/// <summary>
/// Creates a FIX4.2 OrderCancelRequest message for Currenex
/// </summary>
/// <param name="order"></param>
/// <returns></returns>
public QuickFix.FIX42.OrderCancelRequest OrderCancelRequest(Order order)
{
QuickFix.FIX42.OrderCancelRequest orderCancelRequest = new QuickFix.FIX42.OrderCancelRequest();
QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
orderCancelRequest.SetField(origClOrdId);
QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
orderCancelRequest.SetField(clOrdId);
QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
orderCancelRequest.SetField(symbol);
QuickFix.Fields.Side side = new QuickFix.Fields.Side(Convert.ToChar(order.OrderSide));
orderCancelRequest.SetField(side);
QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
orderCancelRequest.SetField(transactTime);
QuickFix.Fields.OrdType ordType = new QuickFix.Fields.OrdType('F');
orderCancelRequest.SetField(ordType);
return(orderCancelRequest);
}
public bool CancelarOrdem(OrdemCancelamentoInfo ordem, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "", string senderSubID = "", string extraTags = "")
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.OrderCancelRequest ordercrr = new QuickFix.FIX42.OrderCancelRequest();
ordercrr.Set(new Account(ordem.Account.ToString()));
if (!string.IsNullOrEmpty(mnemonic))
{
ordercrr.SetField(new Account(mnemonic), true);
}
if (!string.IsNullOrEmpty(senderSubID))
{
ordercrr.Header.SetField(new SenderSubID(senderSubID), true);
}
ordercrr.Set(new Symbol(ordem.Symbol));
ordercrr.Set(new ClOrdID(ordem.ClOrdID));
ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordercrr.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordercrr.Set(new Side(Side.SELL));
}
else
{
ordercrr.Set(new Side(Side.BUY));
}
//TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
//if (tif != null)
// ordercrr.Set(tif);
ordercrr.Set(new OrderQty(ordem.OrderQty));
////if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
////{
//// DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
//// ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
////}
////OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
////if (ordType != null)
//// ordercrr.Set(ordType);
// Verifica envio do preco
//switch (ordem.OrdType)
//{
// case OrdemTipoEnum.Limitada:
// case OrdemTipoEnum.MarketWithLeftOverLimit:
// case OrdemTipoEnum.StopLimitada:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
// case OrdemTipoEnum.StopStart:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
// break;
// case OrdemTipoEnum.Mercado:
// case OrdemTipoEnum.OnClose:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
// default:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
//}
ordercrr.Set(new TransactTime(DateTime.Now));
//ordercrr.Set(new HandlInst('1'));
//ordercrr.Set(new ExecBroker("227"));
//if (ordem.MaxFloor > 0)
// ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
//if (ordem.MinQty > 0)
// ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
//QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
//noAllocsGrp.Set(new AllocAccount("67"));
//ordercrr.AddGroup(noAllocsGrp);
bool bRet = false;
// Tags Customizadas Bloomberg
if (!string.IsNullOrEmpty(extraTags))
{
string[] arr = extraTags.Split(';');
for (int i = 0; i < arr.Length; i++)
{
if (!string.IsNullOrEmpty(arr[i]))
{
string[] valor = arr[i].Split('=');
StringField fld = new StringField(Convert.ToInt32(valor[0]), valor[1]);
ordercrr.SetField(fld);
}
}
}
if (oriini != 0 && orifim != 0)
{
long times = fim - ini;
logger.Info("=====================================> INICIO CANCELAR ORDEM========> Qtd: " + times);
for (long i = 0; i < times; i++)
{
ClOrdID xx = new ClOrdID(ini.ToString());
OrigClOrdID xx2 = new OrigClOrdID(oriini.ToString());
ordercrr.ClOrdID = xx;
ordercrr.OrigClOrdID = xx2;
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
if (!bRet)
{
logger.Info("erro");
break;
}
if (0 != delay)
{
Thread.Sleep(delay);
}
ini++;
oriini++;
}
logger.Info("=====================================> FIM CANCELAR ORDEM========> Qtd: " + times);
}
else
{
bRet = Session.SendToTarget(ordercrr, _session.SessionID);
}
return(bRet);
}
public bool CancelarOrdem(OrdemCancelamentoInfo ordem)
{
//Cria a mensagem FIX de NewOrderSingle
QuickFix.FIX42.OrderCancelRequest ordercrr = new QuickFix.FIX42.OrderCancelRequest();
ordercrr.Set(new Account(ordem.Account.ToString()));
ordercrr.Set(new Symbol(ordem.Symbol));
ordercrr.Set(new ClOrdID(ordem.ClOrdID));
ordercrr.Set(new OrigClOrdID(ordem.OrigClOrdID));
// Armazena ClOrdID em Memo (5149) para posterior referência nos tratamentos de retornos
QuickFix.Fields.StringField field5149 = new QuickFix.Fields.StringField(5149, ordem.ClOrdID);
ordercrr.SetField(field5149);
//ordersingle.Set(new IDSource());
if (ordem.Side == OrdemDirecaoEnum.Venda)
{
ordercrr.Set(new Side(Side.SELL));
}
else
{
ordercrr.Set(new Side(Side.BUY));
}
//TimeInForce tif = FixMessageUtilities.deOrdemValidadeParaTimeInForce(ordem.TimeInForce);
//if (tif != null)
// ordercrr.Set(tif);
ordercrr.Set(new OrderQty(ordem.OrderQty));
////if (ordem.TimeInForce == OrdemValidadeEnum.ValidoAteDeterminadaData)
////{
//// DateTime expiredate = Convert.ToDateTime(ordem.ExpireDate);
//// ordercrr.Set(new ExpireDate(expiredate.ToString("yyyyMMdd")));
////}
////OrdType ordType = FixMessageUtilities.deOrdemTipoParaOrdType(ordem.OrdType);
////if (ordType != null)
//// ordercrr.Set(ordType);
// Verifica envio do preco
//switch (ordem.OrdType)
//{
// case OrdemTipoEnum.Limitada:
// case OrdemTipoEnum.MarketWithLeftOverLimit:
// case OrdemTipoEnum.StopLimitada:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
// case OrdemTipoEnum.StopStart:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// ordercrr.Set(new StopPx(Convert.ToDecimal(ordem.StopPrice)));
// break;
// case OrdemTipoEnum.Mercado:
// case OrdemTipoEnum.OnClose:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
// default:
// ordercrr.Set(new Price(Convert.ToDecimal(ordem.Price)));
// break;
//}
ordercrr.Set(new TransactTime(DateTime.Now));
//ordercrr.Set(new HandlInst('1'));
//ordercrr.Set(new ExecBroker("227"));
//if (ordem.MaxFloor > 0)
// ordercrr.Set(new MaxFloor(Convert.ToDecimal(ordem.MaxFloor)));
//if (ordem.MinQty > 0)
// ordercrr.Set(new MinQty(Convert.ToDecimal(ordem.MinQty)));
//QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup noAllocsGrp = new QuickFix.FIX42.OrderCancelReplaceRequest.NoAllocsGroup();
//noAllocsGrp.Set(new AllocAccount("67"));
//ordercrr.AddGroup(noAllocsGrp);
bool bRet = Session.SendToTarget(ordercrr, _session.SessionID);
return(bRet);
}