private QuickFix.FIX41.OrderCancelRequest QueryOrderCancelRequest41()
{
QuickFix.FIX41.OrderCancelRequest orderCancelRequest = new QuickFix.FIX41.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
QuerySymbol(),
QuerySide());
orderCancelRequest.Set(QueryOrderQty());
QueryHeader(orderCancelRequest.Header);
return(orderCancelRequest);
}
public void OnMessage(QuickFix.FIX41.OrderCancelRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX41.OrderCancelReject ocj = new QuickFix.FIX41.OrderCancelReject(
new OrderID(orderid), msg.ClOrdID, msg.OrigClOrdID, new OrdStatus(OrdStatus.REJECTED));
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.UNKNOWN_ORDER);
ocj.Text = new Text("Executor does not support order cancels");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private QuickFix.FIX41.OrderCancelRequest QueryOrderCancelRequest41()
{
QuickFix.FIX41.OrderCancelRequest orderCancelRequest = new QuickFix.FIX41.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
QuerySymbol(),
QuerySide());
orderCancelRequest.Set(QueryOrderQty());
QueryHeader(orderCancelRequest.Header);
return orderCancelRequest;
}
