public override void onMessage(QuickFix42.OrderCancelReject message, SessionID session)
{
OrderCancelReject reject = new OrderCancelReject();
// required fields
reject.TransactTime = Clock.Now;
reject.OrderID = message.getOrderID().getValue();
reject.ClOrdID = message.getClOrdID().getValue();
reject.OrigClOrdID = message.getOrigClOrdID().getValue();
(reject as FIXOrderCancelReject).OrdStatus = message.getOrdStatus().getValue();
(reject as FIXOrderCancelReject).CxlRejResponseTo = message.getCxlRejResponseTo().getValue();
(reject as FIXOrderCancelReject).CxlRejReason = message.getCxlRejReason().getValue();
// optional fields
if (message.isSetSecondaryOrderID())
reject.SecondaryOrderID = message.getSecondaryOrderID().getValue();
if (message.isSetAccount())
reject.Account = message.getAccount().getValue();
if (message.isSetText())
reject.Text = message.getText().getValue();
// event
provider.EmitOrderCancelReject(reject);
}
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 UpdateOrderStatus(QuickFix42.ExecutionReport executionReport)
{
lock (LockObject)
{
// ClOrdID is not presented when order was changed outside of Fix Adapter
if (!executionReport.isSetClOrdID())
return;
String ClOrdID = executionReport.getClOrdID().getValue();
if(orders.ContainsKey(ClOrdID))
{
Order order = orders[ClOrdID];
switch(executionReport.getOrdStatus().getValue())
{
case OrdStatus.NEW:
order.OrderStatus = OrderStatus.New;
break;
case OrdStatus.PARTIALLY_FILLED:
order.OrderStatus = OrderStatus.PartiallyFilled;
break;
case OrdStatus.FILLED:
order.OrderStatus = OrderStatus.Filled;
break;
case OrdStatus.CANCELED:
order.OrderStatus = OrderStatus.Canceled;
break;
case OrdStatus.REJECTED:
order.OrderStatus = OrderStatus.Rejected;
break;
default:
throw new Exception("Undefined order state" + executionReport.getOrdStatus().getValue());
}
order.AddExecutionReport(executionReport);
}
}
}