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sentFieldsRecordIncomplete.ipl
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sentFieldsRecordIncomplete.ipl
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//
// Imandra Inc.
// Copyright (c) 2024
//
// Minimal FIX 4.4 model with receive logic using
// a defined internal record to set "sent fields"
//
// For further info see https://docs.imandra.ai
//
//
import FIX_4_4
// Import inbound NewOrderSingle message
message NewOrderSingle {
req ClOrdID
req Side
req TransactTime
req OrdType valid when it in [ OrdType.Limit, OrdType.Market ]
req OrderQtyData.OrderQty
opt Price
validate { state.live_order == false }
validate { state.OrdStatus in [ OrdStatus.New ]}
}
// Import an outbound message ExecutionReport
outbound message ExecutionReport {
req OrderID
req ExecID
req ExecType
req OrdStatus
req Side
req LeavesQty
req CumQty
req AvgPx
req OrderQtyData.OrderQty
}
// Define the interface state
internal state {
// The following fields would be assigned to
assignable {
OrdStatus : OrdStatus = OrdStatus.New;
Side : Side = Side.Buy;
OrderID : string = "";
LeavesQty : Qty = 0.0;
CumQty : Qty = 0.0;
AvgPx : Price = 0.0;
Price :? Price = None;
OrdType : OrdType = OrdType.Limit;
}
live_order : bool = false;
// These are not required within the orders, etc...
OrdQty : Qty = 0.0;
filledQty : Qty = 0.0;
current_time : UTCTimeOnly = UTCTimeOnly (8, 0, 0, None);
// Define the opening and closing times
opening_time : UTCTimeOnly = UTCTimeOnly (8, 0, 0, None);
closing_time : UTCTimeOnly = UTCTimeOnly (16, 0, 0, None);
//internal records
OrderQtyData : OrderQtyData = {
CashOrderQty = None;
OrderPercent = None;
RoundingDirection = None;
RoundingModulus = None;
OrderQty = Some 0.0;
};
}
// Define how the model should process a validated
// incoming NewOrderSingle message
receive ( msg : NewOrderSingle ) {
// Extract all relevant fields from within the message
assignFrom (msg, state)
state.live_order = true
send ExecutionReport {
state with
ExecID = "";
ExecType = ExecType.New;
// thus we still need to set this value to something in order to fulfil the requirement
// that all the required fields are set
OrderQtyData.OrderQty = state.CumQty;
}
}