/// <summary>
/// Send order cancel request message for order specified by TTOrderKey (QuickFix.OrderID)
/// </summary>
/// <param name="TTOrderkey"></param>
public void ttOrderCancelRequest(string TTOrderkey)
{
try
{
QuickFix42.OrderCancelRequest ocr = new QuickFix42.OrderCancelRequest();
ocr.set(new QuickFix.ClOrdID(uniqueID()));
ocr.set(new QuickFix.OrderID(TTOrderkey));
QuickFix.Session.sendToTarget(ocr, orderSessionID);
}
catch (Exception ex)
{ Console.WriteLine(ex.ToString()); }
}
public QuickFix42.OrderCancelRequest SendLimitOrderCancelRequest(string originalId, string orderId, string exId)
{
//int id = rand.Next(100000000, 200000000);
QuickFix42.OrderCancelRequest m = new QuickFix42.OrderCancelRequest(new OrigClOrdID(originalId), new ClOrdID(orderId), new Symbol("BAC"), new Side(Side.BUY), new TransactTime(DateTime.UtcNow));
//addtional required fields
m.set(new OrderQty(100));
m.set(new OrderID(exId));
//RMG Routing
m.setField(57, "ALGO1");
m.setField(9102, "T");
//m.setField(6210, "0");
//Price p = new Price(12.99);
//m.set(p);
//Session.sendToTarget(m, oKnightSessionID);
return(m);
}
public override void Send(FIXOrderCancelRequest Request)
{
QuickFix42.OrderCancelRequest request = new QuickFix42.OrderCancelRequest(
new QuickFix.OrigClOrdID(Request.OrigClOrdID),
new QuickFix.ClOrdID(Request.ClOrdID),
new QuickFix.Symbol(Request.Symbol),
new QuickFix.Side(Request.Side),
new QuickFix.TransactTime(Request.TransactTime));
// instrument component block
//request.set(new QuickFix.SecurityType(Request.SecurityType));
//request.set(new QuickFix.SecurityID(Request.SecurityID));
//request.set(new QuickFix.SecurityExchange(Request.SecurityExchange));
//request.set(new QuickFix.Account(Request.Account));
request.set(new QuickFix.OrderQty(0)); //GS FIX
cancelRequests.Add(Request.ClOrdID, Request);
Session.sendToTarget(request, orderSessionID);
}
public override void Send(FIXOrderCancelRequest Request)
{
QuickFix42.OrderCancelRequest request = new QuickFix42.OrderCancelRequest(
new QuickFix.OrigClOrdID(Request.OrigClOrdID),
new QuickFix.ClOrdID(Request.ClOrdID),
new QuickFix.Symbol(Request.Symbol),
new QuickFix.Side(Request.Side),
new QuickFix.TransactTime(Request.TransactTime));
// instrument component block
//request.set(new QuickFix.SecurityType(Request.SecurityType));
//request.set(new QuickFix.SecurityID(Request.SecurityID));
//request.set(new QuickFix.SecurityExchange(Request.SecurityExchange));
//request.set(new QuickFix.Account(Request.Account));
request.set(new QuickFix.OrderQty(0)); //GS FIX
cancelRequests.Add(Request.ClOrdID, Request);
Session.sendToTarget(request, orderSessionID);
}