public OrderRecord(QuickFix.FIX42.NewOrderSingle nos)
{
OriginalNOS = nos;
decimal price = -1;
if (nos.OrdType.Obj == QuickFix.Fields.OrdType.LIMIT && nos.IsSetPrice())
price = nos.Price.Obj;
ClOrdID = nos.ClOrdID.Obj;
Symbol = nos.Symbol.Obj;
Side = FIXApplication.FixEnumTranslator.Translate(nos.Side);
OrdType = FIXApplication.FixEnumTranslator.Translate(nos.OrdType);
Price = price;
Status = "New";
}
public OrderRecord(QuickFix.FIX44.NewOrderSingle nos)
{
OriginalNos = nos;
decimal price = -1;
if (nos.OrdType.Obj == QuickFix.Fields.OrdType.LIMIT && nos.IsSetPrice())
price = nos.Price.Obj;
ClOrdID = nos.ClOrdID.Obj;
Symbol = nos.Symbol.Obj;
Side = Services.TranslateFixFields.Translate(nos.Side);
OrdType = Services.TranslateFixFields.Translate(nos.OrdType);
Price = price;
Quantity = nos.OrderQty.Obj;
Status = OrderStatus.New;
}
public void OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, QuickFix.SessionID session)
{
try
{
// qty set ?
int qty = -1;
if (msg.IsSetOrderQty()) qty = Convert.ToInt32(msg.OrderQty.getValue());
else if (msg.IsSetCashOrderQty()) qty = Convert.ToInt32(msg.CashOrderQty.getValue());
if (qty < 0)
{
RejectCancelRequest(session, msg.ClOrdID, msg.OrigClOrdID, null, "Qty nor CashOrderQty field is not set", QuickFix.Fields.CxlRejReason.BROKER_OPTION, true);
return;
}
double price = (msg.IsSetPrice() ? Convert.ToDouble(msg.Price.getValue()) : 0);
double stopPx = (msg.IsSetStopPx() ? Convert.ToDouble(msg.StopPx.getValue()) : 0);
ProcessOrderCancelRequest(session, msg.ClOrdID, msg.OrigClOrdID, true, qty, price, stopPx);
}
catch (Exception e)
{
RejectCancelRequest(session, msg.ClOrdID, msg.OrigClOrdID, null, "OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, QuickFix.SessionID session) : internal error : " + e.ToString()
, QuickFix.Fields.CxlRejReason.OTHER, true);
}
}
public void OnMessage(QuickFix.FIX42.NewOrderSingle msg, QuickFix.SessionID session)
{
try
{
OrderFixBridge r ;
lock(locker_)
r = m_orders.AddOrGet(null, msg.ClOrdID.getValue(), session);
if (r.Order!=null)
{
RejectNew(session, msg.Symbol.getValue(), msg.ClOrdID.getValue(), Convert.ToInt32(msg.OrderQty.getValue()), Converter.c(msg.Side), "ClOrdID '" + msg.ClOrdID + "'already exists !");
return;
}
QuickFixStaticAcceptor.FromFIX_SendOrder(
r,
msg.Symbol.getValue(),
Converter.c(msg.Side),
Converter.c(msg.OrdType),
msg.IsSetOrderQty() ? Convert.ToInt32(msg.OrderQty.getValue()) : 0,
msg.IsSetPrice() ? Convert.ToDouble(msg.Price.getValue()) : 0,
msg.IsSetStopPx() ? Convert.ToDouble(msg.StopPx.getValue()) : 0,
msg.IsSetText() ? msg.Text.getValue() : string.Empty
);
if (r.Order == null)
{
RejectNew(session, msg.Symbol.getValue(), msg.ClOrdID.getValue(), Convert.ToInt32(msg.OrderQty.getValue()), Converter.c(msg.Side), "NinjaTrader7 returned null on creating order (internal error)");
return;
}
}
catch (Exception e)
{
RejectNew(session, msg.Symbol.getValue(), msg.ClOrdID.getValue(), Convert.ToInt32(msg.OrderQty.getValue()), Converter.c(msg.Side), e.Message);
}
}