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/****************************************************************************
** Copyright (c) quickfixengine.org All rights reserved.
**
** This file is part of the QuickFIX FIX Engine
**
** This file may be distributed under the terms of the quickfixengine.org
** license as defined by quickfixengine.org and appearing in the file
** LICENSE included in the packaging of this file.
**
** This file is provided AS IS with NO WARRANTY OF ANY KIND, INCLUDING THE
** WARRANTY OF DESIGN, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE.
**
** See http://www.quickfixengine.org/LICENSE for licensing information.
**
** Contact ask@quickfixengine.org if any conditions of this licensing are
** not clear to you.
**
****************************************************************************/
using System;
using System.Threading;
using QuickFix;
namespace executor_csharp
{
public class Application: MessageCracker, QuickFix.Application
{
public void onCreate( SessionID sessionID ) {}
public void onLogon( SessionID sessionID ) {}
public void onLogout( SessionID sessionID ) {}
public void toAdmin( Message message, SessionID sessionID ) {}
public void toApp( Message message, SessionID sessionID ) {}
public void fromAdmin( Message message, SessionID sessionID ) {}
public void fromApp( Message message, SessionID sessionID )
{ crack( message, sessionID ); }
public override void onMessage( QuickFix40.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 );
QuickFix40.ExecutionReport executionReport = new QuickFix40.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new OrdStatus ( OrdStatus.FILLED ),
symbol,
side,
orderQty,
new LastShares ( orderQty.getValue() ),
new LastPx ( price.getValue() ),
new CumQty ( orderQty.getValue() ),
new AvgPx ( price.getValue() ) );
executionReport.set( clOrdID );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
public override void onMessage( QuickFix41.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 );
QuickFix41.ExecutionReport executionReport = new QuickFix41.ExecutionReport
( genOrderID(),
genExecID(),
new ExecTransType( ExecTransType.NEW ),
new ExecType( ExecType.FILL ),
new OrdStatus ( OrdStatus.FILLED ),
symbol,
side,
orderQty,
new LastShares ( orderQty.getValue() ),
new LastPx ( price.getValue() ),
new LeavesQty( 0 ),
new CumQty ( orderQty.getValue() ),
new AvgPx ( price.getValue() ) );
executionReport.set( clOrdID );
if( order.isSetAccount() )
executionReport.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
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( QuickFix43.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 );
QuickFix43.ExecutionReport executionReport = new QuickFix43.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.set( order.getAccount() );
try
{
Session.sendToTarget( executionReport, sessionID );
}
catch ( SessionNotFound ) {}
}
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 ) {}
}
public override void onMessage(QuickFix50.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);
QuickFix50.ExecutionReport executionReport = new QuickFix50.ExecutionReport
(genOrderID(),
genExecID(),
new ExecType(ExecType.FILL),
new OrdStatus(OrdStatus.FILLED),
side,
new LeavesQty(0),
new CumQty(orderQty.getValue()));
executionReport.set(clOrdID);
executionReport.set(symbol);
executionReport.set(orderQty);
executionReport.set(new LastQty(orderQty.getValue()));
executionReport.set(new LastPx(price.getValue()));
executionReport.set(new AvgPx(price.getValue()));
if (order.isSetAccount())
executionReport.setField(order.getAccount());
try
{
Session.sendToTarget(executionReport, sessionID);
}
catch (SessionNotFound) { }
}
private OrderID genOrderID()
{
return new OrderID( ( ++m_orderID ).ToString() );
}
private ExecID genExecID()
{
return new ExecID( ( ++m_execID ).ToString() );
}
private int m_orderID;
private int m_execID;
}
}
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