private void SendCancelOrder(CreateOrChangeOrder order, bool resend)
{
var fixMsg = (FIXMessage4_2)(resend ? FixFactory.Create(order.Sequence) : FixFactory.Create());
order.Sequence = fixMsg.Sequence;
OrderStore.SetOrder(order);
var newClientOrderId = order.BrokerOrder;
fixMsg.SetOriginalClientOrderId(order.OriginalOrder.BrokerOrder.ToString());
fixMsg.SetClientOrderId(newClientOrderId.ToString());
#if NOT_LIME
fixMsg.SetAccount(AccountNumber);
fixMsg.SetSide(GetOrderSide(order.OriginalOrder.Side));
fixMsg.SetSymbol(order.Symbol.Symbol);
fixMsg.SetTransactTime(TimeStamp.UtcNow);
#endif
fixMsg.AddHeader("F");
if (resend)
{
fixMsg.SetDuplicate(true);
}
SendMessage(fixMsg);
}
private void OnCreateOrChangeBrokerOrder(CreateOrChangeOrder order, bool resend)
{
var fixMsg = (FIXMessage4_2)(resend ? FixFactory.Create(order.Sequence) : FixFactory.Create());
order.Sequence = fixMsg.Sequence;
OrderStore.SetOrder(order);
OrderStore.SetSequences(RemoteSequence, FixFactory.LastSequence);
if (order.Size > order.Symbol.MaxOrderSize)
{
throw new ApplicationException("Order was greater than MaxOrderSize of " + order.Symbol.MaxPositionSize + " for:\n" + order);
}
var orderHandler = GetAlgorithm(order.Symbol.BinaryIdentifier);
var orderSize = order.Type == OrderType.SellLimit || order.Type == OrderType.SellMarket || order.Type == OrderType.SellStop ? -order.Size : order.Size;
if (Math.Abs(orderHandler.OrderAlgorithm.ActualPosition + orderSize) > order.Symbol.MaxPositionSize)
{
throw new ApplicationException("Order was greater than MaxPositionSize of " + order.Symbol.MaxPositionSize + " for:\n" + order);
}
if (debug)
{
log.Debug("Adding Order to open order list: " + order);
}
if (order.Action == OrderAction.Change)
{
var origBrokerOrder = order.OriginalOrder.BrokerOrder;
fixMsg.SetClientOrderId(order.BrokerOrder.ToString());
fixMsg.SetOriginalClientOrderId(origBrokerOrder.ToString());
CreateOrChangeOrder origOrder;
if (OrderStore.TryGetOrderById(origBrokerOrder, out origOrder))
{
origOrder.ReplacedBy = order;
if (debug)
{
log.Debug("Setting replace property of " + origBrokerOrder + " to " + order.BrokerOrder);
}
}
}
else
{
fixMsg.SetClientOrderId(order.BrokerOrder.ToString());
}
if (order.Action == OrderAction.Change)
{
fixMsg.AddHeader("G");
}
else
{
fixMsg.AddHeader("D");
if (order.Symbol.Destination.ToLower() == "default")
{
fixMsg.SetDestination(Destination);
}
else
{
fixMsg.SetDestination(order.Symbol.Destination);
}
}
fixMsg.SetSymbol(order.Symbol.Symbol);
fixMsg.SetSide(order.Side == OrderSide.Buy ? 1 : 5);
switch (order.Type)
{
case OrderType.BuyLimit:
fixMsg.SetOrderType(2);
fixMsg.SetPrice(order.Price);
switch (order.Symbol.TimeInForce)
{
case TimeInForce.Day:
fixMsg.SetTimeInForce(0);
break;
case TimeInForce.GTC:
throw new LimeException("Lime does not accept GTC Buy Lime Orders");
default:
throw new ArgumentOutOfRangeException();
}
break;
case OrderType.BuyMarket:
fixMsg.SetOrderType(1);
//fixMsg.SetTimeInForce(0);
break;
case OrderType.BuyStop:
// throw new LimeException("Lime does not accept Buy Stop Orders");
log.Error("Lime: Buy Stops not supproted");
break;
case OrderType.SellLimit:
fixMsg.SetOrderType(2);
fixMsg.SetPrice(order.Price);
switch (order.Symbol.TimeInForce)
{
case TimeInForce.Day:
fixMsg.SetTimeInForce(0);
break;
case TimeInForce.GTC:
throw new LimeException("Lime does not accept GTC Buy Lime Orders");
default:
throw new ArgumentOutOfRangeException();
}
break;
case OrderType.SellMarket:
fixMsg.SetOrderType(1);
//fixMsg.SetTimeInForce(0);
break;
case OrderType.SellStop:
//throw new LimeException("Lime does not accept Sell Stop Orders");
log.Error("Lime: Sell Stops not supproted");
break;
default:
throw new LimeException("Unknown OrderType");
}
fixMsg.SetOrderQuantity((int)order.Size);
if (order.Action == OrderAction.Change)
{
if (verbose)
{
log.Verbose("Change order: \n" + fixMsg);
}
}
else
{
if (verbose)
{
log.Verbose("Create new order: \n" + fixMsg);
}
}
if (resend)
{
fixMsg.SetDuplicate(true);
}
#if NOT_LIME
fixMsg.SetAccount(AccountNumber);
fixMsg.SetHandlingInstructions(1);
fixMsg.SetLocateRequired("N");
fixMsg.SetTransactTime(order.UtcCreateTime);
fixMsg.SetOrderCapacity("A");
fixMsg.SetUserName();
#endif
fixMsg.SetSendTime(order.UtcCreateTime);
SendMessage(fixMsg);
}
