public static QuickFix.FIX42.OrderCancelReplaceRequest OrderCancelReplaceRequest(
Dictionary <int, string> customFields,
QuickFix.FIX42.NewOrderSingle nos, int newQty, decimal newPrice)
{
QuickFix.FIX42.OrderCancelReplaceRequest ocrq = new QuickFix.FIX42.OrderCancelReplaceRequest(
new QuickFix.Fields.OrigClOrdID(nos.ClOrdID.Obj),
GenerateClOrdID(),
new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE),
nos.Symbol,
nos.Side,
new QuickFix.Fields.TransactTime(DateTime.Now),
nos.OrdType);
ocrq.OrderQty = new QuickFix.Fields.OrderQty(newQty);
if (nos.OrdType.Obj != QuickFix.Fields.OrdType.MARKET)
{
ocrq.Price = new QuickFix.Fields.Price(newPrice);
}
// other fields to relay
ocrq.TimeInForce = nos.TimeInForce;
// add custom fields
foreach (KeyValuePair <int, string> p in customFields)
{
ocrq.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
}
return(ocrq);
}
public void OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, QuickFix.SessionID session)
{
try
{
// qty set ?
int qty = -1;
if (msg.IsSetOrderQty())
{
qty = Convert.ToInt32(msg.OrderQty.getValue());
}
else if (msg.IsSetCashOrderQty())
{
qty = Convert.ToInt32(msg.CashOrderQty.getValue());
}
if (qty < 0)
{
RejectCancelRequest(session, msg.ClOrdID, msg.OrigClOrdID, null, "Qty nor CashOrderQty field is not set", QuickFix.Fields.CxlRejReason.BROKER_OPTION, true);
return;
}
double price = (msg.IsSetPrice() ? Convert.ToDouble(msg.Price.getValue()) : 0);
double stopPx = (msg.IsSetStopPx() ? Convert.ToDouble(msg.StopPx.getValue()) : 0);
ProcessOrderCancelRequest(session, msg.ClOrdID, msg.OrigClOrdID, true, qty, price, stopPx);
}
catch (Exception e)
{
RejectCancelRequest(session, msg.ClOrdID, msg.OrigClOrdID, null, "OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, QuickFix.SessionID session) : internal error : " + e.ToString()
, QuickFix.Fields.CxlRejReason.OTHER, true);
}
}
public void OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX42.OrderCancelReject ocj = new QuickFix.FIX42.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());
}
}
/// <summary>
///
/// </summary>
/// <param name="or"></param>
/// <param name="newQty"></param>
/// <param name="newPrice">ignored if not applicable for order type</param>
/// <param name="customFields">other custom fields to be added</param>
public void CancelReplaceOrder(OrderRecord or, int newQty, decimal newPrice, Dictionary <int, string> customFields)
{
try
{
QuickFix.FIX42.OrderCancelReplaceRequest ocrq = MessageCreator42.OrderCancelReplaceRequest(
customFields, or.OriginalNOS, newQty, newPrice);
ocrq.OrderID = new QuickFix.Fields.OrderID(or.OrderID);
_strategy.ProcessOrderCancelReplaceRequest(or.OriginalNOS, ocrq);
_qfapp.Send(ocrq);
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
private QuickFix.FIX42.OrderCancelReplaceRequest QueryCancelReplaceRequest42()
{
QuickFix.FIX42.OrderCancelReplaceRequest ocrr = new QuickFix.FIX42.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);
}
public int amendOrder(ref OrderStruct os)
{
if (!isOrderAmendPossible(os.OrderStatus))
{
return(-1);
}
OrderDAO ord = new OrderDAO();
int newOrdID = ord.amendOrder(ref os); // OrderID is the last FixAccepted version
Console.WriteLine("TODO: Send FIX - cancel for os.LinkedOrderID ; Send FIX - New for os.ID");
OrigClOrdID origCLOrdID = new OrigClOrdID(Convert.ToString(os.ID));
ClOrdID OrdId = new ClOrdID(Convert.ToString(newOrdID));
string symboldata = sanitiseField(os.symbol);
Symbol symbol = new Symbol(symboldata);
Side side = new Side(Side.BUY);
if (os.direction == 'S')
{
side = new Side(Side.SELL);
}
OrdType ordType = new OrdType(OrdType.LIMIT);
if (os.orderType == 1)
{
ordType = new OrdType(OrdType.MARKET);
}
var orderMod = new QuickFix.FIX42.OrderCancelReplaceRequest(origCLOrdID, OrdId, new HandlInst('1'), symbol, side, new TransactTime(DateTime.Now.ToUniversalTime()), ordType);
int Qty = (int)os.quantity;
orderMod.Price = new Price((decimal)os.price);
orderMod.SetField(new OrderQty(Qty));
Console.WriteLine("Modifying origOrdId/FixAcceptedID : " + os.ID + " newOrderID : " + newOrdID);
Console.WriteLine("symboldata : " + symboldata + " side : " + side + " Price : " + os.price + " qty : " + os.quantity);
Session.SendToTarget(orderMod, FixClient.MySess);
return(os.OrderNo);
}
public static QuickFix.FIX42.OrderCancelReplaceRequest OrderCancelReplaceRequest(
Dictionary<int, string> customFields,
QuickFix.FIX42.NewOrderSingle nos, int newQty, decimal newPrice)
{
QuickFix.FIX42.OrderCancelReplaceRequest ocrq = new QuickFix.FIX42.OrderCancelReplaceRequest(
new QuickFix.Fields.OrigClOrdID(nos.ClOrdID.Obj),
GenerateClOrdID(),
new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE),
nos.Symbol,
nos.Side,
new QuickFix.Fields.TransactTime(DateTime.Now),
nos.OrdType);
ocrq.OrderQty = new QuickFix.Fields.OrderQty(newQty);
if(nos.OrdType.Obj!=QuickFix.Fields.OrdType.MARKET)
ocrq.Price = new QuickFix.Fields.Price(newPrice);
// other fields to relay
ocrq.TimeInForce = nos.TimeInForce;
// add custom fields
foreach (KeyValuePair<int, string> p in customFields)
ocrq.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
return ocrq;
}
public void ProcessOrderCancelReplaceRequest(QuickFix.FIX42.NewOrderSingle nos, QuickFix.FIX42.OrderCancelReplaceRequest msg)
{
}
public void OnMessage(QuickFix.FIX42.OrderCancelReplaceRequest msg, SessionID sessionID)
{
_fix42MessageHandler.OnMessage(msg, sessionID);
}
private QuickFix.FIX42.OrderCancelReplaceRequest QueryCancelReplaceRequest42()
{
QuickFix.FIX42.OrderCancelReplaceRequest ocrr = new QuickFix.FIX42.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;
}
