public zo21q6cy3fImtUHATQ(SimulationExecutionProvider obj0, FIXNewOrderSingle obj1)
{
this.smCF4MYTNu = new Quote();
this.j57Fjc16NJ = 1E-08;
this.A8bFJItyyx = obj0;
this.PYBF7sahqY = obj1;
this.kUyFaL3cQu = obj0.FillOnBarMode;
this.L27FNaAWTp = obj0.FillAtLimitPrice;
this.yFOFUpVbqt = obj0.FillAtStopPrice;
if (obj1.TradeVolumeDelay == 0)
{
this.gxTF8gufMx = true;
}
if ((this.PYBF7sahqY as SingleOrder).OrdType == OrdType.TrailingStop || (this.PYBF7sahqY as SingleOrder).OrdType == OrdType.TrailingStopLimit)
{
switch ((this.PYBF7sahqY as SingleOrder).Side)
{
case Side.Buy:
case Side.BuyMinus:
this.zGRFvN99ge = double.MaxValue;
break;
case Side.Sell:
case Side.SellShort:
this.zGRFvN99ge = double.MinValue;
break;
default:
throw new NotSupportedException("" + obj1.Side.ToString());
}
}
this.A8bFJItyyx.MyIPdEI7fi.Add(this.PYBF7sahqY.ClOrdID, this);
this.dGEFgdOydF();
}
public SimulationExecutionProcessor(SimulationExecutionProvider provider, FIXNewOrderSingle order)
{
this.fProvider = provider;
this.fOrder = order;
this.fFillOnBarMode = provider.FillOnBarMode;
if ((this.fOrder as SingleOrder).OrdType == OrdType.TrailingStop)
{
switch ((this.fOrder as SingleOrder).Side)
{
case Side.Buy:
case Side.BuyMinus:
this.fTrailingStopExecPrice = 1.7976931348623157E+308;
goto IL_AE;
case Side.Sell:
case Side.SellShort:
this.fTrailingStopExecPrice = -1.7976931348623157E+308;
goto IL_AE;
}
throw new NotSupportedException("Order side is not supported : " + order.Side.ToString());
}
IL_AE:
this.fProvider.fProcessors.Add(this.fOrder.ClOrdID, this);
this.Init();
}
public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0, 6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
{
order.set(new QuickFix.Price(Order.Price));
}
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
{
order.set(new QuickFix.StopPx(Order.StopPx));
}
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}
public OrderServicePair(FIXNewOrderSingle order, IExecutionService service)
{
this.order = order;
this.service = service;
}
public FIXNewOrderSingleEventArgs(FIXNewOrderSingle newOrderSingle)
{
this.NewOrderSingle = newOrderSingle;
}
public NewOrderSingleEventArgs(IExecutionService service, FIXNewOrderSingle order) : base(service)
{
this.Order = order;
}
public virtual void Send(FIXNewOrderSingle order)
{
}
public override void Send(FIXNewOrderSingle Order)
{
QuickFix42.NewOrderSingle order = new QuickFix42.NewOrderSingle(
new QuickFix.ClOrdID(Order.ClOrdID),
//new QuickFix.HandlInst(Order.HandlInst),
new QuickFix.HandlInst(HandlInst.AUTOEXECPRIV), // GS FIX
new QuickFix.Symbol(Order.Symbol.Substring(0,6)),
new QuickFix.Side(Order.Side),
new QuickFix.TransactTime(Order.TransactTime),
new QuickFix.OrdType(Order.OrdType));
if ((Order.OrdType == FIXOrdType.Limit || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.Price))
order.set(new QuickFix.Price(Order.Price));
if ((Order.OrdType == FIXOrdType.Stop || Order.OrdType == FIXOrdType.StopLimit) && Order.ContainsField(EFIXField.StopPx))
order.set(new QuickFix.StopPx(Order.StopPx));
// 自己计算交易所
if (Order.Symbol.StartsWith("60") || Order.Symbol.StartsWith("51"))
{
//order.set(new QuickFix.SecurityExchange("XSHG"));// 上海
order.set(new QuickFix.SecurityExchange("SS"));// 上海
}
else if (Order.Symbol.StartsWith("00") || Order.Symbol.StartsWith("30") || Order.Symbol.StartsWith("15"))
{
//order.set(new QuickFix.SecurityExchange("XSHE"));// 深圳
order.set(new QuickFix.SecurityExchange("SZ"));// 深圳
}
if (Order.Text.StartsWith(OpenPrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_OPEN));
}
else if (Order.Text.StartsWith(ClosePrefix))
{
order.setField(new QuickFix.CashMargin(CashMargin.MARGIN_CLOSE));
}
//order.set(new QuickFix.SecurityType(Order.SecurityType));
order.set(new QuickFix.OrderQty(Order.OrderQty));
//order.set(new QuickFix.Account(Order.Account));
//order.set(new QuickFix.Rule80A(Order.Rule80A));
//order.set(new QuickFix.CustomerOrFirm(Order.CustomerOrFirm));
//if (Order.ContainsField(EFIXField.ClearingAccount))
// order.set(new QuickFix.ClearingAccount(Order.ClearingAccount));
order.set(new QuickFix.Currency("CNY")); // GS FIX
Session.sendToTarget(order, orderSessionID);
}