//Send Security Definitions Request
public Task SendSecurityDefinitionRequest(Action <string> progressHandler)
{
return(Task.Run(() =>
{
//Create object of Security Definition
QuickFix.FIX42.SecurityDefinitionRequest securityDefinition = new QuickFix.FIX42.SecurityDefinitionRequest();
securityDefinition.SecurityReqID = new SecurityReqID(Guid.NewGuid().ToString());
securityDefinition.SecurityExchange = new SecurityExchange("ICDX");
securityDefinition.SecurityRequestType = new SecurityRequestType(SecurityListRequestType.TRADINGSESSIONID);
Session.SendToTarget(securityDefinition, _currentSessionId);
progressHandler("Sent Security Definition Request");
}));
}
private void createSecDefRequest(Model.OrderModel orderModel)
{
QuickFix.FIX42.SecurityDefinitionRequest order = new QuickFix.FIX42.SecurityDefinitionRequest();
//new ClOrdID(DateTime.Now.ToOADate().ToString()),
//new HandlInst('3'),
//new Symbol("ES"),
//new Side(Side.BUY),
//new TransactTime(DateTime.Now),
//new OrdType(OrdType.LIMIT));
order.Symbol = new Symbol(orderModel.underlyingExchangeSymbol);
order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
if (orderModel.securityType == Enums.SECURITY_TYPE.OPTION)
{
order.PutOrCall = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.optionType);
}
order.StrikePrice = new StrikePrice(orderModel.optionStrikePrice); //new decimal(207000));
order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
//order.OrderQty = new OrderQty(2);
//order.Price = new Price(new decimal(1300));
//new HandlInst()
//new ClOrdID("1234"),
//new Symbol("AAPL"),
//new Side(Side.BUY),
//new TransactTime(DateTime.Now),
//new OrdType(OrdType.LIMIT));
//order.SetField(new StringField(16106, "StagedOrderMsg"));
//order.SetField(new CharField(16111, 'I'));
//order.Account = new Account("tmqrexodts");
//QuickFix.Session.SendToTarget(order, _session.SessionID);
//QuickFix.FIX42.NewOrderSingle order = (QuickFix.FIX42.NewOrderSingle)orderObject;
QuickFix.Session.SendToTarget(order, _fixConnectionSystem.orderSession.SessionID);
}
//internal void createStagedOrder(List<StageOrdersToTTWPFLibrary.Model.OrderModel> contractListToStage)
//{
// for(int i=0; i < contractListToStage.Count; i++)
// {
// if (contractListToStage[i].securityType == Enums.SECURITY_TYPE.FUTURE)
// {
// sendStagedFutureOrder(contractListToStage[i]);
// }
// else
// {
// sendStagedOptionOrder(contractListToStage[i]);
// }
// }
//}
//private void sendStagedFutureOrder(Model.OrderModel orderModel)
//{
// var order = new QuickFix.FIX42.NewOrderSingle(
// new ClOrdID(DateTime.Now.ToOADate().ToString()),
// new HandlInst('3'),
// new Symbol(orderModel.underlyingExchangeSymbol),
// StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.side),
// new TransactTime(DateTime.Now),
// new OrdType(OrdType.MARKET));
// order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
// order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
// order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
// order.OrderQty = new OrderQty(orderModel.orderQty);
// //order.Price = new Price(new decimal(207175));
// order.SetField(new StringField(16106, orderModel.stagedOrderMessage));
// order.SetField(new CharField(16111, 'I'));
// order.Account = new Account("tmqrexodts");
// OrderRecord r = new OrderRecord(order);
// lock (_ordersLock)
// {
// Orders.Add(r);
// }
// if (InitiatorRunning && IsConnected)
// {
// QuickFix.Session.SendToTarget(order, _session.SessionID);
// }
//}
//internal void sendStagedOptionOrder(Model.OrderModel orderModel)
//{
// var order = new QuickFix.FIX42.NewOrderSingle(
// new ClOrdID(DateTime.Now.ToOADate().ToString()),
// new HandlInst('3'),
// new Symbol(orderModel.underlyingExchangeSymbol),
// StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.side),
// new TransactTime(DateTime.Now),
// new OrdType(OrdType.MARKET));
// order.SecurityType = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.securityType);
// order.SecurityExchange = new SecurityExchange(orderModel.underlyingExchange);
// order.PutOrCall = StageOrdersToTTWPFLibrary.FixEnumTranslator.ToField(orderModel.optionType);
// order.StrikePrice = new StrikePrice(orderModel.optionStrikePrice); //new StrikePrice(new decimal(207000));
// order.MaturityMonthYear = new MaturityMonthYear(orderModel.maturityMonthYear);
// order.OrderQty = new OrderQty(orderModel.orderQty);
// //order.Price = new Price(new decimal(1300));
// order.SetField(new StringField(16106, orderModel.stagedOrderMessage));
// order.SetField(new CharField(16111, 'I'));
// order.Account = new Account("tmqrexodts");
// QuickFix.Session.SendToTarget(order, _session.SessionID);
//}
//internal void createStagedOrderXXX()
//{
// var order = new QuickFix.FIX42.NewOrderSingle(
// new ClOrdID(DateTime.Now.ToOADate().ToString()),
// new HandlInst('3'),
// new Symbol("ES"),
// new Side(Side.BUY),
// new TransactTime(DateTime.Now),
// new OrdType(OrdType.LIMIT));
// order.SecurityType = new SecurityType(SecurityType.FUTURE);
// order.SecurityExchange = new SecurityExchange("CME");
// order.MaturityMonthYear = new MaturityMonthYear("201412");
// order.OrderQty = new OrderQty(2);
// order.Price = new Price(new decimal(207175));
// //new HandlInst()
// //new ClOrdID("1234"),
// //new Symbol("AAPL"),
// //new Side(Side.BUY),
// //new TransactTime(DateTime.Now),
// //new OrdType(OrdType.LIMIT));
// order.SetField(new StringField(16106, "StagedOrderMsg"));
// order.SetField(new CharField(16111, 'I'));
// order.Account = new Account("tmqrexodts");
// if (InitiatorRunning && IsConnected)
// {
// QuickFix.Session.SendToTarget(order, _session.SessionID);
// }
//}
//internal void createStagedOptionOrder()
//{
// var order = new QuickFix.FIX42.NewOrderSingle(
// new ClOrdID(DateTime.Now.ToOADate().ToString()),
// new HandlInst('3'),
// new Symbol("ES"),
// new Side(Side.BUY),
// new TransactTime(DateTime.Now),
// new OrdType(OrdType.LIMIT));
// order.SecurityExchange = new SecurityExchange("CME");
// order.SecurityType = new SecurityType("OPT");
// order.PutOrCall = new PutOrCall(PutOrCall.CALL);
// order.StrikePrice = new StrikePrice(new decimal(207000));
// order.MaturityMonthYear = new MaturityMonthYear("201501");
// order.OrderQty = new OrderQty(2);
// order.Price = new Price(new decimal(1300));
// //new HandlInst()
// //new ClOrdID("1234"),
// //new Symbol("AAPL"),
// //new Side(Side.BUY),
// //new TransactTime(DateTime.Now),
// //new OrdType(OrdType.LIMIT));
// order.SetField(new StringField(16106, "StagedOrderMsg"));
// order.SetField(new CharField(16111, 'I'));
// order.Account = new Account("tmqrexodts");
// QuickFix.Session.SendToTarget(order, _session.SessionID);
//}
internal void createDefRequest()
{
QuickFix.FIX42.SecurityDefinitionRequest order = new QuickFix.FIX42.SecurityDefinitionRequest();
//new ClOrdID(DateTime.Now.ToOADate().ToString()),
//new HandlInst('3'),
//new Symbol("ES"),
//new Side(Side.BUY),
//new TransactTime(DateTime.Now),
//new OrdType(OrdType.LIMIT));
order.Symbol = new Symbol("ES");
order.SecurityExchange = new SecurityExchange("CME");
order.SecurityType = new SecurityType("OPT");
order.PutOrCall = new PutOrCall(1);
order.StrikePrice = new StrikePrice(207000); //new decimal(207000));
order.MaturityMonthYear = new MaturityMonthYear("201501");
//order.OrderQty = new OrderQty(2);
//order.Price = new Price(new decimal(1300));
//new HandlInst()
//new ClOrdID("1234"),
//new Symbol("AAPL"),
//new Side(Side.BUY),
//new TransactTime(DateTime.Now),
//new OrdType(OrdType.LIMIT));
//order.SetField(new StringField(16106, "StagedOrderMsg"));
//order.SetField(new CharField(16111, 'I'));
//order.Account = new Account("tmqrexodts");
//QuickFix.Session.SendToTarget(order, _session.SessionID);
}
/// <summary>
/// Request security definiton to capture the exchange point value for the contract.
/// </summary>
/// <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>
public void ttSecurityDefinitionRequest(string SecEx, string symbol, string secID)
{
try
{
QuickFix.FIX42.SecurityDefinitionRequest sdr = new QuickFix.FIX42.SecurityDefinitionRequest();
sdr.Set(new QuickFix.Fields.SecurityReqID(string.Concat(SecEx, ":", symbol, ":", secID)));
//sdr.Set(new QuickFix.Fields.SecurityRequestType(3));
sdr.Set(new QuickFix.Fields.SecurityExchange(SecEx));
sdr.Set(new QuickFix.Fields.Symbol(symbol));
sdr.Set(new QuickFix.Fields.SecurityID(secID));
//possible values include CS FOR FUT GOVT MLEG OPT NRG
//sdr.Set(new QuickFix.Fields.SecurityType(QuickFix.Fields.SecurityType.FUTURE));
//old code was:: SetField(new TT.RequestTickTable("Y"));
sdr.RequestTickTable.setValue(true);
QuickFix.Session.SendToTarget(sdr, priceSessionID);
}
catch (Exception ex)
{ log.WriteLog(ex.ToString()); }
}
