/// <summary>
/// Creates a FIX4.4 OrderCancelRequest message for Fxcm
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX44.OrderCancelRequest OrderCancelRequest(Order order)
{
char orderSide = default(char);
if (order.OrderSide == Constants.OrderSide.BUY)
{
orderSide = Side.BUY;
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
orderSide = Side.SELL;
}
if (orderSide.Equals(default(char)))
{
_logger.Error("Invalid Order Side", _type.FullName, "OrderCancelRequest");
return(null);
}
QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();
QuickFix.Fields.OrderID orderId = new QuickFix.Fields.OrderID(order.BrokerOrderID);
orderCancelRequest.SetField(orderId);
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);
var account = new QuickFix.Fields.Account(_account);
orderCancelRequest.SetField(account);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(orderSide);
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
/// <summary>
/// Creates a FIX4.3 OrderCancelRequest message for Integral
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX43.OrderCancelRequest orderCancelRequest = new QuickFix.FIX43.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.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
orderCancelRequest.SetField(product);
return(orderCancelRequest);
}
public void Set(QuickFix.Fields.Product val)
{
this.Product = val;
}
public bool IsSet(QuickFix.Fields.Product val)
{
return(IsSetProduct());
}
public QuickFix.Fields.Product Get(QuickFix.Fields.Product val)
{
GetField(val);
return(val);
}
public void Set(QuickFix.Fields.Product val)
{
this.Product = val;
}
/// <summary>
/// Creates a FIX4.3 NewOrderSingle message for Integral
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX43.NewOrderSingle NewOrderSingle(Order order)
{
var newOrderSingle = new QuickFix.FIX43.NewOrderSingle();
var clOrdId = new QuickFix.Fields.ClOrdID(order.OrderID);
newOrderSingle.SetField(clOrdId);
var securityType = new QuickFix.Fields.SecurityType(FixCommon.Constants.SecurityType.ForeignExchangeContract);
newOrderSingle.SetField(securityType);
var symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
newOrderSingle.SetField(symbol);
var product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
newOrderSingle.SetField(product);
//set order side
if (order.OrderSide == Constants.OrderSide.BUY)
{
newOrderSingle.Set(new Side(Side.BUY));
}
else if (order.OrderSide == Constants.OrderSide.SELL)
{
newOrderSingle.Set(new Side(Side.SELL));
}
var transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
newOrderSingle.SetField(transactTime);
var orderQty = new QuickFix.Fields.OrderQty(order.OrderSize);
newOrderSingle.SetField(orderQty);
var minQty = new QuickFix.Fields.MinQty(order.OrderSize);
newOrderSingle.SetField(minQty);
//only limit and market orders are supported.
if (order.GetType() == typeof(LimitOrder))
{
newOrderSingle.Set(new OrdType(OrdType.LIMIT));
newOrderSingle.Set(new Price(((LimitOrder)order).LimitPrice));
}
else if (order.GetType() == typeof(MarketOrder))
{
newOrderSingle.Set(new OrdType(OrdType.MARKET));
}
var maxShow = new QuickFix.Fields.MaxShow(order.OrderSize);
newOrderSingle.SetField(maxShow);
var tif = new QuickFix.Fields.TimeInForce(FixCommon.Converter.ConvertTif.GetFixValue(order.OrderTif));
newOrderSingle.SetField(tif);
var execInst = new QuickFix.Fields.ExecInst(ExecInst.BEST_EXECUTION);
newOrderSingle.SetField(execInst);
var currency = new QuickFix.Fields.Currency(order.OrderCurrency);
newOrderSingle.SetField(currency);
var handlInst = new QuickFix.Fields.HandlInst(HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
newOrderSingle.SetField(handlInst);
return(newOrderSingle);
}