public static Transaction CreateCancelFuturesTransaction(this OrderGroupCancelMessage message, IDictionary <string, RefPair <SecurityTypes, string> > securityClassInfo)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.PortfolioName.IsEmpty())
{
throw new ArgumentException(nameof(message));
}
if (message.SecurityId.SecurityCode.IsEmpty())
{
throw new ArgumentException(nameof(message));
}
var underlyingSecurityCode = message.GetValue <string>("UnderlyingSecurityCode");
if (underlyingSecurityCode.IsEmpty())
{
throw new ArgumentException(LocalizedStrings.Str1850, nameof(message));
}
var secType = message.SecurityId.SecurityType;
if (secType != SecurityTypes.Future)
{
throw new ArgumentException(LocalizedStrings.Str1851Params.Put(secType), nameof(message));
}
var transaction = new Transaction(TransactionTypes.CancelGroup, message);
transaction
.SetAccount(message.PortfolioName)
.SetBaseContract(underlyingSecurityCode)
.SetAction(TransactionActions.KillAllFuturesOrders)
.SetClassCode(securityClassInfo.GetSecurityClass(message.SecurityId));
if (message.Side != null)
{
transaction.SetSide(message.Side.Value);
}
if (!message.BrokerCode.IsEmpty())
{
transaction.SetFirmId(message.BrokerCode);
}
return(transaction);
}
private void ProcessOrderGroupCancel(OrderGroupCancelMessage cancelMsg)
{
_httpClient.CancelAllOrders();
SendOutMessage(new ExecutionMessage
{
ServerTime = CurrentTime.ConvertToUtc(),
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = cancelMsg.TransactionId,
HasOrderInfo = true,
});
ProcessOrderStatus(null);
ProcessPortfolioLookup(null);
}
// create and send message
private void SendCommand(IReadOnlyDictionary<string, object> actions)
{
Message message = null;
switch (actions["ACTION"].ToString())
{
case "NEW_ORDER":
{
message = new OrderRegisterMessage
{
SecurityId = _securities.FirstOrDefault(s => s.Code == actions["SECCODE"].ToString() &&
s.Class == actions["CLASSCODE"].ToString()).ToSecurityId(),
ClientCode = actions["CLIENTCODE"].ToString(),
PortfolioName = actions["ACCOUNT"].ToString(),
OrderType = (OrderTypes)actions["TYPE"],
Price = (decimal)actions["PRICE"],
Side = (Sides)actions["OPERATION"],
Volume = (decimal)actions["QUANTITY"],
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId(),
Comment = actions["COMMENT"].ToString()
};
}
break;
case "KILL_ORDER":
{
message = new OrderCancelMessage
{
OrderId = (long)actions["ORDER_KEY"],
OriginalTransactionId = (long)actions["ORIGINAL_TRANS_ID"],
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId()
};
}
break;
case "KILL_ALL_ORDERS":
{
message = new OrderGroupCancelMessage
{
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId()
};
}
break;
case "MOVE_ORDERS":
{
//TODO
}
break;
case "REGISTER_SECURITY":
{
//TODO
}
break;
case "UNREGISTER_SECURITY":
{
//TODO
}
break;
case "REGISTER_TRADES":
{
//TODO
}
break;
case "UNREGISTER_TRADES":
{
//TODO
}
break;
case "REGISTER_MARKETDEPTH":
{
//TODO
}
break;
case "UNREGISTER_MARKETDEPTH":
{
//TODO
}
break;
}
if (message != null)
_transAdapter.SendInMessage(message);
}
public static Transaction CreateCancelFuturesTransaction(this IMessageSessionHolder sessionHolder, OrderGroupCancelMessage message)
{
if (sessionHolder == null)
{
throw new ArgumentNullException("sessionHolder");
}
if (message == null)
{
throw new ArgumentNullException("message");
}
if (message.PortfolioName.IsEmpty())
{
throw new ArgumentException("message");
}
if (message.SecurityId.SecurityCode.IsEmpty())
{
throw new ArgumentException("message");
}
var underlyingSecurityCode = message.GetValue <string>("UnderlyingSecurityCode");
if (underlyingSecurityCode.IsEmpty())
{
throw new ArgumentException(LocalizedStrings.Str1850, "message");
}
var secType = message.SecurityId.SecurityType;
if (secType != SecurityTypes.Future)
{
throw new ArgumentException(LocalizedStrings.Str1851Params.Put(secType), "message");
}
var transaction = new Transaction(TransactionTypes.CancelGroup, message);
transaction
.SetAccount(message.PortfolioName)
.SetBaseContract(underlyingSecurityCode)
.SetAction(TransactionActions.KillAllFuturesOrders)
.SetClassCode(sessionHolder.GetSecurityClass(message.SecurityId));
if (message.Side != null)
{
transaction.SetSide(message.Side.Value);
}
return(transaction);
}
// create and send message
private void SendCommand(IReadOnlyDictionary <string, object> actions)
{
Message message = null;
switch (actions["ACTION"].ToString())
{
case "NEW_ORDER":
{
message = new OrderRegisterMessage
{
SecurityId = _securities.FirstOrDefault(s => s.Code == actions["SECCODE"].ToString() &&
s.Class == actions["CLASSCODE"].ToString()).ToSecurityId(),
ClientCode = actions["CLIENTCODE"].ToString(),
PortfolioName = actions["ACCOUNT"].ToString(),
OrderType = (OrderTypes)actions["TYPE"],
Price = (decimal)actions["PRICE"],
Side = (Sides)actions["OPERATION"],
Volume = (decimal)actions["QUANTITY"],
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId(),
Comment = actions["COMMENT"].ToString()
};
}
break;
case "KILL_ORDER":
{
message = new OrderCancelMessage
{
OrderId = (long)actions["ORDER_KEY"],
OriginalTransactionId = (long)actions["ORIGINAL_TRANS_ID"],
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId()
};
}
break;
case "KILL_ALL_ORDERS":
{
message = new OrderGroupCancelMessage
{
TransactionId = _transAdapter.TransactionIdGenerator.GetNextId()
};
}
break;
case "MOVE_ORDERS":
{
//TODO
}
break;
case "REGISTER_SECURITY":
{
//TODO
}
break;
case "UNREGISTER_SECURITY":
{
//TODO
}
break;
case "REGISTER_TRADES":
{
//TODO
}
break;
case "UNREGISTER_TRADES":
{
//TODO
}
break;
case "REGISTER_MARKETDEPTH":
{
//TODO
}
break;
case "UNREGISTER_MARKETDEPTH":
{
//TODO
}
break;
}
if (message != null)
{
_transAdapter.SendInMessage(message);
}
}
private void ProcessGroupCancelMessage(OrderGroupCancelMessage groupMsg)
{
_client.Session.cancelAllOrders(_accounts[groupMsg.PortfolioName], Constants.ORDER_ENTRY_TYPE_AUTO, string.Empty);
}
