public static void PlaceNewSingleOrder()
{
QuickFix44.NewOrderSingle order = new QuickFix44.NewOrderSingle();
#region Order Details
QuickFix.OrderQty orderQty = new QuickFix.OrderQty(10); order.setField(orderQty);
QuickFix.Symbol symbol = new QuickFix.Symbol("EGS48031C016"); order.setField(symbol);
QuickFix.SecurityID secID = new QuickFix.SecurityID("EGS48031C016"); order.setField(secID);
QuickFix.Side side = new QuickFix.Side(Side.SELL); order.setField(side);
QuickFix.OrdType ordType = new QuickFix.OrdType(OrdType.LIMIT); order.setField(ordType);
QuickFix.Price price = new QuickFix.Price(10); order.setField(price);
Currency currency = new Currency("EGP"); order.setField(currency);
Account acc = new Account("1003"); order.setField(acc);
QuickFix.PartyID custody = new PartyID("5004"); order.setField(custody);
TimeInForce tif = new TimeInForce(TimeInForce.DAY); order.setField(tif);
IDSource ids = new IDSource("4"); order.setField(ids);
TransactTime tt = new TransactTime(DateTime.Now); order.setField(tt);
//SenderSubID ss = new SenderSubID("05095a"); order.setField(ss);
#endregion Order Details
#region Fix Order Message IDs
QuickFix.ClOrdID clOrdID = new ClOrdID(Guid.NewGuid().ToString());
order.setField(clOrdID);
#endregion Fix Order Message IDs
#region Exchange
ExDestination exd = new ExDestination("CA"); order.setField(exd);
TradingSessionID tradSession = new TradingSessionID("NOPL"); order.setField(tradSession);
#endregion Exchange
Session.sendToTarget(order, _app.SessionID);
}
//[System.Runtime.CompilerServices.MethodImpl(System.Runtime.CompilerServices.MethodImplOptions.Synchronized)]
public static void PlaceNewSingleOrder(string _clOrderID, string _clientID, string _securityCode, int _quantity, double _price, string _custodyCode,
char _orderSide, char _orderType, string currencyCode, string exDestination, char _timeInForce, string groupID,
char handleInst, DateTime expiration, bool hasAON, int minQty)
{
QuickFix44.NewOrderSingle order = new QuickFix44.NewOrderSingle();
#region Order Details
QuickFix.OrderQty orderQty = new QuickFix.OrderQty(_quantity); order.setField(orderQty);
QuickFix.Symbol symbol = new QuickFix.Symbol(_securityCode); order.setField(symbol);
QuickFix.SecurityID secID = new QuickFix.SecurityID(_securityCode); order.setField(secID);
QuickFix.Side side = new QuickFix.Side(_orderSide); order.setField(side);
QuickFix.OrdType ordType = new QuickFix.OrdType(_orderType); order.setField(ordType);
QuickFix.Price price = new QuickFix.Price(_price); order.setField(price);
Currency currency = new Currency(currencyCode); order.setField(currency);
Account acc = new Account(_clientID); order.setField(acc);
//QuickFix.ClearingFirm custody = new ClearingFirm(_custodyCode);order.setField(custody);
QuickFix.PartyID custody = new PartyID(_custodyCode); order.setField(custody);
//QuickFix.PartyRole pr = new PartyRole(PartyRole.CUSTODIAN); order.setField(pr);
//QuickFix.NoPartyIDs npid = new NoPartyIDs(1); order.setField(npid);
//QuickFix.PartyIDSource pid = new PartyIDSource(PartyIDSource.PROPRIETARY); order.setField(pid);
TimeInForce tif = new TimeInForce(_timeInForce); order.setField(tif);
IDSource ids = new IDSource("4"); order.setField(ids);
TransactTime tt = new TransactTime(DateTime.Now); order.setField(tt);
//SenderSubID ss = new SenderSubID("05095a"); order.setField(ss);
if (_timeInForce == QuickFix.TimeInForce.GOOD_TILL_DATE)
{
ExpireDate ed = new ExpireDate(expiration.ToString("yyyyMMdd")); order.setField(ed);
//ExpireTime et = new ExpireTime(new DateTime(DateTime.Now.Year, DateTime.Now.Month, DateTime.Now.Day, DateTime.Now.Hour + 4, 0, 0)); order.setField(et);
ExpireTime et = new ExpireTime(expiration); order.setField(et);
}
if (hasAON)
{
order.setField(new ExecInst(ExecInst.ALL_OR_NONE.ToString()));
order.setField(new MinQty(minQty));
}
#endregion Order Details
#region Fix Order Message IDs
QuickFix.ClOrdID clOrdID = new QuickFix.ClOrdID(string.Format("{0}{1}", _wcfMsgPrefix, _clOrderID));
order.setField(clOrdID);
#endregion Fix Order Message IDs
#region Reporting
//QuickFix.HandlInst handlInst = new QuickFix.HandlInst(QuickFix.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION); order.setField(handlInst);
QuickFix.HandlInst handlInst = new QuickFix.HandlInst(handleInst); order.setField(handlInst);
#endregion Reporting
#region Exchange
ExDestination exd = new ExDestination(exDestination); order.setField(exd);
TradingSessionID tradSession = new TradingSessionID(groupID); order.setField(tradSession);
#endregion Exchange
Session.sendToTarget(order, _sessionID);
}
/// <summary>
/// genera un mensaje especifico para Dukascopy
/// </summary>
/// <param name="clOrdID"></param>
/// <param name="price"></param>
/// <param name="ordType"></param>
/// <param name="timeInForce"></param>
/// <param name="symbol"></param>
/// <param name="orderQty"></param>
/// <param name="side"></param>
/// <param name="expireTime"></param>
/// <param name="account"></param>
/// <param name="slippage"></param>
public static void SubmitOrder(ClOrdID clOrdID, decimal?price, OrdType ordType, TimeInForce timeInForce, Symbol symbol, OrderQty orderQty, Side side, ExpireTime expireTime, Account account, decimal?slippage)
{
QuickFix44.NewOrderSingle message = new QuickFix44.NewOrderSingle(
clOrdID,
side,
new TransactTime(DateTime.UtcNow),
ordType);
if (price.HasValue)
{
message.set(new Price((double)price.Value));
}
message.set(timeInForce);
message.set(symbol);
message.set(orderQty);
if (expireTime != null)
{
message.set(expireTime);
}
if (account != null)
{
message.set(account);
}
if (slippage.HasValue)
{
message.setDouble(7011, (double)slippage.Value);
}
Credential dukascopyCredential = CredentialFactory.GetCredential(Counterpart.Dukascopy);
Session.sendToTarget(message, dukascopyCredential.TradingSenderCompID, dukascopyCredential.TradingTargetCompID);
}
public override void onMessage(QuickFix44.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);
QuickFix44.ExecutionReport executionReport = new QuickFix44.ExecutionReport
(genOrderID(),
genExecID(),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()),
new AvgPx(price.getValue()));
executionReport.set(clOrdID);
executionReport.set(symbol);
executionReport.set(orderQty);
executionReport.set(new LastQty(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
if (order.isSetAccount())
{
executionReport.setField(order.getAccount());
}
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) {}
}
protected void ProcesssNewOrderSingleThread(object param)
{
QuickFix44.NewOrderSingle order = (QuickFix44.NewOrderSingle)param;
while (true)
{
string clOrdId = order.getString(ClOrdID.FIELD);
string account = order.getString(Account.FIELD);
string symbol = order.getString(Symbol.FIELD);
double lvsQty = order.getDouble(OrderQty.FIELD);
char ordType = order.getChar(OrdType.FIELD);
char side = order.getChar(Side.FIELD);
QuickFix44.ExecutionReport exReport = new QuickFix44.ExecutionReport();
int i = 0;
exReport.setField(new ExecID(i.ToString()));
exReport.setField(new ExecTransType(ExecTransType.NEW));
exReport.setField(new ClOrdID(clOrdId));
exReport.setField(new OrderID(Guid.NewGuid().ToString()));
exReport.setField(new ExecType(ExecType.NEW));
exReport.setField(new OrdStatus(OrdStatus.NEW));
exReport.setField(new TransactTime(DateTime.Now));
exReport.setField(new LeavesQty(lvsQty));
exReport.setField(new CumQty(0));
exReport.setField(new AvgPx(0));
exReport.setField(new MultiLegReportingType(MultiLegReportingType.SINGLE));
exReport.setField(new Symbol(symbol));
exReport.setField(new Account(account));
//exReport.setField(new OrderCapacity(OrderCapacity.PRINCIPAL));
//exReport.setField(new CustOrderCapacity(CustOrderCapacity.MEMBER_TRADING_FOR_THEIR_OWN_ACCOUNT));
exReport.setField(new Side(side));
exReport.setField(new OrdType(ordType));
exReport.setField(new OpenClose(OpenClose.OPEN));
exReport.setField(new TimeInForce(TimeInForce.GOOD_TILL_CANCEL));
Session.sendToTarget(exReport, SessionID);
Thread.Sleep(1000);
}
}
public void exampleTrading(AccountsWindow accounts, RatesWindow rates, char direction)
{
exampleRunning = true;
if (instruments == null)
{
instruments = rates.symbols();
}
foreach (QuickFix.Symbol instrument in rates.symbols())
{
// place a market order on each available account
foreach (QuickFix.Account account in accounts.accounts())
{
// create a NewOrderSingle Market
QuickFix44.NewOrderSingle order = new QuickFix44.NewOrderSingle(
new QuickFix.ClOrdID(sessionID + "-" + DateTime.Now.Ticks + "-" + nextID().ToString()),
new QuickFix.Side(direction),
new QuickFix.TransactTime(),
new QuickFix.OrdType(QuickFix.OrdType.MARKET)
);
order.set(account);
order.set(instrument);
// get the minimum quantity from the RatesWindow
order.set(new QuickFix.OrderQty(rates.minQty(instrument)));
order.set(new QuickFix.TimeInForce(QuickFix.TimeInForce.GOOD_TILL_CANCEL));
order.set(new QuickFix.SecondaryClOrdID("fix_example_test"));
// sent the order to the API
send(order, sessionID);
// write note to the log
Console.WriteLine(
"An order for {0:N0} {1} on {2} placed on {3}",
order.getOrderQty().getValue(),
((order.getSide().getValue() == 2) ? "Sell" : "Buy"),
order.getSymbol().getValue(),
order.getAccount().getValue()
);
}
}
}
public override void onMessage(QuickFix44.NewOrderSingle message, SessionID sessionID)
{
process(message, sessionID);
}