public void CancelOrder(string oriID, string clrID, char sideID, string symbolID)
{
OrigClOrdID origClOrdID = new OrigClOrdID(oriID);
ClOrdID clOrdID = new ClOrdID(clrID);
Side side = new Side(sideID);
Symbol symbol = new Symbol(symbolID);
TransactTime time = new TransactTime();
QuickFix42.OrderCancelRequest message = new QuickFix42.OrderCancelRequest(origClOrdID, clOrdID, symbol, side, time);
message.setInt(38, 0);//委托数量,这里不设置竟无法撤单。
SendToServer(message);
}
/// <summary>
/// Send order cancel request message for order specified by TTOrderKey (QuickFix.OrderID)
/// </summary>
/// <param name="TTOrderkey"></param>
public void ttOrderCancelRequest(string TTOrderkey)
{
try
{
QuickFix42.OrderCancelRequest ocr = new QuickFix42.OrderCancelRequest();
ocr.set(new QuickFix.ClOrdID(uniqueID()));
ocr.set(new QuickFix.OrderID(TTOrderkey));
QuickFix.Session.sendToTarget(ocr, orderSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}
public QuickFix42.OrderCancelRequest GenerateCancelRequest(string clOrdId, int index)
{
string originalId = (string)LimitOrders[index];
QuickFix42.Message msg = Msgs[originalId];
//check for a recent ID
string temp = LimitLib.GetRecentId(originalId);
if (temp != null)
{
//limitLib.add(originalID, clOrdId); //associate new Id
originalId = temp; //send with most recent from previous request
}
Side oldSide = new Side();
msg.getField(oldSide);
TransactTime uTime = new TransactTime();
msg.getField(uTime);
QuickFix42.OrderCancelRequest ocr = new QuickFix42.OrderCancelRequest(
new OrigClOrdID(originalId),
new ClOrdID(clOrdId),
new Symbol(msg.getField(Symbol.FIELD)), //Necessary Field for canceling child orders
oldSide, //Necessary Field for canceling child orders
uTime);
OrderID oid = new OrderID("x");
ocr.setField(oid);
//Neccessary Field for canceling child orders
Price limitPrice = new Price();
msg.getField(limitPrice);
//OCR.setField(limitPrice);
ocr.setField(57, msg.getField(57));
ocr.setField(9102, msg.getField(9102));
return(ocr);
}
public QuickFix42.OrderCancelRequest GenerateManualCancelRequest(string clOrdId, string originalId, string symbol, string side, double price, string route = "NEFAN", string channel = "X")
{
//QuickFix42.Message msg = MSGS[(string)LimitOrders[index]];
Side sd = new Side(Side.BUY);
if (side.Equals("B") || side.Equals("b") || side.Equals("buy") || side.Equals("BUY"))
{
sd = new Side(Side.BUY);
}
else if (side.Equals("S") || side.Equals("s") || side.Equals("sell") || side.Equals("SELL"))
{
sd = new Side(Side.SELL);
}
else if (side.Equals("SS") || side.Equals("ss") || side.Equals("ssell") || side.Equals("SSELL") || side.Equals("SHORT") || side.Equals("short"))
{
sd = new Side(Side.SELL_SHORT);
}
TransactTime uTime = new TransactTime(DateTime.Parse("20110708 15:24:26"));
//msg.getField(uTime);
QuickFix42.OrderCancelRequest ocr = new QuickFix42.OrderCancelRequest(
new OrigClOrdID(originalId),
new ClOrdID(clOrdId),
new Symbol(symbol), //Necessary Field for canceling child orders
sd, //Necessary Field for canceling child orders
uTime);
OrderID oid = new OrderID("x");
ocr.setField(oid);
//Neccessary Field for canceling child orders
Price limitPrice = new Price(price);
//msg.getField(limitPrice);
ocr.setField(limitPrice);
ocr.setField(57, "ALGO1");
ocr.setField(9102, "T");
return(ocr);
}
public QuickFix42.OrderCancelRequest SendLimitOrderCancelRequest(string originalId, string orderId, string exId)
{
//int id = rand.Next(100000000, 200000000);
QuickFix42.OrderCancelRequest m = new QuickFix42.OrderCancelRequest(new OrigClOrdID(originalId), new ClOrdID(orderId), new Symbol("BAC"), new Side(Side.BUY), new TransactTime(DateTime.UtcNow));
//addtional required fields
m.set(new OrderQty(100));
m.set(new OrderID(exId));
//RMG Routing
m.setField(57, "ALGO1");
m.setField(9102, "T");
//m.setField(6210, "0");
//Price p = new Price(12.99);
//m.set(p);
//Session.sendToTarget(m, oKnightSessionID);
return(m);
}
public override void Send(FIXOrderCancelRequest Request)
{
QuickFix42.OrderCancelRequest request = new QuickFix42.OrderCancelRequest(
new QuickFix.OrigClOrdID(Request.OrigClOrdID),
new QuickFix.ClOrdID(Request.ClOrdID),
new QuickFix.Symbol(Request.Symbol),
new QuickFix.Side(Request.Side),
new QuickFix.TransactTime(Request.TransactTime));
// instrument component block
//request.set(new QuickFix.SecurityType(Request.SecurityType));
//request.set(new QuickFix.SecurityID(Request.SecurityID));
//request.set(new QuickFix.SecurityExchange(Request.SecurityExchange));
//request.set(new QuickFix.Account(Request.Account));
request.set(new QuickFix.OrderQty(0)); //GS FIX
cancelRequests.Add(Request.ClOrdID, Request);
Session.sendToTarget(request, orderSessionID);
}
//35 = F
public override void onMessage(QuickFix42.OrderCancelRequest message, SessionID sessionID)
{
}
public override void Send(FIXOrderCancelRequest Request)
{
QuickFix42.OrderCancelRequest request = new QuickFix42.OrderCancelRequest(
new QuickFix.OrigClOrdID(Request.OrigClOrdID),
new QuickFix.ClOrdID(Request.ClOrdID),
new QuickFix.Symbol(Request.Symbol),
new QuickFix.Side(Request.Side),
new QuickFix.TransactTime(Request.TransactTime));
// instrument component block
//request.set(new QuickFix.SecurityType(Request.SecurityType));
//request.set(new QuickFix.SecurityID(Request.SecurityID));
//request.set(new QuickFix.SecurityExchange(Request.SecurityExchange));
//request.set(new QuickFix.Account(Request.Account));
request.set(new QuickFix.OrderQty(0)); //GS FIX
cancelRequests.Add(Request.ClOrdID, Request);
Session.sendToTarget(request, orderSessionID);
}
public sealed override void onMessage(QuickFix42.OrderCancelRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
