FixSamples.fs

namespace TibcoMessagePoster.Model

type FixField<'a>(fieldName, fieldId, validator : ('a -> bool)) =
    member self.FieldName = fieldName
    member self.FieldId = fieldId
    member self.Validator = validator
    new(fieldName, fieldId) = FixField(fieldName, fieldId, fun _ -> true )

type FixHeaderFields = 
    static member ApplVerId = FixField("ApplVerId", "1128", fun str -> str = "9")
    static member MsgType = FixField("MsgType", "35", fun str -> str = "X")
    static member SenderCompId = FixField("SenderCompId", "49", fun (str : string) -> str.Length <= 7)
    static member MsgSeqNum = FixField("MsgSeqNum", "34")
    static member SendingTime = FixField("SendingTime", "52")

type FixFieldsBlockTrade =
    static member TradeDate = FixField("TradeDate", "75")
    static member NoMDEntries = FixField("NoMDEntries", "268")

    static member MDUpdateAction = FixField("MDUpdateAction", "279", fun ch -> ch = '0' || ch = '2')
    static member MDEntryType = FixField("MDEntryType", "269", fun ch -> ch = 'T')

    static member RptSeq = FixField<int>("RptSeq", "83")
    static member Symbol = FixField<string>("Symbol", "55", fun (str : string) -> str.Length <= 50)
    static member SecurityGroup = FixField<string>("SecurityGroup", "1151", fun (str : string) -> str.Length <= 12)

    static member SecurityType = FixField<string>("SecurityType", "167", fun str -> str = "FUT" || str = "OPT")
    static member MaturityMonthYear = FixField<string>("MaturityMonthYear", "200")
    static member SecurityExchange = FixField<string>("SecurityExchange", "207", fun (str : string) -> str.Length = 4)
    static member MaturityDate = FixField<string>("MaturityDate", "541")
    static member PutOrCall = FixField<int>("PutOrCall", "201", fun i -> i = 0 || i = 1)

    static member StrikePrice = FixField<decimal>("StrikePrice", "202")
    static member UnitOfMeasure = FixField<string>("UnitOfMeasure", "996", fun (str : string) -> str.Length <= 30)
    static member UnitOfMeasureCurrency = FixField<string>("1UnitOfMe1asureCurrency", "1716", fun (str : string) -> str.Length <= 3)
    static member UnitOfMeasureQty = FixField<decimal>("UnitOfMeasureQty", "1147")
    static member NoUnderlyings = FixField<int>("NoUnderlyings", "711")

    static member UnderlyingSymbol = FixField<string>("UnderlyingSymbol", "311", fun (str : string) -> str.Length <= 6)
    static member UnderlyingMaturityMonthYear = FixField<string>("UnderlyingMaturityMonthYear", "313")
    static member UnderlyingSecurityType = FixField<string>("UnderlyingSecurityType", "310", fun(str : string) -> str.Length <= 9)
    static member UnderlyingSecurityExchange = FixField<string>("UnderlyingSecurityExchange", "308", fun(str : string) -> str.Length <= 4)

    static member MDEntryPx = FixField<decimal>("MDEntryPx", "270")
    static member MDEntrySize = FixField<decimal>("MDEntryPx", "271")
    static member MDEntryDate = FixField<string>("MDEntryDate", "272")
    static member MDEntryTime = FixField<string>("MDEntryTime", "273")

    static member PriceType = FixField<int>("PriceType", "423", fun i -> i = 2)
    static member TrdType = FixField<int>("TrdType", "828", fun i -> i = 1 || i = 2 || i = 11 || i = 12)
    //public static FixField<int> NoPartyIDs = new FixField<int>("NoPartyIDs", "453")
    static member PartyID = FixField<string>("PartyID", "448", fun (str : string) -> str.Length <= 3)


type IFixFieldValue =
    abstract FieldName : string
    abstract FieldId : string
    abstract Value : string

type FixFieldValue<'a>(field : FixField<'a>, value : 'a) =
    interface IFixFieldValue with
        member self.FieldName = field.FieldName
        member self.FieldId = field.FieldId
        member self.Value = value.ToString()

    member self.Field = field
    member self.Value = value


type FixField<'a> with
    member self.CreateValue (value : 'a) = FixFieldValue(self, value) :> IFixFieldValue


namespace TibcoMessagePoster.Model

open System

type FixMessagesDefaultValues =
    static member CreateMessage productCode maturityMonthYear price quantity =
        [|
            FixHeaderFields.ApplVerId.CreateValue("9")
            FixField<string>("", "9").CreateValue("234")
            FixHeaderFields.MsgType.CreateValue("X")
            FixHeaderFields.SenderCompId.CreateValue("CME")
            FixHeaderFields.MsgSeqNum.CreateValue("0")
            FixHeaderFields.SendingTime.CreateValue(DateTime.Now.ToString("yyyyMMddhhmmssfff"))
            FixHeaderFields.SenderCompId.CreateValue("-")

            FixField<string>("", "107").CreateValue(productCode)
            FixFieldsBlockTrade.NoMDEntries.CreateValue("1")
            FixFieldsBlockTrade.MDEntryType.CreateValue('T')
            FixFieldsBlockTrade.Symbol.CreateValue(productCode)
            FixFieldsBlockTrade.TradeDate.CreateValue(DateTime.Now.ToString("yyyyMMdd"))
            FixFieldsBlockTrade.RptSeq.CreateValue(57)
            FixFieldsBlockTrade.SecurityType.CreateValue("FUT")
            FixFieldsBlockTrade.MaturityMonthYear.CreateValue(maturityMonthYear)
            FixFieldsBlockTrade.SecurityExchange.CreateValue("XNYM")
            FixFieldsBlockTrade.MDEntryPx.CreateValue(price)
            FixFieldsBlockTrade.MDEntrySize.CreateValue(quantity)

            FixFieldsBlockTrade.MDEntryDate.CreateValue(DateTime.Now.ToString("yyyyMMdd"))
            FixFieldsBlockTrade.MDEntryTime.CreateValue(DateTime.Now.ToString("102200000"))
            FixFieldsBlockTrade.MDUpdateAction.CreateValue('0')
            FixFieldsBlockTrade.PriceType.CreateValue(2)
            FixFieldsBlockTrade.PartyID.CreateValue("CME")
            FixField<string>("", "452").CreateValue("21")
            FixFieldsBlockTrade.MaturityDate.CreateValue(maturityMonthYear + "01")

            FixFieldsBlockTrade.TrdType.CreateValue(1)
            FixFieldsBlockTrade.UnitOfMeasure.CreateValue("BBL")
            FixFieldsBlockTrade.UnitOfMeasureQty.CreateValue(1000m)
            FixFieldsBlockTrade.SecurityGroup.CreateValue(productCode.Substring(0, 2))
            FixField<string>("", "10").CreateValue("076")
        |]

Looking at this now I think that the types FixHeaderFields and FixFieldsBlockTrade should be a module and all the static members should be individual types that inherit from FixField, although it should be possible to do that without inheritance.