order.hpp

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#pragma once
 
#include <string>
#include <cstdint>
#include <chrono>
#include "fix/application.hpp"
 
namespace fix40 {
 
// ============================================================================
// 枚举定义
// ============================================================================
 
enum class OrderSide {
    BUY = 1,    
    SELL = 2    
};
 
enum class OrderType {
    MARKET = 1,  
    LIMIT = 2    
};
 
enum class TimeInForce {
    DAY = 0,    
    GTC = 1,    
    IOC = 3,    
    FOK = 4     
};
 
enum class OrderStatus {
    NEW = 0,              
    PARTIALLY_FILLED = 1, 
    FILLED = 2,           
    CANCELED = 4,         
    REJECTED = 8,         
    PENDING_NEW = 10,     
    PENDING_CANCEL = 6    
};
 
enum class ExecTransType {
    NEW = 0,      
    CANCEL = 1,   
    CORRECT = 2,  
    STATUS = 3    
};
 
// ============================================================================
// 订单结构
// ============================================================================
 
struct Order {
    // -------------------------------------------------------------------------
    // 标识符
    // -------------------------------------------------------------------------
    std::string clOrdID;       
    std::string orderID;       
    SessionID sessionID;       
 
    // -------------------------------------------------------------------------
    // 订单参数
    // -------------------------------------------------------------------------
    std::string symbol;        
    OrderSide side;            
    OrderType ordType;         
    TimeInForce timeInForce;   
    int64_t orderQty;          
    double price;              
 
    // -------------------------------------------------------------------------
    // 执行状态
    // -------------------------------------------------------------------------
    OrderStatus status;        
    int64_t cumQty;            
    int64_t leavesQty;         
    double avgPx;              
 
    // -------------------------------------------------------------------------
    // 时间戳
    // -------------------------------------------------------------------------
    std::chrono::system_clock::time_point createTime;  
    std::chrono::system_clock::time_point updateTime;  
 
    // -------------------------------------------------------------------------
    // 构造函数
    // -------------------------------------------------------------------------
 
    Order()
        : side(OrderSide::BUY)
        , ordType(OrderType::LIMIT)
        , timeInForce(TimeInForce::DAY)
        , orderQty(0)
        , price(0.0)
        , status(OrderStatus::PENDING_NEW)
        , cumQty(0)
        , leavesQty(0)
        , avgPx(0.0)
        , createTime(std::chrono::system_clock::now())
        , updateTime(createTime)
    {}
 
    void updateLeavesQty() {
        leavesQty = orderQty - cumQty;
    }
 
    bool isTerminal() const {
        return status == OrderStatus::FILLED ||
               status == OrderStatus::CANCELED ||
               status == OrderStatus::REJECTED;
    }
 
    bool isCancelable() const {
        return status == OrderStatus::NEW ||
               status == OrderStatus::PARTIALLY_FILLED;
    }
};
 
// ============================================================================
// 撤单请求
// ============================================================================
 
struct CancelRequest {
    std::string clOrdID;       
    std::string origClOrdID;   
    std::string symbol;        
    SessionID sessionID;       
 
    CancelRequest() = default;
};
 
// ============================================================================
// 执行报告
// ============================================================================
 
struct ExecutionReport {
    // 标识符
    std::string orderID;       
    std::string clOrdID;       
    std::string execID;        
    std::string origClOrdID;   
 
    // 订单信息
    std::string symbol;        
    OrderSide side;            
    OrderType ordType;         
    int64_t orderQty;          
    double price;              
 
    // 执行信息
    ExecTransType execTransType; 
    OrderStatus ordStatus;       
    int64_t lastShares;          
    double lastPx;               
    int64_t leavesQty;           
    int64_t cumQty;              
    double avgPx;                
 
    // 时间
    std::chrono::system_clock::time_point transactTime;  
 
    // 拒绝信息
    int ordRejReason;            
    std::string text;            
 
    // 会话信息
    SessionID sessionID;         
 
    ExecutionReport()
        : side(OrderSide::BUY)
        , ordType(OrderType::LIMIT)
        , orderQty(0)
        , price(0.0)
        , execTransType(ExecTransType::NEW)
        , ordStatus(OrderStatus::NEW)
        , lastShares(0)
        , lastPx(0.0)
        , leavesQty(0)
        , cumQty(0)
        , avgPx(0.0)
        , transactTime(std::chrono::system_clock::now())
        , ordRejReason(0)
    {}
};
 
} // namespace fix40