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=head1 NAME |
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Finance::OATS - Stub of a Perl extension to support generating OATS records |
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=head1 SYNOPSIS |
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use Finance::OATS qw(:all); |
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9
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$MPID = "TEST"; |
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$OSOID= 9999; |
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12
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# all variables must be set before first call to AddNewAndRoute and |
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# friends |
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# call AddNewAndRoute and AddCancel a bunch of times |
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# closes last FORE file |
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CloseFOREFile(); |
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=head1 DESCRIPTION |
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Simple module to generate ROE records for OATS and package them up |
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into FORE files. |
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=head1 SEE ALSO |
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The NASDR OATS website, at L |
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=head1 EXPORT |
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None by default. |
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AddNewAndRoute |
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AddCancel |
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CloseFOREFile |
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39
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And a bunch of variables which can be used to tweak settings; settings must be tweaked before |
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first call to AddNewAndRoute or AddCancel. |
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42
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=head1 AUTHOR |
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Mike Giroux, rmgiroux@acm.org |
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46
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=head1 COPYRIGHT AND LICENSE |
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48
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Copyright (C) 2006 by Mike Giroux and Wang Trading, LLC |
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50
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This library is free software; you can redistribute it and/or modify |
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it under the terms of the General Public License version 2, a.k.a. GPLv2. |
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52
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53
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See L file for details. |
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54
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55
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=head1 CREDITS AND DISCLAIMER |
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56
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57
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This library is released under the GPL with the kind permission of |
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58
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Dr. Meng-Yuan Wang, the Managing Partner of Wang Trading, LLC. |
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59
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60
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This library is a STUB. It's the beginnings of an OATS implementation, |
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61
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but it is far from complete. Many of the ROE fields contain hard-coded |
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62
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values which may not be appropriate to your case; please check them |
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63
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carefully! |
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64
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65
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Neither Wang Trading, M-Y Wang, nor Mike Giroux is responsible nor |
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66
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liable for any problems which may arise through the use of this library. |
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67
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68
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YOU are RESPONSIBLE for any files you upload to NASDR. _YOU_ are liable |
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69
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for fines if they are wrong. Please be very careful! |
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70
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71
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At a minimum, use the NASDR OATS test site and make sure everything looks |
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72
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good. |
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73
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74
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See the TBD comments. |
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75
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76
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=cut |
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77
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78
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package Finance::OATS; |
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79
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80
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require 5.005_62; |
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81
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1
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23485
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use strict; |
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2
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1
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58
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82
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use warnings; |
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30
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83
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84
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1
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1
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5
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use Carp qw(cluck confess); |
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1
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6
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1
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3015
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85
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86
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require Exporter; |
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87
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88
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our @ISA = qw(Exporter); |
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89
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90
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# Items to export into callers namespace by default. Note: do not export |
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91
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# names by default without a very good reason. Use EXPORT_OK instead. |
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92
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# Do not simply export all your public functions/methods/constants. |
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93
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94
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# This allows declaration use Finance::OATS ':all'; |
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95
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# If you do not need this, moving things directly into @EXPORT or @EXPORT_OK |
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96
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# will save memory. |
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97
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our %EXPORT_TAGS = ( 'all' => [ qw( |
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98
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$MPID |
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99
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$OSOID |
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100
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$UserID |
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101
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$Password |
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102
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$FOREByteLimit |
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103
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$sep |
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104
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$FOREPrefix |
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105
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AddNewAndRoute |
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106
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AddCancel |
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107
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AddCancelReplace |
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108
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GenerateFOREFiles |
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109
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) ] ); |
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110
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111
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our @EXPORT_OK = ( @{ $EXPORT_TAGS{'all'} } ); |
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112
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113
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our @EXPORT = qw( |
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114
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115
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); |
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116
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117
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our $VERSION = '0.11'; |
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118
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119
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our $MPID = 'TEST'; |
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120
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our $OSOID = 999; |
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121
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122
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our $UserID = "user"; |
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123
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our $Password = "pass"; |
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124
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#our $Password = ""; |
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125
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126
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our $FOREByteLimit = 1_450_000; |
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127
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128
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# NASDR allows many different field separators, |
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129
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# so choose the one you like. |
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130
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our $sep=','; |
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131
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132
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# fore files will have names starting with this prefix |
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133
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our $FOREPrefix = "fore"; |
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134
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135
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136
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sub GetDateStamp { |
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137
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1
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1
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0
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145
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my ($yr, $mn, $dy) = (localtime)[5,4,3]; |
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138
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1
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3
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$yr+=1900; |
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139
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1
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2
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$mn++; |
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140
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141
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1
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8
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sprintf("%04d%02d%02d",$yr,$mn,$dy); |
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142
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} |
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143
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144
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my $dateStamp = GetDateStamp(); |
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145
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146
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my $lastROEIdNo = 1; |
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147
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my $roePrefix = 'WA'; |
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148
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149
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sub GetNextROEID { |
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150
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0
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0
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0
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0
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my $id = sprintf("%2s%010d",$roePrefix, $lastROEIdNo); |
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151
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152
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0
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0
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++$lastROEIdNo; |
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153
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154
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155
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0
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0
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0
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if($lastROEIdNo > 9_999_999_999) { |
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156
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0
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0
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$lastROEIdNo = 1; |
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157
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0
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0
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$roePrefix++; |
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158
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} |
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159
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160
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0
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0
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return $id; |
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161
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} |
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162
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163
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my $lastFOREIdNo = 1; |
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164
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165
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sub GetNextFOREId { |
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166
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2
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2
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0
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14
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sprintf("${FOREPrefix}.${dateStamp}_%04d",$lastFOREIdNo++); |
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167
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} |
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168
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169
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=head2 sub AddNewAndRoute |
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170
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171
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Generates New Order and Route events for a new order |
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172
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173
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Arguments: |
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174
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Symbol => 'MSFT', |
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175
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Side => 'B', # or 'S', or 'SS', or 'SX' |
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176
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OrderID=> 'AISL-123', # our order ID |
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177
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Time => 'HHMMSS', # order timestamp |
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178
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Price => '12.12345', # price, in dollars, to 7 decimal places if need be |
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179
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Shares => 1200, # size, in shares |
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180
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MPID => 'ISLD', # sent-to MPID (opt., def ISLD) |
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181
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OtherID=> '123432', # exchange order ID |
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182
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Date => 'yyyymmdd', # optional, defaults to today |
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183
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IOC => 'IOC', # optional, specified if order is IOC |
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184
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Visible=> 'Y', # optional, 'Y' or 'N' |
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185
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# ******* TBD: LIST OUT OF DATE!!!! *********** |
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186
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RouteType=> 'C', # 38) Routing method code (defaults to 'C') |
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187
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# E routed elec to member firm |
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188
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# C routed to ECN |
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189
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# L routed to SelectNet |
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190
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# N routed non-electronic to memb firm |
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191
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# M routed to non-member firm |
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192
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# O routed to SuprtSOES |
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193
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# P routed to Primex |
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194
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# S routed to SOES |
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195
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# X routed to exchange |
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196
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ProgramTradingCode=>'Y',# optional, 'Y' or 'N' |
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197
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IndexArbCode=>'N', # optional, 'Y' or 'N' |
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198
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PriceType=>'LIM', # optional, 'LIM' or 'MKT' |
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199
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200
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=cut |
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201
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202
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sub AddNewAndRoute { |
|
203
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0
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0
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1
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0
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my %defaults = ( |
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204
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MPID => 'ISLD', |
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205
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RecvMPID=> '', |
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206
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Visible => 'Y', |
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207
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Date => $dateStamp, |
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208
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IOC => '', |
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209
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RouteType => 'C', |
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210
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ProgramTradingCode => 'Y', |
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211
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IndexArbCode => 'N', |
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212
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PriceType => 'LIM', |
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213
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CancelTimeStamp => '', |
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214
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CancelledBy => '' |
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215
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); |
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216
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0
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my %args = (%defaults, @_); |
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217
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218
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foreach my $key (qw(Symbol Side OrderID Time Price Shares)) { |
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219
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0
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cluck "Missing argument '$key'" unless exists $args{$key}; |
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220
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} |
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0
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my $ROE; |
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my $ROEId=GetNextROEID(); |
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224
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225
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# Combined order/route record spec in Oats Technical Reporting , |
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226
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# Specifications Appendix C, pages C-19 to C-22. |
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0
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$ROE="#OE#${sep}"; # 1) Order event record (OE) |
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228
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$ROE.="OR${sep}"; # 2) Order event type (OR) |
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$ROE.="N${sep}"; # 3) Action type code (N/C/D/R) |
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0
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0
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$ROE.="$ROEId${sep}"; # 4) Firm ROE ID |
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0
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$ROE.="${sep}"; # 5) corr/del TS |
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$ROE.="${sep}"; # 6) Rej ROE resub flag |
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233
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#$ROE.="$MPID${sep}"; # 7) Receiving firm MPID |
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#$ROE.="${sep}"; # 7) Receiving firm MPID (blank if same) |
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$ROE.="$args{RecvMPID}${sep}"; # 7) Receiving firm MPID (blank if same) |
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$ROE.=sprintf("%08d000000${sep}",$args{Date}); # 8) Order received date |
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$ROE.="$args{OrderID}${sep}"; # 9) receiving firm order ID |
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$ROE.="${sep}"; # 10) Routing firm MPID |
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$ROE.="${sep}"; # 11) Routed order ID |
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240
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0
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$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); #12)Order received time |
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0
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$ROE.="E${sep}"; # 13) received method code |
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242
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0
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$ROE.="$args{Symbol}${sep}"; # 14) Symbol |
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243
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0
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0
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$ROE.="$args{Side}${sep}"; # 15) Buy/Sell code, B|S|SS|SX |
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244
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0
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0
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0
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if($args{PriceType} eq "LIM") { |
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245
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0
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0
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$ROE.="$args{Price}${sep}"; # 16) Limit price |
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246
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} |
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247
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else { |
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248
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0
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0
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$ROE.="${sep}"; # 16) Limit price |
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249
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} |
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250
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0
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0
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$ROE.="$args{Visible}${sep}"; # 17) Limit order display indicator |
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251
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0
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0
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$ROE.="${sep}"; # 18) Stop price |
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252
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0
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0
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0
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if($args{PriceType} eq "LIM") { |
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253
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0
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0
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$ROE.="DAY${sep}"; # 19) TIF |
|
254
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} |
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255
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else { |
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256
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0
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0
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$ROE.="${sep}"; # 19) TIF |
|
257
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} |
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258
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0
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0
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$ROE.="${sep}"; # 20) Expiration date |
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259
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0
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0
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$ROE.="${sep}"; # 21) Expiration time |
|
260
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0
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0
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$ROE.="${sep}"; # 22) Do not reduce/do not increase code |
|
261
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0
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0
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$ROE.="$args{IOC}${sep}"; # 23) First special handling code |
|
262
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0
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0
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$ROE.="${sep}"; # 24) 2nd special handling code |
|
263
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0
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0
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$ROE.="${sep}"; # 25) 3rd special handling code |
|
264
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0
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0
|
$ROE.="${sep}"; # 26) 4th special handling code |
|
265
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0
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0
|
$ROE.="${sep}"; # 27) 5th special handling code |
|
266
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0
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0
|
$ROE.="${sep}"; # 28) receiving terminal ID |
|
267
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0
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0
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$ROE.="${sep}"; # 29) receiving dept ID |
|
268
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0
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0
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$ROE.="${sep}"; # 30) originating dept ID |
|
269
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0
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0
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$ROE.="W${sep}"; # 31) acct type code (Wholesale) |
|
270
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0
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0
|
$ROE.="$args{ProgramTradingCode}${sep}"; # 32) program trading code |
|
271
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0
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0
|
$ROE.="$args{IndexArbCode}${sep}"; # 33) arbitrage code |
|
272
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0
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0
|
$ROE.="$args{OrderID}${sep}"; # 34) Sent to routed order ID |
|
273
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0
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0
|
$ROE.="$args{MPID}${sep}"; # 35) Sent to firm MPID |
|
274
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0
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0
|
$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); # 36)Order sent time |
|
275
|
0
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0
|
$ROE.="$args{Shares}${sep}"; # 37) Routed Shares Quantity |
|
276
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0
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|
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0
|
$ROE.="E${sep}"; # 38) Route type |
|
277
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# E Electronic |
|
278
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|
# M Manual |
|
279
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|
|
#$ROE.="${sep}"; # 39: bunched order indicator |
|
280
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0
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0
|
$ROE.="${sep}"; # 39: bunched order indicator |
|
281
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0
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0
|
$ROE.="N${sep}"; # 40: Member type code (N Non-Member Firm) |
|
282
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|
|
# TBD: LIST POSSIBLY OUT OF DATE! |
|
283
|
0
|
|
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|
|
0
|
$ROE.="$args{RouteType}${sep}"; # 41: Destination code |
|
284
|
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|
# E ecn |
|
285
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|
# L selectnet |
|
286
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|
# M Member firm |
|
287
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|
# N non member firm |
|
288
|
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|
|
# P Primex |
|
289
|
|
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|
|
|
|
# U Supermontage |
|
290
|
|
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|
|
|
|
# X Exchange |
|
291
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 42: ECN flag |
|
292
|
0
|
|
|
|
|
0
|
$ROE.="$args{CancelTimeStamp}${sep}"; |
|
293
|
|
|
|
|
|
|
# 43: Cancel time stamp, if order fully cancelled |
|
294
|
0
|
|
|
|
|
0
|
$ROE.="$args{CancelledBy}"; # 44: Cancelled by flag, C or F |
|
295
|
0
|
|
|
|
|
0
|
$ROE.="\n"; # 45: end of record marker (LF or CRLF) |
|
296
|
|
|
|
|
|
|
|
|
297
|
0
|
|
|
|
|
0
|
WriteROE($ROE); |
|
298
|
|
|
|
|
|
|
} |
|
299
|
|
|
|
|
|
|
|
|
300
|
|
|
|
|
|
|
=head2 sub AddCancel |
|
301
|
|
|
|
|
|
|
|
|
302
|
|
|
|
|
|
|
Generates New Order and Route events for a new order |
|
303
|
|
|
|
|
|
|
|
|
304
|
|
|
|
|
|
|
Arguments: |
|
305
|
|
|
|
|
|
|
Symbol => 'MSFT', |
|
306
|
|
|
|
|
|
|
OrderID=> 'AISL-123', # our order ID |
|
307
|
|
|
|
|
|
|
Time => 'HHMMSS', # order timestamp |
|
308
|
|
|
|
|
|
|
CancelType=> 'F', # 'F'ull or 'P'artial, defaults to F |
|
309
|
|
|
|
|
|
|
SharesCanceled => 1200, # shares canceled |
|
310
|
|
|
|
|
|
|
SharesRemaining => 100, # shares canceled |
|
311
|
|
|
|
|
|
|
MPID => 'ISLD', # sent-to MPID (opt., def ISLD) |
|
312
|
|
|
|
|
|
|
Date => 'yyyymmdd', # optional, defaults to today |
|
313
|
|
|
|
|
|
|
|
|
314
|
|
|
|
|
|
|
=cut |
|
315
|
|
|
|
|
|
|
|
|
316
|
|
|
|
|
|
|
sub AddCancel { |
|
317
|
0
|
|
|
0
|
1
|
0
|
my %defaults = ( |
|
318
|
|
|
|
|
|
|
MPID => 'ISLD', |
|
319
|
|
|
|
|
|
|
RecvMPID=> '', |
|
320
|
|
|
|
|
|
|
Date => $dateStamp, |
|
321
|
|
|
|
|
|
|
CancelType => 'F', |
|
322
|
|
|
|
|
|
|
SharesCanceled => '', |
|
323
|
|
|
|
|
|
|
SharesRemaining => '', |
|
324
|
|
|
|
|
|
|
); |
|
325
|
0
|
|
|
|
|
0
|
my %args = (%defaults, @_); |
|
326
|
|
|
|
|
|
|
|
|
327
|
0
|
|
|
|
|
0
|
foreach my $key (qw(Symbol OrderID Time)) { |
|
328
|
0
|
0
|
|
|
|
0
|
cluck "Missing argument '$key'" unless exists $args{$key}; |
|
329
|
|
|
|
|
|
|
} |
|
330
|
|
|
|
|
|
|
|
|
331
|
|
|
|
|
|
|
# 2004-12-08, this is wrong interpretation of "P"artial |
|
332
|
|
|
|
|
|
|
# 2004-12-09, if partial, sharesCanceled must be present |
|
333
|
0
|
0
|
|
|
|
0
|
if($args{CancelType} eq 'P') { |
|
334
|
0
|
0
|
|
|
|
0
|
if(!exists $args{SharesCanceled}) { |
|
335
|
0
|
|
|
|
|
0
|
$args{SharesCanceled}=0; |
|
336
|
|
|
|
|
|
|
} |
|
337
|
|
|
|
|
|
|
} |
|
338
|
|
|
|
|
|
|
|
|
339
|
0
|
|
|
|
|
0
|
my $ROE; |
|
340
|
0
|
|
|
|
|
0
|
my $ROEId=GetNextROEID(); |
|
341
|
|
|
|
|
|
|
|
|
342
|
|
|
|
|
|
|
# Cancel order record spec in Oats Technical Reporting Specifications, |
|
343
|
|
|
|
|
|
|
# Appendix C, page C-14 |
|
344
|
0
|
|
|
|
|
0
|
$ROE="#OE#${sep}"; # 1) Order event record (OE) |
|
345
|
0
|
|
|
|
|
0
|
$ROE.="CL${sep}"; # 2) Order event type (CL) |
|
346
|
0
|
|
|
|
|
0
|
$ROE.="N${sep}"; # 3) Action type code (N/C/D/R) |
|
347
|
0
|
|
|
|
|
0
|
$ROE.="$ROEId${sep}"; # 4) Firm ROE ID |
|
348
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 5) corr/del TS |
|
349
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 6) Rej ROE resub flag |
|
350
|
|
|
|
|
|
|
#$ROE.="$MPID${sep}"; # 7) Receiving firm MPID |
|
351
|
|
|
|
|
|
|
#$ROE.="${sep}"; # 7) Receiving firm MPID (blank if same) |
|
352
|
0
|
|
|
|
|
0
|
$ROE.="$args{RecvMPID}${sep}"; # 7) Receiving firm MPID (blank if same) |
|
353
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d000000${sep}",$args{Date}); # 8) Order received date |
|
354
|
0
|
|
|
|
|
0
|
$ROE.="$args{OrderID}${sep}"; # 9) receiving firm order ID |
|
355
|
0
|
|
|
|
|
0
|
$ROE.="$args{Symbol}${sep}"; # 10) Symbol |
|
356
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); #11)Order received time |
|
357
|
0
|
|
|
|
|
0
|
$ROE.="$args{CancelType}${sep}"; # 12) Shares quantity |
|
358
|
0
|
|
|
|
|
0
|
$ROE.="$args{SharesCanceled}${sep}"; # 13) Cancel Quantity |
|
359
|
0
|
|
|
|
|
0
|
$ROE.="$args{SharesRemaining}${sep}"; # 14) Cancel leaves qty |
|
360
|
0
|
|
|
|
|
0
|
$ROE.="C${sep}"; # 15) Canceled by flag 'C'ust or 'F'irm |
|
361
|
0
|
|
|
|
|
0
|
$ROE.=""; # 16) Originating MPID (as of 20021213) |
|
362
|
0
|
|
|
|
|
0
|
$ROE.="\n"; # 17) end of record marker (LF or CRLF) |
|
363
|
|
|
|
|
|
|
|
|
364
|
0
|
|
|
|
|
0
|
WriteROE($ROE); |
|
365
|
|
|
|
|
|
|
} |
|
366
|
|
|
|
|
|
|
|
|
367
|
|
|
|
|
|
|
sub AddNew { |
|
368
|
0
|
|
|
0
|
0
|
0
|
my %defaults = ( |
|
369
|
|
|
|
|
|
|
MPID => 'ISLD', |
|
370
|
|
|
|
|
|
|
RecvMPID=> '', |
|
371
|
|
|
|
|
|
|
Visible => 'Y', |
|
372
|
|
|
|
|
|
|
Date => $dateStamp, |
|
373
|
|
|
|
|
|
|
IOC => '' |
|
374
|
|
|
|
|
|
|
); |
|
375
|
0
|
|
|
|
|
0
|
my %args = (%defaults, @_); |
|
376
|
|
|
|
|
|
|
|
|
377
|
0
|
|
|
|
|
0
|
foreach my $key (qw(Symbol Side OrderID Time Price Shares OtherID)) { |
|
378
|
0
|
0
|
|
|
|
0
|
cluck "Missing argument '$key'" unless exists $args{$key}; |
|
379
|
|
|
|
|
|
|
} |
|
380
|
|
|
|
|
|
|
|
|
381
|
0
|
|
|
|
|
0
|
my $ROE; |
|
382
|
0
|
|
|
|
|
0
|
my $ROEId=GetNextROEID(); |
|
383
|
|
|
|
|
|
|
|
|
384
|
|
|
|
|
|
|
# New order record spec in Oats Technical Reporting Specifications, |
|
385
|
|
|
|
|
|
|
# Appendix C, pages C-6 to C-9. |
|
386
|
0
|
|
|
|
|
0
|
$ROE="#OE#${sep}"; # 1) Order event record (OE) |
|
387
|
0
|
|
|
|
|
0
|
$ROE.="NW${sep}"; # 2) Order event type (NW) |
|
388
|
0
|
|
|
|
|
0
|
$ROE.="N${sep}"; # 3) Action type code (N/C/D/R) |
|
389
|
0
|
|
|
|
|
0
|
$ROE.="$ROEId${sep}"; # 4) Firm ROE ID |
|
390
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 5) corr/del TS |
|
391
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 6) Rej ROE resub flag |
|
392
|
|
|
|
|
|
|
#$ROE.="$MPID${sep}"; # 7) Receiving firm MPID |
|
393
|
|
|
|
|
|
|
#$ROE.="${sep}"; # 7) Receiving firm MPID (blank if same) |
|
394
|
0
|
|
|
|
|
0
|
$ROE.="$args{RecvMPID}${sep}"; # 7) Receiving firm MPID (blank if same) |
|
395
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d000000${sep}",$args{Date}); # 8) Order received date |
|
396
|
0
|
|
|
|
|
0
|
$ROE.="$args{OrderID}${sep}"; # 9) receiving firm order ID |
|
397
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 10) Routing firm MPID |
|
398
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 11) Routed order ID |
|
399
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); #12)Order received time |
|
400
|
0
|
|
|
|
|
0
|
$ROE.="E${sep}"; # 13) received method code |
|
401
|
0
|
|
|
|
|
0
|
$ROE.="$args{Symbol}${sep}"; # 14) Symbol |
|
402
|
0
|
|
|
|
|
0
|
$ROE.="$args{Side}${sep}"; # 15) Buy/Sell code, B|S|SS|SX |
|
403
|
0
|
|
|
|
|
0
|
$ROE.="$args{Shares}${sep}"; # 16) Shares quantity |
|
404
|
0
|
|
|
|
|
0
|
$ROE.="$args{Price}${sep}"; # 17) Limit price |
|
405
|
0
|
|
|
|
|
0
|
$ROE.="$args{Visible}${sep}"; # 18) Limit order display indicator |
|
406
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 19) Stop price |
|
407
|
0
|
|
|
|
|
0
|
$ROE.="DAY${sep}"; # 20) TIF |
|
408
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 21) Expiration date |
|
409
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 22) Expiration time |
|
410
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 23) Do not reduce/do not increase code |
|
411
|
|
|
|
|
|
|
|
|
412
|
0
|
|
|
|
|
0
|
$ROE.="$args{IOC}${sep}"; # 24) First special handling code |
|
413
|
|
|
|
|
|
|
|
|
414
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 25) 2nd special handling code |
|
415
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 26) 3rd special handling code |
|
416
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 27) 4th special handling code |
|
417
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 28) 5th special handling code |
|
418
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 29) receiving terminal ID |
|
419
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 30) receiving dept ID |
|
420
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 31) originating dept ID |
|
421
|
0
|
|
|
|
|
0
|
$ROE.="W${sep}"; # 32) acct type code (Wholesale) |
|
422
|
0
|
|
|
|
|
0
|
$ROE.="N${sep}"; # 33) program trading code |
|
423
|
0
|
|
|
|
|
0
|
$ROE.="N${sep}"; # 34) arbitrage code |
|
424
|
|
|
|
|
|
|
#$ROE.="${sep}"; # 35) reserved for future use |
|
425
|
0
|
|
|
|
|
0
|
$ROE.=""; # 35) reserved for future use |
|
426
|
0
|
|
|
|
|
0
|
$ROE.="\n"; # 36) end of record marker (LF or CRLF) |
|
427
|
|
|
|
|
|
|
|
|
428
|
0
|
|
|
|
|
0
|
WriteROE($ROE); |
|
429
|
|
|
|
|
|
|
} |
|
430
|
|
|
|
|
|
|
|
|
431
|
|
|
|
|
|
|
=head2 sub AddCancelReplace |
|
432
|
|
|
|
|
|
|
|
|
433
|
|
|
|
|
|
|
Generates Cancel/Replace report |
|
434
|
|
|
|
|
|
|
|
|
435
|
|
|
|
|
|
|
Arguments: |
|
436
|
|
|
|
|
|
|
Symbol => 'MSFT', |
|
437
|
|
|
|
|
|
|
Side => 'B', # or 'S', or 'SS', or 'SX' |
|
438
|
|
|
|
|
|
|
OrderID=> 'AISL-123', # new order ID |
|
439
|
|
|
|
|
|
|
OrigOrderID=> 'AISL-122', # original order ID |
|
440
|
|
|
|
|
|
|
Time => 'HHMMSS', # new order timestamp |
|
441
|
|
|
|
|
|
|
OrigTime=> 'HHMMSS', # new order timestamp |
|
442
|
|
|
|
|
|
|
Price => '12.12345', # price, in dollars, to 7 decimal places if need be |
|
443
|
|
|
|
|
|
|
Shares => 1200, # size, in shares |
|
444
|
|
|
|
|
|
|
MPID => 'ISLD', # sent-to MPID (opt., def ISLD) |
|
445
|
|
|
|
|
|
|
OtherID=> '123432', # exchange order ID |
|
446
|
|
|
|
|
|
|
Date => 'yyyymmdd', # optional, defaults to today |
|
447
|
|
|
|
|
|
|
IOC => 'IOC', # optional, specified if order is IOC |
|
448
|
|
|
|
|
|
|
Visible=> 'Y', # optional, 'Y' or 'N' |
|
449
|
|
|
|
|
|
|
RouteType=> 'C', # 38) Routing method code (defaults to 'C') |
|
450
|
|
|
|
|
|
|
# E routed elec to member firm |
|
451
|
|
|
|
|
|
|
# C routed to ECN |
|
452
|
|
|
|
|
|
|
# L routed to SelectNet |
|
453
|
|
|
|
|
|
|
# N routed non-electronic to memb firm |
|
454
|
|
|
|
|
|
|
# M routed to non-member firm |
|
455
|
|
|
|
|
|
|
# O routed to SuprtSOES |
|
456
|
|
|
|
|
|
|
# P routed to Primex |
|
457
|
|
|
|
|
|
|
# S routed to SOES |
|
458
|
|
|
|
|
|
|
ProgramTradingCode=>'Y',# optional, 'Y' or 'N' |
|
459
|
|
|
|
|
|
|
IndexArbCode=>'N', # optional, 'Y' or 'N' |
|
460
|
|
|
|
|
|
|
PriceType=>'LIM', # optional, 'LIM' or 'MKT' |
|
461
|
|
|
|
|
|
|
|
|
462
|
|
|
|
|
|
|
=cut |
|
463
|
|
|
|
|
|
|
|
|
464
|
|
|
|
|
|
|
sub AddCancelReplace { |
|
465
|
0
|
|
|
0
|
1
|
0
|
my %defaults = ( |
|
466
|
|
|
|
|
|
|
MPID => 'ISLD', |
|
467
|
|
|
|
|
|
|
RecvMPID=> '', |
|
468
|
|
|
|
|
|
|
Visible => 'Y', |
|
469
|
|
|
|
|
|
|
Date => $dateStamp, |
|
470
|
|
|
|
|
|
|
IOC => '', |
|
471
|
|
|
|
|
|
|
RouteType => 'C', |
|
472
|
|
|
|
|
|
|
ProgramTradingCode => 'Y', |
|
473
|
|
|
|
|
|
|
IndexArbCode => 'N', |
|
474
|
|
|
|
|
|
|
PriceType => 'LIM', |
|
475
|
|
|
|
|
|
|
); |
|
476
|
0
|
|
|
|
|
0
|
my %args = (%defaults, @_); |
|
477
|
|
|
|
|
|
|
|
|
478
|
0
|
|
|
|
|
0
|
foreach my $key (qw(Symbol Side OrderID OrigOrderID Time OrigTime |
|
479
|
|
|
|
|
|
|
Price Shares)) { |
|
480
|
0
|
0
|
|
|
|
0
|
cluck "Missing argument '$key'" unless exists $args{$key}; |
|
481
|
|
|
|
|
|
|
} |
|
482
|
|
|
|
|
|
|
|
|
483
|
0
|
|
|
|
|
0
|
my $ROE; |
|
484
|
0
|
|
|
|
|
0
|
my $ROEId=GetNextROEID(); |
|
485
|
|
|
|
|
|
|
|
|
486
|
|
|
|
|
|
|
# Cancel/Replace report |
|
487
|
|
|
|
|
|
|
# Specifications Appendix C, pages C-15 to C-17. |
|
488
|
0
|
|
|
|
|
0
|
$ROE="#OE#${sep}"; # 1) Order event record (OE) |
|
489
|
0
|
|
|
|
|
0
|
$ROE.="CR${sep}"; # 2) Order event type (CR) |
|
490
|
0
|
|
|
|
|
0
|
$ROE.="N${sep}"; # 3) Action type code (N/C/D/R) |
|
491
|
0
|
|
|
|
|
0
|
$ROE.="$ROEId${sep}"; # 4) Firm ROE ID |
|
492
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 5) corr/del TS |
|
493
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 6) Rej ROE resub flag |
|
494
|
|
|
|
|
|
|
#$ROE.="$MPID${sep}"; # 7) Receiving firm MPID |
|
495
|
|
|
|
|
|
|
#$ROE.="${sep}"; # 7) Receiving firm MPID (blank if same) |
|
496
|
0
|
|
|
|
|
0
|
$ROE.="$args{RecvMPID}${sep}"; # 7) Receiving firm MPID (blank if same) |
|
497
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d000000${sep}",$args{Date}); |
|
498
|
|
|
|
|
|
|
# 8) Orig Order received date |
|
499
|
0
|
|
|
|
|
0
|
$ROE.="$args{OrigOrderID}${sep}"; # 9) receiving firm orig order ID |
|
500
|
0
|
|
|
|
|
0
|
die "AddCancelReplace not yet implemented!"; |
|
501
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
502
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
503
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
504
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
505
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
506
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
507
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
508
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
509
|
|
|
|
|
|
|
#TBD Finish coding this report! |
|
510
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 10) Routing firm MPID |
|
511
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 11) Routed order ID |
|
512
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); #12)Order received time |
|
513
|
0
|
|
|
|
|
0
|
$ROE.="E${sep}"; # 13) received method code |
|
514
|
0
|
|
|
|
|
0
|
$ROE.="$args{Symbol}${sep}"; # 14) Symbol |
|
515
|
0
|
|
|
|
|
0
|
$ROE.="$args{Side}${sep}"; # 15) Buy/Sell code, B|S|SS|SX |
|
516
|
0
|
0
|
|
|
|
0
|
if($args{PriceType} eq "LIM") { |
|
517
|
0
|
|
|
|
|
0
|
$ROE.="$args{Price}${sep}"; # 16) Limit price |
|
518
|
|
|
|
|
|
|
} |
|
519
|
|
|
|
|
|
|
else { |
|
520
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 16) Limit price |
|
521
|
|
|
|
|
|
|
} |
|
522
|
0
|
|
|
|
|
0
|
$ROE.="$args{Visible}${sep}"; # 17) Limit order display indicator |
|
523
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 18) Stop price |
|
524
|
0
|
0
|
|
|
|
0
|
if($args{PriceType} eq "LIM") { |
|
525
|
0
|
|
|
|
|
0
|
$ROE.="DAY${sep}"; # 19) TIF |
|
526
|
|
|
|
|
|
|
} |
|
527
|
|
|
|
|
|
|
else { |
|
528
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 19) TIF |
|
529
|
|
|
|
|
|
|
} |
|
530
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 20) Expiration date |
|
531
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 21) Expiration time |
|
532
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 22) Do not reduce/do not increase code |
|
533
|
0
|
|
|
|
|
0
|
$ROE.="$args{IOC}${sep}"; # 23) First special handling code |
|
534
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 24) 2nd special handling code |
|
535
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 25) 3rd special handling code |
|
536
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 26) 4th special handling code |
|
537
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 27) 5th special handling code |
|
538
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 28) receiving terminal ID |
|
539
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 29) receiving dept ID |
|
540
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 30) originating dept ID |
|
541
|
0
|
|
|
|
|
0
|
$ROE.="W${sep}"; # 31) acct type code (Wholesale) |
|
542
|
0
|
|
|
|
|
0
|
$ROE.="$args{ProgramTradingCode}${sep}"; # 32) program trading code |
|
543
|
0
|
|
|
|
|
0
|
$ROE.="$args{IndexArbCode}${sep}"; # 33) arbitrage code |
|
544
|
0
|
|
|
|
|
0
|
$ROE.="$args{OrderID}${sep}"; # 34) Sent to routed order ID |
|
545
|
0
|
|
|
|
|
0
|
$ROE.="$args{MPID}${sep}"; # 35) Sent to firm MPID |
|
546
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); # 36)Order sent time |
|
547
|
0
|
|
|
|
|
0
|
$ROE.="$args{Shares}${sep}"; # 37) Routed Shares Quantity |
|
548
|
0
|
|
|
|
|
0
|
$ROE.="$args{RouteType}${sep}"; # 38) Routing method code (routed to ECN) |
|
549
|
|
|
|
|
|
|
# E routed elec to member firm |
|
550
|
|
|
|
|
|
|
# C routed to ECN |
|
551
|
|
|
|
|
|
|
# L routed to SelectNet |
|
552
|
|
|
|
|
|
|
# N routed non-electronic to memb firm |
|
553
|
|
|
|
|
|
|
# M routed to non-member firm |
|
554
|
|
|
|
|
|
|
# O routed to SuprtSOES |
|
555
|
|
|
|
|
|
|
# P routed to Primex |
|
556
|
|
|
|
|
|
|
# S routed to SOES |
|
557
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 39: bunched order indicator |
|
558
|
0
|
|
|
|
|
0
|
$ROE.=""; # 40: Original MPID (as of 20021213) |
|
559
|
0
|
|
|
|
|
0
|
$ROE.="\n"; # 41: end of record marker (LF or CRLF) |
|
560
|
|
|
|
|
|
|
|
|
561
|
0
|
|
|
|
|
0
|
WriteROE($ROE); |
|
562
|
|
|
|
|
|
|
} |
|
563
|
|
|
|
|
|
|
|
|
564
|
|
|
|
|
|
|
|
|
565
|
|
|
|
|
|
|
|
|
566
|
|
|
|
|
|
|
sub GetHeaderRecord |
|
567
|
|
|
|
|
|
|
{ |
|
568
|
1
|
|
|
1
|
0
|
3
|
my $foreID = shift; |
|
569
|
1
|
|
|
|
|
6
|
my $hdr; |
|
570
|
|
|
|
|
|
|
|
|
571
|
|
|
|
|
|
|
# Header record spec at page C-6 of OATS R.T.S. |
|
572
|
1
|
|
|
|
|
4
|
$hdr.="#HD#${sep}"; # 1: Record type code #HD# (header) |
|
573
|
1
|
|
|
|
|
3
|
$hdr.="OATS D1999-01${sep}"; # 2: Version description |
|
574
|
1
|
|
|
|
|
4
|
$hdr.="$dateStamp${sep}"; # 3: Generation date |
|
575
|
1
|
|
|
|
|
3
|
$hdr.="$foreID${sep}"; # 4: Firm FORE ID |
|
576
|
1
|
|
|
|
|
3
|
$hdr.="$OSOID${sep}"; # 5: Reporting/transmitting OSO ID |
|
577
|
1
|
|
|
|
|
3
|
$hdr.="$UserID${sep}"; # 6: USer ID |
|
578
|
1
|
|
|
|
|
2
|
$hdr.="$Password${sep}"; # 7: User password |
|
579
|
1
|
|
|
|
|
2
|
$hdr.="$MPID"; # 8: Order receiving firm MPID |
|
580
|
1
|
|
|
|
|
4
|
$hdr.="\n"; # 9: End of record marker (LF or CRLF) |
|
581
|
|
|
|
|
|
|
} |
|
582
|
|
|
|
|
|
|
|
|
583
|
|
|
|
|
|
|
my $FOREFileOpen = 0; |
|
584
|
|
|
|
|
|
|
my $FOREPath; |
|
585
|
|
|
|
|
|
|
my $FOREBytes = 0; |
|
586
|
|
|
|
|
|
|
my $FORERecords = 0; |
|
587
|
|
|
|
|
|
|
|
|
588
|
|
|
|
|
|
|
my ($foreID, $forePath); |
|
589
|
|
|
|
|
|
|
|
|
590
|
|
|
|
|
|
|
sub OpenFOREFile { |
|
591
|
1
|
|
50
|
1
|
0
|
8
|
$FOREPath = shift || "."; |
|
592
|
1
|
50
|
|
|
|
6
|
$FOREPath.="/" unless $FOREPath=~/\/$/; |
|
593
|
|
|
|
|
|
|
|
|
594
|
|
|
|
|
|
|
|
|
595
|
1
|
|
|
|
|
2
|
do { |
|
596
|
2
|
|
|
|
|
6
|
$foreID = GetNextFOREId(); |
|
597
|
2
|
|
|
|
|
56
|
$forePath = "$FOREPath$foreID"; |
|
598
|
|
|
|
|
|
|
} while (-e $forePath); |
|
599
|
|
|
|
|
|
|
|
|
600
|
1
|
|
|
|
|
5
|
my $hdr = GetHeaderRecord($foreID); |
|
601
|
|
|
|
|
|
|
|
|
602
|
1
|
50
|
|
|
|
132
|
open(FORE, ">$forePath") or confess "Can't open $forePath, error $!"; |
|
603
|
|
|
|
|
|
|
|
|
604
|
1
|
|
|
|
|
3
|
$FOREBytes=length $hdr; |
|
605
|
|
|
|
|
|
|
|
|
606
|
1
|
|
|
|
|
22
|
print FORE $hdr; |
|
607
|
|
|
|
|
|
|
|
|
608
|
1
|
|
|
|
|
3
|
$FORERecords = 0; |
|
609
|
|
|
|
|
|
|
|
|
610
|
1
|
|
|
|
|
4
|
$FOREFileOpen = 1; |
|
611
|
|
|
|
|
|
|
} |
|
612
|
|
|
|
|
|
|
|
|
613
|
|
|
|
|
|
|
sub WriteROE { |
|
614
|
0
|
|
|
0
|
0
|
0
|
my $roe = shift; |
|
615
|
|
|
|
|
|
|
|
|
616
|
0
|
0
|
|
|
|
0
|
OpenFOREFile() unless $FOREFileOpen; |
|
617
|
|
|
|
|
|
|
|
|
618
|
0
|
0
|
|
|
|
0
|
if($FOREBytes>=$FOREByteLimit) { |
|
619
|
0
|
|
|
|
|
0
|
CloseFOREFile(); |
|
620
|
0
|
|
|
|
|
0
|
OpenFOREFile(); |
|
621
|
|
|
|
|
|
|
} |
|
622
|
|
|
|
|
|
|
|
|
623
|
0
|
|
|
|
|
0
|
print FORE $roe; |
|
624
|
|
|
|
|
|
|
|
|
625
|
0
|
|
|
|
|
0
|
$FOREBytes+=length $roe; |
|
626
|
0
|
|
|
|
|
0
|
++$FORERecords; |
|
627
|
|
|
|
|
|
|
} |
|
628
|
|
|
|
|
|
|
|
|
629
|
|
|
|
|
|
|
sub CloseFOREFile { |
|
630
|
1
|
50
|
|
1
|
0
|
7
|
OpenFOREFile() unless $FOREFileOpen; |
|
631
|
|
|
|
|
|
|
|
|
632
|
1
|
|
|
|
|
3
|
print FORE "#TR#,$FORERecords,\n"; |
|
633
|
1
|
|
|
|
|
64
|
close(FORE); |
|
634
|
|
|
|
|
|
|
} |
|
635
|
|
|
|
|
|
|
|
|
636
|
|
|
|
|
|
|
END { |
|
637
|
1
|
|
|
1
|
|
7
|
CloseFOREFile(); |
|
638
|
|
|
|
|
|
|
} |
|
639
|
|
|
|
|
|
|
|
|
640
|
|
|
|
|
|
|
|
|
641
|
|
|
|
|
|
|
1; |
|
642
|
|
|
|
|
|
|
__END__ |