public static void Add(QuickFix42.Message msg)
{
ClOrdID clientId = new ClOrdID();
OrdType orderType = new OrdType();
msg.getField(clientId);
Msgs.Add(clientId.getValue(), msg);
if (msg.isSetField(orderType))
{
msg.getField(orderType);
if (orderType.getValue() == OrdType.LIMIT)
{
LimitOrders.Add(clientId.getValue());
LimitLib.Add(clientId.getValue());
}
}
}
public int PrintLimitList()
{
Symbol sym = new Symbol();
Side sd = new Side();
OrderQty oq = new OrderQty();
Console.WriteLine(" Index\tOrderID");
int count = 0;
foreach (string strOrdId in LimitOrders)
{
QuickFix42.Message msg = Msgs[strOrdId];
msg.getField(sym);
msg.getField(sd);
msg.getField(oq);
Console.WriteLine("\t" + count + "\t" + strOrdId + "\t" + sym + " " + sd + " " + oq);
count++;
}
return(count);
}
public QuickFix42.OrderCancelRequest GenerateCancelRequest(string clOrdId, int index)
{
string originalId = (string)LimitOrders[index];
QuickFix42.Message msg = Msgs[originalId];
//check for a recent ID
string temp = LimitLib.GetRecentId(originalId);
if (temp != null)
{
//limitLib.add(originalID, clOrdId); //associate new Id
originalId = temp; //send with most recent from previous request
}
Side oldSide = new Side();
msg.getField(oldSide);
TransactTime uTime = new TransactTime();
msg.getField(uTime);
QuickFix42.OrderCancelRequest ocr = new QuickFix42.OrderCancelRequest(
new OrigClOrdID(originalId),
new ClOrdID(clOrdId),
new Symbol(msg.getField(Symbol.FIELD)), //Necessary Field for canceling child orders
oldSide, //Necessary Field for canceling child orders
uTime);
OrderID oid = new OrderID("x");
ocr.setField(oid);
//Neccessary Field for canceling child orders
Price limitPrice = new Price();
msg.getField(limitPrice);
//OCR.setField(limitPrice);
ocr.setField(57, msg.getField(57));
ocr.setField(9102, msg.getField(9102));
return(ocr);
}
public QuickFix42.OrderCancelReplaceRequest GenerateReplaceRequest(string clOrdId, int qty, double limitPx, double stopPx, int index)
{
string originalId = (string)LimitOrders[index];
QuickFix42.Message msg = Msgs[originalId];
//check for a recent ID
string temp = LimitLib.GetRecentId(originalId);
if (temp != null)
{
LimitLib.Add(originalId, clOrdId); //associate new Id
originalId = temp; //send with most recent from previous request
}
else
{
LimitLib.Add(originalId, clOrdId);
}
Side oldSide = new Side();
msg.getField(oldSide);
TransactTime uTime = new TransactTime();
msg.getField(uTime);
QuickFix42.OrderCancelReplaceRequest ocrr = new QuickFix42.OrderCancelReplaceRequest(
new OrigClOrdID(originalId),
new ClOrdID(clOrdId),
new HandlInst('1'),
new Symbol(msg.getField(Symbol.FIELD)),
oldSide,
uTime,
new OrdType(OrdType.LIMIT));
// Update prices and quantity
ocrr.set(limitPx > 0 ? new Price(limitPx) : new Price(double.Parse(msg.getField(Price.FIELD))));
if (stopPx > 0) // If the user specified a new stop price
{
ocrr.set(new StopPx(stopPx));
}
else
{ // Otherwise use the original stop price
StopPx spx = new StopPx();
if (msg.isSetField(spx))
{
msg.getField(spx);
ocrr.set(spx);
}
else
{
msg.setField(spx);
}
}
ocrr.set(qty > 0 ? new OrderQty(qty) : new OrderQty(int.Parse(msg.getField(OrderQty.FIELD))));
OrderID oid = new OrderID("x");
ocrr.setField(oid);
ocrr.setField(57, msg.getField(57));
ocrr.setField(9102, msg.getField(9102));
return(ocrr);
}