// Common Order FIX client routines serving requests from order router
// if a market connector has special case it will need to implement its own start routine like below
func (app FIXClient) Start() error {
err := app.Initiator.Start()
// Subscribe to order flow topics
// NEW
app.MessageBus.Subscribe("order.NewOrderRequest.MC."+app.marketConnectorName, func(m *messagebus.Msg) {
request := new(proto.NewOrderRequest)
if err := request.Unmarshal(m.Data); err == nil {
order := request.Order
//TODO: this is only prototype, migrate common tasks: instruments / limits processing
fixmsg := fix44nos.Message{
ClOrdID: strconv.Itoa(int(order.OrderKey)) + "." + strconv.Itoa(int(order.Version)),
Side: util.ProtoEnumToFIXEnum(int(order.Side)),
TransactTime: time.Now(),
OrdType: util.ProtoEnumToFIXEnum(int(order.OrderType)),
}
// Instrument specific
fixmsg.Instrument.Symbol = &order.Symbol
fixmsg.OrderQty = &order.Quantity
if order.OrderType == proto.OrderType_LIMIT || order.OrderType == proto.OrderType_LIMIT_ON_CLOSE {
fixmsg.Price = &order.LimitPrice
}
// Broker specific
fixmsg.Account = &order.BrokerAccount
fixmsg.HandlInst = stringPtr(util.ProtoEnumToFIXEnum(int(order.HandleInst)))
// 142 SenderLocationID
// Mandatory for CME exchanges. It contains a 2-character country. For the US and Canada, the state/province is included.
fixmsg.SenderLocationID = stringPtr("UK")
log.Info("MC->FIX FIX44NewOrderSingle")
if err := quickfix.SendToTarget(fixmsg, app.Session); err != nil {
log.WithError(err).Fatal("FIX quickfix.SendToTarget Error")
}
}
})
// TODO: CANCEL
// TODO: REPLACE
return err
}
func (e *Executor) OnFIX44NewOrderSingle(msg fix44nos.Message, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
symbol, err := msg.Symbol()
if err != nil {
return
}
side, err := msg.Side()
if err != nil {
return
}
orderQty, err := msg.OrderQty()
if err != nil {
return
}
ordType, err := msg.OrdType()
if err != nil {
return
}
if ordType.Value != enum.OrdType_LIMIT {
err = quickfix.ValueIsIncorrect(ordType.Tag())
return
}
price, err := msg.Price()
if err != nil {
return
}
clOrdID, err := msg.ClOrdID()
if err != nil {
return
}
execReport := fix44er.Builder(
field.NewOrderID(e.genOrderID()),
field.NewExecID(e.genExecID()),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
side,
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Value),
field.NewAvgPx(price.Value))
execReport.Body().Set(clOrdID)
execReport.Body().Set(symbol)
execReport.Body().Set(orderQty)
execReport.Body().Set(field.NewLastQty(orderQty.Value))
execReport.Body().Set(field.NewLastPx(price.Value))
if acct, err := msg.Account(); err != nil {
execReport.Body().Set(acct)
}
quickfix.SendToTarget(execReport.MessageBuilder, sessionID)
return
}
