protected override bool?OnProcess(FixSession session, string msgType, IFixReader reader)
{
switch (msgType)
{
case QuikFixMessages.NewStopOrderSingle:
{
var condition = new QuikOrderCondition();
var dto = TimeHelper.Moscow.BaseUtcOffset;
var regMsg = reader.ReadOrderRegisterMessage(dto,
tag => reader.ReadOrderCondition(tag, dto, condition));
if (regMsg == null)
{
return(null);
}
regMsg.TransactionId = CreateTransactionId(session, regMsg.TransactionId.To <string>());
regMsg.Condition = condition;
RaiseNewOutMessage(regMsg);
return(true);
}
}
return(base.OnProcess(session, msgType, reader));
}
/// <summary>
/// Метод вызывается при обработке полученного сообщения.
/// </summary>
/// <param name="msgType">Тип FIX сообщения.</param>
/// <param name="reader">Читатель данных, записанных в формате FIX протокола.</param>
/// <returns>Успешно ли обработаны данные.</returns>
protected override bool?ProcessTransactionMessage(string msgType, IFixReader reader)
{
switch (msgType)
{
case QuikFixMessages.StopOrderExecutionReport:
{
var condition = new QuikOrderCondition();
var executions = reader.ReadExecutionMessage(this,
tag => reader.ReadOrderCondition(tag, UtcOffset, condition));
if (executions == null)
{
return(null);
}
var exec = executions.First();
exec.Condition = condition;
SendOutMessage(exec);
return(true);
}
}
return(base.ProcessTransactionMessage(msgType, reader));
}
protected override void OnProcess(FixSession session, string client, string msgStr, bool isMarketData)
{
var msgType = QuickFix.Message.GetMsgType(msgStr);
switch (msgType)
{
case QuikFixMessages.NewStopOrderSingle:
{
this.AddInfoLog("From client {0}: NewStopOrderSingle", client);
var fixMsg = session.ToMessage <NewStopOrderSingle>(msgStr);
var regMsg = fixMsg.ToRegisterMessage();
regMsg.TransactionId = CreateTransactionId(client, regMsg.TransactionId);
var condition = new QuikOrderCondition
{
Type = (QuikOrderConditionTypes)fixMsg.Type.Obj,
Result = fixMsg.IsSetResult() ? (QuikOrderConditionResults?)fixMsg.Result.Obj : null,
StopPriceCondition = (QuikStopPriceConditions)fixMsg.StopPriceCondition.Obj,
StopPrice = fixMsg.IsSetStopPx() ? fixMsg.StopPx.Obj : (decimal?)null,
StopLimitPrice = fixMsg.IsSetStopLimitPrice() ? fixMsg.StopLimitPrice.Obj : (decimal?)null,
IsMarketStopLimit = fixMsg.IsSetIsMarketStopLimit() ? fixMsg.IsMarketStopLimit.Obj : (bool?)null,
ConditionOrderId = fixMsg.IsSetConditionOrderId() ? fixMsg.ConditionOrderId.Obj : (long?)null,
ConditionOrderSide = (Sides)fixMsg.ConditionOrderSide.Obj,
ConditionOrderPartiallyMatched = fixMsg.IsSetConditionOrderPartiallyMatched() ? fixMsg.ConditionOrderPartiallyMatched.Obj : (bool?)null,
ConditionOrderUseMatchedBalance = fixMsg.IsSetConditionOrderUseMatchedBalance() ? fixMsg.ConditionOrderUseMatchedBalance.Obj : (bool?)null,
LinkedOrderPrice = fixMsg.IsSetLinkedOrderPrice() ? fixMsg.LinkedOrderPrice.Obj : (decimal?)null,
LinkedOrderCancel = fixMsg.LinkedOrderCancel.Obj,
Offset = fixMsg.IsSetOffset() ? fixMsg.Offset.Obj.ToUnit() : null,
Spread = fixMsg.IsSetStopSpread() ? fixMsg.StopSpread.Obj.ToUnit() : null,
IsMarketTakeProfit = fixMsg.IsSetIsMarketTakeProfit() ? fixMsg.IsMarketTakeProfit.Obj : (bool?)null,
};
if (fixMsg.IsSetOtherSecurityCode())
{
condition.OtherSecurityId = new SecurityId {
SecurityCode = fixMsg.OtherSecurityCode.Obj
}
}
;
if (fixMsg.IsSetActiveTimeFrom() && fixMsg.IsSetActiveTimeTo())
{
condition.ActiveTime = new Range <DateTimeOffset>(fixMsg.ActiveTimeFrom.Obj.ApplyTimeZone(TimeHelper.Moscow), fixMsg.ActiveTimeTo.Obj.ApplyTimeZone(TimeHelper.Moscow));
}
regMsg.Condition = condition;
TransactionAdapter.SendInMessage(regMsg);
return;
}
}
base.OnProcess(session, client, msgStr, isMarketData);
}
public static void WriteOrderCondition(this IFixWriter writer, QuikOrderCondition condition, string dateTimeFormat)
{
if (writer == null)
{
throw new ArgumentNullException(nameof(writer));
}
if (condition == null)
{
throw new ArgumentNullException(nameof(condition));
}
if (condition.Type != null)
{
writer.Write((FixTags)QuikFixTags.Type);
writer.Write((int)condition.Type.Value);
}
if (condition.StopPriceCondition != null)
{
writer.Write((FixTags)QuikFixTags.StopPriceCondition);
writer.Write((int)condition.StopPriceCondition.Value);
}
if (condition.ConditionOrderSide != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderSide);
writer.Write((int)condition.ConditionOrderSide.Value);
}
if (condition.LinkedOrderCancel != null)
{
writer.Write((FixTags)QuikFixTags.LinkedOrderCancel);
writer.Write(condition.LinkedOrderCancel.Value);
}
if (condition.Result != null)
{
writer.Write((FixTags)QuikFixTags.Result);
writer.Write((int)condition.Result.Value);
}
if (condition.OtherSecurityId != null)
{
writer.Write((FixTags)QuikFixTags.OtherSecurityCode);
writer.Write(condition.OtherSecurityId.Value.SecurityCode);
}
if (condition.StopPrice != null)
{
writer.Write((FixTags)QuikFixTags.StopPrice);
writer.Write(condition.StopPrice.Value);
}
if (condition.StopLimitPrice != null)
{
writer.Write((FixTags)QuikFixTags.StopLimitPrice);
writer.Write(condition.StopLimitPrice.Value);
}
if (condition.IsMarketStopLimit != null)
{
writer.Write((FixTags)QuikFixTags.IsMarketStopLimit);
writer.Write(condition.IsMarketStopLimit.Value);
}
if (condition.ActiveTime != null)
{
writer.Write((FixTags)QuikFixTags.ActiveTimeFrom);
writer.Write(condition.ActiveTime.Min.UtcDateTime, dateTimeFormat);
writer.Write((FixTags)QuikFixTags.ActiveTimeTo);
writer.Write(condition.ActiveTime.Max.UtcDateTime, dateTimeFormat);
}
if (condition.ConditionOrderId != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderId);
writer.Write(condition.ConditionOrderId.Value);
}
if (condition.ConditionOrderPartiallyMatched != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderPartiallyMatched);
writer.Write(condition.ConditionOrderPartiallyMatched.Value);
}
if (condition.ConditionOrderUseMatchedBalance != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderUseMatchedBalance);
writer.Write(condition.ConditionOrderUseMatchedBalance.Value);
}
if (condition.LinkedOrderPrice != null)
{
writer.Write((FixTags)QuikFixTags.LinkedOrderPrice);
writer.Write(condition.LinkedOrderPrice.Value);
}
if (condition.Offset != null)
{
writer.Write((FixTags)QuikFixTags.Offset);
writer.Write(condition.Offset.ToString());
}
if (condition.Spread != null)
{
writer.Write((FixTags)QuikFixTags.StopSpread);
writer.Write(condition.Spread.ToString());
}
if (condition.IsMarketTakeProfit != null)
{
writer.Write((FixTags)QuikFixTags.IsMarketTakeProfit);
writer.Write(condition.IsMarketTakeProfit.Value);
}
}
public static void WriteOrderCondition(this IFixWriter writer, QuikOrderCondition condition)
{
if (writer == null)
throw new ArgumentNullException("writer");
if (condition == null)
throw new ArgumentNullException("condition");
if (condition.Type != null)
{
writer.Write((FixTags)QuikFixTags.Type);
writer.Write((int)condition.Type.Value);
}
if (condition.StopPriceCondition != null)
{
writer.Write((FixTags)QuikFixTags.StopPriceCondition);
writer.Write((int)condition.StopPriceCondition.Value);
}
if (condition.ConditionOrderSide != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderSide);
writer.Write((int)condition.ConditionOrderSide.Value);
}
if (condition.LinkedOrderCancel != null)
{
writer.Write((FixTags)QuikFixTags.LinkedOrderCancel);
writer.Write(condition.LinkedOrderCancel.Value);
}
if (condition.Result != null)
{
writer.Write((FixTags)QuikFixTags.Result);
writer.Write((int)condition.Result.Value);
}
if (condition.OtherSecurityId != null)
{
writer.Write((FixTags)QuikFixTags.OtherSecurityCode);
writer.Write(condition.OtherSecurityId.Value.SecurityCode);
}
if (condition.StopPrice != null)
{
writer.Write((FixTags)QuikFixTags.StopPrice);
writer.Write(condition.StopPrice.Value);
}
if (condition.StopLimitPrice != null)
{
writer.Write((FixTags)QuikFixTags.StopLimitPrice);
writer.Write(condition.StopLimitPrice.Value);
}
if (condition.IsMarketStopLimit != null)
{
writer.Write((FixTags)QuikFixTags.IsMarketStopLimit);
writer.Write(condition.IsMarketStopLimit.Value);
}
if (condition.ActiveTime != null)
{
writer.Write((FixTags)QuikFixTags.ActiveTimeFrom);
writer.Write(condition.ActiveTime.Min.UtcDateTime);
writer.Write((FixTags)QuikFixTags.ActiveTimeTo);
writer.Write(condition.ActiveTime.Max.UtcDateTime);
}
if (condition.ConditionOrderId != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderId);
writer.Write(condition.ConditionOrderId.Value);
}
if (condition.ConditionOrderPartiallyMatched != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderPartiallyMatched);
writer.Write(condition.ConditionOrderPartiallyMatched.Value);
}
if (condition.ConditionOrderUseMatchedBalance != null)
{
writer.Write((FixTags)QuikFixTags.ConditionOrderUseMatchedBalance);
writer.Write(condition.ConditionOrderUseMatchedBalance.Value);
}
if (condition.LinkedOrderPrice != null)
{
writer.Write((FixTags)QuikFixTags.LinkedOrderPrice);
writer.Write(condition.LinkedOrderPrice.Value);
}
if (condition.Offset != null)
{
writer.Write((FixTags)QuikFixTags.Offset);
writer.Write(condition.Offset.ToString());
}
if (condition.Spread != null)
{
writer.Write((FixTags)QuikFixTags.StopSpread);
writer.Write(condition.Spread.ToString());
}
if (condition.IsMarketTakeProfit != null)
{
writer.Write((FixTags)QuikFixTags.IsMarketTakeProfit);
writer.Write(condition.IsMarketTakeProfit.Value);
}
}
/// <summary>
/// Метод вызывается при обработке полученного сообщения.
/// </summary>
/// <param name="msgType">Тип FIX сообщения.</param>
/// <param name="reader">Читатель данных, записанных в формате FIX протокола.</param>
/// <returns>Успешно ли обработаны данные.</returns>
protected override bool?ProcessTransactionMessage(string msgType, FixReader reader)
{
switch (msgType)
{
case QuikFixMessages.StopOrderExecutionReport:
{
int? type = null;
int? stopPriceCondition = null;
int? conditionOrderSide = null;
bool? linkedOrderCancel = null;
int? result = null;
string otherSecurityCode = null;
decimal? stopPrice = null;
decimal? stopLimitPrice = null;
bool? isMarketStopLimit = null;
DateTimeOffset?activeTimeFrom = null;
DateTimeOffset?activeTimeTo = null;
long? conditionOrderId = null;
bool? conditionOrderPartiallyMatched = null;
bool? conditionOrderUseMatchedBalance = null;
decimal? linkedOrderPrice = null;
string offset = null;
string stopSpread = null;
bool? isMarketTakeProfit = null;
var executions = reader.ReadExecutionMessage(Session, SessionHolder.UtcOffset, tag =>
{
switch ((QuikFixTags)tag)
{
case QuikFixTags.Type:
type = reader.ReadInt();
return(true);
case QuikFixTags.StopPriceCondition:
stopPriceCondition = reader.ReadInt();
return(true);
case QuikFixTags.ConditionOrderSide:
conditionOrderSide = reader.ReadInt();
return(true);
case QuikFixTags.LinkedOrderCancel:
linkedOrderCancel = reader.ReadBool();
return(true);
case QuikFixTags.Result:
result = reader.ReadInt();
return(true);
case QuikFixTags.OtherSecurityCode:
otherSecurityCode = reader.ReadString();
return(true);
case QuikFixTags.StopPrice:
stopPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.StopLimitPrice:
stopLimitPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.IsMarketStopLimit:
isMarketStopLimit = reader.ReadBool();
return(true);
case QuikFixTags.ActiveTimeFrom:
activeTimeFrom = reader.ReadDateTime().ApplyTimeZone(SessionHolder.UtcOffset);
return(true);
case QuikFixTags.ActiveTimeTo:
activeTimeTo = reader.ReadDateTime().ApplyTimeZone(SessionHolder.UtcOffset);
return(true);
case QuikFixTags.ConditionOrderId:
conditionOrderId = reader.ReadLong();
return(true);
case QuikFixTags.ConditionOrderPartiallyMatched:
conditionOrderPartiallyMatched = reader.ReadBool();
return(true);
case QuikFixTags.ConditionOrderUseMatchedBalance:
conditionOrderUseMatchedBalance = reader.ReadBool();
return(true);
case QuikFixTags.LinkedOrderPrice:
linkedOrderPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.Offset:
offset = reader.ReadString();
return(true);
case QuikFixTags.StopSpread:
stopSpread = reader.ReadString();
return(true);
case QuikFixTags.IsMarketTakeProfit:
isMarketTakeProfit = reader.ReadBool();
return(true);
default:
return(false);
}
});
if (executions == null)
{
return(null);
}
var exec = executions.First();
var condition = new QuikOrderCondition
{
Type = (QuikOrderConditionTypes?)type,
Result = (QuikOrderConditionResults?)result,
StopPriceCondition = (QuikStopPriceConditions?)stopPriceCondition,
StopPrice = stopPrice,
StopLimitPrice = stopLimitPrice,
IsMarketStopLimit = isMarketStopLimit,
ConditionOrderId = conditionOrderId,
ConditionOrderSide = (Sides?)conditionOrderSide,
ConditionOrderPartiallyMatched = conditionOrderPartiallyMatched,
ConditionOrderUseMatchedBalance = conditionOrderUseMatchedBalance,
LinkedOrderPrice = linkedOrderPrice,
LinkedOrderCancel = linkedOrderCancel,
Offset = offset == null ? null : offset.ToUnit(),
Spread = stopSpread == null ? null : stopSpread.ToUnit(),
IsMarketTakeProfit = isMarketTakeProfit,
};
if (otherSecurityCode != null)
{
condition.OtherSecurityId = new SecurityId {
SecurityCode = otherSecurityCode
}
}
;
if (activeTimeFrom != null && activeTimeTo != null)
{
condition.ActiveTime = new Range <DateTimeOffset>(activeTimeFrom.Value, activeTimeTo.Value);
}
exec.Condition = condition;
SendOutMessage(exec);
return(true);
}
}
return(base.ProcessTransactionMessage(msgType, reader));
}
}
public static bool ReadOrderCondition(this IFixReader reader, FixTags tag, TimeSpan dateTimeOffset, QuikOrderCondition condition)
{
switch ((QuikFixTags)tag)
{
case QuikFixTags.Type:
condition.Type = (QuikOrderConditionTypes)reader.ReadInt();
return(true);
case QuikFixTags.StopPriceCondition:
condition.StopPriceCondition = (QuikStopPriceConditions)reader.ReadInt();
return(true);
case QuikFixTags.ConditionOrderSide:
condition.ConditionOrderSide = (Sides)reader.ReadInt();
return(true);
case QuikFixTags.LinkedOrderCancel:
condition.LinkedOrderCancel = reader.ReadBool();
return(true);
case QuikFixTags.Result:
condition.Result = (QuikOrderConditionResults)reader.ReadInt();
return(true);
case QuikFixTags.OtherSecurityCode:
condition.OtherSecurityId = new SecurityId {
SecurityCode = reader.ReadString()
};
return(true);
case QuikFixTags.StopPrice:
condition.StopPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.StopLimitPrice:
condition.StopLimitPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.IsMarketStopLimit:
condition.IsMarketStopLimit = reader.ReadBool();
return(true);
case QuikFixTags.ActiveTimeFrom:
if (condition.ActiveTime == null)
{
condition.ActiveTime = new Range <DateTimeOffset>();
}
condition.ActiveTime.Min = reader.ReadDateTime().ApplyTimeZone(dateTimeOffset);
return(true);
case QuikFixTags.ActiveTimeTo:
if (condition.ActiveTime == null)
{
condition.ActiveTime = new Range <DateTimeOffset>();
}
condition.ActiveTime.Max = reader.ReadDateTime().ApplyTimeZone(dateTimeOffset);
return(true);
case QuikFixTags.ConditionOrderId:
condition.ConditionOrderId = reader.ReadLong();
return(true);
case QuikFixTags.ConditionOrderPartiallyMatched:
condition.ConditionOrderPartiallyMatched = reader.ReadBool();
return(true);
case QuikFixTags.ConditionOrderUseMatchedBalance:
condition.ConditionOrderUseMatchedBalance = reader.ReadBool();
return(true);
case QuikFixTags.LinkedOrderPrice:
condition.LinkedOrderPrice = reader.ReadDecimal();
return(true);
case QuikFixTags.Offset:
condition.Offset = reader.ReadString().ToUnit();
return(true);
case QuikFixTags.StopSpread:
condition.Spread = reader.ReadString().ToUnit();
return(true);
case QuikFixTags.IsMarketTakeProfit:
condition.IsMarketTakeProfit = reader.ReadBool();
return(true);
default:
return(false);
}
}
