func (a *Application) updateOrder(order internal.Order, status enum.OrdStatus) {
execReport := executionreport.New(
field.NewOrderID(order.ClOrdID),
field.NewExecID(a.genExecID()),
field.NewExecTransType(enum.ExecTransType_NEW),
field.NewExecType(enum.ExecType(status)),
field.NewOrdStatus(status),
field.NewSymbol(order.Symbol),
field.NewSide(order.Side),
field.NewLeavesQty(order.OpenQuantity(), 2),
field.NewCumQty(order.ExecutedQuantity, 2),
field.NewAvgPx(order.AvgPx, 2),
)
execReport.SetOrderQty(order.Quantity, 2)
execReport.SetClOrdID(order.ClOrdID)
switch status {
case enum.OrdStatus_FILLED, enum.OrdStatus_PARTIALLY_FILLED:
execReport.SetLastShares(order.LastExecutedQuantity, 2)
execReport.SetLastPx(order.LastExecutedPrice, 2)
}
execReport.Header.SetTargetCompID(order.SenderCompID)
execReport.Header.SetSenderCompID(order.TargetCompID)
quickfix.Send(execReport)
}
func (e *executor) OnFIX41NewOrderSingle(msg fix41nos.NewOrderSingle, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
ordType, err := msg.GetOrdType()
if err != nil {
return
}
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
}
execReport := fix41er.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.NewOrderQty(orderQty, 2),
field.NewLastShares(orderQty, 2),
field.NewLastPx(price, 2),
field.NewLeavesQty(decimal.Zero, 2),
field.NewCumQty(orderQty, 2),
field.NewAvgPx(price, 2),
)
clOrdID, err := msg.GetClOrdID()
if err != nil {
return
}
execReport.SetClOrdID(clOrdID)
quickfix.SendToTarget(execReport, sessionID)
return
}
func (e *executor) OnFIX41NewOrderSingle(msg fix41nos.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
}
execReport := fix41er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecTransType(enum.ExecTransType_NEW),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
symbol,
side,
orderQty,
field.NewLastShares(orderQty.Float64()),
field.NewLastPx(price.Float64()),
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Float64()),
field.NewAvgPx(price.Float64()),
)
quickfix.SendToTarget(execReport, sessionID)
return
}
func (a *Application) updateOrder(order Order, status string) {
execReport := executionreport.New(
field.NewOrderID(order.ClOrdID),
field.NewExecID(a.genExecID()),
field.NewExecTransType(enum.ExecTransType_NEW),
field.NewExecType(status),
field.NewOrdStatus(status),
field.NewSymbol(order.Symbol),
field.NewSide(order.Side),
field.NewLeavesQty(order.OpenQuantity()),
field.NewCumQty(order.ExecutedQuantity),
field.NewAvgPx(order.AvgPx),
)
execReport.SetOrderQty(order.Quantity)
execReport.SetClOrdID(order.ClOrdID)
execReport.Header.SetTargetCompID(order.SenderCompID)
execReport.Header.SetSenderCompID(order.TargetCompID)
quickfix.Send(execReport)
}
//SetAvgPx sets AvgPx, Tag 6
func (m NoOrders) SetAvgPx(value decimal.Decimal, scale int32) {
m.Set(field.NewAvgPx(value, scale))
}
//SetAvgPx sets AvgPx, Tag 6
func (m Allocation) SetAvgPx(value decimal.Decimal, scale int32) {
m.Set(field.NewAvgPx(value, scale))
}
//SetAvgPx sets AvgPx, Tag 6
func (m NoOrders) SetAvgPx(v float64) {
m.Set(field.NewAvgPx(v))
}
//SetAvgPx sets AvgPx, Tag 6
func (m ExecutionReport) SetAvgPx(value decimal.Decimal, scale int32) {
m.Set(field.NewAvgPx(value, scale))
}
//SetAvgPx sets AvgPx, Tag 6
func (m Allocation) SetAvgPx(v float64) {
m.Set(field.NewAvgPx(v))
}
//SetAvgPx sets AvgPx, Tag 6
func (m ExecutionReport) SetAvgPx(v float64) {
m.Set(field.NewAvgPx(v))
}
func (e *executor) OnFIX44NewOrderSingle(msg fix44nos.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 := fix44er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
side,
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Float64()),
field.NewAvgPx(price.Float64()),
)
execReport.Set(clOrdID)
execReport.Set(symbol)
execReport.Set(orderQty)
execReport.SetLastQty(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
}