/// <summary>
/// Makes an execution object
/// </summary>
/// <param name="executionReport"></param>
/// <returns></returns>
private Execution PopulateExecution(QuickFix.FIX43.ExecutionReport executionReport)
{
string orderSide = FixCommon.Converter.ConvertOrderSide.GetLocalOrderSide(executionReport.Side.getValue());
// Extract Fill information
Fill fill = new Fill(new Security {
Symbol = executionReport.Symbol.getValue()
},
_provider, executionReport.ClOrdID.getValue())
{
ExecutionDateTime = executionReport.TransactTime.getValue(),
ExecutionType =
executionReport.ExecType.getValue() == ExecType.FILL
? Constants.ExecutionType.Fill
: Constants.ExecutionType.Partial,
ExecutionId = executionReport.ExecID.getValue(),
ExecutionPrice = Convert.ToDecimal(executionReport.AvgPx.getValue(), CultureInfo.InvariantCulture),
ExecutionSize = Convert.ToInt32(executionReport.LastQty.getValue()),
ExecutionSide = orderSide,
AverageExecutionPrice = Convert.ToDecimal(executionReport.AvgPx.getValue(), CultureInfo.InvariantCulture),
LeavesQuantity = Convert.ToInt32(executionReport.LeavesQty.getValue(), CultureInfo.InvariantCulture),
CummalativeQuantity = Convert.ToInt32(executionReport.CumQty.getValue(), CultureInfo.InvariantCulture)
};
// Extract Order information
Order order = new Order(_provider)
{
OrderID = executionReport.ClOrdID.getValue(),
OrderSide = orderSide,
OrderSize = Convert.ToInt32(executionReport.OrderQty.getValue(), CultureInfo.InvariantCulture),
OrderTif = FixCommon.Converter.ConvertTif.GetLocalValue(executionReport.TimeInForce.getValue())
};
return(new Execution(fill, order));
}
/// <summary>
/// Makes an order object
/// </summary>
/// <param name="executionReport"></param>
/// <returns></returns>
private Order PopulateOder(QuickFix.FIX43.ExecutionReport executionReport)
{
string orderSide = FixCommon.Converter.ConvertOrderSide.GetLocalOrderSide(executionReport.Side.getValue());
// Extract Order information
Order order = new Order(_provider)
{
OrderID = executionReport.ExecType.getValue().Equals(ExecType.NEW) ? executionReport.ClOrdID.getValue() : executionReport.OrigClOrdID.getValue(),
OrderSide = orderSide,
OrderSize = Convert.ToInt32(executionReport.OrderQty.getValue(), CultureInfo.InvariantCulture),
OrderTif = FixCommon.Converter.ConvertTif.GetLocalValue(executionReport.TimeInForce.getValue())
};
return(order);
}
new public void onMessage(QuickFix.FIX43.ExecutionReport message, SessionID sessionID)
{
}
/// <summary>
///
/// </summary>
/// <param name="executionReport">Execution report</param>
/// <param name="sessionId">Session ID</param>
private void OnMessage(QuickFix.FIX43.ExecutionReport executionReport, SessionID sessionId)
{
try
{
switch (executionReport.ExecType.getValue())
{
case ExecType.NEW:
{
Order order = PopulateOder(executionReport);
if (Logger.IsDebugEnabled)
{
Logger.Debug("New arrived : " + order, _type.FullName, "OnMessage");
}
if (NewArrived != null)
{
NewArrived(order);
}
break;
}
case ExecType.CANCELED:
{
Order order = PopulateOder(executionReport);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Cancellation arrived : " + order, _type.FullName, "OnMessage");
}
if (CancellationArrived != null)
{
CancellationArrived(order);
}
break;
}
case ExecType.REJECTED:
var rejection = ExtractOrderRejection(executionReport);
if (OrderRejectionArrived != null)
{
OrderRejectionArrived(rejection);
}
break;
case ExecType.TRADE:
{
Execution execution = PopulateExecution(executionReport);
if (Logger.IsDebugEnabled)
{
Logger.Debug("Trade arrived : " + execution, _type.FullName, "OnMessage");
}
if (ExecutionArrived != null)
{
ExecutionArrived(execution);
}
break;
}
}
}
catch (Exception exception)
{
Logger.Error(exception.ToString(), _type.FullName, "OnMessage");
}
}