public void OnMessage(QuickFix.FIX42.NewOrderSingle msg, QuickFix.SessionID session)
{
try
{
OrderFixBridge r;
lock (locker_)
r = m_orders.AddOrGet(null, msg.ClOrdID.getValue(), session);
if (r.Order != null)
{
RejectNew(session, msg.Symbol.getValue(), msg.ClOrdID.getValue(), Convert.ToInt32(msg.OrderQty.getValue()), Converter.c(msg.Side), "ClOrdID '" + msg.ClOrdID + "'already exists !");
return;
}
QuickFixStaticAcceptor.FromFIX_SendOrder(
r,
msg.Symbol.getValue(),
Converter.c(msg.Side),
Converter.c(msg.OrdType),
msg.IsSetOrderQty() ? Convert.ToInt32(msg.OrderQty.getValue()) : 0,
msg.IsSetPrice() ? Convert.ToDouble(msg.Price.getValue()) : 0,
msg.IsSetStopPx() ? Convert.ToDouble(msg.StopPx.getValue()) : 0,
msg.IsSetText() ? msg.Text.getValue() : string.Empty
);
if (r.Order == null)
{
RejectNew(session, msg.Symbol.getValue(), msg.ClOrdID.getValue(), Convert.ToInt32(msg.OrderQty.getValue()), Converter.c(msg.Side), "NinjaTrader7 returned null on creating order (internal error)");
return;
}
}
catch (Exception e)
{
RejectNew(session, msg.Symbol.getValue(), msg.ClOrdID.getValue(), Convert.ToInt32(msg.OrderQty.getValue()), Converter.c(msg.Side), e.Message);
}
}
protected void ProcessOrderCancelRequest(QuickFix.SessionID session, QuickFix.Fields.ClOrdID clordid, QuickFix.Fields.OrigClOrdID origordid
, bool is_cancelreplace_request, int new_qty, double new_px, double new_stop_px)
{
IOrder order = null;
try
{
// order exists ?
OrderFixBridge order_bridge;
lock (locker_)
order_bridge = m_orders.AddOrGet(null, origordid.getValue(), session);
if (order_bridge.Order == null)
{
RejectCancelRequest(session, clordid, origordid, null, "Unknown order !", QuickFix.Fields.CxlRejReason.UNKNOWN_ORDER, true);
return;
}
order = order_bridge.Order;
switch (order.OrderState)
{
// order is still alive, go ahead
case OrderState.Accepted:
case OrderState.PartFilled:
case OrderState.Working:
if (is_cancelreplace_request)
{
QuickFixStaticAcceptor.FromFIX_ChangeOrder(order, new_qty, new_px, new_stop_px);
}
else
{
QuickFixStaticAcceptor.FromFIX_CancelOrder(order);
}
return;
// pending
case OrderState.PendingChange: //VV?
case OrderState.PendingSubmit: //VV?
case OrderState.PendingCancel: //VV?
{
string error_message = "Invalid cancel or cancel/replace request since order " + origordid.getValue() + " is in pending state : " + order.OrderState.ToString();
RejectCancelRequest(session, clordid, origordid, order, error_message, QuickFix.Fields.CxlRejReason.ALREADY_PENDING, is_cancelreplace_request);
return;
}
// terminal state
case OrderState.Cancelled:
case OrderState.Filled:
case OrderState.Rejected:
{
string error_message = "Invalid cancel or cancel/replace request since order " + origordid.getValue() + " is in terminal/closed state : " + order.OrderState.ToString();
RejectCancelRequest(session, clordid, origordid, order, error_message, QuickFix.Fields.CxlRejReason.TOO_LATE_TO_CANCEL, is_cancelreplace_request);
return;
}
case OrderState.Unknown:
{
string error_message = "Invalid cancel or cancel/replace request since order " + origordid.getValue() + " is in unknow NT7 state : " + order.OrderState.ToString();
RejectCancelRequest(session, clordid, origordid, order, error_message, QuickFix.Fields.CxlRejReason.OTHER, is_cancelreplace_request);
return;
}
}
}
catch (Exception e)
{
RejectCancelRequest(session, clordid, origordid, order, "ProcessOrderCancelRequest : internal Error : " + e.ToString()
, QuickFix.Fields.CxlRejReason.OTHER, is_cancelreplace_request);
}
}
