private QuickFix.FIX40.OrderCancelRequest QueryOrderCancelRequest40()
{
QuickFix.FIX40.OrderCancelRequest orderCancelRequest = new QuickFix.FIX40.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
new CxlType(CxlType.FULL_REMAINING_QUANTITY),
QuerySymbol(),
QuerySide(),
QueryOrderQty());
QueryHeader(orderCancelRequest.Header);
return(orderCancelRequest);
}
public void OnMessage(QuickFix.FIX40.OrderCancelRequest msg, SessionID s)
{
string orderid = (msg.IsSetOrderID()) ? msg.OrderID.Obj : "unknown orderID";
QuickFix.FIX40.OrderCancelReject ocj = new QuickFix.FIX40.OrderCancelReject(new OrderID(orderid), msg.ClOrdID);
ocj.CxlRejReason = new CxlRejReason(CxlRejReason.UNKNOWN_ORDER);
ocj.Text = new Text("Executor does not support order cancels");
try
{
Session.SendToTarget(ocj, s);
}
catch (Exception ex)
{
Console.WriteLine(ex.ToString());
}
}
private QuickFix.FIX40.OrderCancelRequest QueryOrderCancelRequest40()
{
QuickFix.FIX40.OrderCancelRequest orderCancelRequest = new QuickFix.FIX40.OrderCancelRequest(
QueryOrigClOrdID(),
QueryClOrdID(),
new CxlType(CxlType.FULL_REMAINING_QUANTITY),
QuerySymbol(),
QuerySide(),
QueryOrderQty());
QueryHeader(orderCancelRequest.Header);
return orderCancelRequest;
}
