgument(message.OrdStatus, nameof(message.OrdStatus));
}
}
/// <summary>
/// Returns the order expiry time if the given FIX message contains the tag (else null).
/// </summary>
/// <param name="message">The execution report FIX message.</param>
/// <returns>A <see cref="decimal"/>.</returns>
public static ZonedDateTime?GetExpireTime(ExecutionReport message)
{
return(message.IsSetField(Tags.ExpireTime)
? ParseTimestamp(message.GetField(Tags.ExpireTime))
: null);
}
private bool _er_Update(ExecutionReport er, FixOrderStatus ordS, string desc, string bolsa)
{
try
{
int account;
if (bolsa.Equals(ExchangePrefixes.BOVESPA, StringComparison.InvariantCultureIgnoreCase))
{
string acc = er.Account.getValue();
acc = (acc.Remove(acc.Length - 1));
account = Convert.ToInt32(acc);
}
else
{
account = Convert.ToInt32(er.Account.getValue());
}
// Buscar Ordem Original, de algum jeito!!!
// 1a. tentativa: Tentar via ExchangeNumber
// 2a. tentativa: Tentar via ClOrdID e OrigClOrdID
// 3a. tentativa: Tentar via ClOrdID no tb_fix_order_update e buscar a ordem pelo OrderID
// 4a. tentativa: ahhh foda-se, nao achou mesmo
OrderDbInfo orderOrig = null;
// 1a. tentativa
if (er.IsSetOrderID() && !er.OrderID.getValue().Equals("NONE"))
{
orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
}
// 2a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
// Se ordem nao encontrada, entao procurar pelo OrigClOrdID
if (er.IsSetOrigClOrdID())
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
if (orderOrig.OrderID == 0)
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.OrigClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
else
{
orderOrig = _db.BuscarOrdem(er.OrigClOrdID.getValue(), account, er.Symbol.getValue());
}
}
else
{
orderOrig = _db.BuscarOrdem(er.ClOrdID.getValue(), account, er.Symbol.getValue(), true);
//if (orderOrig.OrderID == 0)
//{
// logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
//}
}
}
}
// 3a. Tentativa
if (null == orderOrig || orderOrig.OrderID == 0)
{
// Buscar a partir de tb_fix_order_update
OrderDbUpdateInfo orderUpdate = _db.BuscarOrdemUpdate(er.ClOrdID.getValue());
// Buscar ordem original a partir do order ID
if (orderUpdate.OrderID != 0)
{
orderOrig = _db.BuscarOrdemPorOrderID(orderUpdate.OrderID);
}
else
{
logger.Info("01 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
}
if (null == orderOrig || orderOrig.OrderID == 0)
{
logger.Info("02 ER - Nao achou a ordem em questao!!!: " + er.ClOrdID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
return(false);
}
//}
//else
//{
// orderOrig = _db.BuscarOrdemPorExchangeNumber(er.OrderID.getValue());
// if (orderOrig.OrderID == 0)
// {
// logger.Info("ER - Nao achou a ordem em questao via exchange number (OrderID ER)!!!: " + er.OrderID.getValue() + " Status: " + ordS.ToString() + " Desc: " + desc);
// return false;
// }
// }
// Adicionar OrdemDetalhe
OrderDbDetalheInfo detail = new OrderDbDetalheInfo();
detail.OrderID = orderOrig.OrderID;
detail.TransactID = er.ExecID.getValue();
detail.OrderQty = Convert.ToInt32(er.OrderQty.getValue());
detail.Price = er.IsSetField(Tags.Price) ? er.Price.getValue() : Decimal.Zero;
detail.OrderStatusID = (int)ordS;
detail.TransactTime = er.TransactTime.getValue();
if (er.IsSetField(Tags.Text))
{
detail.Description = desc + " - " + er.Text.getValue();
}
else
{
detail.Description = desc;
}
detail.TradeQty = er.IsSetField(Tags.LastQty) ? Convert.ToInt32(er.LastQty.getValue()) : 0;
detail.CumQty = er.IsSetField(Tags.CumQty) ? Convert.ToInt32(er.CumQty.getValue()) : 0;
detail.FixMsgSeqNum = Convert.ToInt32(er.Header.GetField(Tags.MsgSeqNum));
if (!_db.InserirOrdemDetalhe(detail, orderOrig.ClOrdID))
{
logger.Info("Erro ao inserir o registro na tabela tb_fix_order_update");
return(false);
}
// Atualizar Ordem
orderOrig.ExchangeNumberID = er.OrderID.getValue();
orderOrig.OrdStatus = (int)ordS;
orderOrig.TransactTime = er.TransactTime.getValue();
// orderOrig.ClOrdID = er.ClOrdID.getValue();
// if (er.IsSetOrigClOrdID())
// orderOrig.OrigClOrdID = er.OrigClOrdID.getValue();
if (er.IsSetField(Tags.LeavesQty))
{
orderOrig.OrderQtyRemaining = Convert.ToInt32(er.LeavesQty.getValue());
}
if (er.IsSetField(Tags.CumQty))
{
orderOrig.CumQty = Convert.ToInt32(er.CumQty.getValue());
}
orderOrig.Memo = er.IsSetField(Tags.Memo) ? er.GetField(Tags.Memo): string.Empty;
if (!_db.AtualizarOrdem(orderOrig))
{
logger.Info("Problemas na atualizacao da ordem. ClOrdID: " + orderOrig.ClOrdID);
return(false);
}
DropCopyCallbackManager.Instance.EnqueueCallback(orderOrig);
return(true);
}
catch (Exception ex)
{
logger.Error("_er_Update: Erro na atualizacao dos status da ordem: " + ex.Message, ex);
return(false);
}
}