public static QuickFix.FIX44.OrderCancelReplaceRequest OrderCancelReplaceRequest(
Dictionary <int, string> customFields,
QuickFix.FIX44.NewOrderSingle nos, int newQty, decimal newPrice)
{
QuickFix.FIX44.OrderCancelReplaceRequest ocrq = new QuickFix.FIX44.OrderCancelReplaceRequest(
new QuickFix.Fields.OrigClOrdID(nos.ClOrdID.Obj),
GenerateClOrdID(),
nos.Symbol,
nos.Side,
new QuickFix.Fields.TransactTime(DateTime.Now),
nos.OrdType);
ocrq.HandlInst = new QuickFix.Fields.HandlInst(QuickFix.Fields.HandlInst.AUTOMATED_EXECUTION_ORDER_PRIVATE);
ocrq.OrderQty = new QuickFix.Fields.OrderQty(newQty);
if (nos.OrdType.Obj != QuickFix.Fields.OrdType.MARKET)
{
ocrq.Price = new QuickFix.Fields.Price(newPrice);
}
// other fields to relay
ocrq.TimeInForce = nos.TimeInForce;
// add custom fields
foreach (KeyValuePair <int, string> p in customFields)
{
ocrq.SetField(new QuickFix.Fields.StringField(p.Key, p.Value));
}
return(ocrq);
}
private void QueryReplaceOrder()
{
Console.WriteLine("\nCancelReplaceRequest");
QuickFix.FIX44.OrderCancelReplaceRequest m = QueryCancelReplaceRequest44();
if (m != null && QueryConfirm("Send replace"))
{
SendMessage(m);
}
}
public void OnMessage(QuickFix.FIX44.OrderCancelReplaceRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX44.OrderCancelReject ocj = new QuickFix.FIX44.OrderCancelReject(
new OrderID(orderid), msg.ClOrdID, msg.OrigClOrdID, new OrdStatus(OrdStatus.REJECTED), new CxlRejResponseTo(CxlRejResponseTo.ORDER_CANCEL_REPLACE_REQUEST));
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.OTHER);
ocj.Text = new Text("Executor does not support order cancel/replaces");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
/// <summary>
///
/// </summary>
/// <param name="or"></param>
/// <param name="newQty"></param>
/// <param name="newPrice">ignored if not applicable for order type</param>
/// <param name="customFields">other custom fields to be added</param>
public void CancelReplaceOrder(OrderRecord or, int newQty, decimal newPrice, Dictionary <int, string> customFields)
{
try
{
QuickFix.FIX44.OrderCancelReplaceRequest ocrq = MessageCreator44.OrderCancelReplaceRequest(
customFields, or.OriginalNOS, newQty, newPrice);
ocrq.OrderID = new QuickFix.Fields.OrderID(or.OrderID);
_strategy.ProcessOrderCancelReplaceRequest(or.OriginalNOS, ocrq);
_qfapp.Send(ocrq);
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
private QuickFix.FIX44.OrderCancelReplaceRequest QueryCancelReplaceRequest44()
{
QuickFix.FIX44.OrderCancelReplaceRequest ocrr = new QuickFix.FIX44.OrderCancelReplaceRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
QueryOrdType());
ocrr.Set(new HandlInst('1'));
if (QueryConfirm("New price"))
{
ocrr.Set(QueryPrice());
}
if (QueryConfirm("New quantity"))
{
ocrr.Set(QueryOrderQty());
}
return(ocrr);
}
public void ProcessOrderCancelReplaceRequest(QuickFix.FIX44.NewOrderSingle nos, QuickFix.FIX44.OrderCancelReplaceRequest msg)
{
}
private QuickFix.FIX44.OrderCancelReplaceRequest QueryCancelReplaceRequest44()
{
QuickFix.FIX44.OrderCancelReplaceRequest ocrr = new QuickFix.FIX44.OrderCancelReplaceRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
QuerySymbol(),
QuerySide(),
new TransactTime(DateTime.Now),
QueryOrdType());
ocrr.Set(new HandlInst('1'));
if (QueryConfirm("New price"))
ocrr.Set(QueryPrice());
if (QueryConfirm("New quantity"))
ocrr.Set(QueryOrderQty());
return ocrr;
}
