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 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);
}