/// <summary>
        /// Creates a FIX4.4 OrderCancelRequest message for Forexware
        /// </summary>
        /// <param name="order"></param>
        /// <returns></returns>
        public QuickFix.FIX44.OrderCancelRequest OrderCancelRequest(Order order)
        {
            QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();

            QuickFix.Fields.ClOrdID clOrdId = new QuickFix.Fields.ClOrdID(DateTime.Now.ToString(("yyMMddHmsfff")));
            orderCancelRequest.SetField(clOrdId);

            QuickFix.Fields.OrigClOrdID origClOrdId = new QuickFix.Fields.OrigClOrdID(order.OrderID);
            orderCancelRequest.SetField(origClOrdId);

            var account = new QuickFix.Fields.Account(_account);

            orderCancelRequest.SetField(account);

            QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
            orderCancelRequest.SetField(symbol);

            //set order side
            if (order.OrderSide == Constants.OrderSide.BUY)
            {
                orderCancelRequest.Set(new Side(Side.BUY));
            }
            else if (order.OrderSide == Constants.OrderSide.SELL)
            {
                orderCancelRequest.Set(new Side(Side.SELL));
            }

            QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
            orderCancelRequest.SetField(transactTime);

            //QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
            //orderCancelRequest.SetField(product);

            return(orderCancelRequest);
        }
Esempio n. 2
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        /// <summary>
        /// Creates a FIX4.4 OrderCancelRequest message for Fxcm
        /// </summary>
        /// <param name="order"></param>
        /// <returns></returns>
        public QuickFix.FIX44.OrderCancelRequest OrderCancelRequest(Order order)
        {
            char orderSide = default(char);

            if (order.OrderSide == Constants.OrderSide.BUY)
            {
                orderSide = Side.BUY;
            }
            else if (order.OrderSide == Constants.OrderSide.SELL)
            {
                orderSide = Side.SELL;
            }

            if (orderSide.Equals(default(char)))
            {
                _logger.Error("Invalid Order Side", _type.FullName, "OrderCancelRequest");
                return(null);
            }

            QuickFix.FIX44.OrderCancelRequest orderCancelRequest = new QuickFix.FIX44.OrderCancelRequest();

            QuickFix.Fields.OrderID orderId = new QuickFix.Fields.OrderID(order.BrokerOrderID);
            orderCancelRequest.SetField(orderId);

            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);

            var account = new QuickFix.Fields.Account(_account);

            orderCancelRequest.SetField(account);

            QuickFix.Fields.Symbol symbol = new QuickFix.Fields.Symbol(order.Security.Symbol);
            orderCancelRequest.SetField(symbol);


            QuickFix.Fields.Side side = new QuickFix.Fields.Side(orderSide);
            orderCancelRequest.SetField(side);

            QuickFix.Fields.TransactTime transactTime = new QuickFix.Fields.TransactTime(order.OrderDateTime);
            orderCancelRequest.SetField(transactTime);

            QuickFix.Fields.Product product = new QuickFix.Fields.Product(FixCommon.Constants.Product.Currency);
            orderCancelRequest.SetField(product);

            return(orderCancelRequest);
        }
Esempio n. 3
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        public bool CancelarOrdem(OrdemCancelamentoInfo orderCancelInfo, long ini = 0, long fim = 0, long oriini = 0, long orifim = 0, int delay = 0, string mnemonic = "")
        {
            //Cria a mensagem FIX de OrderCancelRequest
            QuickFix.FIX44.OrderCancelRequest orderCancel = new QuickFix.FIX44.OrderCancelRequest();

            if (orderCancelInfo.Account > 0)
            {
                orderCancel.Set(new Account(orderCancelInfo.Account.ToString()));
            }
            if (!string.IsNullOrEmpty(mnemonic))
            {
                orderCancel.SetField(new Account(mnemonic), true);
            }

            orderCancel.Set(new OrigClOrdID(orderCancelInfo.OrigClOrdID));
            orderCancel.Set(new ClOrdID(orderCancelInfo.ClOrdID));
            if (orderCancelInfo.OrderID != null && orderCancelInfo.OrderID.Length > 0)
            {
                orderCancel.Set(new OrderID(orderCancelInfo.OrderID));
            }

            // Instrument Identification Block
            orderCancel.Set(new Symbol(orderCancelInfo.Symbol));
            orderCancel.Set(new SecurityID(orderCancelInfo.SecurityID));
            orderCancel.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));

            if (orderCancelInfo.Side == OrdemDirecaoEnum.Venda)
            {
                orderCancel.Set(new Side(Side.SELL));
            }
            else
            {
                orderCancel.Set(new Side(Side.BUY));
            }
            orderCancel.Set(new TransactTime(DateTime.Now));

            //ATP - 2012-10-29
            //Qtde de contratos/papeis a serem cancelados
            orderCancel.Set(new OrderQty(orderCancelInfo.OrderQty));

            // Cliente
            QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
            PartyIDGroup1.Set(new PartyID(orderCancelInfo.ExecBroker));
            PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
            PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));

            // Corretora
            QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
            PartyIDGroup2.Set(new PartyID("227"));
            PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
            PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));

            QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
            if (orderCancelInfo.SenderLocation != null && orderCancelInfo.SenderLocation.Length > 0)
            {
                PartyIDGroup3.Set(new PartyID(orderCancelInfo.SenderLocation));
            }
            else
            {
                PartyIDGroup3.Set(new PartyID("GRA"));
            }
            PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
            PartyIDGroup3.Set(new PartyRole(54));

            orderCancel.AddGroup(PartyIDGroup1);
            orderCancel.AddGroup(PartyIDGroup2);
            orderCancel.AddGroup(PartyIDGroup3);

            //BEI - 2012-Nov-14
            if (orderCancelInfo.ForeignFirm != null && orderCancelInfo.ForeignFirm.Length > 0)
            {
                QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
                PartyIDGroup4.Set(new PartyID(orderCancelInfo.ForeignFirm));
                PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
                PartyIDGroup4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));

                orderCancel.AddGroup(PartyIDGroup4);
            }

            if (orderCancelInfo.ExecutingTrader != null && orderCancelInfo.ExecutingTrader.Length > 0)
            {
                QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
                PartyIDGroup7.Set(new PartyID(orderCancelInfo.ExecutingTrader));
                PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
                PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));

                orderCancel.AddGroup(PartyIDGroup7);
            }

            // Memo Field
            if (orderCancelInfo.Memo5149 != null && orderCancelInfo.Memo5149.Length > 0)
            {
                if (orderCancelInfo.Memo5149.Length > 50)
                {
                    orderCancelInfo.Memo5149 = orderCancelInfo.Memo5149.Substring(0, 50);
                }

                StringField memo5149 = new StringField(5149, orderCancelInfo.Memo5149);

                orderCancel.SetField(memo5149);
            }
            bool bRet = false;

            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());
                    orderCancel.ClOrdID     = xx;
                    orderCancel.OrigClOrdID = xx2;

                    bRet = Session.SendToTarget(orderCancel, _session.SessionID);
                    if (!bRet)
                    {
                        logger.Info("erro");
                        break;
                    }
                    if (0 != delay)
                    {
                        Thread.Sleep(delay);
                    }
                    ini++;
                    oriini++;
                    //System.Windows.Forms.Application.DoEvents();
                }
                logger.Info("=====================================> FIM CANCELAR ORDEM========> Qtd: " + times);
            }
            else
            {
                bRet = Session.SendToTarget(orderCancel, _session.SessionID);
            }



            return(bRet);
        }
Esempio n. 4
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        public bool CancelarOrdem(OrdemCancelamentoInfo orderCancelInfo)
        {
            //Cria a mensagem FIX de OrderCancelRequest
            QuickFix.FIX44.OrderCancelRequest orderCancel = new QuickFix.FIX44.OrderCancelRequest();

            if (orderCancelInfo.Account > 0)
            {
                orderCancel.Set(new Account(orderCancelInfo.Account.ToString()));
            }

            orderCancel.Set(new OrigClOrdID(orderCancelInfo.OrigClOrdID));
            orderCancel.Set(new ClOrdID(orderCancelInfo.ClOrdID));
            if (orderCancelInfo.OrderID != null && orderCancelInfo.OrderID.Length > 0)
            {
                orderCancel.Set(new OrderID(orderCancelInfo.OrderID));
            }


            // Instrument Identification Block
            orderCancel.Set(new Symbol(orderCancelInfo.Symbol));
            orderCancel.Set(new SecurityID(orderCancelInfo.SecurityID));
            orderCancel.Set(new SecurityIDSource(SecurityIDSource.EXCHANGE_SYMBOL));

            if (orderCancelInfo.Side == OrdemDirecaoEnum.Venda)
            {
                orderCancel.Set(new Side(Side.SELL));
            }
            else
            {
                orderCancel.Set(new Side(Side.BUY));
            }
            orderCancel.Set(new TransactTime(DateTime.Now));

            //ATP - 2012-10-29
            //Qtde de contratos/papeis a serem cancelados
            orderCancel.Set(new OrderQty(orderCancelInfo.OrderQty));

            // Cliente
            QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup1 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
            PartyIDGroup1.Set(new PartyID(orderCancelInfo.ExecBroker));
            PartyIDGroup1.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
            PartyIDGroup1.Set(new PartyRole(PartyRole.ENTERING_TRADER));

            // Corretora
            QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup2 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
            PartyIDGroup2.Set(new PartyID("227"));
            PartyIDGroup2.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
            PartyIDGroup2.Set(new PartyRole(PartyRole.ENTERING_FIRM));

            QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup3 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
            if (orderCancelInfo.SenderLocation != null && orderCancelInfo.SenderLocation.Length > 0)
            {
                PartyIDGroup3.Set(new PartyID(orderCancelInfo.SenderLocation));
            }
            else
            {
                PartyIDGroup3.Set(new PartyID("GRA"));
            }
            PartyIDGroup3.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
            PartyIDGroup3.Set(new PartyRole(54));

            orderCancel.AddGroup(PartyIDGroup1);
            orderCancel.AddGroup(PartyIDGroup2);
            orderCancel.AddGroup(PartyIDGroup3);

            //BEI - 2012-Nov-14
            if (orderCancelInfo.ForeignFirm != null && orderCancelInfo.ForeignFirm.Length > 0)
            {
                QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup4 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
                PartyIDGroup4.Set(new PartyID(orderCancelInfo.ForeignFirm));
                PartyIDGroup4.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
                PartyIDGroup4.Set(new PartyRole(PartyRole.FOREIGN_FIRM));

                orderCancel.AddGroup(PartyIDGroup4);
            }

            if (orderCancelInfo.ExecutingTrader != null && orderCancelInfo.ExecutingTrader.Length > 0)
            {
                QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup PartyIDGroup7 = new QuickFix.FIX44.OrderCancelRequest.NoPartyIDsGroup();
                PartyIDGroup7.Set(new PartyID(orderCancelInfo.ExecutingTrader));
                PartyIDGroup7.Set(new PartyIDSource(PartyIDSource.PROPRIETARY_CUSTOM_CODE));
                PartyIDGroup7.Set(new PartyRole(PartyRole.EXECUTING_TRADER));

                orderCancel.AddGroup(PartyIDGroup7);
            }

            // Memo Field
            if (orderCancelInfo.Memo5149 != null && orderCancelInfo.Memo5149.Length > 0)
            {
                if (orderCancelInfo.Memo5149.Length > 50)
                {
                    orderCancelInfo.Memo5149 = orderCancelInfo.Memo5149.Substring(0, 50);
                }

                StringField memo5149 = new StringField(5149, orderCancelInfo.Memo5149);

                orderCancel.SetField(memo5149);
            }


            bool bRet = Session.SendToTarget(orderCancel, _session.SessionID);

            return(bRet);
        }