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& ) {} }
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() ); } }