public override void onMessage(QuickFix42.ExecutionReport report, SessionID sessionID)
{
if (ExecutionReport != null)
{
ExecutionReport(sessionID, new ExecutionReportEventArgs(report));
}
}
//35 = D
public override void onMessage(QuickFix42.NewOrderSingle message, SessionID sessionID)
{
Console.WriteLine("Receive message " + message.getHeader().getField(35) + ", session: " + sessionID.toString());
try
{
ClOrdID clordid = message.getClOrdID();
string clord = clordid.getValue();
Side side = message.getSide();
char s = side.getValue();
OrdType ordtype = message.getOrdType();
char ord = ordtype.getValue();
TransactTime time = message.getTransactTime();
DateTime dt = time.getValue();
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport(new OrderID("neworderid"), new ExecID("Hehe")
, new ExecTransType(ExecTransType.CORRECT), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.DONE_FOR_DAY),
new Symbol("VND"), new Side(Side.BUY), new LeavesQty(1), new CumQty(2), new AvgPx(100));
bool x = Session.sendToTarget(executionReport, sessionID);
}
catch (Exception e)
{
Console.WriteLine(e.ToString());
}
}
public void ParseFixLog(string fixLogPath)
{
if (!File.Exists(fixLogPath))
{
Console.WriteLine("File does not Exist");
return;
}
TextReader tr = new StreamReader(fixLogPath);
string currentMessage = tr.ReadLine();
int count = 0;
while (currentMessage != null)
{
if (/*msgIsToday(currentMessage) &&*/ _MsgIsOfInterest(currentMessage))
{
QuickFix42.ExecutionReport fixMsg = _GetMessageTypeObject(currentMessage);
if (fixMsg == null)
{
continue;
}
fixMsg.setField(57, "7857955");
fixMsg.setField(76, "RANE");
//break message into pieces
string[] msgFields = currentMessage.Split(ct_fixElementDelimeter);
//loadPieces
foreach (string field in msgFields)
{
string[] elements = field.Split('=');
if (elements.Count() < 2 || elements[0].Equals("10") || elements[0].Equals("8") || elements[0].Equals("9") ||
elements[0].Equals("35") || elements[0].Equals("34")) /* || elements[0].Equals("49") || elements[0].Equals("52")
|| elements[0].Equals("56"))*/
{
continue;
}
if (elements[0].Equals("1"))
{
fixMsg.setField(1, "54321");
}
else
{
fixMsg.setField(int.Parse(elements[0]), elements[1]);
}
}
_AddToDictionary(fixMsg);
}
currentMessage = tr.ReadLine();
count++;
}
Console.WriteLine("Loading log complete...");
//passtoLogger();
}
public override void onMessage(QuickFix42.ExecutionReport message, QuickFix.SessionID session)
{
parseMessage(message, session);
_TTOrderKey = message.getOrderID().ToString();
updateDisplay(string.Format("Current TT Order key is: {0}", _TTOrderKey));
updateFormData();
}
public override void onMessage(QuickFix42.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);
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport
(genOrderID(),
genExecID(),
new ExecTransType(ExecTransType.NEW),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
symbol,
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
executionReport.set(clOrdID);
executionReport.set(orderQty);
executionReport.set(new LastShares(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
if (order.isSetAccount())
{
executionReport.set(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
// MESSAGECRACKER BASE CLASS FUNCTIONS
#region MESSAGECRACKER INHERITED FUNCTIONS
//need new order single
//Order cancel request
//order cancel replace reject
//session level reject 35=3
// Upon receipt of an executed trade message
public override void onMessage(QuickFix42.ExecutionReport message, SessionID sessionId)
{
// MessageBox.Show("ExecutionReport: " + message.ToString());
string theMessage = message.ToString();
//Console.WriteLine("Execution Received: "+ theMessage);
if (!message.isSetField(35) && !message.getHeader().isSetField(35))
{
message.setField(35, "8");
}
DbHandle.Instance.InsertMessageCommand("MlDropCopy", new GatFixMessage(message, "MlDropCopy", _executionFieldMap));
}
private void addToDictionary(QuickFix42.ExecutionReport msg)
{
ClOrdID clID = new ClOrdID();
msg.getField(clID);
string ID = clID.getValue();
if (TodaysMessages.ContainsKey(ID))
{
TodaysMessages[ID].Add(msg);
}
else
{
List <QuickFix42.ExecutionReport> list = new List <QuickFix42.ExecutionReport>();
list.Add(msg);
TodaysMessages.Add(ID, list);
}
}
private static void _AddToDictionary(QuickFix42.ExecutionReport msg)
{
ClOrdID clId = new ClOrdID();
msg.getField(clId);
string id = clId.getValue();
if (TodaysMessages.ContainsKey(id))
{
TodaysMessages[id].Add(msg);
}
else
{
List <QuickFix42.ExecutionReport> list = new List <QuickFix42.ExecutionReport> {
msg
};
TodaysMessages.Add(id, list);
}
}
//35=8
public override void onMessage(QuickFix42.ExecutionReport message, SessionID session)
{
ExecType et = message.getExecType();
char type = et.getValue();
switch (type)
{
case 'A':
OrdStatus ordS = message.getOrdStatus();
char status = ordS.getValue();
//if status == 'A'
//order acknowledgement
break;
case '0':
case 'B':
case 'F':
break;
}
}
// MESSAGECRACKER BASE CLASS FUNCTIONS
#region MESSAGECRACKER INHERITED FUNCTIONS
//need new order single
//Order cancel request
//order cancel replace reject
//session level reject 35=3
// Upon receipt of an executed trade message
public override void onMessage(QuickFix42.ExecutionReport message, SessionID sessionID)
{
//oOrderManager.ProcessExecution(message, sessionID); // passing the work to the order manager
// MessageBox.Show("ExecutionReport: " + message.ToString());
string theMessage = message.ToString();
Console.WriteLine("Execution Received: " + theMessage);
//ConsoleKeyInfo keyInfo;
//if(!once)
// keyInfo = Console.ReadKey();
//once = true;
//orderCount++;
//tw.WriteLine(orderCount + " *__* " + message.ToString());
OrderID orderID = new OrderID();
message.getField(orderID);
Program.ExecutionOrderID = orderID.getValue();
}
public void OnExecutionReport(object sender, ExecutionReportEventArgs e)
{
if (ExecutionReport != null)
{
QuickFix42.ExecutionReport sourceReport = e.ExecutionReport;
try
{
SmartQuant.FIX.ExecutionReport report = new SmartQuant.FIX.ExecutionReport();
if (sourceReport.isSetField(41))//如果已有原始编号OrigClOrdID
{
report.OrigClOrdID = sourceReport.getOrigClOrdID().getValue();
}
else if (sourceReport.isSetField(11))//如果有标识委托所对应的ClOrdID
{
report.ClOrdID = sourceReport.getClOrdID().getValue();
}
report.ExecID = sourceReport.getExecID().getValue();
char execType = sourceReport.getExecType().getValue();
//Console.WriteLine(execType);
switch (execType)//订单执行结果
{
case '0':
report.ExecType = ExecType.New;
break;
case '1':
report.ExecType = ExecType.PartialFill;
break;
case '2':
report.ExecType = ExecType.Fill;
break;
case '4':
report.ExecType = ExecType.Cancelled;
break;
case '6':
report.ExecType = ExecType.PendingCancel;
break;
case '8':
report.ExecType = ExecType.Rejected;
break;
default:
report.ExecType = ExecType.Undefined;
break;
}
if ((execType == '1') || (execType == '2')) //执行结果是部分成交或是全部成交
{
report.LastPx = sourceReport.getLastPx().getValue(); //本次成交均价
report.LastQty = sourceReport.getLastShares().getValue(); //本次成交数量
}
report.OrderQty = sourceReport.getOrderQty().getValue(); //订单委托量
char orderStatus = sourceReport.getOrdStatus().getValue();
if (orderStatus == '1' || orderStatus == '2') //订单状态是部分成交或是全部成交
{
report.AvgPx = sourceReport.getAvgPx().getValue(); //平均成交价
report.CumQty = sourceReport.getCumQty().getValue(); //累计成交量
report.LeavesQty = report.OrderQty - report.CumQty; //未成交量
}
switch (orderStatus)
{
case '0':
report.OrdStatus = OrdStatus.New;
break;
case '1':
report.OrdStatus = OrdStatus.PartiallyFilled;
break;
case '2':
report.OrdStatus = OrdStatus.Filled;
break;
case '4':
report.OrdStatus = OrdStatus.Cancelled;
break;
case '6':
report.OrdStatus = OrdStatus.PendingCancel;
break;
case '8':
report.OrdStatus = OrdStatus.Rejected;
break;
default:
report.OrdStatus = OrdStatus.Undefined;
break;
}
if (sourceReport.isSetTransactTime())//传送时间
{
report.TransactTime = sourceReport.getTransactTime().getValue();
}
if (sourceReport.isSetText())
{
report.Text = sourceReport.getText().getValue();
}
ExecutionReport(this, new SmartQuant.FIX.ExecutionReportEventArgs(report));
}
catch (Exception ex)
{
EmitError(-1, -1, ex.Message);
}
}
}
// Methods
public ExecutionReportEventArgs(QuickFix42.ExecutionReport report)
{
this.report = report;
}
public virtual void Send(FIXExecutionReport Report)
{
QuickFix.FIX42.ExecutionReport executionReport = new QuickFix42.ExecutionReport(new OrderID(Report.OrderID), new ExecID(Report.ExecID), new QuickFix.ExecTransType('0'), new QuickFix.ExecType(Report.ExecType), new QuickFix.OrdStatus(Report.OrdStatus), new Symbol(Report.Symbol), new QuickFix.Side(Report.Side), new LeavesQty(Report.LeavesQty), new CumQty(Report.CumQty), new AvgPx(Report.AvgPx));
if (Report.ContainsField(198))
executionReport.set(new SecondaryOrderID(Report.SecondaryOrderID));
if (Report.ContainsField(11))
executionReport.set(new ClOrdID(Report.ClOrdID));
if (Report.ContainsField(41))
executionReport.set(new OrigClOrdID(Report.OrigClOrdID));
if (Report.ContainsField(66))
executionReport.set(new ListID(Report.ListID));
if (Report.ContainsField(19))
executionReport.set(new ExecRefID(Report.ExecRefID));
if (Report.ContainsField(103))
executionReport.set(new OrdRejReason(Report.OrdRejReason));
if (Report.ContainsField(378))
executionReport.set(new ExecRestatementReason(Report.ExecRestatementReason));
if (Report.ContainsField(1))
executionReport.set(new Account(Report.Account));
if (Report.ContainsField(65))
executionReport.set(new SymbolSfx(Report.SymbolSfx));
if (Report.ContainsField(48))
executionReport.set(new SecurityID(Report.SecurityID));
if (Report.ContainsField(167))
executionReport.set(new QuickFix.SecurityType(Report.SecurityType));
if (Report.ContainsField(200))
executionReport.set(new MaturityMonthYear(Report.MaturityMonthYear));
if (Report.ContainsField(202))
executionReport.set(new StrikePrice(Report.StrikePrice));
if (Report.ContainsField(206))
executionReport.set(new OptAttribute(Report.OptAttribute));
if (Report.ContainsField(231))
executionReport.set(new ContractMultiplier(Report.ContractMultiplier));
if (Report.ContainsField(223))
executionReport.set(new CouponRate(Report.CouponRate));
if (Report.ContainsField(207))
executionReport.set(new SecurityExchange(Report.SecurityExchange));
if (Report.ContainsField(106))
executionReport.set(new Issuer(Report.Issuer));
if (Report.ContainsField(348))
executionReport.set(new EncodedIssuerLen(Report.EncodedIssuerLen));
if (Report.ContainsField(349))
executionReport.set(new EncodedIssuer(Report.EncodedIssuer));
if (Report.ContainsField(107))
executionReport.set(new SecurityDesc(Report.SecurityDesc));
if (Report.ContainsField(350))
executionReport.set(new EncodedSecurityDescLen(Report.EncodedSecurityDescLen));
if (Report.ContainsField(351))
executionReport.set(new EncodedSecurityDesc(Report.EncodedSecurityDesc));
if (Report.ContainsField(38))
executionReport.set(new OrderQty(Report.OrderQty));
if (Report.ContainsField(152))
executionReport.set(new CashOrderQty(Report.CashOrderQty));
if (Report.ContainsField(40))
executionReport.set(new QuickFix.OrdType(Report.OrdType));
if (Report.ContainsField(44))
executionReport.set(new Price(Report.Price));
if (Report.ContainsField(99))
executionReport.set(new StopPx(Report.StopPx));
if (Report.ContainsField(388))
executionReport.set(new DiscretionInst(Report.DiscretionInst));
if (Report.ContainsField(15))
executionReport.set(new QuickFix.Currency(Report.Currency));
if (Report.ContainsField(376))
executionReport.set(new ComplianceID(Report.ComplianceID));
if (Report.ContainsField(59))
executionReport.set(new QuickFix.TimeInForce(Report.TimeInForce));
if (Report.ContainsField(168))
executionReport.set(new EffectiveTime(Report.EffectiveTime));
if (Report.ContainsField(126))
executionReport.set(new ExpireTime(Report.ExpireTime));
if (Report.ContainsField(18))
executionReport.set(new ExecInst(Report.ExecInst));
if (Report.ContainsField(31))
executionReport.set(new LastPx(Report.LastPx));
if (Report.ContainsField(194))
executionReport.set(new LastSpotRate(Report.LastSpotRate));
if (Report.ContainsField(195))
executionReport.set(new LastForwardPoints(Report.LastForwardPoints));
if (Report.ContainsField(30))
executionReport.set(new LastMkt(Report.LastMkt));
if (Report.ContainsField(336))
executionReport.set(new TradingSessionID(Report.TradingSessionID));
if (Report.ContainsField(29))
executionReport.set(new LastCapacity(Report.LastCapacity));
if (Report.ContainsField(424))
executionReport.set(new DayOrderQty(Report.DayOrderQty));
if (Report.ContainsField(425))
executionReport.set(new DayCumQty(Report.DayCumQty));
if (Report.ContainsField(426))
executionReport.set(new DayAvgPx(Report.DayAvgPx));
if (Report.ContainsField(427))
executionReport.set(new GTBookingInst(Report.GTBookingInst));
if (Report.ContainsField(60))
executionReport.set(new TransactTime(Report.TransactTime));
if (Report.ContainsField(13))
executionReport.set(new QuickFix.CommType(Report.CommType));
if (Report.ContainsField(381))
executionReport.set(new GrossTradeAmt(Report.GrossTradeAmt));
if (Report.ContainsField(119))
executionReport.set(new SettlCurrAmt(Report.SettlCurrAmt));
if (Report.ContainsField(120))
executionReport.set(new SettlCurrency(Report.SettlCurrency));
if (Report.ContainsField(21))
executionReport.set(new HandlInst(Report.HandlInst));
if (Report.ContainsField(110))
executionReport.set(new MinQty(Report.MinQty));
if (Report.ContainsField(111))
executionReport.set(new MaxFloor(Report.MaxFloor));
if (Report.ContainsField(210))
executionReport.set(new MaxShow(Report.MaxShow));
if (Report.ContainsField(58))
executionReport.set(new Text(Report.Text));
if (Report.ContainsField(354))
executionReport.set(new EncodedTextLen(Report.EncodedTextLen));
if (Report.ContainsField(355))
executionReport.set(new EncodedText(Report.EncodedText));
if (Report.ContainsField(192))
executionReport.set(new OrderQty2(Report.OrderQty2));
if (Report.ContainsField(442))
executionReport.set(new MultiLegReportingType(Report.MultiLegReportingType));
try
{
Session.sendToTarget((QuickFix.Message)executionReport, this.fSessionID);
}
catch (Exception ex)
{
Console.WriteLine(BeAEwTZGlZaeOmY5cm.J00weU3cM6(1304) + ex.Message);
}
}
public override void onMessage(QuickFix42.ExecutionReport report, QuickFix.SessionID sessionID)
{
if (report.getExecType().getValue() == QuickFix.ExecType.PENDING_CANCEL ||
report.getExecType().getValue() == QuickFix.ExecType.CANCELED ||
report.getExecType().getValue() == QuickFix.ExecType.PENDING_REPLACE ||
report.getExecType().getValue() == QuickFix.ExecType.REPLACE)
{
object request = cancelRequests[report.getClOrdID().getValue()];
if (request == null)
{
report.set(new OrigClOrdID(report.getClOrdID().getValue()));
}
else
{
if (request is FIXOrderCancelRequest)
{
report.set(new OrigClOrdID((request as FIXOrderCancelRequest).OrigClOrdID));
}
if (request is FIXOrderCancelReplaceRequest)
{
report.set(new OrigClOrdID((request as FIXOrderCancelReplaceRequest).OrigClOrdID));
}
}
}
ExecutionReport Report = new ExecutionReport();
if (report.isSetOrderID())
{
Report.OrderID = report.getOrderID().getValue();
}
////if (report.isSetSecondaryOrderID()) Report.SecondaryOrderID = report.getSecondaryOrderID().getValue();
if (report.isSetClOrdID())
{
Report.ClOrdID = report.getClOrdID().getValue();
}
if (report.isSetOrigClOrdID())
{
Report.OrigClOrdID = report.getOrigClOrdID().getValue();
}
////if (report.isSetListID()) Report.ListID = report.getListID().getValue();
if (report.isSetExecID())
{
Report.ExecID = report.getExecID().getValue();
}
////if (report.isSetExecRefID()) Report.ExecRefID = report.getExecRefID().getValue();
if (report.isSetExecType())
{
(Report as FIXExecutionReport).ExecType = report.getExecType().getValue();
}
if (report.isSetOrdStatus())
{
(Report as FIXExecutionReport).OrdStatus = report.getOrdStatus().getValue();
}
if (report.isSetOrdRejReason())
{
Report.OrdRejReason = report.getOrdRejReason().getValue();
}
////if (report.isSetExecRestatementReason()) Report.ExecRestatementReason = report.getExecRestatementReason().getValue();
////if (report.isSetAccount()) Report.Account = report.getAccount().getValue();
////if (report.isSetSettlmntTyp()) Report.SettlType = report.getSettlmntTyp().getValue();
//if (report.isSetFutSettDate ()) Report.FutSettDate = report.getFutSettDate ().getValue();
if (report.isSetSymbol())
{
Report.Symbol = report.getSymbol().getValue();
}
////if (report.isSetSymbolSfx()) Report.SymbolSfx = report.getSymbolSfx().getValue();
////if (report.isSetSecurityID()) Report.SecurityID = report.getSecurityID().getValue();
//if (report.isSetIDSource ()) Report.IDSource = report.getIDSource ().getValue();
////if (report.isSetSecurityType()) Report.SecurityType = report.getSecurityType().getValue();
////if (report.isSetMaturityMonthYear()) Report.MaturityMonthYear = report.getMaturityMonthYear().getValue();
//if (report.isSetMaturityDay ()) Report.MaturityDate = DateTime.Parse(report.getMaturityDay ().getValue());
//if (report.isSetPutOrCall ()) Report.PutOrCall = report.getPutOrCall ().getValue();
////if (report.isSetStrikePrice()) Report.StrikePrice = report.getStrikePrice().getValue();
////if (report.isSetOptAttribute()) Report.OptAttribute = report.getOptAttribute().getValue();
////if (report.isSetContractMultiplier()) Report.ContractMultiplier = report.getContractMultiplier().getValue();
////if (report.isSetCouponRate()) Report.CouponRate = report.getCouponRate().getValue();
////if (report.isSetSecurityExchange()) Report.SecurityExchange = report.getSecurityExchange().getValue();
////if (report.isSetIssuer()) Report.Issuer = report.getIssuer().getValue();
////if (report.isSetEncodedIssuerLen()) Report.EncodedIssuerLen = report.getEncodedIssuerLen().getValue();
////if (report.isSetEncodedIssuer()) Report.EncodedIssuer = report.getEncodedIssuer().getValue();
////if (report.isSetSecurityDesc()) Report.SecurityDesc = report.getSecurityDesc().getValue();
////if (report.isSetEncodedSecurityDescLen()) Report.EncodedSecurityDescLen = report.getEncodedSecurityDescLen().getValue();
////if (report.isSetEncodedSecurityDesc()) Report.EncodedSecurityDesc = report.getEncodedSecurityDesc().getValue();
if (report.isSetSide())
{
(Report as FIXExecutionReport).Side = report.getSide().getValue();
}
if (report.isSetOrderQty())
{
Report.OrderQty = report.getOrderQty().getValue();
}
////if (report.isSetCashOrderQty()) Report.CashOrderQty = report.getCashOrderQty().getValue();
if (report.isSetOrdType())
{
(Report as FIXExecutionReport).OrdType = report.getOrdType().getValue();
}
if (report.isSetPrice())
{
Report.Price = report.getPrice().getValue();
}
////if (report.isSetStopPx()) Report.StopPx = report.getStopPx().getValue();
//if (report.isSetPegDifference ()) Report.PegDifference = report.getPegDifference ().getValue();
////if (report.isSetDiscretionInst()) Report.DiscretionInst = report.getDiscretionInst().getValue();
////if (report.isSetDiscretionOffset()) Report.DiscretionOffsetValue = report.getDiscretionOffset().getValue();
////if (report.isSetCurrency()) Report.Currency = report.getCurrency().getValue();
////if (report.isSetComplianceID()) Report.ComplianceID = report.getComplianceID().getValue();
//if (report.isSetSolicitedFlag ()) Report.SolicitedFlag = report.getSolicitedFlag ().getValue();
////if (report.isSetTimeInForce()) (Report as FIXExecutionReport).TimeInForce = report.getTimeInForce().getValue();
////if (report.isSetEffectiveTime()) Report.EffectiveTime = report.getEffectiveTime().getValue();
////if (report.isSetExpireDate()) Report.ExpireDate = DateTime.Parse(report.getExpireDate().getValue());
////if (report.isSetExpireTime()) Report.ExpireTime = report.getExpireTime().getValue();
////if (report.isSetExecInst()) Report.ExecInst = report.getExecInst().getValue();
//if (report.isSetRule80A ()) Report.Rule80A = report.getRule80A ().getValue();
if (report.isSetLastShares())
{
Report.LastQty = report.getLastShares().getValue();
}
if (report.isSetLastPx())
{
Report.LastPx = report.getLastPx().getValue();
}
////if (report.isSetLastSpotRate()) Report.LastSpotRate = report.getLastSpotRate().getValue();
////if (report.isSetLastForwardPoints()) Report.LastForwardPoints = report.getLastForwardPoints().getValue();
////if (report.isSetLastMkt()) Report.LastMkt = report.getLastMkt().getValue();
////if (report.isSetTradingSessionID()) Report.TradingSessionID = report.getTradingSessionID().getValue();
////if (report.isSetLastCapacity()) Report.LastCapacity = report.getLastCapacity().getValue();
if (report.isSetLeavesQty())
{
Report.LeavesQty = report.getLeavesQty().getValue();
}
if (report.isSetCumQty())
{
Report.CumQty = report.getCumQty().getValue();
}
if (report.isSetAvgPx())
{
Report.AvgPx = report.getAvgPx().getValue();
}
////if (report.isSetDayOrderQty()) Report.DayOrderQty = report.getDayOrderQty().getValue();
////if (report.isSetDayCumQty()) Report.DayCumQty = report.getDayCumQty().getValue();
////if (report.isSetDayAvgPx()) Report.DayAvgPx = report.getDayAvgPx().getValue();
////if (report.isSetGTBookingInst()) Report.GTBookingInst = report.getGTBookingInst().getValue();
////if (report.isSetTradeDate()) Report.TradeDate = DateTime.Parse(report.getTradeDate().getValue());
if (report.isSetTransactTime())
{
Report.TransactTime = report.getTransactTime().getValue();
}
//if (report.isSetReportToExch ()) Report.ReportToExch = report.getReportToExch ().getValue();
////if (report.isSetCommission()) Report.Commission = report.getCommission().getValue();
////if (report.isSetCommType()) (Report as FIXExecutionReport).CommType = report.getCommType().getValue();
////if (report.isSetGrossTradeAmt()) Report.GrossTradeAmt = report.getGrossTradeAmt().getValue();
////if (report.isSetSettlCurrAmt()) Report.SettlCurrAmt = report.getSettlCurrAmt().getValue();
////if (report.isSetSettlCurrency()) Report.SettlCurrency = report.getSettlCurrency().getValue();
////if (report.isSetHandlInst()) Report.HandlInst = report.getHandlInst().getValue();
////if (report.isSetMinQty()) Report.MinQty = report.getMinQty().getValue();
////if (report.isSetMaxFloor()) Report.MaxFloor = report.getMaxFloor().getValue();
//if (report.isSetOpenClose ()) Report.OpenClose = report.getOpenClose ().getValue();
////if (report.isSetMaxShow()) Report.MaxShow = report.getMaxShow().getValue();
if (report.isSetText())
{
Report.Text = report.getText().getValue();
}
////if (report.isSetEncodedTextLen()) Report.EncodedTextLen = report.getEncodedTextLen().getValue();
////if (report.isSetEncodedText()) Report.EncodedText = report.getEncodedText().getValue();
//if (report.isSetFutSettDate2 ()) Report.FutSettDate2 = report.getFutSettDate2 ().getValue();
////if (report.isSetOrderQty2()) Report.OrderQty2 = report.getOrderQty2().getValue();
//if (report.isSetClearingFirm ()) Report.ClearingFirm = report.getClearingFirm ().getValue();
//if (report.isSetClearingAccount ()) Report.ClearingAccount = report.getClearingAccount ().getValue();
////if (report.isSetMultiLegReportingType()) Report.MultiLegReportingType = report.getMultiLegReportingType().getValue();
//
SingleOrder order;
if (Report.ExecType == SmartQuant.FIX.ExecType.PendingCancel ||
Report.ExecType == SmartQuant.FIX.ExecType.Cancelled ||
Report.ExecType == SmartQuant.FIX.ExecType.PendingReplace ||
Report.ExecType == SmartQuant.FIX.ExecType.Replace)
{
order = OrderManager.Orders.All[Report.OrigClOrdID] as SingleOrder;
}
else
{
order = OrderManager.Orders.All[Report.ClOrdID] as SingleOrder;
}
Instrument instrument = order.Instrument;
Report.Symbol = instrument.Symbol;
Report.TransactTime = Clock.Now;
// emit execution report
EmitExecutionReport(Report);
}
public void ParseFixLog(string FixLogPath)
{
if (!File.Exists(FixLogPath))
{
Console.WriteLine("File does not Exist");
return;
}
TextReader tr = new StreamReader(FixLogPath);
string currentMessage = tr.ReadLine();
int count = 0;
while (currentMessage != null)
{
if (/*msgIsToday(currentMessage) &&*/ msgIsOfInterest(currentMessage))
{
QuickFix42.ExecutionReport FixMsg = getMessageTypeObject(currentMessage);
if (FixMsg == null)
{
continue;
}
FixMsg.setField(57, "7857955");
FixMsg.setField(76, "RANE");
//break message into pieces
string[] msgFields = currentMessage.Split(FixElementDelimeter);
//loadPieces
foreach (string field in msgFields)
{
string[] elements = field.Split('=');
if (elements.Count() < 2 || elements[0].Equals("10") || elements[0].Equals("8") || elements[0].Equals("9") ||
elements[0].Equals("35") || elements[0].Equals("34")) /* || elements[0].Equals("49") || elements[0].Equals("52")
|| elements[0].Equals("56"))*/
{
continue;
}
if (elements[0].Equals("1"))
{
FixMsg.setField(1, "54321");
}
else
{
FixMsg.setField(int.Parse(elements[0]), elements[1]);
}
}
//todo:PARSER 03-02 either add message to dictionary or send to logger
//logger.logMsg("PManger 1", FixMsg);
addToDictionary(FixMsg);
}
//if (count > 200)
//{
// Thread.Sleep(500);
// count = 0;
//}
currentMessage = tr.ReadLine();
count++;
}
Console.WriteLine("Loading log complete...");
//passtoLogger();
}
// Methods
public ExecutionReportEventArgs(QuickFix42.ExecutionReport report)
{
this.report = report;
}
public override void onMessage( QuickFix42.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 );
QuickFix42.ExecutionReport executionReport = new QuickFix42.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new ExecType( ExecType.FILL ),
new OrdStatus( OrdStatus.FILLED ),
symbol,
side,
new LeavesQty( 0 ),
new CumQty( orderQty.getValue() ),
new AvgPx( price.getValue() ) );
executionReport.set( clOrdID );
executionReport.set( orderQty );
executionReport.set( new LastShares( orderQty.getValue() ) );
executionReport.set( new LastPx( price.getValue() ) );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
public sealed override void onMessage(QuickFix42.ExecutionReport message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
MsgExecutionReport(message, session);
}
