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() );
}
}
void NewOrderRequestMessage::process(OrderBook& orderBook) const {
LOG4CXX_INFO(logger_, "Handing new order request");
FIX::SenderCompID senderCompId;
fixMsg_.getHeader().get(senderCompId);
FIX::TargetCompID targetCompId;
fixMsg_.getHeader().get(targetCompId);
FIX::ClOrdID clOrdId;
fixMsg_.get(clOrdId);
FIX::Symbol symbol;
fixMsg_.get(symbol);
FIX::Side side;
fixMsg_.get(side);
FIX::OrdType orderType;
fixMsg_.get(orderType);
FIX::Price price;
if (orderType == FIX::OrdType_LIMIT)
fixMsg_.get(price);
FIX::OrderQty orderQty;
fixMsg_.get(orderQty);
FIX::TimeInForce timeInForce(FIX::TimeInForce_DAY);
if(fixMsg_.isSetField(timeInForce))
fixMsg_.get(timeInForce);
// let's do our validations here
if(!exchange_->getOrderBookManager()->symbolExists(symbol.getString())) {
LOG4CXX_INFO(logger_, "Symbol " << symbol.getString() << " not found. Rejecting this order.");
reject("Security not found");
return;
}
shared_ptr<Order> order(new Order(
exchange_->getIdGenerator()->nextOrderId(),
clOrdId.getValue(),
senderCompId.getValue(),
symbol.getValue(),
FixTypeConverter::convert(side),
(long)orderQty,
price.getValue(),
FixTypeConverter::convert(orderType),
FixTypeConverter::convert(timeInForce)));
// order is accepted, send order confirmation
LOG4CXX_INFO(logger_, "New order accepted");
exchange_->getFixEngine()->getFixMessageHandler()->sendOrderResponse(order, Order::ORDER_STATUS_NEW);
// now match the order
orderBook.match(order);
if(order->isOpen()) {
// order is not completely filled. let's add it to the order book
orderBook.add(order);
}
}
