private QuickFix.FIX42.NewOrderSingle QueryNewOrderSingle42()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX42.NewOrderSingle newOrderSingle = new QuickFix.FIX42.NewOrderSingle(
QueryClOrdID(),
new HandlInst('1'),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryPrice());
}
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
{
newOrderSingle.Set(QueryStopPx());
}
QueryHeader(newOrderSingle.Header);
return(newOrderSingle);
}
/// <summary>
/// Send a market order to flatten position
/// </summary>
/// <param name="_account">account number must be read in from MGT.XML file</param>
/// <param name="SecEx">Exchange</param>
/// <param name="symbol">Exchange symbol for contract</param>
/// <param name="secID">unique identifier supplied by the exchnage for this contract
/// For eurex this is the ticker and expiration</param>
/// <param name="qty">order quantity</param>
/// <param name="bs">buy or sell</param>
/// <param name="gateway">TT gateway name</param>
public void ttNewOrderSingle(string _account, string SecEx, string symbol, string secID, decimal qty, char bs, string gateway)
{
try
{
//log.WriteLog(string.Format("{0} {1} {2} {3} {4} {5} {6}", _account, SecEx, symbol, secID, qty, bs, gateway));
QuickFix.FIX42.NewOrderSingle nos = new QuickFix.FIX42.NewOrderSingle();
string id = uniqueID();
nos.Set(new QuickFix.Fields.ClOrdID(id));
inflightOrders.Add(id);
nos.Set(new QuickFix.Fields.SecurityExchange(SecEx));
nos.Set(new QuickFix.Fields.Symbol(symbol));
nos.Set(new QuickFix.Fields.SecurityID(secID));
nos.Set(new QuickFix.Fields.OrderQty(qty));
nos.Set(new QuickFix.Fields.Side(bs));
nos.Set(new QuickFix.Fields.OrdType(QuickFix.Fields.OrdType.MARKET));
nos.Set(new QuickFix.Fields.Account(_account));
//To add a TT custom tag to a QuickFix Message you must use SetString or similar
//the Set method of the QuickFix.FIX42 message only allows setting standard FIX 4.2 fields
//SetString(TTAccountType.FIELD, TT.TTAccountType.M1);
//TODO is ACCOUNT_IS_HOUSE_TRADER_AND_IS_CROSS_MARGINED = M1??
nos.CustomerOrFirm.setValue(QuickFix.Fields.AccountType.ACCOUNT_IS_HOUSE_TRADER_AND_IS_CROSS_MARGINED);
//Alternative code that can only be used if FA is setup to accept tag 47 and 204 instead of custom tag 18205
//nos.Set(new QuickFix.Fields.Rule80A(QuickFix.Fields.Rule80A.AGENCY_SINGLE_ORDER));
//nos.Set(new QuickFix.Fields.CustomerOrFirm(QuickFix.Fields.CustomerOrFirm.CUSTOMER));
//required for environments with multiple gateways with same products
nos.ExchangeGateway.setValue(gateway);
QuickFix.Session.SendToTarget(nos, orderSessionID);
}
catch (Exception ex)
{ log.WriteLog(ex.ToString()); }
}
private QuickFix.FIX42.NewOrderSingle QueryNewOrderSingle42()
{
QuickFix.Fields.OrdType ordType = null;
QuickFix.FIX42.NewOrderSingle newOrderSingle = new QuickFix.FIX42.NewOrderSingle(
QueryClOrdID(),
new HandlInst('1'),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
ordType = QueryOrdType());
newOrderSingle.Set(QueryOrderQty());
newOrderSingle.Set(QueryTimeInForce());
if (ordType.getValue() == OrdType.LIMIT || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryPrice());
if (ordType.getValue() == OrdType.STOP || ordType.getValue() == OrdType.STOP_LIMIT)
newOrderSingle.Set(QueryStopPx());
QueryHeader(newOrderSingle.Header);
return newOrderSingle;
}
/// <summary>
/// Creates a FIX4.2 NewOrderSingle message for Redi
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX42.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
if (!string.IsNullOrEmpty(_account))
{
var account = new QuickFix.Fields.Account(_account);
newOrderSingle.SetField(account);
}
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
var execInst = new QuickFix.Fields.ExecInst("h");
newOrderSingle.SetField(execInst);
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var exDestination = new QuickFix.Fields.ExDestination(";");
newOrderSingle.SetField(exDestination);
var country = new QuickFix.Fields.DeliverToLocationID("1");
newOrderSingle.SetField(country);
var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
newOrderSingle.SetField(side);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
return(newOrderSingle);
}