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 ) ;
}
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() );
}
}