public ExecutionReport(
QuickFix.OrderID aOrderID,
QuickFix.ExecID aExecID,
QuickFix.ExecTransType aExecTransType,
QuickFix.ExecType aExecType,
QuickFix.OrdStatus aOrdStatus,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.LastShares aLastShares,
QuickFix.LastPx aLastPx,
QuickFix.LeavesQty aLeavesQty,
QuickFix.CumQty aCumQty,
QuickFix.AvgPx aAvgPx)
: base(MsgType())
{
set(aOrderID);
set(aExecID);
set(aExecTransType);
set(aExecType);
set(aOrdStatus);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aLastShares);
set(aLastPx);
set(aLeavesQty);
set(aCumQty);
set(aAvgPx);
}
public DontKnowTrade(
QuickFix.DKReason aDKReason,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.LastShares aLastShares,
QuickFix.LastPx aLastPx)
: base(MsgType())
{
set(aDKReason);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aLastShares);
set(aLastPx);
}
public NewOrderSingle(
QuickFix.ClOrdID aClOrdID,
QuickFix.HandlInst aHandlInst,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.OrdType aOrdType)
: base(MsgType())
{
set(aClOrdID);
set(aHandlInst);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aOrdType);
}
public OrderCancelRequest(
QuickFix.OrigClOrdID aOrigClOrdID,
QuickFix.ClOrdID aClOrdID,
QuickFix.CxlType aCxlType,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty)
: base(MsgType())
{
set(aOrigClOrdID);
set(aClOrdID);
set(aCxlType);
set(aSymbol);
set(aSide);
set(aOrderQty);
}
public OrderCancelReplaceRequest(
QuickFix.OrigClOrdID aOrigClOrdID,
QuickFix.ClOrdID aClOrdID,
QuickFix.HandlInst aHandlInst,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.OrdType aOrdType)
: base(MsgType())
{
set(aOrigClOrdID);
set(aClOrdID);
set(aHandlInst);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aOrdType);
}
public NewOrderList(
QuickFix.ListID aListID,
QuickFix.ListSeqNo aListSeqNo,
QuickFix.ListNoOrds aListNoOrds,
QuickFix.ClOrdID aClOrdID,
QuickFix.HandlInst aHandlInst,
QuickFix.Symbol aSymbol,
QuickFix.Side aSide,
QuickFix.OrderQty aOrderQty,
QuickFix.OrdType aOrdType )
: base(MsgType()) {
set(aListID);
set(aListSeqNo);
set(aListNoOrds);
set(aClOrdID);
set(aHandlInst);
set(aSymbol);
set(aSide);
set(aOrderQty);
set(aOrdType);
}
public QuickFix.OrderQty getOrderQty()
{
QuickFix.OrderQty value = new QuickFix.OrderQty();
getField(value); return value;
}
public bool isSet(QuickFix.OrderQty field)
{
return(isSetField(field));
}
public QuickFix.OrderQty getOrderQty()
{
QuickFix.OrderQty value = new QuickFix.OrderQty();
getField(value); return(value);
}
public QuickFix.OrderQty get(QuickFix.OrderQty value)
{
getField(value); return(value);
}
public void set(QuickFix.OrderQty value)
{
setField(value);
}
/// <summary>
/// submit an order to IB using a incomming FIX new order single
/// </summary>
/// <param name="myMsg"></param>
private void submitOrder(KaiTrade.Interfaces.IMessage myMsg)
{
QuickFix.Message myQFOrder = null;
try
{
// Extract the raw FIX Message from the inbound message
string strOrder = myMsg.Data;
// Use QuickFix to handle the message
myQFOrder = new QuickFix.Message(strOrder);
// Use product manager to validate the product specified on
// the order exists for this adapter
// Get the product associated with the FIX message
//QuickFix.Symbol symbol = new QuickFix.Symbol();
//myQFOrder.getField(symbol);
QuickFix.Side mySide = new QuickFix.Side();
QuickFix.OrdType myOrdType = new QuickFix.OrdType();
QuickFix.OrderQty myOrderQty = new QuickFix.OrderQty();
QuickFix.Price myPrice = new QuickFix.Price();
QuickFix.StopPx myStopPx = new QuickFix.StopPx();
QuickFix.Account myAccount = new QuickFix.Account();
QuickFix.ClOrdID myClOrdID = new QuickFix.ClOrdID();
QuickFix.TimeInForce myTimeInForce = new QuickFix.TimeInForce();
// the account code is mandatory
if (myQFOrder.isSetField(myAccount))
{
myQFOrder.getField(myAccount);
}
else
{
this.SendAdvisoryMessage("IB TWS: you need to provide a valid account");
throw new Exception("IB TWS: you need to provide a valid account");
}
myQFOrder.getField(myClOrdID);
// Get the Order type
myQFOrder.getField(myOrdType);
// Get the QTY
myQFOrder.getField(myOrderQty);
// get the Side of the order
myQFOrder.getField(mySide);
// Set order duration
myQFOrder.getField(myTimeInForce);
// Prices
if (myQFOrder.isSetField(myPrice))
{
myQFOrder.getField(myPrice);
}
if (myQFOrder.isSetField(myStopPx))
{
myQFOrder.getField(myStopPx);
}
// get the contract
TWSLib.IContract myContract = getIBContract(myQFOrder);
if (myContract == null)
{
this.SendAdvisoryMessage("IB TWS: cannot find a valid contract");
throw new Exception("IB TWS: cannot find a valid contract");
}
// create an IB Order
TWSLib.IOrder myIBOrder = m_Host.TWS.createOrder();
myIBOrder.whatIf = 0;
myIBOrder.account = myAccount.getValue();
if(myOrdType.getValue() == QuickFix.OrdType.LIMIT)
{
myIBOrder.orderType = "LMT";
myIBOrder.lmtPrice = myPrice.getValue();
}
else if(myOrdType.getValue() == QuickFix.OrdType.MARKET)
{
myIBOrder.orderType = "MKT";
}
else if (myOrdType.getValue() == QuickFix.OrdType.STOP)
{
myIBOrder.orderType = "STP";
myIBOrder.auxPrice = myStopPx.getValue();
if (myPrice.getValue() == -1)
{
myIBOrder.lmtPrice = myStopPx.getValue();
}
else
{
myIBOrder.lmtPrice = myPrice.getValue();
}
}
else if (myOrdType.getValue() == QuickFix.OrdType.STOP_LIMIT)
{
myIBOrder.orderType = "STP";
myIBOrder.auxPrice = myStopPx.getValue();
if (myPrice.getValue() == -1)
{
myIBOrder.lmtPrice = myStopPx.getValue();
}
else
{
myIBOrder.lmtPrice = myPrice.getValue();
}
}
else
{
this.SendAdvisoryMessage("IB TWS: order type not supported");
throw new Exception("IB TWS: order type not supported");
}
myIBOrder.totalQuantity = (int) myOrderQty.getValue();
// Side
string myAction = KaiUtil.QFUtils.DecodeSide(mySide).ToUpper();
myIBOrder.action = myAction;
// Time in force
string myTIF = KaiUtil.QFUtils.DecodeTimeInForce(myTimeInForce).ToUpper();
myIBOrder.timeInForce = myTIF;
if (myOrdType.getValue() == QuickFix.OrdType.LIMIT)
{
myIBOrder.lmtPrice = myPrice.getValue();
}
DriverBase.OrderContext myCntx = RecordOrderContext(myClOrdID.getValue(), myQFOrder, null, m_NextID.ToString());
SetContextCommand(myCntx, DriverBase.ORCommand.Undefined, DriverBase.ORCommand.Submit);
myCntx.OrderQty = myIBOrder.totalQuantity;
myCntx.CumQty = 0;
m_Host.TWS.placeOrderEx(m_NextID++, myContract, myIBOrder);
}
catch (Exception myE)
{
_log.Error("submitOrder", myE);
// To provide the end user with more information
// send an advisory message, again this is optional
// and depends on the adpater
this.SendAdvisoryMessage("IB TWS:submitOrder: problem submitting order:" + myE.ToString());
QuickFix.OrdStatus myOrdStatus;
QuickFix.ExecType myExecType = new QuickFix.ExecType(QuickFix.ExecType.REJECTED);
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.REJECTED);
QuickFix.OrderQty orderQty = new QuickFix.OrderQty();
if (myQFOrder != null)
{
myQFOrder.getField(orderQty);
QuickFix.OrdRejReason myRejReason = new QuickFix.OrdRejReason(QuickFix.OrdRejReason.OTHER);
sendExecReport(myQFOrder, new QuickFix.OrderID("UNKNOWN"), myOrdStatus, myExecType, 0.0, (int)orderQty.getValue(), 0, 0, 0, myE.Message, myRejReason);
}
}
}
