public sealed override void onMessage(QuickFix42.OrderCancelReplaceRequest message, SessionID session)
{
Fix.Out(new StackTrace(new StackFrame(true)).GetFrame(0).GetMethod().ToString());
}
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
if (limitPx > 0) // If the user specified a new limit price
{
OCRR.set(new Price(limitPx));
}
else // Otherwise use the original limit price
{
OCRR.set(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);
}
}
if (qty > 0) // If the user specified a new qty
{
OCRR.set(new OrderQty(qty));
}
else // Otherwise use the original qty
{
OCRR.set(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);
}
