示例#1
0
  public override void onMessage( QuickFix41.NewOrderSingle order, SessionID sessionID )
  {
    Symbol symbol = new Symbol();
    Side side = new Side();
    OrdType ordType = new OrdType();
    OrderQty orderQty = new OrderQty();
    Price price = new Price();
    ClOrdID clOrdID = new ClOrdID();

    order.get( ordType );

    if ( ordType.getValue() != OrdType.LIMIT )
      throw new IncorrectTagValue( ordType.getField() );
    
    order.get( symbol );
    order.get( side );
    order.get( orderQty );
    order.get( price );
    order.get( clOrdID );

    QuickFix41.ExecutionReport executionReport = new QuickFix41.ExecutionReport
        ( genOrderID(),
          genExecID(),
          new ExecTransType( ExecTransType.NEW ),
          new ExecType( ExecType.FILL ),
          new OrdStatus ( OrdStatus.FILLED ),
          symbol,
          side,
          orderQty,
          new LastShares ( orderQty.getValue() ),
          new LastPx ( price.getValue() ),
          new LeavesQty( 0 ),
          new CumQty ( orderQty.getValue() ),
          new AvgPx ( price.getValue() ) );

    executionReport.set( clOrdID );

    if( order.isSetAccount() )
      executionReport.set( order.getAccount() );

    try
    {
      Session.sendToTarget( executionReport, sessionID );
    }
    catch ( SessionNotFound ) {}
  }
示例#2
0
 public override void onMessage(QuickFix41.NewOrderSingle message, SessionID sessionID)
 {
     process(message, sessionID);
 }