public static Message CreateOrderCancelRequest(int orderID)
{
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
orderCancelRequest.Set(new ClOrdID("123"));
return(orderCancelRequest);
}
/**
* 取消订单请求
*/
public static Message createOrderCancelRequest()
{
QuickFix.FIX44.OrderCancelRequest OrderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
OrderCancelRequest.Set(new ClOrdID("QQAAAA"));
OrderCancelRequest.Set(new OrigClOrdID("110296341"));//订单编号
OrderCancelRequest.Set(new Side('1')); //1买入;2卖出
OrderCancelRequest.Set(new Symbol("LTC/CNY")); //BTC/CNY or LTC/CNY
OrderCancelRequest.Set(new TransactTime(DateTime.Now));
return OrderCancelRequest;
}
/// <summary>
/// Create request for order cancellation
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public static Message CreateOrderCancelRequest(Order order)
{
QuickFix.FIX44.OrderCancelRequest OrderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
OrderCancelRequest.Set(new ClOrdID(GetFreeID));
OrderCancelRequest.Set(new OrigClOrdID(order.ClientOrderID.ToString()));
OrderCancelRequest.Set(new Side(order.Side));
OrderCancelRequest.Set(TradeSymbol);
OrderCancelRequest.Set(new TransactTime(DateTime.Now));
return(OrderCancelRequest);
}
/**
* 取消订单请求
*/
public static Message createOrderCancelRequest()
{
QuickFix.FIX44.OrderCancelRequest OrderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
OrderCancelRequest.Set(new ClOrdID("QQAAAA"));
OrderCancelRequest.Set(new OrigClOrdID("110296341")); //订单编号
OrderCancelRequest.Set(new Side('1')); //1买入;2卖出
OrderCancelRequest.Set(new Symbol("LTC/CNY")); //BTC/CNY or LTC/CNY
OrderCancelRequest.Set(new TransactTime(DateTime.Now));
return(OrderCancelRequest);
}
private void QueryCancelOrder()
{
Console.WriteLine("\nOrderCancelRequest");
QuickFix.FIX44.OrderCancelRequest m = QueryOrderCancelRequest44();
if (m != null && QueryConfirm("Cancel order"))
{
SendMessage(m);
}
}
private QuickFix.FIX44.OrderCancelRequest QueryOrderCancelRequest44()
{
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now));
orderCancelRequest.Set(QueryOrderQty());
return(orderCancelRequest);
}
private void CancelOrder(string exchange, string clientOrderId, string exchangeOrderId, string symbol, bool isBuy)
{
var cancelOrder = new QuickFix.FIX44.OrderCancelRequest();
cancelOrder.OrigClOrdID = new QuickFix.Fields.OrigClOrdID(clientOrderId);
cancelOrder.ClOrdID = new QuickFix.Fields.ClOrdID(clientOrderId);
if (exchangeOrderId != null)
{
cancelOrder.OrderID = new QuickFix.Fields.OrderID(exchangeOrderId);
}
cancelOrder.SecurityExchange = new QuickFix.Fields.SecurityExchange(exchange);
cancelOrder.Side = new QuickFix.Fields.Side(isBuy ? '1' : '2');
cancelOrder.Symbol = new QuickFix.Fields.Symbol(symbol);
cancelOrder.TransactTime = new QuickFix.Fields.TransactTime(DateTime.Now.ToUniversalTime());
SendMessage(cancelOrder);
}
public static long GetOrderIdFromMessage(QuickFix.FIX44.OrderCancelRequest msg)
{
if (!msg.IsSetOrderID())
{
throw new IncorrectTagValue(msg.OrderID.Tag);
}
var idString = msg.OrderID.getValue();
long id;
if (!string.IsNullOrEmpty(idString) && long.TryParse(idString, out id))
{
return(id);
}
throw new IncorrectTagValue(msg.OrderID.Tag);
}
public void OnMessage(QuickFix.FIX44.OrderCancelRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX44.OrderCancelReject ocj = new QuickFix.FIX44.OrderCancelReject(
new OrderID(orderid), msg.ClOrdID, msg.OrigClOrdID, new OrdStatus(OrdStatus.REJECTED), new CxlRejResponseTo(CxlRejResponseTo.ORDER_CANCEL_REQUEST));
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.OTHER);
ocj.Text = new Text("Executor does not support order cancels");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
public void CancelOrder(OrderRecord or)
{
try
{
QuickFix.FIX44.OrderCancelRequest ocq = new QuickFix.FIX44.OrderCancelRequest(
new QuickFix.Fields.OrigClOrdID(or.ClOrdID),
MessageCreator44.GenerateClOrdID(),
new QuickFix.Fields.Symbol(or.Symbol),
or.OriginalNOS.Side,
new QuickFix.Fields.TransactTime(DateTime.Now));
ocq.OrderID = new QuickFix.Fields.OrderID(or.OrderID);
_strategy.ProcessOrderCancelRequest(or.OriginalNOS, ocq);
_qfapp.Send(ocq);
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
public void OrderCancelRequest(string strOrigClOrdID, char chSide)
{
try
{
if (m_SessionID == null)
{
return;
}
string strCIOrdID = "KYO" + DateTime.UtcNow.ToString("yyyyMMddHHmmssffff");
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
orderCancelRequest.Set(new OrigClOrdID(strOrigClOrdID));
orderCancelRequest.Set(new ClOrdID(strCIOrdID));
orderCancelRequest.Set(new Side(chSide));
orderCancelRequest.Set(new TransactTime(DateTime.UtcNow));
Session.SendToTarget(orderCancelRequest, m_SessionID);
Logger.Instance().Log($"REQUEST (OrderCancelRequest) => {orderCancelRequest.ToString()}");
}
catch (Exception ex)
{
Logger.Instance().LogToFile(ex.ToString());
}
}
public void ProcessOrderCancelRequest(QuickFix.FIX44.NewOrderSingle nos, QuickFix.FIX44.OrderCancelRequest msg)
{
}
private QuickFix.FIX44.OrderCancelRequest QueryOrderCancelRequest44()
{
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now));
orderCancelRequest.Set(QueryOrderQty());
return orderCancelRequest;
}
