Package quickfix.field

Examples of quickfix.field.Price

130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
        try {
            validateOrder(order);

            OrderQty orderQty = order.getOrderQty();

            Price price = getPrice(order);

            quickfix.fix40.ExecutionReport accept = new quickfix.fix40.ExecutionReport(genOrderID(), genExecID(),
                    new ExecTransType(ExecTransType.NEW), new OrdStatus(OrdStatus.NEW), order.getSymbol(), order.getSide(),
                    orderQty, new LastShares(0), new LastPx(0), new CumQty(0), new AvgPx(0));

            accept.set(order.getClOrdID());
            sendMessage(sessionID, accept);

            if (isOrderExecutable(order, price)) {
                quickfix.fix40.ExecutionReport fill = new quickfix.fix40.ExecutionReport(genOrderID(), genExecID(),
                        new ExecTransType(ExecTransType.NEW), new OrdStatus(OrdStatus.FILLED), order.getSymbol(), order
                                .getSide(), orderQty, new LastShares(orderQty.getValue()), new LastPx(price.getValue()),
                        new CumQty(orderQty.getValue()), new AvgPx(price.getValue()));

                fill.set(order.getClOrdID());

                sendMessage(sessionID, fill);
            }
View Full Code Here
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
        }
        return true;
    }

    private Price getPrice(Message message) throws FieldNotFound {
        Price price;
        if (message.getChar(OrdType.FIELD) == OrdType.LIMIT && alwaysFillLimitOrders) {
            price = new Price(message.getDouble(Price.FIELD));
        } else {
            if (marketQuoteProvider == null) {
                throw new RuntimeException("No market data provider specified for market order");
            }
            char side = message.getChar(Side.FIELD);
            if (side == Side.BUY) {
                price = new Price(marketQuoteProvider.getAsk(message.getString(Symbol.FIELD)));
            } else if (side == Side.SELL || side == Side.SELL_SHORT) {
                price = new Price(marketQuoteProvider.getBid(message.getString(Symbol.FIELD)));
            } else {
                throw new RuntimeException("Invalid order side: " + side);
            }
        }
        return price;
View Full Code Here
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
    private void onMessage(quickfix.fix41.NewOrderSingle order, SessionID sessionID) throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
        try {
            validateOrder(order);
   
            OrderQty orderQty = order.getOrderQty();
            Price price = getPrice(order);
   
            quickfix.fix41.ExecutionReport accept = new quickfix.fix41.ExecutionReport(genOrderID(), genExecID(),
                    new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.NEW), order
                            .getSymbol(), order.getSide(), orderQty, new LastShares(0), new LastPx(0), new LeavesQty(0),
                    new CumQty(0), new AvgPx(0));
   
            accept.set(order.getClOrdID());
            sendMessage(sessionID, accept);
   
            if (isOrderExecutable(order, price)) {
                quickfix.fix41.ExecutionReport executionReport = new quickfix.fix41.ExecutionReport(genOrderID(),
                        genExecID(), new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.FILL), new OrdStatus(
                                OrdStatus.FILLED), order.getSymbol(), order.getSide(), orderQty, new LastShares(orderQty
                                .getValue()), new LastPx(price.getValue()), new LeavesQty(0), new CumQty(orderQty
                                .getValue()), new AvgPx(price.getValue()));
   
                executionReport.set(order.getClOrdID());
   
                sendMessage(sessionID, executionReport);
            }
View Full Code Here
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
    private void onMessage(quickfix.fix42.NewOrderSingle order, SessionID sessionID) throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
        try {
            validateOrder(order);
   
            OrderQty orderQty = order.getOrderQty();
            Price price = getPrice(order);
   
            quickfix.fix42.ExecutionReport accept = new quickfix.fix42.ExecutionReport(genOrderID(), genExecID(),
                    new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.NEW), order
                            .getSymbol(), order.getSide(), new LeavesQty(0), new CumQty(0), new AvgPx(0));
   
            accept.set(order.getClOrdID());
            sendMessage(sessionID, accept);
   
            if (isOrderExecutable(order, price)) {
                quickfix.fix42.ExecutionReport executionReport = new quickfix.fix42.ExecutionReport(genOrderID(),
                    genExecID(), new ExecTransType(ExecTransType.NEW), new ExecType(ExecType.FILL),
                    new OrdStatus(OrdStatus.FILLED), order.getSymbol(), order.getSide(), new LeavesQty(0),
                    new CumQty(orderQty.getValue()), new AvgPx(price.getValue()));
   
                executionReport.set(order.getClOrdID());
                executionReport.set(orderQty);
                executionReport.set(new LastShares(orderQty.getValue()));
                executionReport.set(new LastPx(price.getValue()));
   
                sendMessage(sessionID, executionReport);
            }
        } catch (RuntimeException e) {
            LogUtil.logThrowable(sessionID, e.getMessage(), e);
View Full Code Here
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
    private void onMessage(quickfix.fix43.NewOrderSingle order, SessionID sessionID) throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
        try {
            validateOrder(order);
   
            OrderQty orderQty = order.getOrderQty();
            Price price = getPrice(order);
   
            quickfix.fix43.ExecutionReport accept = new quickfix.fix43.ExecutionReport(
                genOrderID(), genExecID(), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.NEW),
                order.getSide(), new LeavesQty(order.getOrderQty().getValue()), new CumQty(0), new AvgPx(0));
   
            accept.set(order.getClOrdID());
            accept.set(order.getSymbol());
            sendMessage(sessionID, accept);
   
            if (isOrderExecutable(order, price)) {
                quickfix.fix43.ExecutionReport executionReport = new quickfix.fix43.ExecutionReport(genOrderID(),
                    genExecID(), new ExecType(ExecType.FILL), new OrdStatus(OrdStatus.FILLED), order.getSide(),
                    new LeavesQty(0), new CumQty(orderQty.getValue()), new AvgPx(price.getValue()));
   
                executionReport.set(order.getClOrdID());
                executionReport.set(order.getSymbol());
                executionReport.set(orderQty);
                executionReport.set(new LastQty(orderQty.getValue()));
                executionReport.set(new LastPx(price.getValue()));
   
                sendMessage(sessionID, executionReport);
            }
        } catch (RuntimeException e) {
            LogUtil.logThrowable(sessionID, e.getMessage(), e);
View Full Code Here
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
    private void onMessage(quickfix.fix44.NewOrderSingle order, SessionID sessionID) throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
        try {
            validateOrder(order);
   
            OrderQty orderQty = order.getOrderQty();
            Price price = getPrice(order);
   
            quickfix.fix44.ExecutionReport accept = new quickfix.fix44.ExecutionReport(
                genOrderID(), genExecID(), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.NEW),
                order.getSide(), new LeavesQty(order.getOrderQty().getValue()), new CumQty(0), new AvgPx(0));
   
            accept.set(order.getClOrdID());
            accept.set(order.getSymbol());
            sendMessage(sessionID, accept);
   
            if (isOrderExecutable(order, price)) {
                quickfix.fix44.ExecutionReport executionReport = new quickfix.fix44.ExecutionReport(genOrderID(),
                    genExecID(), new ExecType(ExecType.FILL), new OrdStatus(OrdStatus.FILLED), order.getSide(),
                    new LeavesQty(0), new CumQty(orderQty.getValue()), new AvgPx(price.getValue()));
   
                executionReport.set(order.getClOrdID());
                executionReport.set(order.getSymbol());
                executionReport.set(orderQty);
                executionReport.set(new LastQty(orderQty.getValue()));
                executionReport.set(new LastPx(price.getValue()));
   
                sendMessage(sessionID, executionReport);
            }
        } catch (RuntimeException e) {
            LogUtil.logThrowable(sessionID, e.getMessage(), e);
View Full Code Here
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
    private void onMessage(quickfix.fix50.NewOrderSingle order, SessionID sessionID) throws FieldNotFound, UnsupportedMessageType, IncorrectTagValue {
        try {
            validateOrder(order);

            OrderQty orderQty = order.getOrderQty();
            Price price = getPrice(order);

            quickfix.fix50.ExecutionReport accept = new quickfix.fix50.ExecutionReport(
                genOrderID(), genExecID(), new ExecType(ExecType.NEW), new OrdStatus(OrdStatus.NEW),
                order.getSide(), new LeavesQty(order.getOrderQty().getValue()), new CumQty(0));

            accept.set(order.getClOrdID());
            accept.set(order.getSymbol());
            sendMessage(sessionID, accept);

            if (isOrderExecutable(order, price)) {
                quickfix.fix50.ExecutionReport executionReport = new quickfix.fix50.ExecutionReport(
                    genOrderID(), genExecID(), new ExecType(ExecType.FILL), new OrdStatus(OrdStatus.FILLED),
                    order.getSide(), new LeavesQty(0), new CumQty(orderQty.getValue()));

                executionReport.set(order.getClOrdID());
                executionReport.set(order.getSymbol());
                executionReport.set(orderQty);
                executionReport.set(new LastQty(orderQty.getValue()));
                executionReport.set(new LastPx(price.getValue()));
                executionReport.set(new AvgPx(price.getValue()));
               
                sendMessage(sessionID, executionReport);
            }
        } catch (RuntimeException e) {
            LogUtil.logThrowable(sessionID, e.getMessage(), e);
View Full Code Here
131
132
133
134
135
136
137
138
139
            new Side(Side.BUY),
            new TransactTime(new Date()),
            new OrdType(OrdType.LIMIT));
       
        order.set(new OrderQty(10));
        order.set(new Price(300.00));
       
        return order;
    }
View Full Code Here
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
        try {
            validateOrder(order);

            OrderQty orderQty = order.getOrderQty();

            Price price = getPrice(order);

            quickfix.fix40.ExecutionReport accept = new quickfix.fix40.ExecutionReport(genOrderID(), genExecID(),
                    new ExecTransType(ExecTransType.NEW), new OrdStatus(OrdStatus.NEW), order.getSymbol(), order.getSide(),
                    orderQty, new LastShares(0), new LastPx(0), new CumQty(0), new AvgPx(0));

            accept.set(order.getClOrdID());
            sendMessage(sessionID, accept);

            if (isOrderExecutable(order, price)) {
                quickfix.fix40.ExecutionReport fill = new quickfix.fix40.ExecutionReport(genOrderID(), genExecID(),
                        new ExecTransType(ExecTransType.NEW), new OrdStatus(OrdStatus.FILLED), order.getSymbol(), order
                                .getSide(), orderQty, new LastShares(orderQty.getValue()), new LastPx(price.getValue()),
                        new CumQty(orderQty.getValue()), new AvgPx(price.getValue()));

                fill.set(order.getClOrdID());

                sendMessage(sessionID, fill);
            }
View Full Code Here
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
        }
        return true;
    }

    private Price getPrice(Message message) throws FieldNotFound {
        Price price;
        if (message.getChar(OrdType.FIELD) == OrdType.LIMIT && alwaysFillLimitOrders) {
            price = new Price(message.getDouble(Price.FIELD));
        } else {
            if (marketQuoteProvider == null) {
                throw new RuntimeException("No market data provider specified for market order");
            }
            char side = message.getChar(Side.FIELD);
            if (side == Side.BUY) {
                price = new Price(marketQuoteProvider.getAsk(message.getString(Symbol.FIELD)));
            } else if (side == Side.SELL || side == Side.SELL_SHORT) {
                price = new Price(marketQuoteProvider.getBid(message.getString(Symbol.FIELD)));
            } else {
                throw new RuntimeException("Invalid order side: " + side);
            }
        }
        return price;
View Full Code Here
TOP

Related Classes of quickfix.field.Price

  • edu.harvard.fas.zfeledy.fiximulator.core.FIXimulatorApplication
  • edu.harvard.fas.zfeledy.fiximulator.core.Order
  • org.apache.camel.component.quickfixj.examples.trading.TradeExecutor
  • org.apache.camel.component.quickfixj.examples.trading.TradeExecutorExample
  • org.archfirst.bfexch.infra.fixtrading.converters.MoneyConverter
  • org.archfirst.bfoms.infra.fixtrading.converters.MoneyConverter
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.