private void HandleCreateRequest(object sender, NewOrder request)
{
if (!books.ContainsKey(request.Contract))
{
((FixTcpClient)sender).Send(new BusinessLevelReject(request, BusinessLevelRejectReason.UnknownSecurity));
return;
}
int id = nextOrderId++;
string globexId = id.ToString();
ordersToClients[id] = (FixTcpClient)sender;
orderInfos[id] = new OrderInfo(globexId, request.ClientOrderId,
request.CorrelationClientOrderId, request.Account,
request.IsManualOrder, request.PreTradeAnonymity);
orderIds[globexId] = id;
var book = books[request.Contract];
int minQty = request.MinQuantity ?? 0;
int maxVisibleQty = request.MaxVisibleQuantity ?? int.MaxValue;
SelfMatchPreventionInstruction smpMode = request.SelfMatchPreventionInstruction ?? SelfMatchPreventionInstruction.CancelResting;
switch (request.OrderType)
{
case OrderType.Limit:
book.CreateLimitOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Price, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.Market:
book.CreateMarketOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.MarketLimit:
book.CreateMarketLimitOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.Stop:
book.CreateStopOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.StopPrice, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
case OrderType.StopLimit:
book.CreateStopLimitOrder(id, request.TimeInForce, request.ExpireDate,
request.Side, request.Price, request.StopPrice, request.Quantity,
minQty, maxVisibleQty,
request.SelfMatchPreventionId, smpMode);
break;
}
}
