public void OnMessage(QuickFix.FIX43.OrderCancelReplaceRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX43.OrderCancelReject ocj = new QuickFix.FIX43.OrderCancelReject(
new OrderID(orderid), msg.ClOrdID, msg.OrigClOrdID, new OrdStatus(OrdStatus.REJECTED), new CxlRejResponseTo(CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST));
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.UNKNOWN_ORDER);
ocj.Text = new Text("Executor does not support order cancel/replaces");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private QuickFix.FIX43.OrderCancelReplaceRequest QueryCancelReplaceRequest43()
{
QuickFix.FIX43.OrderCancelReplaceRequest ocrr = new QuickFix.FIX43.OrderCancelReplaceRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
new HandlInst('1'),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
QueryOrdType());
if (QueryConfirm("New price"))
{
ocrr.Set(QueryPrice());
}
if (QueryConfirm("New quantity"))
{
ocrr.Set(QueryOrderQty());
}
QueryHeader(ocrr.Header);
return(ocrr);
}
private QuickFix.FIX43.OrderCancelReplaceRequest QueryCancelReplaceRequest43()
{
QuickFix.FIX43.OrderCancelReplaceRequest ocrr = new QuickFix.FIX43.OrderCancelReplaceRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
new HandlInst('1'),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
QueryOrdType());
if (QueryConfirm("New price"))
ocrr.Set(QueryPrice());
if (QueryConfirm("New quantity"))
ocrr.Set(QueryOrderQty());
QueryHeader(ocrr.Header);
return ocrr;
}