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& ) {}}
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);
}
}
std::string NewOrderRequestMessage::getSenderCompId() const {
FIX::SenderCompID senderCompId;
fixMsg_.getHeader().get(senderCompId);
return senderCompId.getValue();
}