func (e *executor) OnFIX42NewOrderSingle(msg fix42nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
var ordType field.OrdTypeField
if ordType, err = msg.GetOrdType(); err != nil {
return err
}
if ordType.String() != enum.OrdType_LIMIT {
return quickfix.ValueIsIncorrect(tag.OrdType)
}
var symbol field.SymbolField
if symbol, err = msg.GetSymbol(); err != nil {
return
}
var side field.SideField
if side, err = msg.GetSide(); err != nil {
return
}
var orderQty field.OrderQtyField
if orderQty, err = msg.GetOrderQty(); err != nil {
return
}
var price field.PriceField
if price, err = msg.GetPrice(); err != nil {
return
}
var clOrdID field.ClOrdIDField
if clOrdID, err = msg.GetClOrdID(); err != nil {
return
}
execReport := fix42er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecTransType(enum.ExecTransType_NEW),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
symbol,
side,
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Float64()),
field.NewAvgPx(price.Float64()),
)
execReport.Set(clOrdID)
execReport.Set(orderQty)
execReport.SetLastShares(orderQty.Float64())
execReport.SetLastPx(price.Float64())
if msg.HasAccount() {
var acct field.AccountField
if acct, err = msg.GetAccount(); err != nil {
return err
}
execReport.Set(acct)
}
quickfix.SendToTarget(execReport, sessionID)
return
}
func (e *executor) OnFIX42NewOrderSingle(msg fix42nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
ordType, err := msg.GetOrdType()
if err != nil {
return err
}
if ordType != enum.OrdType_LIMIT {
return quickfix.ValueIsIncorrect(tag.OrdType)
}
symbol, err := msg.GetSymbol()
if err != nil {
return
}
side, err := msg.GetSide()
if err != nil {
return
}
orderQty, err := msg.GetOrderQty()
if err != nil {
return
}
price, err := msg.GetPrice()
if err != nil {
return
}
clOrdID, err := msg.GetClOrdID()
if err != nil {
return
}
execReport := fix42er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecTransType(enum.ExecTransType_NEW),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
field.NewSymbol(symbol),
field.NewSide(side),
field.NewLeavesQty(decimal.Zero, 2),
field.NewCumQty(orderQty, 2),
field.NewAvgPx(price, 2),
)
execReport.SetClOrdID(clOrdID)
execReport.SetOrderQty(orderQty, 2)
execReport.SetLastShares(orderQty, 2)
execReport.SetLastPx(price, 2)
if msg.HasAccount() {
acct, err := msg.GetAccount()
if err != nil {
return err
}
execReport.SetAccount(acct)
}
quickfix.SendToTarget(execReport, sessionID)
return
}
func (a *Application) onNewOrderSingle(msg newordersingle.NewOrderSingle, sessionID quickfix.SessionID) quickfix.MessageRejectError {
clOrdID, err := msg.GetClOrdID()
if err != nil {
return err
}
symbol, err := msg.GetSymbol()
if err != nil {
return err
}
senderCompID, err := msg.Header.GetSenderCompID()
if err != nil {
return err
}
targetCompID, err := msg.Header.GetTargetCompID()
if err != nil {
return err
}
side, err := msg.GetSide()
if err != nil {
return err
}
ordType, err := msg.GetOrdType()
if err != nil {
return err
}
price, err := msg.GetPrice()
if err != nil {
return err
}
orderQty, err := msg.GetOrderQty()
if err != nil {
return err
}
order := Order{
ClOrdID: clOrdID.String(),
Symbol: symbol.String(),
SenderCompID: senderCompID.String(),
TargetCompID: targetCompID.String(),
Side: side.String(),
OrdType: ordType.String(),
Price: price.Float64(),
Quantity: orderQty.Float64(),
}
a.Insert(order)
a.acceptOrder(order)
matches := a.Match(order.Symbol)
for len(matches) > 0 {
a.fillOrder(matches[0])
matches = matches[1:]
}
return nil
}