private void QueryCancelOrder()
{
Console.WriteLine("\nOrderCancelRequest");
QuickFix.FIX50.OrderCancelRequest m = QueryOrderCancelRequest44();
if (m != null && QueryConfirm("Cancel order"))
{
SendMessage(m);
}
}
private QuickFix.FIX50.OrderCancelRequest QueryOrderCancelRequest44()
{
QuickFix.FIX50.OrderCancelRequest orderCancelRequest = new QuickFix.FIX50.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
// QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now));
orderCancelRequest.Set(QueryOrderQty());
return(orderCancelRequest);
}
private void CancelOrder(string exchange, string clientOrderId, string exchangeOrderId, string symbol, bool isBuy)
{
var cancelOrder = new QuickFix.FIX50.OrderCancelRequest();
cancelOrder.OrigClOrdID = new QuickFix.Fields.OrigClOrdID(clientOrderId);
cancelOrder.ClOrdID = new QuickFix.Fields.ClOrdID(clientOrderId);
if (exchangeOrderId != null)
{
cancelOrder.OrderID = new QuickFix.Fields.OrderID(exchangeOrderId);
}
cancelOrder.SecurityExchange = new QuickFix.Fields.SecurityExchange(exchange);
cancelOrder.Side = new QuickFix.Fields.Side(isBuy ? '1' : '2');
cancelOrder.Symbol = new QuickFix.Fields.Symbol(symbol);
cancelOrder.TransactTime = new QuickFix.Fields.TransactTime(DateTime.Now.ToUniversalTime());
SendMessage(cancelOrder);
}
public void OnMessage(QuickFix.FIX50.OrderCancelRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX50.OrderCancelReject ocj = new QuickFix.FIX50.OrderCancelReject(
new OrderID(orderid), msg.ClOrdID, msg.OrigClOrdID, new OrdStatus(OrdStatus.REJECTED), new CxlRejResponseTo(CxlRejResponseTo.ORDER_CANCEL_REQUEST));
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.OTHER);
ocj.Text = new Text("Executor does not support order cancels");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private QuickFix.FIX50.OrderCancelRequest QueryOrderCancelRequest50()
{
QuickFix.FIX50.OrderCancelRequest orderCancelRequest = new QuickFix.FIX50.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
QuerySide(),
new TransactTime(DateTime.Now));
orderCancelRequest.Set(QuerySymbol());
orderCancelRequest.Set(QueryOrderQty());
QueryHeader(orderCancelRequest.Header);
return orderCancelRequest;
}
