/// <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);
}
/// <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);
}
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);
}
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);
}