Ejemplo n.º 1
0
  void RequestApplication::onMessage ( const FIX42::NewOrderSingle &newOrder, const FIX::SessionID &sessionId )
  {
    FIX::Side lSide ;
    newOrder.getField( lSide ) ;

    FIX::OrdType lOrdType ;
    newOrder.getField( lOrdType ) ;

    FIX::OrderQty lOrderQty ;
    newOrder.getField( lOrderQty ) ;

    NewOrderPtr order( new NewOrder( newOrder.getField( FIX::FIELD::SecurityID ),
                               newOrder.getField( FIX::FIELD::ClOrdID ),
                               sessionId.toString(),
                               FromFix::convert( lSide ),
                               FromFix::convert( lOrdType ),
                               lOrderQty ) ) ;


    try
    {
      FIX::TimeInForce lTimeInForce;
      if( newOrder.isSetField( lTimeInForce ) )
      {
        newOrder.getField( lTimeInForce );
        order->setTimeInForce( FromFix::convert( lTimeInForce ) ) ;
      }
    }catch( std::exception &e ) {}

    FIX::MaxFloor lMaxFloor ;
    if( newOrder.isSetField( lMaxFloor ) )
    {
      newOrder.getField( lMaxFloor ) ;
      order->setDisclosedQty( lMaxFloor ) ;
    }

    switch( order->getOrderType() )
    {
      case OrderType_LIMIT :
        { FIX::Price lPrice ; newOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
        break ;
      case OrderType_STOP_LIMIT :
        { FIX::Price lPrice ; newOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
        // No break here
      case OrderType_STOP :
        { FIX::StopPx lStopPx ; newOrder.getField( lStopPx ) ; order->setStopPrice( lStopPx ) ; }
        break ;
      case OrderType_MARKET :
        break ;
    }

    _market.insert( order ) ;
  }
Ejemplo n.º 2
0
void Application::onMessage( const FIX42::NewOrderSingle& message, const FIX::SessionID& )
{
  FIX::SenderCompID senderCompID;
  FIX::TargetCompID targetCompID;
  FIX::ClOrdID clOrdID;
  FIX::Symbol symbol;
  FIX::Side side;
  FIX::OrdType ordType;
  FIX::Price price;
  FIX::OrderQty orderQty;
  FIX::TimeInForce timeInForce( FIX::TimeInForce_DAY );

  message.getHeader().get( senderCompID );
  message.getHeader().get( targetCompID );
  message.get( clOrdID );
  message.get( symbol );
  message.get( side );
  message.get( ordType );
  if ( ordType == FIX::OrdType_LIMIT )
    message.get( price );
  message.get( orderQty );
  if ( message.isSetField( timeInForce ) )
    message.get( timeInForce );

  try
  {
    if ( timeInForce != FIX::TimeInForce_DAY )
      throw std::logic_error( "Unsupported TIF, use Day" );

    Order order( clOrdID, symbol, senderCompID, targetCompID,
                 convert( side ), convert( ordType ),
                 price, (long)orderQty );

    processOrder( order );
  }
  catch ( std::exception & e )
  {
    rejectOrder( senderCompID, targetCompID, clOrdID, symbol, side, e.what() );
  }
}