C++ (Cpp) ExecutionReport Examples

Example #1

File: Application.cpp Project: WeizhongDai/fixfeed

void Application::updateOrder( const Order& order, char status )
{
  FIX::TargetCompID targetCompID( order.getOwner() );
  FIX::SenderCompID senderCompID( order.getTarget() );

  FIX42::ExecutionReport fixOrder
  ( FIX::OrderID ( order.getClientID() ),
    FIX::ExecID ( m_generator.genExecutionID() ),
    FIX::ExecTransType ( FIX::ExecTransType_NEW ),
    FIX::ExecType ( status ),
    FIX::OrdStatus ( status ),
    FIX::Symbol ( order.getSymbol() ),
    FIX::Side ( convert( order.getSide() ) ),
    FIX::LeavesQty ( order.getOpenQuantity() ),
    FIX::CumQty ( order.getExecutedQuantity() ),
    FIX::AvgPx ( order.getAvgExecutedPrice() ) );

  fixOrder.set( FIX::ClOrdID( order.getClientID() ) );
  fixOrder.set( FIX::OrderQty( order.getQuantity() ) );

  if ( status == FIX::OrdStatus_FILLED ||
       status == FIX::OrdStatus_PARTIALLY_FILLED )
  {
    fixOrder.set( FIX::LastShares( order.getLastExecutedQuantity() ) );
    fixOrder.set( FIX::LastPx( order.getLastExecutedPrice() ) );
  }

  try
  {
    FIX::Session::sendToTarget( fixOrder, senderCompID, targetCompID );
  }
  catch ( FIX::SessionNotFound& ) {}}

Example #2

File: Strategy.cpp Project: BackupGGCode/fgv-master-quant

void Strategy::printExecutionReport( const FIX42::ExecutionReport ereport ) {

	FIX::OrderID orderID;
	FIX::ExecID execID;
	FIX::ExecTransType execTransType;
	FIX::ExecType execType;
	FIX::OrdStatus ordStatus;
	FIX::Symbol symbol;
	FIX::Side side;
	FIX::LeavesQty leavesQty;
	FIX::CumQty cumQty;
	FIX::AvgPx avgPx;

	ereport.get(orderID);
	ereport.get(execID);
	ereport.get(execTransType);
	ereport.get(execType);
	ereport.get(ordStatus);
	ereport.get(symbol);
	ereport.get(side);
	ereport.get(leavesQty);
	ereport.get(cumQty);
	ereport.get(avgPx);

	std::cout<<  "[EXECUTION REPORT] symbol:" << symbol
			<< "\tSide:" << ( side == FIX::Side_SELL ? "SELL" : "BUY" )
			<< "\tLeavesQty:" << leavesQty
			<< "\tCumQty:" << cumQty
			<< "\tAvgPx:"<< std::fixed << std::setprecision(2) << (double)avgPx
			<< std::endl;
}

Example #3

File: Application.cpp Project: BackupGGCode/fgv-master-quant

void Application::onMessage
( const FIX42::ExecutionReport& message, const FIX::SessionID& ) {

    FIX::OrdStatus status;
    message.get(status);

    switch(status){
    case (FIX::OrdStatus_NEW):
		getConfirmationTrade=true;
    	break;
    case (FIX::OrdStatus_PARTIALLY_FILLED):
		getConfirmationPartialExecutionTrade =true;
		this->strategy.postTrade(message);
    	break;
    case (FIX::OrdStatus_FILLED):
		getConfirmationExecutionTrade =true;
		this->strategy.postTrade(message);
    	break;
    case (FIX::OrdStatus_CANCELED):
		getConfirmationCanceledTrade=true;
    	break;
    default:
    	break;

    }
}

Example #4

File: Application.cpp Project: WeizhongDai/fixfeed

void Application::rejectOrder
( const FIX::SenderCompID& sender, const FIX::TargetCompID& target,
  const FIX::ClOrdID& clOrdID, const FIX::Symbol& symbol,
  const FIX::Side& side, const std::string& message )
{
  FIX::TargetCompID targetCompID( sender.getValue() );
  FIX::SenderCompID senderCompID( target.getValue() );

  FIX42::ExecutionReport fixOrder
  ( FIX::OrderID ( clOrdID.getValue() ),
    FIX::ExecID ( m_generator.genExecutionID() ),
    FIX::ExecTransType ( FIX::ExecTransType_NEW ),
    FIX::ExecType ( FIX::ExecType_REJECTED ),
    FIX::OrdStatus ( FIX::ExecType_REJECTED ),
    symbol, side, FIX::LeavesQty( 0 ), FIX::CumQty( 0 ), FIX::AvgPx( 0 ) );

  fixOrder.set( clOrdID );
  fixOrder.set( FIX::Text( message ) );

  try
  {
    FIX::Session::sendToTarget( fixOrder, senderCompID, targetCompID );
  }
  catch ( FIX::SessionNotFound& ) {}}

Example #5

File: Strategy.cpp Project: BackupGGCode/fgv-master-quant

void Strategy::postTrade(FIX42::ExecutionReport ereport){
	std::cout << "Strategy::PostTrade"<<std::endl;
	//this->printExecutionReport(ereport);

	FIX::LastShares lastShares;
	FIX::LastPx lastPx;
	FIX::Side side;

	ereport.get(lastShares);
	ereport.get(lastPx);
	ereport.get(side);

	this->numberStock += ( side == FIX::Side_SELL ? -lastShares : +lastShares );
	this->cash += ( side == FIX::Side_SELL ? +lastShares*lastPx : -lastShares*lastPx );


    FIX::TransactTime now;

	this->agentControl.setPortfolio(now.getString(),this->cash, this->numberStock, 0.0);

	//if(this->cash <= 0.0 && this->numberStock <= 0.0)
	//	exit(1);

}

Example #6

File: Application.cpp Project: rmznrkn/quickfix

void Application::onMessage( const FIX42::NewOrderSingle& message,
                             const FIX::SessionID& sessionID )
{
  FIX::Symbol symbol;
  FIX::Side side;
  FIX::OrdType ordType;
  FIX::OrderQty orderQty;
  FIX::Price price;
  FIX::ClOrdID clOrdID;
  FIX::Account account;

  message.get( ordType );

  if ( ordType != FIX::OrdType_LIMIT )
    throw FIX::IncorrectTagValue( ordType.getField() );

  message.get( symbol );
  message.get( side );
  message.get( orderQty );
  message.get( price );
  message.get( clOrdID );

  FIX42::ExecutionReport executionReport = FIX42::ExecutionReport
      ( FIX::OrderID( genOrderID() ),
        FIX::ExecID( genExecID() ),
        FIX::ExecTransType( FIX::ExecTransType_NEW ),
        FIX::ExecType( FIX::ExecType_FILL ),
        FIX::OrdStatus( FIX::OrdStatus_FILLED ),
        symbol,
        side,
        FIX::LeavesQty( 0 ),
        FIX::CumQty( orderQty ),
        FIX::AvgPx( price ) );

  executionReport.set( clOrdID );
  executionReport.set( orderQty );
  executionReport.set( FIX::LastShares( orderQty ) );
  executionReport.set( FIX::LastPx( price ) );

  if( message.isSet(account) )
    executionReport.setField( message.get(account) );

  try
  {
    FIX::Session::sendToTarget( executionReport, sessionID );
  }
  catch ( FIX::SessionNotFound& ) {}
}