private void HandleUpdateRequest(object sender, CancelReplaceRequest request)
{
if (!books.ContainsKey(request.Contract))
{
((FixTcpClient)sender).Send(new BusinessLevelReject(request, BusinessLevelRejectReason.UnknownSecurity));
return;
}
var book = books[request.Contract];
var id = orderIds[request.OrderId];
if (!book.Contains(id))
{
((FixTcpClient)sender).Send(new BusinessLevelReject(request, BusinessLevelRejectReason.UnknownId));
return;
}
int maxVisibleQty = request.MaxVisibleQuantity ?? int.MaxValue;
switch (request.OrderType)
{
case OrderType.Limit:
book.UpdateLimitOrder(id, request.Price, request.Quantity, maxVisibleQty);
break;
case OrderType.Market:
book.UpdateLimitOrder(id, request.Price, request.Quantity, maxVisibleQty);
break;
case OrderType.MarketLimit:
book.UpdateLimitOrder(id, request.Price, request.Quantity, maxVisibleQty);
break;
case OrderType.Stop:
book.UpdateLimitOrder(id, request.Price, request.Quantity, maxVisibleQty);
break;
case OrderType.StopLimit:
book.UpdateLimitOrder(id, request.Price, request.Quantity, maxVisibleQty);
break;
}
}
public static Message GetMessage(byte[] data)
{
MessageType type = GetType(data);
Message mes = null;
if (type == MessageType.Logon)
{
mes = new Logon();
}
else if (type == MessageType.Heartbeat)
{
mes = new Heartbeat();
}
else if (type == MessageType.TestRequest)
{
mes = new TestRequest();
}
else if (type == MessageType.SequenceReset)
{
mes = new SequenceReset();
}
else if (type == MessageType.ResendRequest)
{
mes = new ResendRequest();
}
else if (type == MessageType.SessionLevelReject)
{
mes = new SessionLevelReject();
}
else if (type == MessageType.BusinessLevelReject)
{
mes = new BusinessLevelReject();
}
else if (type == MessageType.Logout)
{
mes = new Logout();
}
else if (type == MessageType.OrderSingle)
{
mes = new NewOrder();
}
else if (type == MessageType.OrderCancelReplaceRequest)
{
mes = new CancelReplaceRequest();
}
else if (type == MessageType.OrderCancelRequest)
{
mes = new CancelRequest();
}
else if (type == MessageType.OrderCancelReject)
{
mes = new CancelReject();
}
else if (type == MessageType.ExecutionReport)
{
var os = GetOrderStatus(data);
if (os == OrderStatus.New)
{
mes = new NewOrderAck();
}
else if (os == OrderStatus.Replaced)
{
mes = new CancelReplaceAck();
}
else if (os == OrderStatus.Cancelled)
{
mes = new CancelAck();
}
else if (os == OrderStatus.Rejected)
{
mes = new Reject();
}
else if (os == OrderStatus.PartiallyFilled)
{
mes = new Fill(true);
}
else if (os == OrderStatus.Filled)
{
mes = new Fill(false);
}
else if (os == OrderStatus.Expired)
{
mes = new Expire();
}
}
mes.Decode(data);
return(mes);
}