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;
}
public Mantle.Fix44.NewOrderSingle NewOrderSingle(NewOrderRequest req)
{
var res = new Mantle.Fix44.NewOrderSingle()
{
StandardHeader = StandardHeader()
};
res.ClOrdID.Value = _clOrdIDGenerator.GenerateID();
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);
}
if (_cfg.TradingSessionID != null)
{
res.TradingSessionIDGroup.Add(new Mantle.Fix44.TradingSessionID {
Value = _cfg.TradingSessionID
});
}
res.Instrument.Symbol.Value = req.Symbol;
res.Side.Value = req.Side == Side.Buy ? '1' : '2';
res.TransactTime.Value = res.StandardHeader.SendingTime.Value;
res.OrdType.Value = req.OrderType == OrderType.Market ? '1' : '2';
if (req.Price.HasValue)
{
res.Price.Value = req.Price.Value;
}
if (req.TimeToLive.HasValue)
{
res.TimeInForce.Value = '6'; // Good Till Date
res.ExpireTime.Value = DateTime.UtcNow + req.TimeToLive.Value;
}
res.OrderQtyData.OrderQty.Value = req.Quantity;
if (_cfg.Extensions == Extensions.Huobi)
{
res.MinQty.Value = req.Quantity;
string method = req.Side == Side.Buy ? "buy" : "sell";
string price = null;
if (req.OrderType == OrderType.Market)
{
method += "_market";
}
else
{
if (!req.Price.HasValue)
{
throw new ArgumentException("Limit order is missing Price");
}
price = ToHuobiString(req.Price.Value);
}
res.HuobiSignature = HuobiSignature
(
new KeyValuePair <string, string>[]
{
new KeyValuePair <string, string>("method", method),
new KeyValuePair <string, string>("amount", ToHuobiString(req.Quantity)),
new KeyValuePair <string, string>("coin_type", HuobiCoinType(req.Symbol)),
new KeyValuePair <string, string>("price", price),
}
);
}
if (_cfg.Extensions == Extensions.Btcc)
{
string price = "";
if (req.OrderType == OrderType.Limit)
{
if (!req.Price.HasValue)
{
throw new ArgumentException("Limit order is missing Price");
}
price = ToBtccString(req.Price.Value);
}
string method = req.Side == Side.Buy ? "buy" : "sell";
// This is undocumented.
method += $"Order3¶ms={price},{ToBtccString(req.Quantity)},{req.Symbol}";
res.Account.Value = BtccSignature(_cfg.Account, _cfg.SecretKey, method);
}
return(res);
}
public Mantle.Fix44.NewOrderSingle NewOrderSingle(NewOrderRequest request)
{
var res = new Mantle.Fix44.NewOrderSingle() { StandardHeader = StandardHeader() };
res.ClOrdID.Value = _clOrdIDGenerator.GenerateID();
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);
}
if (_cfg.TradingSessionID != null)
res.TradingSessionIDGroup.Add(new Mantle.Fix44.TradingSessionID { Value = _cfg.TradingSessionID });
res.Instrument.Symbol.Value = request.Symbol;
res.Side.Value = request.Side == Side.Buy ? '1' : '2';
res.TransactTime.Value = res.StandardHeader.SendingTime.Value;
res.OrdType.Value = request.OrderType == OrderType.Market ? '1' : '2';
if (request.Price.HasValue)
res.Price.Value = request.Price.Value;
if (request.TimeToLive.HasValue)
{
res.TimeInForce.Value = '6'; // Good Till Date
res.ExpireTime.Value = DateTime.UtcNow + request.TimeToLive.Value;
}
res.OrderQtyData.OrderQty.Value = request.Quantity;
if (_cfg.Extensions == Extensions.Huobi)
{
res.MinQty.Value = request.Quantity;
string method = request.Side == Side.Buy ? "buy" : "sell";
string price = null;
if (request.OrderType == OrderType.Market)
{
method += "_market";
}
else
{
if (!request.Price.HasValue) throw new ArgumentException("Limit order is missing Price");
price = ToHuobiString(request.Price.Value);
}
res.HuobiSignature = HuobiSignature
(
new KeyValuePair<string, string>[]
{
new KeyValuePair<string, string>("method", method),
new KeyValuePair<string, string>("amount", ToHuobiString(request.Quantity)),
new KeyValuePair<string, string>("coin_type", HuobiCoinType(request.Symbol)),
new KeyValuePair<string, string>("price", price),
}
);
}
return res;
}
