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order_types_test.go
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package main
import (
"fmt"
"github.com/bitfinexcom/bfxfixgw/convert"
"time"
"github.com/quickfixgo/enum"
"github.com/quickfixgo/field"
fix42nos "github.com/quickfixgo/fix42/newordersingle"
fix42ocrr "github.com/quickfixgo/fix42/ordercancelreplacerequest"
"github.com/shopspring/decimal"
)
//TestNewOrderSingleGTD tests a custom expiration date when submitting a new order
func (s *gatewaySuite) TestNewOrderSingleGTD() {
// assert FIX MD logon
fix, err := s.fixMd.WaitForMessage(s.MarketDataSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_MD")
s.Require().Nil(err)
// assert FIX order logon
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_ORD")
s.Require().Nil(err)
// assume both ws clients connected in setup()
s.srvWs.Broadcast(`{"event":"info","version":2}`)
// assert MD ws auth request
msg, err := s.srvWs.WaitForMessage(MarketDataClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// assert order ws auth request
msg, err = s.srvWs.WaitForMessage(OrdersClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// broadcast auth ack to both clients
s.srvWs.Broadcast(`{"event":"auth","status":"OK","chanId":0,"userId":1,"subId":"nonce1","auth_id":"valid-auth-guid","caps":{"orders":{"read":1,"write":0},"account":{"read":1,"write":0},"funding":{"read":1,"write":0},"history":{"read":1,"write":0},"wallets":{"read":1,"write":0},"withdraw":{"read":0,"write":0},"positions":{"read":1,"write":0}}}`)
// parse test expire time
expiration, err := time.Parse(convert.TimeInForceFormat, "2006-01-02 15:04:05")
s.Require().Nil(err)
// send NOS, ClOrdID MUST be an integer
nos := fix42nos.New(field.NewClOrdID("555"),
field.NewHandlInst(enum.HandlInst_MANUAL_ORDER_BEST_EXECUTION),
field.NewSymbol("BTCUSD"),
field.NewSide(enum.Side_BUY),
field.NewTransactTime(time.Now()),
field.NewOrdType(enum.OrdType_LIMIT))
nos.Set(field.NewOrderQty(decimal.NewFromFloat(1.0), 1))
nos.Set(field.NewPrice(decimal.NewFromFloat(12000.0), 1))
nos.Set(field.NewTimeInForce(enum.TimeInForce_GOOD_TILL_DATE))
nos.Set(field.NewExpireTime(expiration))
session := s.fixOrd.LastSession()
err = session.Send(nos)
s.Require().Nil(err)
// assert OrderNew
msg, err = s.srvWs.WaitForMessage(OrdersClient, 1)
s.Require().Nil(err)
s.Require().EqualValues(`[0,"on",null,{"gid":0,"cid":555,"type":"EXCHANGE LIMIT","symbol":"BTCUSD","amount":"1","price":"12000","tif":"2006-01-02 15:04:05"}]`, msg)
// get milliseconds for test timestamp
expirationMilliStr := fmt.Sprintf("%d", expiration.UnixNano()/1000000)
// service publish pending new ack
s.srvWs.Send(OrdersClient, `[0,"n",[null,"on-req",null,null,[1234567,null,555,"tBTCUSD",null,null,1,1,"EXCHANGE LIMIT",null,`+expirationMilliStr+`,null,null,null,null,null,12000,null,null,null,null,null,null,0,null,null],null,"SUCCESS","Submitting limit buy order for 1.0 BTC."]]`)
// service publish new ack, assert NEW
s.srvWs.Send(OrdersClient, `[0,"on",[1234567,0,555,"tBTCUSD",1521153050972,1521153051035,1,1,"EXCHANGE LIMIT",null,`+expirationMilliStr+`,null,0,"ACTIVE",null,null,12000,0,null,null,null,null,null,0,0,0,null,null,"API>BFX",null,null,null]]`)
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 2)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=8", "49=BFXFIX", "56=EXORG_ORD", "1=user123", "40=2", "20=3", "32=0.000", "39=0", "54=1", "55=tBTCUSD", "150=0", "151=1.00", "6=0.00", "14=0.00", "59=6", "126=20060102-15:04:05.000")
s.Require().Nil(err)
// trade execution
s.srvWs.Send(OrdersClient, `[0,"tu",[1,"tBTCUSD",1514909325593,1234567,0.21679716,12000,"EXCHANGE LIMIT",12000,1,-0.39712904,"USD"]]`)
// assert FIX execution report PARTIAL FILL
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 3)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=8", "49=BFXFIX", "56=EXORG_ORD", "1=user123", "40=2", "20=3", "32=0.2168", "39=1", "54=1", "55=tBTCUSD", "150=1", "151=0.7832", "6=12000", "14=0.2168", "59=6", "126=20060102-15:04:05.000")
s.Require().Nil(err)
// trade execution
s.srvWs.Send(OrdersClient, `[0,"tu",[1,"tBTCUSD",1514909325593,1234567,0.78320284,12000,"EXCHANGE LIMIT",12000,1,-0.39712904,"USD"]]`)
// assert FIX execution report FULL FILL
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 4)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=8", "49=BFXFIX", "56=EXORG_ORD", "1=user123", "40=2", "20=3", "32=0.7832", "39=2", "54=1", "55=tBTCUSD", "150=2", "151=0.0000", "6=12000", "14=1.000", "59=6", "126=20060102-15:04:05.000")
s.Require().Nil(err)
}
//TestNewOrderSingleRejectBadGTD rejects a custom expiration date when field is missing
func (s *gatewaySuite) TestNewOrderSingleRejectBadGTD() {
// assert FIX MD logon
fix, err := s.fixMd.WaitForMessage(s.MarketDataSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_MD")
s.Require().Nil(err)
// assert FIX order logon
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_ORD")
s.Require().Nil(err)
// assume both ws clients connected in setup()
s.srvWs.Broadcast(`{"event":"info","version":2}`)
// assert MD ws auth request
msg, err := s.srvWs.WaitForMessage(MarketDataClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// assert order ws auth request
msg, err = s.srvWs.WaitForMessage(OrdersClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// broadcast auth ack to both clients
s.srvWs.Broadcast(`{"event":"auth","status":"OK","chanId":0,"userId":1,"subId":"nonce1","auth_id":"valid-auth-guid","caps":{"orders":{"read":1,"write":0},"account":{"read":1,"write":0},"funding":{"read":1,"write":0},"history":{"read":1,"write":0},"wallets":{"read":1,"write":0},"withdraw":{"read":0,"write":0},"positions":{"read":1,"write":0}}}`)
// send NOS, ClOrdID MUST be an integer
nos := fix42nos.New(field.NewClOrdID("555"),
field.NewHandlInst(enum.HandlInst_MANUAL_ORDER_BEST_EXECUTION),
field.NewSymbol("tBTCUSD"),
field.NewSide(enum.Side_SELL),
field.NewTransactTime(time.Now()),
field.NewOrdType(enum.OrdType_LIMIT))
nos.Set(field.NewOrderQty(decimal.NewFromFloat(1.0), 1))
nos.Set(field.NewPrice(decimal.NewFromFloat(14000.0), 1))
nos.Set(field.NewTimeInForce(enum.TimeInForce_GOOD_TILL_DATE))
session := s.fixOrd.LastSession()
err = session.Send(nos)
s.Require().Nil(err)
// assert FIX message reject
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 2)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=j", "49=BFXFIX", "56=EXORG_ORD", "372=D", "380=5", "58=Conditionally Required Field Missing (126)")
s.Require().Nil(err)
}
//TestNewOrderSingleMargin tests margin order types
func (s *gatewaySuite) TestNewOrderSingleMargin() {
// assert FIX MD logon
fix, err := s.fixMd.WaitForMessage(s.MarketDataSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_MD")
s.Require().Nil(err)
// assert FIX order logon
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_ORD")
s.Require().Nil(err)
// assume both ws clients connected in setup()
s.srvWs.Broadcast(`{"event":"info","version":2}`)
// assert MD ws auth request
msg, err := s.srvWs.WaitForMessage(MarketDataClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// assert order ws auth request
msg, err = s.srvWs.WaitForMessage(OrdersClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// broadcast auth ack to both clients
s.srvWs.Broadcast(`{"event":"auth","status":"OK","chanId":0,"userId":1,"subId":"nonce1","auth_id":"valid-auth-guid","caps":{"orders":{"read":1,"write":0},"account":{"read":1,"write":0},"funding":{"read":1,"write":0},"history":{"read":1,"write":0},"wallets":{"read":1,"write":0},"withdraw":{"read":0,"write":0},"positions":{"read":1,"write":0}}}`)
// send NOS, ClOrdID MUST be an integer
nos := fix42nos.New(field.NewClOrdID("555"),
field.NewHandlInst(enum.HandlInst_MANUAL_ORDER_BEST_EXECUTION),
field.NewSymbol("BTCUSD"),
field.NewSide(enum.Side_BUY),
field.NewTransactTime(time.Now()),
field.NewOrdType(enum.OrdType_LIMIT))
nos.Set(field.NewOrderQty(decimal.NewFromFloat(1.0), 1))
nos.Set(field.NewPrice(decimal.NewFromFloat(12000.0), 1))
nos.Set(field.NewCashMargin(enum.CashMargin_MARGIN_OPEN))
session := s.fixOrd.LastSession()
err = session.Send(nos)
s.Require().Nil(err)
// assert OrderNew
msg, err = s.srvWs.WaitForMessage(OrdersClient, 1)
s.Require().Nil(err)
s.Require().EqualValues(`[0,"on",null,{"gid":0,"cid":555,"type":"MARGIN LIMIT","symbol":"BTCUSD","amount":"1","price":"12000"}]`, msg)
// service publish pending new ack
s.srvWs.Send(OrdersClient, `[0,"n",[null,"on-req",null,null,[1234567,null,555,"tBTCUSD",null,null,1,1,"MARGIN LIMIT",null,null,null,null,null,null,null,12000,null,null,null,null,null,null,0,null,null],null,"SUCCESS","Submitting limit buy order for 1.0 BTC."]]`)
// service publish new ack, assert NEW
s.srvWs.Send(OrdersClient, `[0,"on",[1234567,0,555,"tBTCUSD",1521153050972,1521153051035,1,1,"MARGIN LIMIT",null,null,null,0,"ACTIVE",null,null,12000,0,null,null,null,null,null,0,0,0,null,null,"API>BFX",null,null,null]]`)
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 2)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=8", "49=BFXFIX", "56=EXORG_ORD", "1=user123", "40=2", "20=3", "32=0.000", "39=0", "54=1", "55=tBTCUSD", "150=0", "151=1.00", "6=0.00", "14=0.00", "544=3")
s.Require().Nil(err)
// trade execution
s.srvWs.Send(OrdersClient, `[0,"tu",[1,"tBTCUSD",1514909325593,1234567,0.21679716,12000,"MARGIN LIMIT",12000,1,-0.39712904,"USD"]]`)
// assert FIX execution report PARTIAL FILL
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 3)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=8", "49=BFXFIX", "56=EXORG_ORD", "1=user123", "40=2", "20=3", "32=0.2168", "39=1", "54=1", "55=tBTCUSD", "150=1", "151=0.7832", "6=12000", "14=0.2168", "544=3")
s.Require().Nil(err)
// trade execution
s.srvWs.Send(OrdersClient, `[0,"tu",[1,"tBTCUSD",1514909325593,1234567,0.78320284,12000,"MARGIN LIMIT",12000,1,-0.39712904,"USD"]]`)
// assert FIX execution report FULL FILL
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 4)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=8", "49=BFXFIX", "56=EXORG_ORD", "1=user123", "40=2", "20=3", "32=0.7832", "39=2", "54=1", "55=tBTCUSD", "150=2", "151=0.0000", "6=12000", "14=1.000", "544=3")
s.Require().Nil(err)
}
//TestNewOrderSingleThenUpdate assures the gateway service will publish an OrderNew websocket message when receiving a FIX42 NewOrderSingle, and can update it later
func (s *gatewaySuite) TestNewOrderSingleThenUpdate() {
// assert FIX MD logon
fix, err := s.fixMd.WaitForMessage(s.MarketDataSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_MD")
s.Require().Nil(err)
// assert FIX order logon
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_ORD")
s.Require().Nil(err)
// assume both ws clients connected in setup()
s.srvWs.Broadcast(`{"event":"info","version":2}`)
// assert MD ws auth request
msg, err := s.srvWs.WaitForMessage(MarketDataClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// assert order ws auth request
msg, err = s.srvWs.WaitForMessage(OrdersClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// broadcast auth ack to both clients
s.srvWs.Broadcast(`{"event":"auth","status":"OK","chanId":0,"userId":1,"subId":"nonce1","auth_id":"valid-auth-guid","caps":{"orders":{"read":1,"write":0},"account":{"read":1,"write":0},"funding":{"read":1,"write":0},"history":{"read":1,"write":0},"wallets":{"read":1,"write":0},"withdraw":{"read":0,"write":0},"positions":{"read":1,"write":0}}}`)
// send NOS, ClOrdID MUST be an integer
nos := fix42nos.New(field.NewClOrdID("555"),
field.NewHandlInst(enum.HandlInst_MANUAL_ORDER_BEST_EXECUTION),
field.NewSymbol("BTCUSD"),
field.NewSide(enum.Side_BUY),
field.NewTransactTime(time.Now()),
field.NewOrdType(enum.OrdType_LIMIT))
nos.Set(field.NewOrderQty(decimal.NewFromFloat(1.0), 1))
nos.Set(field.NewPrice(decimal.NewFromFloat(12000.0), 1))
session := s.fixOrd.LastSession()
err = session.Send(nos)
s.Require().Nil(err)
// assert OrderNew
msg, err = s.srvWs.WaitForMessage(OrdersClient, 1)
s.Require().Nil(err)
s.Require().EqualValues(`[0,"on",null,{"gid":0,"cid":555,"type":"EXCHANGE LIMIT","symbol":"BTCUSD","amount":"1","price":"12000"}]`, msg)
// service publish pending new ack
s.srvWs.Send(OrdersClient, `[0,"n",[null,"on-req",null,null,[1234567,null,555,"tBTCUSD",null,null,1,1,"EXCHANGE LIMIT",null,null,null,null,null,null,null,12000,null,null,null,null,null,null,0,null,null],null,"SUCCESS","Submitting limit buy order for 1.0 BTC."]]`)
// service publish new ack, assert NEW
s.srvWs.Send(OrdersClient, `[0,"on",[1234567,0,555,"tBTCUSD",1521153050972,1521153051035,1,1,"EXCHANGE LIMIT",null,null,null,0,"ACTIVE",null,null,12000,0,null,null,null,null,null,0,0,0,null,null,"API>BFX",null,null,null]]`)
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 2)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=8", "49=BFXFIX", "56=EXORG_ORD", "1=user123", "40=2", "20=3", "32=0.000", "39=0", "54=1", "55=tBTCUSD", "150=0", "151=1.00", "6=0.00", "14=0.00")
s.Require().Nil(err)
// send order update and change a bunch of fields
oup := fix42ocrr.New(field.NewOrigClOrdID("555"),
field.NewClOrdID("567"),
field.NewHandlInst(enum.HandlInst_MANUAL_ORDER_BEST_EXECUTION),
field.NewSymbol("BTCUSD"),
field.NewSide(enum.Side_BUY),
field.NewTransactTime(time.Now()),
field.NewOrdType(enum.OrdType_LIMIT))
oup.Set(field.NewOrderQty(decimal.NewFromFloat(2.0), 1))
oup.Set(field.NewPrice(decimal.NewFromFloat(21000.0), 1))
err = session.Send(oup)
s.Require().Nil(err)
// assert OrderUpdate
msg, err = s.srvWs.WaitForMessage(OrdersClient, 2)
s.Require().Nil(err)
s.Require().EqualValues(`[0,"ou",null,{"id":1234567,"price":"21000","amount":"2"}]`, msg)
// parse test expire time, send another update, requires cache to have updated in order to work
expiration, err := time.Parse(convert.TimeInForceFormat, "2006-01-02 15:04:05")
s.Require().Nil(err)
oup.Set(field.NewOrigClOrdID("567"))
oup.Set(field.NewClOrdID("678"))
oup.Set(field.NewTimeInForce(enum.TimeInForce_GOOD_TILL_DATE))
oup.Set(field.NewExpireTime(expiration))
err = session.Send(oup)
s.Require().Nil(err)
// assert OrderUpdate
msg, err = s.srvWs.WaitForMessage(OrdersClient, 3)
s.Require().Nil(err)
s.Require().EqualValues(`[0,"ou",null,{"id":1234567,"price":"21000","amount":"2","tif":"2006-01-02 15:04:05"}]`, msg)
}
//TestNewOrderSingleOCO assures the gateway service will publish an OrderNew websocket message when receiving a FIX42 NewOrderSingle with an OCO contingency
func (s *gatewaySuite) TestNewOrderSingleOCO() {
// assert FIX MD logon
fix, err := s.fixMd.WaitForMessage(s.MarketDataSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_MD")
s.Require().Nil(err)
// assert FIX order logon
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 1)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=A", "49=BFXFIX", "56=EXORG_ORD")
s.Require().Nil(err)
// assume both ws clients connected in setup()
s.srvWs.Broadcast(`{"event":"info","version":2}`)
// assert MD ws auth request
msg, err := s.srvWs.WaitForMessage(MarketDataClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// assert order ws auth request
msg, err = s.srvWs.WaitForMessage(OrdersClient, 0)
s.Require().Nil(err)
s.Require().EqualValues(`{"subId":"nonce1","event":"auth","apiKey":"apiKey1","authSig":"2744ec1afc974eadbda7e09efa03da80578628ba90e2aa5fcba8c2c61014b811f3a8be5a041c3ee35c464a59856b3869","authPayload":"AUTHnonce1","authNonce":"nonce1"}`, msg)
// broadcast auth ack to both clients
s.srvWs.Broadcast(`{"event":"auth","status":"OK","chanId":0,"userId":1,"subId":"nonce1","auth_id":"valid-auth-guid","caps":{"orders":{"read":1,"write":0},"account":{"read":1,"write":0},"funding":{"read":1,"write":0},"history":{"read":1,"write":0},"wallets":{"read":1,"write":0},"withdraw":{"read":0,"write":0},"positions":{"read":1,"write":0}}}`)
// send NOS, ClOrdID MUST be an integer
nos := fix42nos.New(field.NewClOrdID("555"),
field.NewHandlInst(enum.HandlInst_MANUAL_ORDER_BEST_EXECUTION),
field.NewSymbol("BTCUSD"),
field.NewSide(enum.Side_BUY),
field.NewTransactTime(time.Now()),
field.NewOrdType(enum.OrdType_LIMIT))
nos.Set(field.NewOrderQty(decimal.NewFromFloat(1.0), 1))
nos.Set(field.NewPrice(decimal.NewFromFloat(12000.0), 1))
nos.Set(field.NewContingencyType(enum.ContingencyType_ONE_CANCELS_THE_OTHER))
session := s.fixOrd.LastSession()
err = session.Send(nos)
s.Require().Nil(err)
// assert FIX message reject - need that stop price
fix, err = s.fixOrd.WaitForMessage(s.OrderSessionID, 2)
s.Require().Nil(err)
err = s.checkFixTags(fix, "35=j", "49=BFXFIX", "56=EXORG_ORD", "372=D", "380=5", "58=Conditionally Required Field Missing (99)")
s.Require().Nil(err)
// put in stop price then assert OrderNew
nos.Set(field.NewStopPx(decimal.NewFromFloat(11500.0), 1))
err = session.Send(nos)
s.Require().Nil(err)
msg, err = s.srvWs.WaitForMessage(OrdersClient, 1)
s.Require().Nil(err)
s.Require().EqualValues(`[0,"on",null,{"gid":0,"cid":555,"type":"EXCHANGE LIMIT","symbol":"BTCUSD","amount":"1","price":"12000","price_oco_stop":"11500","flags":`+fmt.Sprint(convert.FlagOCO)+`}]`, msg)
}