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);
}