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& ) {}}
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::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& ) {}}