public NewOrderSingle( QuickFix.Fields.ClOrdID aClOrdID, QuickFix.Fields.HandlInst aHandlInst, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrdType aOrdType ) : this() { this.ClOrdID = aClOrdID; this.HandlInst = aHandlInst; this.Symbol = aSymbol; this.Side = aSide; this.OrdType = aOrdType; }
public OrderCancelReplaceRequest( QuickFix.Fields.OrigClOrdID aOrigClOrdID, QuickFix.Fields.ClOrdID aClOrdID, QuickFix.Fields.HandlInst aHandlInst, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrdType aOrdType ) : this() { this.OrigClOrdID = aOrigClOrdID; this.ClOrdID = aClOrdID; this.HandlInst = aHandlInst; this.Symbol = aSymbol; this.Side = aSide; this.OrdType = aOrdType; }
public NewOrderList( QuickFix.Fields.ListID aListID, QuickFix.Fields.ListSeqNo aListSeqNo, QuickFix.Fields.ListNoOrds aListNoOrds, QuickFix.Fields.ClOrdID aClOrdID, QuickFix.Fields.HandlInst aHandlInst, QuickFix.Fields.Symbol aSymbol, QuickFix.Fields.Side aSide, QuickFix.Fields.OrderQty aOrderQty, QuickFix.Fields.OrdType aOrdType ) : this() { this.ListID = aListID; this.ListSeqNo = aListSeqNo; this.ListNoOrds = aListNoOrds; this.ClOrdID = aClOrdID; this.HandlInst = aHandlInst; this.Symbol = aSymbol; this.Side = aSide; this.OrderQty = aOrderQty; this.OrdType = aOrdType; }
public void Set(QuickFix.Fields.HandlInst val) { this.HandlInst = val; }
public bool IsSet(QuickFix.Fields.HandlInst val) { return(IsSetHandlInst()); }
public QuickFix.Fields.HandlInst Get(QuickFix.Fields.HandlInst val) { GetField(val); return(val); }
/// <summary> /// Creates a FIX4.4 NewOrderSingle message for Forexware /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX44.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX44.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); //set order side if (order.OrderSide == Constants.OrderSide.BUY) { newOrderSingle.Set(new Side(Side.BUY)); } else if (order.OrderSide == Constants.OrderSide.SELL) { newOrderSingle.Set(new Side(Side.SELL)); } var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); //limit, market and stop orders are supported. if (order.GetType() == typeof(LimitOrder)) { newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } else if (order.GetType() == typeof(StopOrder)) { newOrderSingle.Set(new OrdType(OrdType.STOP)); // set StopPX field // TODO: add StopPx field } var account = new QuickFix.Fields.Account(_account); newOrderSingle.SetField(account); if (order.GetType() == typeof(LimitOrder) || order.GetType() == typeof(StopOrder)) { var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); } return(newOrderSingle); }
/// <summary> /// Creates a FIX4.3 NewOrderSingle message for Integral /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX43.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract); newOrderSingle.SetField(securityType); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency); newOrderSingle.SetField(product); //set order side if (order.OrderSide == Constants.OrderSide.BUY) { newOrderSingle.Set(new Side(Side.BUY)); } else if (order.OrderSide == Constants.OrderSide.SELL) { newOrderSingle.Set(new Side(Side.SELL)); } var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var minQty = new QuickFix.Fields.MinQty(order.OrderSize); newOrderSingle.SetField(minQty); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize); newOrderSingle.SetField(maxShow); var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION); newOrderSingle.SetField(execInst); var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); return(newOrderSingle); }
public Message CreateNewOrderSingleMessage(string symbol, MarketSide marketSide, string clOrdID, TradingAccount account, decimal price, decimal quantity, OrderType orderType, string execID) { // hard-coded fields var fHandlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); var fOrdType = TranslateFixFields.Translate(orderType); var fSide = TranslateFixFields.Translate(marketSide); var fSymbol = new Symbol(symbol); var fTransactTime = new TransactTime(DateTime.Now); var fClOrdID = new ClOrdID(clOrdID); var nos = new NewOrderSingle(fClOrdID, fHandlInst, fSymbol, fSide, fTransactTime, fOrdType) { OrderQty = new OrderQty(quantity), TimeInForce = new TimeInForce(TimeInForce.GOOD_TILL_CANCEL) }; if (orderType == OrderType.Limit) nos.Price = new Price(price); return nos; }
private Queue<QuickFix.FIX42.NewOrderSingle> CreateOrders(int n) { Queue<QuickFix.FIX42.NewOrderSingle> orders = new Queue<QuickFix.FIX42.NewOrderSingle>(n); for (int i = 0; i < n; i++) { ClOrdID cloudOrderId = new ClOrdID(Guid.NewGuid().ToString()); HandlInst handlInst = new HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE_NO_BROKER_INTERVENTION); Symbol symbol = new Symbol("MSFT"); Side side = new Side(Side.BUY); TransactTime time = new TransactTime(); OrdType orderType = new OrdType(OrdType.LIMIT); QuickFix.FIX42.NewOrderSingle order = new QuickFix.FIX42.NewOrderSingle(cloudOrderId, handlInst, symbol, side, time, orderType); order.Account = new Account("Account"); order.OrderQty = new OrderQty(100); order.ExDestination = new ExDestination("*"); order.TimeInForce = new TimeInForce(TimeInForce.DAY); order.Price = new Price(50m); order.SecurityType = new SecurityType(SecurityType.COMMON_STOCK); orders.Enqueue(order); } return orders; }
/// <summary> /// Creates a FIX4.2 NewOrderSingle message for Redi /// </summary> /// <param name="order"></param> /// <returns></returns> public QuickFix.FIX42.NewOrderSingle NewOrderSingle(Order order) { var newOrderSingle = new QuickFix.FIX42.NewOrderSingle(); var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID); newOrderSingle.SetField(clOrdId); if (!string.IsNullOrEmpty(_account)) { var account = new QuickFix.Fields.Account(_account); newOrderSingle.SetField(account); } var currency = new QuickFix.Fields.Currency(order.OrderCurrency); newOrderSingle.SetField(currency); var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE); newOrderSingle.SetField(handlInst); //only limit and market orders are supported. if (order.GetType() == typeof(LimitOrder)) { var execInst = new QuickFix.Fields.ExecInst("h"); newOrderSingle.SetField(execInst); newOrderSingle.Set(new OrdType(OrdType.LIMIT)); newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice)); } else if (order.GetType() == typeof(MarketOrder)) { newOrderSingle.Set(new OrdType(OrdType.MARKET)); } var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize); newOrderSingle.SetField(orderQty); var exDestination = new QuickFix.Fields.ExDestination(";"); newOrderSingle.SetField(exDestination); var country = new QuickFix.Fields.DeliverToLocationID("1"); newOrderSingle.SetField(country); var side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide)); newOrderSingle.SetField(side); var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol); newOrderSingle.SetField(symbol); var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif)); newOrderSingle.SetField(tif); var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime); newOrderSingle.SetField(transactTime); return(newOrderSingle); }