public QuickFix.FIX44.Message CreateFillReport(OrderMatchReport report)
{
var execId = string.Format("{0}{1}", report.Asset.Symbol, DIContainer.ResolveByName <IdGenerator>("ExecIdGenerator").GenerateId());
var symbol = new Symbol(report.Asset.Symbol);
var executionReport = new ExecutionReport(
new OrderID(report.OrderId.ToString(CultureInfo.InvariantCulture)),
new ExecID(execId),
new ExecType(report.MatchType == OrderMatchType.Filled
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(report.MatchType == OrderMatchType.Filled
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
symbol,
FixFieldsConverter.Convert(report.OrderSide),
new LeavesQty(report.RemainingQuantity),
new CumQty(report.OriginalOrderQuantity - report.RemainingQuantity),
new AvgPx(report.Price))
{
ClOrdID = new ClOrdID(report.ClOrdId),
Symbol = symbol,
OrderQty = new OrderQty(report.OriginalOrderQuantity),
LastQty = new LastQty(report.MatchedQuantity),
LastPx = new LastPx(report.Price)
};
if (TradingAccount.IsSet(report.Account))
{
executionReport.SetField(new Account(report.Account.Name));
}
return(executionReport);
}
public Message CreateNewOrderExecutionReport(IOrder o, string execID)
{
var symbol = new Symbol(o.Contract.Symbol);
var exReport = new ExecutionReport(
new OrderID(o.ID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(ExecType.NEW),
new OrdStatus(OrdStatus.NEW),
symbol,
TranslateFixFields.Translate(o.MarketSide),
new LeavesQty(o.Quantity),
new CumQty(0m),
new AvgPx(o.Price))
{
ClOrdID = new ClOrdID(o.ClOrdID),
Symbol = symbol,
OrderQty = new OrderQty(o.Quantity),
LastQty = new LastQty(0m)
};
//exReport.Set(new LastPx(o.Price));
if (TradingAccount.IsSet(o.Account))
exReport.SetField(new Account(o.Account.Name));
return exReport;
}
public static ExecutionReport CreateRejectNewOrderExecutionReport(
NewOrderSingle n,
string execID,
string rejectionReason,
int?rejectionCode = null)
{
var exReport = new ExecutionReport(
new OrderID("unknown orderID"),
new ExecID(execID),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.REJECTED),
new OrdStatus(OrdStatus.REJECTED),
n.Symbol,
n.Side,
new LeavesQty(0m),
new CumQty(0m),
new AvgPx(0m));
if (rejectionCode.HasValue)
{
exReport.OrdRejReason = new OrdRejReason(rejectionCode.Value);
}
exReport.Set(n.ClOrdID);
exReport.Set(n.OrderQty);
if (n.IsSetAccount())
{
exReport.SetField(n.Account);
}
return(exReport);
}
public Message CreateFillReport(OrderMatch match, string execID)
{
var symbol = new Symbol(match.Contract.Symbol);
var exReport = new ExecutionReport(
new OrderID(match.OrderID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecType(match.MatchType == MatchType.Full
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(match.MatchType == MatchType.Full
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
symbol,
TranslateFixFields.Translate(match.MarketSide),
new LeavesQty(match.RemainingQuantity),
new CumQty(match.OriginalOrderQuantity - match.RemainingQuantity),
new AvgPx(match.Price))
{
ClOrdID = new ClOrdID(match.ClOrdID),
Symbol = symbol,
OrderQty = new OrderQty(match.OriginalOrderQuantity),
LastQty = new LastQty(match.MatchedQuantity),
LastPx = new LastPx(match.Price)
};
if (TradingAccount.IsSet(match.Account))
exReport.SetField(new Account(match.Account.Name));
return exReport;
}
public static ExecutionReport CreateRejectNewOrderExecutionReport(
NewOrderSingle n,
string execID,
string rejectionReason,
int? rejectionCode = null)
{
var exReport = new ExecutionReport(
new OrderID("unknown orderID"),
new ExecID(execID),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.REJECTED),
new OrdStatus(OrdStatus.REJECTED),
n.Symbol,
n.Side,
new LeavesQty(0m),
new CumQty(0m),
new AvgPx(0m));
if (rejectionCode.HasValue)
{
exReport.OrdRejReason = new OrdRejReason(rejectionCode.Value);
}
exReport.Set(n.ClOrdID);
exReport.Set(n.OrderQty);
if (n.IsSetAccount())
exReport.SetField(n.Account);
return exReport;
}
public Message CreateNewOrderExecutionReport(IOrder o, string execID)
{
var exReport = new ExecutionReport(
new OrderID(o.ID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecTransType(ExecType.NEW),
new ExecType(ExecType.NEW),
new OrdStatus(OrdStatus.NEW),
new Symbol(o.Contract.Symbol),
TranslateFixFields.Translate(o.MarketSide),
new LeavesQty(o.Quantity),
new CumQty(0m),
new AvgPx(o.Price))
{
ClOrdID = new ClOrdID(o.ClOrdID),
OrderQty = new OrderQty(o.Quantity),
LastShares = new LastShares(0m)
};
//exReport.Set(new LastPx(o.Price));
if (TradingAccount.IsSet(o.Account))
{
exReport.SetField(new Account(o.Account.Name));
}
return(exReport);
}
// From fixprotocol.org:
// CumQty: Currently executed shares for chain of orders.
// LeavesQty: Amount of shares open for further execution. If the OrdStatus is Canceled,
// DoneForTheDay, Expired, Calculated, or Rejected (in which case the order
// is no longer active) then LeavesQty could be 0,
// otherwise LeavesQty = OrderQty - CumQty.
// LastShares: Quantity of shares bought/sold on this (last) fill.
//
// Also see http://www.onixs.biz/fix-dictionary/4.2/msgType_8_8.html
// The general rule is: OrderQty <38> = CumQty <14> + LeavesQty <151>.
public Message CreateFillReport(OrderMatch match, string execID)
{
var exReport = new ExecutionReport(
new OrderID(match.OrderID.ToString(CultureInfo.InvariantCulture)),
new ExecID(execID),
new ExecTransType(ExecTransType.NEW),
new ExecType(match.MatchType == MatchType.Full
? ExecType.FILL
: ExecType.PARTIAL_FILL),
new OrdStatus(match.MatchType == MatchType.Full
? OrdStatus.FILLED
: OrdStatus.PARTIALLY_FILLED),
new Symbol(match.Contract.Symbol),
TranslateFixFields.Translate(match.MarketSide),
new LeavesQty(match.RemainingQuantity),
new CumQty(match.OriginalOrderQuantity - match.RemainingQuantity),
new AvgPx(match.Price))
{
ClOrdID = new ClOrdID(match.ClOrdID),
OrderQty = new OrderQty(match.OriginalOrderQuantity),
LastShares = new LastShares(match.MatchedQuantity),
LastPx = new LastPx(match.Price)
};
if (TradingAccount.IsSet(match.Account))
{
exReport.SetField(new Account(match.Account.Name));
}
return(exReport);
}
internal static ExecutionReport CopyFromOrder(this ExecutionReport executionReport, NewOrderSingle newOrderSingle)
{
executionReport.Set(newOrderSingle.Symbol);
executionReport.Set(newOrderSingle.Side);
executionReport.Set(newOrderSingle.OrdType);
executionReport.Set(newOrderSingle.ClOrdID);
executionReport.Set(newOrderSingle.OrderQty);
if (newOrderSingle.IsSetAccount())
{
executionReport.SetField(newOrderSingle.Account);
}
return(executionReport);
}