func (e *Executor) OnFIX50NewOrderSingle(msg fix50nos.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 := fix50er.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))
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))
execReport.Body().Set(field.NewAvgPx(price.Value))
if acct, err := msg.Account(); err != nil {
execReport.Body().Set(acct)
}
quickfix.SendToTarget(execReport.MessageBuilder, sessionID)
return
}
func (e *Executor) OnFIX44NewOrderSingle(msg fix44nos.Message, sessionID quickfix.SessionID) (err quickfix.MessageRejectError) {
if msg.OrdType != enum.OrdType_LIMIT {
err = quickfix.ValueIsIncorrect(tag.OrdType)
return
}
execReport := fix44er.Message{
ClOrdID: &msg.ClOrdID,
Account: msg.Account,
OrderID: e.genOrderID(),
ExecID: e.genExecID(),
ExecType: enum.ExecType_FILL,
OrdStatus: enum.OrdStatus_FILLED,
Side: msg.Side,
Instrument: msg.Instrument,
OrderQtyData: &msg.OrderQtyData,
LeavesQty: 0,
LastQty: msg.OrderQtyData.OrderQty,
CumQty: *msg.OrderQtyData.OrderQty,
AvgPx: *msg.Price,
LastPx: msg.Price,
LastMkt: stringPtr("SIM"),
}
quickfix.SendToTarget(execReport, sessionID)
return
}
// Common behaviours to persist and publish populated Execution entity into our data layer and message bus
func (app FIXClient) processExecutionReport(er *proto.Execution) quickfix.MessageRejectError {
// Find the Order by using the OrderKey without the Version
// Need to try to LOAD the order, if that fails then alert stating unsolicited order received
keyVersion := strings.Split(er.ClientOrderId, ".")
if len(keyVersion) != 2 {
return quickfix.ValueIsIncorrect(tag.ClOrdID)
}
if oKey, err := strconv.Atoi(keyVersion[0]); err != nil {
return quickfix.ValueIsIncorrect(tag.ClOrdID)
} else {
if ord, err := app.OrderStore.OrderGetByOrderKey(int32(oKey)); err != nil {
log.WithError(err).Warnf("Received ExecutionReport with OrderKey(%v) does not exist.", oKey)
return nil // TODO: ignore or quickfix.ValueIsIncorrect(tag.ClOrdID)
} else {
er.OrderId = ord.OrderId
}
}
// Persist the execution report
if err := app.OrderStore.ExecutionCreate(er); err == nil {
//publish to message bus
data, _ := er.Marshal()
app.MessageBus.Publish("order.Execution", data)
} else {
log.WithField("execution", er).WithError(err).Error("[ MC ] ERROR Create Reject Execution")
}
// Do any validating and if we are good to continue
// Check if we need to cancel any execution
// Check if we need to correct any execution
switch er.ExecType {
case proto.Execution_TRADE_CANCEL:
case proto.Execution_TRADE_CORRECT:
//TODO: TryGetAmendedExecution
case proto.Execution_RESTATED:
case proto.Execution_REJECTED:
}
// Check if the trade is fully filled or is done for day or canceled
// .. Send message to TradePump to say trade filled and already to book.
return nil
}
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 (e *executor) OnFIX50NewOrderSingle(msg fix50nos.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 := fix50er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
field.NewSide(side),
field.NewLeavesQty(decimal.Zero, 2),
field.NewCumQty(orderQty, 2),
)
execReport.SetClOrdID(clOrdID)
execReport.SetSymbol(symbol)
execReport.SetOrderQty(orderQty, 2)
execReport.SetLastQty(orderQty, 2)
execReport.SetLastPx(price, 2)
execReport.SetAvgPx(price, 2)
if msg.HasAccount() {
acct, err := msg.GetAccount()
if err != nil {
return err
}
execReport.SetAccount(acct)
}
quickfix.SendToTarget(execReport, sessionID)
return
}
func (e *executor) OnFIX50NewOrderSingle(msg fix50nos.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 := fix50er.New(
e.genOrderID(),
e.genExecID(),
field.NewExecType(enum.ExecType_FILL),
field.NewOrdStatus(enum.OrdStatus_FILLED),
side,
field.NewLeavesQty(0),
field.NewCumQty(orderQty.Float64()),
)
execReport.Set(clOrdID)
execReport.Set(symbol)
execReport.Set(orderQty)
execReport.SetLastQty(orderQty.Float64())
execReport.SetLastPx(price.Float64())
execReport.SetAvgPx(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
}
