public Mantle.Fix44.OrderCancelReplaceRequest OrderCancelReplaceRequest(
NewOrderRequest request, string orderID, decimal quantity, decimal price, OnReplaceReject onReject)
{
var res = new Mantle.Fix44.OrderCancelReplaceRequest() { StandardHeader = StandardHeader() };
res.ClOrdID.Value = _clOrdIDGenerator.GenerateID();
res.OrigClOrdID.Value = res.ClOrdID.Value;
res.OrderID.Value = orderID;
res.Account.Value = _cfg.Account;
if (_cfg.PartyID != null)
{
var party = new Mantle.Fix44.Party();
party.PartyID.Value = _cfg.PartyID;
party.PartyIDSource.Value = _cfg.PartyIDSource;
party.PartyRole.Value = _cfg.PartyRole;
res.PartyGroup.Add(party);
}
res.Instrument.Symbol.Value = request.Symbol;
res.Price.Value = price;
res.OrderQty.Value = quantity;
if (_cfg.TradingSessionID != null)
res.TradingSessionIDGroup.Add(new Mantle.Fix44.TradingSessionID { Value = _cfg.TradingSessionID });
res.OrdType.Value = request.OrderType == OrderType.Market ? '1' : '2';
res.Side.Value = request.Side == Side.Buy ? '1' : '2';
res.TransactTime.Value = res.StandardHeader.SendingTime.Value;
if (onReject == OnReplaceReject.Cancel)
res.CancelOrigOnReject.Value = true;
return res;
}
public Mantle.Fix44.OrderCancelReplaceRequest OrderCancelReplaceRequest(
NewOrderRequest request, string orderID, decimal quantity, decimal price, OnReplaceReject onReject)
{
var res = new Mantle.Fix44.OrderCancelReplaceRequest()
{
StandardHeader = StandardHeader()
};
res.ClOrdID.Value = _clOrdIDGenerator.GenerateID();
res.OrigClOrdID.Value = res.ClOrdID.Value;
res.OrderID.Value = orderID;
res.Account.Value = _cfg.Account;
if (_cfg.PartyID != null)
{
var party = new Mantle.Fix44.Party();
party.PartyID.Value = _cfg.PartyID;
party.PartyIDSource.Value = _cfg.PartyIDSource;
party.PartyRole.Value = _cfg.PartyRole;
res.PartyGroup.Add(party);
}
res.Instrument.Symbol.Value = request.Symbol;
res.Price.Value = price;
res.OrderQty.Value = quantity;
if (_cfg.TradingSessionID != null)
{
res.TradingSessionIDGroup.Add(new Mantle.Fix44.TradingSessionID {
Value = _cfg.TradingSessionID
});
}
res.OrdType.Value = request.OrderType == OrderType.Market ? '1' : '2';
res.Side.Value = request.Side == Side.Buy ? '1' : '2';
res.TransactTime.Value = res.StandardHeader.SendingTime.Value;
if (onReject == OnReplaceReject.Cancel)
{
res.CancelOrigOnReject.Value = true;
}
return(res);
}
bool Replace(IOrder order, NewOrderRequest request, decimal quantity, decimal price, OnReplaceReject onReject)
{
try
{
if (!_cfg.ReplaceEnabled)
{
switch (onReject)
{
case OnReplaceReject.Keep:
_log.Info("Order Replace() requested but the exchange doesn't support moves. Doing nothing.");
return(false);
case OnReplaceReject.Cancel:
_log.Info("Order ReplaceOrCancel() requested but the exchange doesn't support moves. Just cancelling.");
return(Cancel(order, request));
}
Debug.Assert(false, "Unreachable");
}
if (order.IsPending)
{
_log.Info("Can't replace order with a pending request", order);
return(false);
}
// If OnReplaceReject is Keep, the order status should be Accepted.
// If it's Cancel, the order status may also be PartiallyFilled.
if (order.Status != OrderStatus.Accepted &&
(onReject == OnReplaceReject.Keep || order.Status != OrderStatus.PartiallyFilled))
{
_log.Info("Order is not in a replacable state with OnReject policy = {0}: {1}", onReject, order);
return(false);
}
Assert.NotNull(order.OrderID);
Mantle.Fix44.OrderCancelReplaceRequest msg =
_messageBuilder.OrderCancelReplaceRequest(request, order.OrderID, quantity, price, onReject);
return(StoreOp(order, msg.ClOrdID.Value, _connection.Send(msg), null));
}
catch (Exception e)
{
if (!_disposed)
{
_log.Error(e, "Unexpected error while replacing an order");
}
return(false);
}
}
