public QuickFix42.OrderCancelReplaceRequest SendLimitOrderCancelReplace(string originalId, string orderId, string exId)
{
QuickFix42.OrderCancelReplaceRequest m = new QuickFix42.OrderCancelReplaceRequest(new OrigClOrdID(originalId), new ClOrdID(orderId), new HandlInst('1'), new Symbol("ZVZZT"), new Side(Side.BUY), new TransactTime(DateTime.UtcNow), new OrdType(OrdType.LIMIT));
//additional required fields
m.set(new OrderQty(100));
m.set(new OrderID(exId));
m.set(new Account("1234"));
m.set(new Price(2.00));
m.set(new TimeInForce(TimeInForce.DAY));
m.set(new StopPx(0));
//RMG Routing
m.setField(57, "ALGO");
m.setField(9102, "T");
m.setField(6210, "0");
//Price p = new Price(12.99);
//m.set(p);
//Session.sendToTarget(m, oKnightSessionID);
return(m);
}
public QuickFix42.OrderCancelReplaceRequest GenerateReplaceRequest(string clOrdId, int qty, double limitPx, double stopPx, int index)
{
string originalId = (string)LimitOrders[index];
QuickFix42.Message msg = Msgs[originalId];
//check for a recent ID
string temp = LimitLib.GetRecentId(originalId);
if (temp != null)
{
LimitLib.Add(originalId, clOrdId); //associate new Id
originalId = temp; //send with most recent from previous request
}
else
{
LimitLib.Add(originalId, clOrdId);
}
Side oldSide = new Side();
msg.getField(oldSide);
TransactTime uTime = new TransactTime();
msg.getField(uTime);
QuickFix42.OrderCancelReplaceRequest ocrr = new QuickFix42.OrderCancelReplaceRequest(
new OrigClOrdID(originalId),
new ClOrdID(clOrdId),
new HandlInst('1'),
new Symbol(msg.getField(Symbol.FIELD)),
oldSide,
uTime,
new OrdType(OrdType.LIMIT));
// Update prices and quantity
ocrr.set(limitPx > 0 ? new Price(limitPx) : new Price(double.Parse(msg.getField(Price.FIELD))));
if (stopPx > 0) // If the user specified a new stop price
{
ocrr.set(new StopPx(stopPx));
}
else
{ // Otherwise use the original stop price
StopPx spx = new StopPx();
if (msg.isSetField(spx))
{
msg.getField(spx);
ocrr.set(spx);
}
else
{
msg.setField(spx);
}
}
ocrr.set(qty > 0 ? new OrderQty(qty) : new OrderQty(int.Parse(msg.getField(OrderQty.FIELD))));
OrderID oid = new OrderID("x");
ocrr.setField(oid);
ocrr.setField(57, msg.getField(57));
ocrr.setField(9102, msg.getField(9102));
return(ocrr);
}