Beispiel #1
0
        /// <summary>
        /// Creates a FIX4.2 OrderCancelRequest message for Currenex
        /// </summary>
        /// <param name="order"></param>
        /// <returns></returns>
        public QuickFix.FIX42.OrderCancelRequest OrderCancelRequest(Order order)
        {
            QuickFix.FIX42.OrderCancelRequest orderCancelRequest = new QuickFix.FIX42.OrderCancelRequest();

            QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
            orderCancelRequest.SetField(origClOrdId);

            QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
            orderCancelRequest.SetField(clOrdId);

            QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
            orderCancelRequest.SetField(symbol);

            QuickFix.Fields.Side side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
            orderCancelRequest.SetField(side);

            QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
            orderCancelRequest.SetField(transactTime);

            QuickFix.Fields.OrdType ordType = new QuickFix.Fields.OrdType('F');
            orderCancelRequest.SetField(ordType);

            return(orderCancelRequest);
        }
Beispiel #2
0
        public bool CancelarOrdem(OrdemCancelamentoInfo ordem, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "", string senderSubID = "", string extraTags = "")
        {
            //Cria a mensagem FIX de NewOrderSingle
            QuickFix.FIX42.OrderCancelRequest ordercrr = new QuickFix.FIX42.OrderCancelRequest();

            ordercrr.Set(new Account(ordem.Account.ToString()));
            if (!string.IsNullOrEmpty(mnemonic))
            {
                ordercrr.SetField(new Account(mnemonic), true);
            }
            if (!string.IsNullOrEmpty(senderSubID))
            {
                ordercrr.Header.SetField(new SenderSubID(senderSubID), true);
            }

            ordercrr.Set(new Symbol(ordem.Symbol));
            ordercrr.Set(new ClOrdID(ordem.ClOrdID));
            ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));

            // Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
            QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
            ordercrr.SetField(field5149);

            //ordersingle.Set(new IDSource());
            if (ordem.Side == OrdemDirecaoEnum.Venda)
            {
                ordercrr.Set(new Side(Side.SELL));
            }
            else
            {
                ordercrr.Set(new Side(Side.BUY));
            }

            //TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
            //if (tif != null)
            //    ordercrr.Set(tif);

            ordercrr.Set(new OrderQty(ordem.OrderQty));

            ////if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
            ////{
            ////    DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
            ////    ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
            ////}

            ////OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
            ////if (ordType != null)
            ////    ordercrr.Set(ordType);

            // Verifica envio do preco
            //switch (ordem.OrdType)
            //{

            //    case OrdemTipoEnum.Limitada:
            //    case OrdemTipoEnum.MarketWithLeftOverLimit:
            //    case OrdemTipoEnum.StopLimitada:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        break;
            //    case OrdemTipoEnum.StopStart:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
            //        break;
            //    case OrdemTipoEnum.Mercado:
            //    case OrdemTipoEnum.OnClose:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        break;
            //    default:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        break;
            //}

            ordercrr.Set(new TransactTime(DateTime.Now));
            //ordercrr.Set(new HandlInst('1'));
            //ordercrr.Set(new ExecBroker("227"));

            //if (ordem.MaxFloor > 0)
            //    ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));

            //if (ordem.MinQty > 0)
            //    ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));

            //QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
            //noAllocsGrp.Set(new AllocAccount("67"));
            //ordercrr.AddGroup(noAllocsGrp);

            bool bRet = false;

            // Tags Customizadas Bloomberg
            if (!string.IsNullOrEmpty(extraTags))
            {
                string[] arr = extraTags.Split(';');
                for (int i = 0; i < arr.Length; i++)
                {
                    if (!string.IsNullOrEmpty(arr[i]))
                    {
                        string[]    valor = arr[i].Split('=');
                        StringField fld   = new StringField(Convert.ToInt32(valor[0]), valor[1]);
                        ordercrr.SetField(fld);
                    }
                }
            }
            if (oriini != 0 && orifim != 0)
            {
                long times = fim - ini;
                logger.Info("=====================================> INICIO CANCELAR ORDEM========> Qtd: " + times);
                for (long i = 0; i < times; i++)
                {
                    ClOrdID     xx  = new ClOrdID(ini.ToString());
                    OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
                    ordercrr.ClOrdID     = xx;
                    ordercrr.OrigClOrdID = xx2;

                    bRet = Session.SendToTarget(ordercrr, _session.SessionID);
                    if (!bRet)
                    {
                        logger.Info("erro");
                        break;
                    }
                    if (0 != delay)
                    {
                        Thread.Sleep(delay);
                    }
                    ini++;
                    oriini++;
                }
                logger.Info("=====================================> FIM CANCELAR ORDEM========> Qtd: " + times);
            }
            else
            {
                bRet = Session.SendToTarget(ordercrr, _session.SessionID);
            }

            return(bRet);
        }
Beispiel #3
0
        public bool CancelarOrdem(OrdemCancelamentoInfo ordem)
        {
            //Cria a mensagem FIX de NewOrderSingle
            QuickFix.FIX42.OrderCancelRequest ordercrr = new QuickFix.FIX42.OrderCancelRequest();

            ordercrr.Set(new Account(ordem.Account.ToString()));
            ordercrr.Set(new Symbol(ordem.Symbol));
            ordercrr.Set(new ClOrdID(ordem.ClOrdID));
            ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));

            // Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
            QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
            ordercrr.SetField(field5149);

            //ordersingle.Set(new IDSource());
            if (ordem.Side == OrdemDirecaoEnum.Venda)
            {
                ordercrr.Set(new Side(Side.SELL));
            }
            else
            {
                ordercrr.Set(new Side(Side.BUY));
            }

            //TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
            //if (tif != null)
            //    ordercrr.Set(tif);

            ordercrr.Set(new OrderQty(ordem.OrderQty));

            ////if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
            ////{
            ////    DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
            ////    ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
            ////}

            ////OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
            ////if (ordType != null)
            ////    ordercrr.Set(ordType);

            // Verifica envio do preco
            //switch (ordem.OrdType)
            //{

            //    case OrdemTipoEnum.Limitada:
            //    case OrdemTipoEnum.MarketWithLeftOverLimit:
            //    case OrdemTipoEnum.StopLimitada:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        break;
            //    case OrdemTipoEnum.StopStart:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
            //        break;
            //    case OrdemTipoEnum.Mercado:
            //    case OrdemTipoEnum.OnClose:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        break;
            //    default:
            //        ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
            //        break;
            //}

            ordercrr.Set(new TransactTime(DateTime.Now));
            //ordercrr.Set(new HandlInst('1'));
            //ordercrr.Set(new ExecBroker("227"));

            //if (ordem.MaxFloor > 0)
            //    ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));

            //if (ordem.MinQty > 0)
            //    ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));

            //QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
            //noAllocsGrp.Set(new AllocAccount("67"));
            //ordercrr.AddGroup(noAllocsGrp);

            bool bRet = Session.SendToTarget(ordercrr, _session.SessionID);

            return(bRet);
        }