//public void OnMessage(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s) //{ // var noMdEntries = message.NoLegs.getValue(); // var group = new QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup(); // SendNewExecutionReport(message, s, noMdEntries, group); // Thread.Sleep(100); // SendFilledExecutionReport(message, s, noMdEntries, group); //} //private void SendNewExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group) //{ // Symbol symbol = new Symbol("L"); // Side side = new Side('L'); // OrdType ordType = message.OrdType; // QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport( // new OrderID(GenOrderID()), // new ExecID(""), // new ExecTransType(ExecTransType.NEW), // new ExecType(ExecType.NEW), // new OrdStatus(OrdStatus.NEW), // symbol, // side, // new LeavesQty(0), // new CumQty(0), // new AvgPx(0)); // exReport.Set(message.ClOrdID); // exReport.Set(message.TimeInForce); // if (message.IsSetAccount()) // exReport.SetField(message.Account); // for (int i = 1; i <= noMdEntries; i++) // { // var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group); // var Exgroup = new QuickFix.FIX42.ExecutionReport.NoLegsGroup(); // Exgroup.LegOrderQty = new LegOrderQty(n.LegOrderQty.getValue()); // Exgroup.LegPrice = new LegPrice(n.LegPrice.getValue()); // Exgroup.LegSecurityID = new LegSecurityID(n.LegSecurityID.getValue()); // Exgroup.LegProduct = new LegProduct(n.LegProduct.getValue()); // message.AddGroup(Exgroup); // } // try // { // Session.SendToTarget(exReport, s); // } // catch (SessionNotFound ex) // { // Console.WriteLine("==session not found exception!=="); // Console.WriteLine(ex.ToString()); // } // catch (Exception ex) // { // Console.WriteLine(ex.ToString()); // } //} //private void SendFilledExecutionReport(QuickFix.FIX42.SpreadMultiLegOrderSingle message, SessionID s, int noMdEntries, QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup group) //{ // for (int i = 1; i <= noMdEntries; i++) // { // var n = (QuickFix.FIX42.SpreadMultiLegOrderSingle.NoLegsGroup)message.GetGroup(i, group); // SecurityID security = new SecurityID(n.LegSecurityID.getValue()); // Symbol symbol = new Symbol(n.LegSymbol.getValue()); // Side side = new Side(n.IsSetLegSide() ? n.LegSide.getValue() : 'B'); // OrdType ordType = message.OrdType; // OrderQty orderQty = new OrderQty(n.LegOrderQty.getValue()); // ClOrdID clOrdID = message.ClOrdID; // Price price = new Price(DEFAULT_MARKET_PRICE); // TimeInForce tm = message.TimeInForce; // switch (ordType.getValue()) // { // case OrdType.LIMIT: // price = new Price(n.LegPrice.getValue()); // if (price.Obj == 0) // throw new IncorrectTagValue(price.Tag); // break; // case OrdType.MARKET: // break; // default: // throw new IncorrectTagValue(ordType.Tag); // } // QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport( // new OrderID(GenOrderID()), // new ExecID(DateTime.Now.ToString("yyyyMMddHHmmss") + GenExecID()), // new ExecTransType(ExecTransType.NEW), // new ExecType(ExecType.FILL), // new OrdStatus(OrdStatus.FILLED), // symbol, // side, // new LeavesQty(0), // new CumQty(orderQty.getValue()), // new AvgPx(price.getValue())); // exReport.Set(security); // exReport.Set(clOrdID); // exReport.Set(orderQty); // exReport.Set(new LastShares(orderQty.getValue())); // exReport.Set(new LastPx(price.getValue())); // exReport.Set(message.TimeInForce); // if (message.IsSetAccount()) // exReport.SetField(message.Account); // try // { // Session.SendToTarget(exReport, s); // } // catch (SessionNotFound ex) // { // Console.WriteLine("==session not found exception!=="); // Console.WriteLine(ex.ToString()); // } // catch (Exception ex) // { // Console.WriteLine(ex.ToString()); // } // } //} public void OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s) { Symbol symbol = n.Symbol; Side side = n.Side; OrdType ordType = n.OrdType; OrderQty orderQty = n.OrderQty; ClOrdID clOrdID = n.ClOrdID; Price price = new Price(DEFAULT_MARKET_PRICE); switch (ordType.getValue()) { case OrdType.LIMIT: price = n.Price; if (price.Obj == 0) { throw new IncorrectTagValue(price.Tag); } break; case OrdType.MARKET: break; default: throw new IncorrectTagValue(ordType.Tag); } QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport( new OrderID(GenOrderID()), new ExecID(GenExecID()), new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.FILL), new OrdStatus(OrdStatus.FILLED), symbol, side, new LeavesQty(0), new CumQty(orderQty.getValue()), new AvgPx(price.getValue())); exReport.Set(clOrdID); exReport.Set(orderQty); exReport.Set(new LastShares(orderQty.getValue())); exReport.Set(new LastPx(price.getValue())); if (n.IsSetAccount()) { exReport.SetField(n.Account); } try { Session.SendToTarget(exReport, s); } catch (SessionNotFound ex) { Console.WriteLine("==session not found exception!=="); Console.WriteLine(ex.ToString()); } catch (Exception ex) { Console.WriteLine(ex.ToString()); } }
public static QuickFix.FIX42.ExecutionReport Fix44ER_2_Fix42ER(QuickFix.FIX44.ExecutionReport er44) { try { QuickFix.FIX42.ExecutionReport er42 = new QuickFix.FIX42.ExecutionReport(); // if (er44.IsSetApplID()) er42.Set(new ApplID(er44.ApplID.getValue())); // if (er44.IsSetApplSeqNum()) er42.Set(new ApplSeqNum(er44.ApplSeqNum.getValue())); if (er44.IsSetOrderID()) { er42.Set(new OrderID(er44.OrderID.getValue())); } if (er44.IsSetSecondaryOrderID()) { er42.Set(new SecondaryOrderID(er44.SecondaryOrderID.getValue())); } // if (er44.IsSetSecondaryExecID()) er42.Set(new SecondaryExecID(er44.SecondaryExecID.getValue())); if (er44.IsSetClOrdID()) { er42.Set(new ClOrdID(er44.ClOrdID.getValue())); } if (er44.IsSetOrigClOrdID()) { er42.Set(new OrigClOrdID(er44.OrigClOrdID.getValue())); } //if (er44.IsSetNoPartyIDs()) er42.Set(new NoPartyIDs(er44.NoPartyIDs.getValue())); //if (er44.IsSetPartyID()) er42.Set(new PartyID(er44.PartyID.getValue())); //if (er44.IsSetPartyIDSource()) er42.Set(new PartyIDSource(er44.PartyIDSource.getValue())); //if (er44.IsSetPartyRole()) er42.Set(new PartyRole(er44.PartyRole.getValue())); // TODO[FF] - Montagem dos grupos if (er44.IsSetNoContraBrokers()) { er42.Set(new NoContraBrokers(er44.NoContraBrokers.getValue())); int len = er44.NoContraBrokers.getValue(); for (int i = 1; i <= len; i++) { Group grp = er44.GetGroup(i, Tags.NoContraBrokers); er42.AddGroup(grp); } } //if (er44.IsSetContra ContraBroker()) er42.Set(new ContraBroker(er44.ContraBroker.getValue())); // if (er44.IsSetCrossID()) er42.Set(new CrossID(er44.CrossID.getValue())); if (er44.IsSetExecID()) { er42.Set(new ExecID(er44.ExecID.getValue())); } if (er44.IsSetExecRefID()) { er42.Set(new ExecRefID(er44.ExecRefID.getValue())); } if (er44.IsSetExecType()) { er42.Set(new ExecType(er44.ExecType.getValue())); } if (er44.IsSetOrdStatus()) { er42.Set(new OrdStatus(er44.OrdStatus.getValue())); } // if (er44.IsSetWorkingIndicator()) er42.Set(new WorkingIndicator(er44.WorkingIndicator.getValue())); //if (er44.IsSetOrdRejReason()) er42.Set(new OrdRejReason(er44.OrdRejReason.getValue())); if (er44.IsSetOrdRejReason()) { er42.Set(new OrdRejReason(99)); // Will always set "99" - other } if (er44.IsSetExecRestatementReason()) { er42.Set(new ExecRestatementReason(er44.ExecRestatementReason.getValue())); } if (er44.IsSetAccount()) { er42.Set(new Account(er44.Account.getValue())); } // if (er44.IsSetAccountType()) er42.Set(new AccountType(er44.AccountType.getValue())); if (er44.IsSetSettlType()) { er42.Set(new SettlmntTyp(er44.SettlType.getValue()[0])); } // if (er44.IsSetDaysToSettlement()) er42.Set(new DaysToSettlement(er44.DaysToSettlement.getValue())); // if (er44.IsSetFixedRate()) er42.Set(new FixedRate(er44.FixedRate.getValue())); if (er44.IsSetSymbol()) { er42.Set(new Symbol(er44.Symbol.getValue())); } if (er44.IsSetSecurityID()) { er42.Set(new SecurityID(er44.SecurityID.getValue())); } // if (er44.IsSetSecurityIDSource()) er42.Set(new SecurityIDSource(er44.SecurityIDSource.getValue())); if (er44.IsSetSecurityExchange()) { er42.Set(new SecurityExchange(er44.SecurityExchange.getValue())); } if (er44.IsSetSide()) { er42.Set(new Side(er44.Side.getValue())); } if (er44.IsSetOrderQty()) { er42.Set(new OrderQty(er44.OrderQty.getValue())); } if (er44.IsSetOrdType()) { er42.Set(new OrdType(er44.OrdType.getValue())); } if (er44.IsSetPrice()) { er42.Set(new Price(er44.Price.getValue())); } if (er44.IsSetStopPx()) { er42.Set(new StopPx(er44.StopPx.getValue())); } // if (er44.IsSetProtectionPrice()) er42.Set(new ProtectionPrice(er44.ProtectionPrice.getValue())); if (er44.IsSetCurrency()) { er42.Set(new Currency(er44.Currency.getValue())); } if (er44.IsSetTimeInForce()) { er42.Set(new TimeInForce(er44.TimeInForce.getValue())); } if (er44.IsSetExpireDate()) { er42.Set(new ExpireDate(er44.ExpireDate.getValue())); } if (er44.IsSetLastQty()) { er42.Set(new LastShares(er44.LastQty.getValue())); } if (er44.IsSetLastPx()) { er42.Set(new LastPx(er44.LastPx.getValue())); } if (er44.IsSetLeavesQty()) { er42.Set(new LeavesQty(er44.LeavesQty.getValue())); } if (er44.IsSetCumQty()) { er42.Set(new CumQty(er44.CumQty.getValue())); } if (er44.IsSetAvgPx()) { er42.Set(new AvgPx(er44.AvgPx.getValue())); } if (er44.IsSetTradeDate()) { er42.Set(new TradeDate(er44.TradeDate.getValue())); } if (er44.IsSetTransactTime()) { er42.Set(new TransactTime(er44.TransactTime.getValue())); } // if (er44.IsSetAggressorIndicator()) er42.Set(new AggressorIndicator(er44.AggressorIndicator.getValue())); if (er44.IsSetMinQty()) { er42.Set(new MinQty(er44.MinQty.getValue())); } if (er44.IsSetMaxFloor()) { er42.Set(new MaxFloor(er44.MaxFloor.getValue())); } if (er44.IsSetText()) { er42.Set(new Text(er44.Text.getValue())); } if (er44.IsSetMultiLegReportingType()) { er42.Set(new MultiLegReportingType(er44.MultiLegReportingType.getValue())); } // if (er44.IsSetTotNoRelatedSym()) er42.Set(new TotNoRelatedSym(er44.TotNoRelatedSym.getValue())); // if (er44.IsSetNoMiscFees()) er42.Set(new NoMiscFees(er44.NoMiscFees.getValue())); // if (er44.IsSetMiscFeeAmt()) er42.Set(new MiscFeeAmt(er44.MiscFeeAmt.getValue())); // if (er44.IsSetMiscFeeCurr()) er42.Set(new MiscFeeCurr(er44.MiscFeeCurr.getValue())); // if (er44.IsSetMiscFeeType()) er42.Set(new MiscFeeType(er44.MiscFeeType.getValue())); // if (er44.IsSetMiscFeeBasis()) er42.Set(new MiscFeeBasis(er44.MiscFeeBasis.getValue())); // if (er44.IsSetUniqueTradeID()) er42.Set(new UniqueTradeID(er44.UniqueTradeID.getValue())); // if (er44.IsSetTradeLinkID()) er42.Set(new TradeLinkID(er44.TradeLinkID.getValue())); // if (er44.IsSetOrderLinkID()) er42.Set(new OrderLinkID(er44.OrderLinkID.getValue())); // if (er44.IsSetExchangeQuoteID()) er42.Set(new ExchangeQuoteID(er44.ExchangeQuoteID.getValue())); // if (er44.IsSetExchangeOrderID()) er42.Set(new ExchangeOrderID(er44.ExchangeOrderID.getValue())); // if (er44.IsSetExchangeExecID()) er42.Set(new ExchangeExecID(er44.ExchangeExecID.getValue())); // if (er44.IsSetLastPxInIssuedCurrency()) er42.Set(new LastPxInIssuedCurrency(er44.LastPxInIssuedCurrency.getValue())); // if (er44.IsSetPriceInIssuedCurrency()) er42.Set(new PriceInIssuedCurrency(er44.PriceInIssuedCurrency.getValue())); // if (er44.IsSetExchangeSecondaryOrderID()) er42.Set(new ExchangeSecondaryOrderID(er44.ExchangeSecondaryOrderID.getValue())); // if (er44.IsSetOrderCategory()) er42.Set(new OrderCategory(er44.OrderCategory.getValue())); if (er44.IsSetField(Tags.Memo)) { er42.SetField(new Memo(er44.GetField(Tags.Memo))); } // Validacao campo ExecTransType switch (er44.OrdStatus.getValue()) { case OrdStatus.NEW: er42.Set(new ExecTransType(ExecTransType.NEW)); break; case OrdStatus.CANCELED: case OrdStatus.REPLACED: // TODO [FF] - Rever se o tratamento esta correto er42.Set(new ExecTransType(ExecTransType.STATUS)); // er42.Set(new ExecRefID(er44.ExecRefID.getValue())); break; case OrdStatus.REJECTED: case OrdStatus.FILLED: case OrdStatus.PARTIALLY_FILLED: er42.Set(new ExecTransType(ExecTransType.STATUS)); er42.Set(new ExecType(er44.OrdStatus.getValue())); // 4.2 nao aceita ExecType=F break; case OrdStatus.EXPIRED: er42.Set(new ExecTransType(ExecTransType.STATUS)); er42.Set(new OrdStatus(OrdStatus.DONE_FOR_DAY)); er42.Set(new ExecType(ExecType.DONE_FOR_DAY)); break; } // Validacao campo /* * if (er44.IsSetAvgPx()) er42.Set(new AvgPx(er44.AvgPx.getValue())); * if (er44.IsSetClOrdID()) er42.Set(new ClOrdID(er44.ClOrdID.getValue())); * if (er44.IsSetCommission()) er42.Set(new Commission(er44.Commission.getValue())); * if (er44.IsSetCommType()) er42.Set(new CommType(er44.CommType.getValue())); * if (er44.IsSetCumQty()) er42.Set(new CumQty(er44.CumQty.getValue())); * if (er44.IsSetCurrency()) er42.Set(new Currency(er44.Currency.getValue())); * if (er44.IsSetExecID()) er42.Set(new ExecID(er44.ExecID.getValue())); * if (er44.IsSetExecRefID()) er42.Set(new ExecRefID(er44.ExecRefID.getValue())); * * //if (er44.IsSetExecTransType()) er42.Set(new ExecTransType(er44.ExecTransType.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo * if (er44.IsSetExecType()) er42.Set(new ExecType(er44.ExecType.getValue())); * // if (er44.IsSetIDSource()) er42.Set(new IDSource(er44.IDSource.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo * if (er44.IsSetLastPx()) er42.Set(new LastPx(er44.LastPx.getValue())); * // if (er44.IsSetLastShares()) er42.Set(new LastShares(er44.LastShares.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo * if (er44.IsSetLeavesQty()) er42.Set(new LeavesQty(er44.LeavesQty.getValue())); * //if (er44.IsSetNoMiscFees()) er42.Set(new NoMiscFees(er44.NoMiscFees.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo por ser group * //if (er44.IsSetMiscFeeAmt()) er42.Set(new MiscFeeAmt(er44.MiscFeeAmt.getValue())); // TODO[FF] - Verificar o gerenciamento deste campo por ser elemento do group * if (er44.IsSetOrderID()) er42.Set(new OrderID(er44.OrderID.getValue())); * if (er44.IsSetOrderQty()) er42.Set(new OrderQty(er44.OrderQty.getValue())); * if (er44.IsSetOrdStatus()) er42.Set(new OrdStatus(er44.OrdStatus.getValue())); * if (er44.IsSetOrdType()) er42.Set(new OrdType(er44.OrdType.getValue())); * if (er44.IsSetOrigClOrdID()) er42.Set(new OrigClOrdID(er44.OrigClOrdID.getValue())); * if (er44.IsSetSecurityID()) er42.Set(new SecurityID(er44.SecurityID.getValue())); * if (er44.IsSetSide()) er42.Set(new Side(er44.Side.getValue())); * if (er44.IsSetSymbol()) er42.Set(new Symbol(er44.Symbol.getValue())); * if (er44.IsSetTransactTime()) er42.Set(new TransactTime(er44.TransactTime.getValue())); * if (er44.IsSetSecurityType()) er42.Set(new SecurityType(er44.SecurityType.getValue())); * if (er44.IsSetSecurityExchange()) er42.Set(new SecurityExchange(er44.SecurityExchange.getValue())); */ return(er42); } catch (Exception ex) { logger.Error("Fix44ER_2_Fix42ER(): " + ex.Message, ex); return(null); } }
public void OnMessage(QuickFix.FIX42.NewOrderSingle n, SessionID s) { Symbol symbol = n.Symbol; Side side = n.Side; OrdType ordType = n.OrdType; OrderQty orderQty = n.OrderQty; ClOrdID clOrdID = n.ClOrdID; Price price = new Price(DEFAULT_MARKET_PRICE); switch (ordType.getValue()) { case OrdType.LIMIT: price = n.Price; if (price.Obj == 0) throw new IncorrectTagValue(price.Tag); break; case OrdType.MARKET: break; default: throw new IncorrectTagValue(ordType.Tag); } QuickFix.FIX42.ExecutionReport exReport = new QuickFix.FIX42.ExecutionReport( new OrderID(GenOrderID()), new ExecID(GenExecID()), new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.FILL), new OrdStatus(OrdStatus.FILLED), symbol, side, new LeavesQty(0), new CumQty(orderQty.getValue()), new AvgPx(price.getValue())); exReport.Set(clOrdID); exReport.Set(orderQty); exReport.Set(new LastShares(orderQty.getValue())); exReport.Set(new LastPx(price.getValue())); if (n.IsSetAccount()) exReport.SetField(n.Account); try { Session.SendToTarget(exReport, s); } catch (SessionNotFound ex) { Console.WriteLine("==session not found exception!=="); Console.WriteLine(ex.ToString()); } catch (Exception ex) { Console.WriteLine(ex.ToString()); } }
public static QuickFix.FIX42.ExecutionReport Fix42Rejection2ExecutionReport(QuickFix.Message msgReject, QuickFix.Message msgOri) { try { QuickFix.FIX42.ExecutionReport er = new QuickFix.FIX42.ExecutionReport(); if (msgOri.IsSetField(Tags.OrderID)) { er.SetField(new OrderID(msgOri.GetString(Tags.OrderID))); } else { er.Set(new OrderID("NONE")); } if (msgOri.IsSetField(Tags.ClOrdID)) { er.Set(new ClOrdID(msgOri.GetField(Tags.ClOrdID))); } if (msgOri.IsSetField(Tags.OrigClOrdID)) { er.Set(new OrigClOrdID(msgOri.GetField(Tags.OrigClOrdID))); } // Fazer atribuicao dos PartyIDs da mensagem original int len = msgOri.IsSetField(Tags.NoPartyIDs)? msgOri.GetInt(Tags.NoPartyIDs): 0; for (int i = 0; i < len; i++) { Group grp = msgOri.GetGroup(i + 1, Tags.NoPartyIDs); er.AddGroup(grp); } er.Set(new ExecID(DateTime.Now.ToString("yyyyMMddHHmmssfff"))); er.Set(new ExecType(ExecType.REJECTED)); er.Set(new OrdStatus(OrdStatus.REJECTED)); if (msgOri.IsSetField(Tags.Account)) { er.Set(new Account(msgOri.GetField(Tags.Account))); } er.Set(new Symbol(msgOri.GetField(Tags.Symbol))); if (msgOri.IsSetField(Tags.SecurityID)) { er.Set(new SecurityID(msgOri.GetField(Tags.SecurityID))); } //if (msgOri.IsSetField(Tags.SecurityIDSource)) er.Set(new SecurityIDSource(msgOri.GetField(Tags.SecurityIDSource))); er.Set(new Side(msgOri.GetChar(Tags.Side))); er.Set(new OrderQty(msgOri.GetDecimal(Tags.OrderQty))); if (msgOri.IsSetField(Tags.OrdType)) { er.Set(new OrdType(msgOri.GetChar(Tags.OrdType))); } if (msgOri.IsSetField(Tags.Price)) { er.Set(new Price(msgOri.GetDecimal(Tags.Price))); } if (msgOri.IsSetField(Tags.StopPx)) { er.Set(new StopPx(msgOri.GetDecimal(Tags.StopPx))); } if (msgOri.IsSetField(Tags.TimeInForce)) { er.Set(new TimeInForce(msgOri.GetChar(Tags.TimeInForce))); } if (msgOri.IsSetField(Tags.ExpireDate)) { er.Set(new ExpireDate(msgOri.GetField(Tags.ExpireDate))); } er.Set(new LeavesQty(0)); er.Set(new CumQty(0)); er.Set(new AvgPx(Decimal.Zero)); DateTime transact = DateTime.UtcNow; er.Set(new TransactTime(transact)); if (msgOri.IsSetField(Tags.MaxFloor)) { er.Set(new MaxFloor(msgOri.GetDecimal(Tags.MaxFloor))); } if (msgReject.IsSetField(Tags.Text)) { er.Set(new Text(msgReject.GetField(Tags.Text))); } if (msgOri.IsSetField(Tags.Memo)) { er.SetField(new Memo(msgOri.GetString(Tags.Memo))); } // Validacao da tag ExecTransType. Para rejeicao, atribuindo default STATUS er.Set(new ExecTransType(ExecTransType.STATUS)); return(er); } catch (Exception ex) { logger.Error("Fix44Rejection2ExecutionReport(): " + ex.Message, ex); return(null); } }