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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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$MPID = "TEST"; |
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$OSOID= 9999; |
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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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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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=head1 AUTHOR |
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Mike Giroux, rmgiroux@acm.org |
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=head1 COPYRIGHT AND LICENSE |
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Copyright (C) 2006 by Mike Giroux and Wang Trading, LLC |
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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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See L file for details. |
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=head1 CREDITS AND DISCLAIMER |
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This library is released under the GPL with the kind permission of |
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Dr. Meng-Yuan Wang, the Managing Partner of Wang Trading, LLC. |
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This library is a STUB. It's the beginnings of an OATS implementation, |
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but it is far from complete. Many of the ROE fields contain hard-coded |
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values which may not be appropriate to your case; please check them |
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carefully! |
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Neither Wang Trading, M-Y Wang, nor Mike Giroux is responsible nor |
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liable for any problems which may arise through the use of this library. |
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YOU are RESPONSIBLE for any files you upload to NASDR. _YOU_ are liable |
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for fines if they are wrong. Please be very careful! |
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At a minimum, use the NASDR OATS test site and make sure everything looks |
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good. |
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See the TBD comments. |
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=cut |
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package Finance::OATS; |
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require 5.005_62; |
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use strict; |
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use warnings; |
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use Carp qw(cluck confess); |
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require Exporter; |
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our @ISA = qw(Exporter); |
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# Items to export into callers namespace by default. Note: do not export |
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# names by default without a very good reason. Use EXPORT_OK instead. |
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# Do not simply export all your public functions/methods/constants. |
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# This allows declaration use Finance::OATS ':all'; |
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# If you do not need this, moving things directly into @EXPORT or @EXPORT_OK |
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# will save memory. |
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our %EXPORT_TAGS = ( 'all' => [ qw( |
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$MPID |
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$OSOID |
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$UserID |
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$Password |
102
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$FOREByteLimit |
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$sep |
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$FOREPrefix |
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AddNewAndRoute |
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AddCancel |
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AddCancelReplace |
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GenerateFOREFiles |
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) ] ); |
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our @EXPORT_OK = ( @{ $EXPORT_TAGS{'all'} } ); |
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113
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our @EXPORT = qw( |
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115
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); |
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117
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our $VERSION = '0.11'; |
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our $MPID = 'TEST'; |
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our $OSOID = 999; |
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our $UserID = "user"; |
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our $Password = "pass"; |
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#our $Password = ""; |
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126
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our $FOREByteLimit = 1_450_000; |
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128
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# NASDR allows many different field separators, |
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# so choose the one you like. |
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our $sep=','; |
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132
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# fore files will have names starting with this prefix |
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our $FOREPrefix = "fore"; |
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135
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136
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sub GetDateStamp { |
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my ($yr, $mn, $dy) = (localtime)[5,4,3]; |
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$yr+=1900; |
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$mn++; |
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sprintf("%04d%02d%02d",$yr,$mn,$dy); |
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} |
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144
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my $dateStamp = GetDateStamp(); |
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146
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my $lastROEIdNo = 1; |
147
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my $roePrefix = 'WA'; |
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149
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sub GetNextROEID { |
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my $id = sprintf("%2s%010d",$roePrefix, $lastROEIdNo); |
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++$lastROEIdNo; |
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154
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155
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if($lastROEIdNo > 9_999_999_999) { |
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$lastROEIdNo = 1; |
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$roePrefix++; |
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} |
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160
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return $id; |
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} |
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163
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my $lastFOREIdNo = 1; |
164
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165
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sub GetNextFOREId { |
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sprintf("${FOREPrefix}.${dateStamp}_%04d",$lastFOREIdNo++); |
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} |
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169
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=head2 sub AddNewAndRoute |
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171
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Generates New Order and Route events for a new order |
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Arguments: |
174
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Symbol => 'MSFT', |
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Side => 'B', # or 'S', or 'SS', or 'SX' |
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OrderID=> 'AISL-123', # our order ID |
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Time => 'HHMMSS', # order timestamp |
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Price => '12.12345', # price, in dollars, to 7 decimal places if need be |
179
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Shares => 1200, # size, in shares |
180
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MPID => 'ISLD', # sent-to MPID (opt., def ISLD) |
181
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OtherID=> '123432', # exchange order ID |
182
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Date => 'yyyymmdd', # optional, defaults to today |
183
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IOC => 'IOC', # optional, specified if order is IOC |
184
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Visible=> 'Y', # optional, 'Y' or 'N' |
185
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# ******* TBD: LIST OUT OF DATE!!!! *********** |
186
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RouteType=> 'C', # 38) Routing method code (defaults to 'C') |
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# E routed elec to member firm |
188
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# C routed to ECN |
189
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# L routed to SelectNet |
190
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# N routed non-electronic to memb firm |
191
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# M routed to non-member firm |
192
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# O routed to SuprtSOES |
193
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# P routed to Primex |
194
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# S routed to SOES |
195
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# X routed to exchange |
196
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ProgramTradingCode=>'Y',# optional, 'Y' or 'N' |
197
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IndexArbCode=>'N', # optional, 'Y' or 'N' |
198
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PriceType=>'LIM', # optional, 'LIM' or 'MKT' |
199
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200
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=cut |
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 = ( |
204
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MPID => 'ISLD', |
205
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RecvMPID=> '', |
206
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Visible => 'Y', |
207
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Date => $dateStamp, |
208
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IOC => '', |
209
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RouteType => 'C', |
210
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ProgramTradingCode => 'Y', |
211
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IndexArbCode => 'N', |
212
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PriceType => 'LIM', |
213
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CancelTimeStamp => '', |
214
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CancelledBy => '' |
215
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); |
216
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0
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0
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my %args = (%defaults, @_); |
217
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218
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0
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foreach my $key (qw(Symbol Side OrderID Time Price Shares)) { |
219
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0
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cluck "Missing argument '$key'" unless exists $args{$key}; |
220
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} |
221
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222
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0
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0
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my $ROE; |
223
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0
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0
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my $ROEId=GetNextROEID(); |
224
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225
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# Combined order/route record spec in Oats Technical Reporting , |
226
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# Specifications Appendix C, pages C-19 to C-22. |
227
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0
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0
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$ROE="#OE#${sep}"; # 1) Order event record (OE) |
228
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0
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0
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$ROE.="OR${sep}"; # 2) Order event type (OR) |
229
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0
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0
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$ROE.="N${sep}"; # 3) Action type code (N/C/D/R) |
230
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0
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0
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$ROE.="$ROEId${sep}"; # 4) Firm ROE ID |
231
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0
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0
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$ROE.="${sep}"; # 5) corr/del TS |
232
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0
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|
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0
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$ROE.="${sep}"; # 6) Rej ROE resub flag |
233
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|
|
#$ROE.="$MPID${sep}"; # 7) Receiving firm MPID |
234
|
|
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|
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|
|
#$ROE.="${sep}"; # 7) Receiving firm MPID (blank if same) |
235
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0
|
|
|
|
|
0
|
$ROE.="$args{RecvMPID}${sep}"; # 7) Receiving firm MPID (blank if same) |
236
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d000000${sep}",$args{Date}); # 8) Order received date |
237
|
0
|
|
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|
|
0
|
$ROE.="$args{OrderID}${sep}"; # 9) receiving firm order ID |
238
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 10) Routing firm MPID |
239
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 11) Routed order ID |
240
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); #12)Order received time |
241
|
0
|
|
|
|
|
0
|
$ROE.="E${sep}"; # 13) received method code |
242
|
0
|
|
|
|
|
0
|
$ROE.="$args{Symbol}${sep}"; # 14) Symbol |
243
|
0
|
|
|
|
|
0
|
$ROE.="$args{Side}${sep}"; # 15) Buy/Sell code, B|S|SS|SX |
244
|
0
|
0
|
|
|
|
0
|
if($args{PriceType} eq "LIM") { |
245
|
0
|
|
|
|
|
0
|
$ROE.="$args{Price}${sep}"; # 16) Limit price |
246
|
|
|
|
|
|
|
} |
247
|
|
|
|
|
|
|
else { |
248
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0
|
|
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|
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0
|
$ROE.="${sep}"; # 16) Limit price |
249
|
|
|
|
|
|
|
} |
250
|
0
|
|
|
|
|
0
|
$ROE.="$args{Visible}${sep}"; # 17) Limit order display indicator |
251
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0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 18) Stop price |
252
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0
|
0
|
|
|
|
0
|
if($args{PriceType} eq "LIM") { |
253
|
0
|
|
|
|
|
0
|
$ROE.="DAY${sep}"; # 19) TIF |
254
|
|
|
|
|
|
|
} |
255
|
|
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|
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|
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else { |
256
|
0
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|
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|
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0
|
$ROE.="${sep}"; # 19) TIF |
257
|
|
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|
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|
|
} |
258
|
0
|
|
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|
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0
|
$ROE.="${sep}"; # 20) Expiration date |
259
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 21) Expiration time |
260
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 22) Do not reduce/do not increase code |
261
|
0
|
|
|
|
|
0
|
$ROE.="$args{IOC}${sep}"; # 23) First special handling code |
262
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 24) 2nd special handling code |
263
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 25) 3rd special handling code |
264
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 26) 4th special handling code |
265
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 27) 5th special handling code |
266
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 28) receiving terminal ID |
267
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 29) receiving dept ID |
268
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 30) originating dept ID |
269
|
0
|
|
|
|
|
0
|
$ROE.="W${sep}"; # 31) acct type code (Wholesale) |
270
|
0
|
|
|
|
|
0
|
$ROE.="$args{ProgramTradingCode}${sep}"; # 32) program trading code |
271
|
0
|
|
|
|
|
0
|
$ROE.="$args{IndexArbCode}${sep}"; # 33) arbitrage code |
272
|
0
|
|
|
|
|
0
|
$ROE.="$args{OrderID}${sep}"; # 34) Sent to routed order ID |
273
|
0
|
|
|
|
|
0
|
$ROE.="$args{MPID}${sep}"; # 35) Sent to firm MPID |
274
|
0
|
|
|
|
|
0
|
$ROE.=sprintf("%08d%06s${sep}",$args{Date},$args{Time}); # 36)Order sent time |
275
|
0
|
|
|
|
|
0
|
$ROE.="$args{Shares}${sep}"; # 37) Routed Shares Quantity |
276
|
0
|
|
|
|
|
0
|
$ROE.="E${sep}"; # 38) Route type |
277
|
|
|
|
|
|
|
# E Electronic |
278
|
|
|
|
|
|
|
# M Manual |
279
|
|
|
|
|
|
|
#$ROE.="${sep}"; # 39: bunched order indicator |
280
|
0
|
|
|
|
|
0
|
$ROE.="${sep}"; # 39: bunched order indicator |
281
|
0
|
|
|
|
|
0
|
$ROE.="N${sep}"; # 40: Member type code (N Non-Member Firm) |
282
|
|
|
|
|
|
|
# TBD: LIST POSSIBLY OUT OF DATE! |
283
|
0
|
|
|
|
|
0
|
$ROE.="$args{RouteType}${sep}"; # 41: Destination code |
284
|
|
|
|
|
|
|
# E ecn |
285
|
|
|
|
|
|
|
# L selectnet |
286
|
|
|
|
|
|
|
# M Member firm |
287
|
|
|
|
|
|
|
# N non member firm |
288
|
|
|
|
|
|
|
# P Primex |
289
|
|
|
|
|
|
|
# U Supermontage |
290
|
|
|
|
|
|
|
# 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__ |