Hi,
When I attempt to create a new order as a limit price using the QuickFIX 4.4 API and C# .Net, I am only able to do so if the price is within the current range of the candlestick bars on the hourly chart. Instead, I would like to be able to create a new order with a limit price that may currently be outside of the current candlestick bars. Here is the code I am using along with the log file that is generated:
NewOrderSingle orders = new NewOrderSingle(
new ClOrdID(nextID().ToString()),
new Side(Side.BUY),
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT));
orders.setField(new Account(account.ToString()));
orders.setField(new HandlInst('1'));
orders.setField(new Symbol(sInstrument.ToString()));
orders.setField(new OrderQty(10000));
orders.setField(new Price(1.15001));
orders.setField(new TimeInForce(TimeInForce.GOOD_TILL_CANCEL));
Session.sendToTarget(orders, sessionID);
QuickFIX 4.4 Messages:
Unsuccessful:
9041=811185009042=20150824-01:32:329043=1.143989044=20150824-01:39:229048=U100D1_1DEAD8C8305799ECE053142B3C0A40D3_08222015175039055265_VCR-458889052=6.39053=09054=208690149453=1448=FXCM ID447=D452=3802=4523=32803=26523=D123456789803=2523=LastName803=22523=2142034803=10702=1703=TQ704=10000753=1707=CASH708=010=098
20150824-10:22:17.044 : 8=FIX.4.49=62935=AP34=949=FXCM50=U100D152=20150824-10:22:14.31356=D123456789_client11=0214203411=1115=EUR37=20868990055=EUR/USD60=20150824-01:31:0466=testlistid325=N336=FXCM581=6625=U100D1710=10715=20150824721=3609881049724=1727=2728=0730=1.14326731=1734=0912=Y9000=19040=09041=811184179042=20150824-01:28:419043=1.143219044=20150824-01:31:049048=U100D1_1DEAD8C8305799ECE053142B3C0A40D3_08222015175039055265_VCR-456829049=FXTS9052=-0.59053=09054=208690095453=1448=FXCM ID447=D452=3802=4523=32803=26523=D123456789803=2523=LastName803=22523=2142034803=10702=1703=TQ704=10000753=1707=CASH708=010=203
20150824-10:22:26.350 : 8=FIX.4.49=16535=D34=749=D123456789_client152=20150824-10:22:26.35056=FXCM57=U100D11=0214203411=1121=138=1000040=244=1.15000154=155=EUR/USD59=160=20150824-06:22:2610=078
20150824-10:22:26.487 : 8=FIX.4.49=57835=834=1049=FXCM50=U100D152=20150824-10:22:24.24156=D123456789_client11=021420346=1.15000111=1114=015=EUR17=031=032=037=NONE38=1000039=840=244=1.15000154=155=EUR/USD58=19915;DAS 19915: ZDas Exception
ORA-20143: Order price too far from market price :1.15011 vs 1.14877
59=160=20150824-10:22:2499=0103=99150=8151=0211=0336=FXCM625=U100D1835=0836=01094=09000=19025=09029=19915;DAS 19915: ZDas Exception
ORA-20143: Order price too far from market price :1.15011 vs 1.14877
9051=R9061=0453=1448=FXCM ID447=D452=3802=1523=2142034803=1010=237
Successful:
20150824-10:19:15.490 : 8=FIX.4.49=53335=834=1249=FXCM50=U100D152=20150824-10:19:13.05756=D123456789_client11=021420346=1.148211=U100D1_1DEAD8C8305799ECE053142B3C0A40D3_08222015175039055265_VCR-5838314=015=EUR17=77185711431=1.148232=037=20871613338=1000039=440=241=1144=1.148254=155=EUR/USD58=Cancelled59=160=20150824-10:19:1399=0150=4151=0211=0336=FXCM526=FXTC625=U100D1835=0836=01094=09000=19041=811260979050=LE9051=C9061=0453=1448=FXCM ID447=D452=3802=4523=32803=26523=D123456789803=2523=LastName803=22523=2142034803=1010=167
When I attempt to create a new order as a limit price using the QuickFIX 4.4 API and C# .Net, I am only able to do so if the price is within the current range of the candlestick bars on the hourly chart. Instead, I would like to be able to create a new order with a limit price that may currently be outside of the current candlestick bars. Here is the code I am using along with the log file that is generated:
NewOrderSingle orders = new NewOrderSingle(
new ClOrdID(nextID().ToString()),
new Side(Side.BUY),
new TransactTime(DateTime.Now),
new OrdType(OrdType.LIMIT));
orders.setField(new Account(account.ToString()));
orders.setField(new HandlInst('1'));
orders.setField(new Symbol(sInstrument.ToString()));
orders.setField(new OrderQty(10000));
orders.setField(new Price(1.15001));
orders.setField(new TimeInForce(TimeInForce.GOOD_TILL_CANCEL));
Session.sendToTarget(orders, sessionID);
QuickFIX 4.4 Messages:
Unsuccessful:
9041=811185009042=20150824-01:32:329043=1.143989044=20150824-01:39:229048=U100D1_1DEAD8C8305799ECE053142B3C0A40D3_08222015175039055265_VCR-458889052=6.39053=09054=208690149453=1448=FXCM ID447=D452=3802=4523=32803=26523=D123456789803=2523=LastName803=22523=2142034803=10702=1703=TQ704=10000753=1707=CASH708=010=098
20150824-10:22:17.044 : 8=FIX.4.49=62935=AP34=949=FXCM50=U100D152=20150824-10:22:14.31356=D123456789_client11=0214203411=1115=EUR37=20868990055=EUR/USD60=20150824-01:31:0466=testlistid325=N336=FXCM581=6625=U100D1710=10715=20150824721=3609881049724=1727=2728=0730=1.14326731=1734=0912=Y9000=19040=09041=811184179042=20150824-01:28:419043=1.143219044=20150824-01:31:049048=U100D1_1DEAD8C8305799ECE053142B3C0A40D3_08222015175039055265_VCR-456829049=FXTS9052=-0.59053=09054=208690095453=1448=FXCM ID447=D452=3802=4523=32803=26523=D123456789803=2523=LastName803=22523=2142034803=10702=1703=TQ704=10000753=1707=CASH708=010=203
20150824-10:22:26.350 : 8=FIX.4.49=16535=D34=749=D123456789_client152=20150824-10:22:26.35056=FXCM57=U100D11=0214203411=1121=138=1000040=244=1.15000154=155=EUR/USD59=160=20150824-06:22:2610=078
20150824-10:22:26.487 : 8=FIX.4.49=57835=834=1049=FXCM50=U100D152=20150824-10:22:24.24156=D123456789_client11=021420346=1.15000111=1114=015=EUR17=031=032=037=NONE38=1000039=840=244=1.15000154=155=EUR/USD58=19915;DAS 19915: ZDas Exception
ORA-20143: Order price too far from market price :1.15011 vs 1.14877
59=160=20150824-10:22:2499=0103=99150=8151=0211=0336=FXCM625=U100D1835=0836=01094=09000=19025=09029=19915;DAS 19915: ZDas Exception
ORA-20143: Order price too far from market price :1.15011 vs 1.14877
9051=R9061=0453=1448=FXCM ID447=D452=3802=1523=2142034803=1010=237
Successful:
20150824-10:19:15.490 : 8=FIX.4.49=53335=834=1249=FXCM50=U100D152=20150824-10:19:13.05756=D123456789_client11=021420346=1.148211=U100D1_1DEAD8C8305799ECE053142B3C0A40D3_08222015175039055265_VCR-5838314=015=EUR17=77185711431=1.148232=037=20871613338=1000039=440=241=1144=1.148254=155=EUR/USD58=Cancelled59=160=20150824-10:19:1399=0150=4151=0211=0336=FXCM526=FXTC625=U100D1835=0836=01094=09000=19041=811260979050=LE9051=C9061=0453=1448=FXCM ID447=D452=3802=4523=32803=26523=D123456789803=2523=LastName803=22523=2142034803=1010=167
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