void RequestApplication::onMessage ( const FIX42::OrderCancelRequest &cancelOrder, const FIX::SessionID &sessionId )
{
FIX::Side lSide ;
cancelOrder.getField( lSide ) ;
FIX::OrdType lOrdType ;
cancelOrder.getField( lOrdType ) ;
FIX::OrderQty lOrderQty ;
cancelOrder.getField( lOrderQty ) ;
CancelOrderPtr order( new CancelOrder(
cancelOrder.getField( FIX::FIELD::OrderID ),
cancelOrder.getField( FIX::FIELD::OrigClOrdID ),
cancelOrder.getField( FIX::FIELD::SecurityID ),
cancelOrder.getField( FIX::FIELD::ClOrdID ),
sessionId.toString(),
FromFix::convert( lSide ),
FromFix::convert( lOrdType ),
lOrderQty ) ) ;
_market.cancel( order ) ;
}
void RequestApplication::onMessage ( const FIX42::OrderCancelReplaceRequest &replaceOrder, const FIX::SessionID &sessionId )
{
FIX::Side lSide ;
replaceOrder.getField( lSide ) ;
FIX::OrdType lOrdType ;
replaceOrder.getField( lOrdType ) ;
FIX::OrderQty lOrderQty ;
replaceOrder.getField( lOrderQty ) ;
ReplaceOrderPtr order( new ReplaceOrder(
replaceOrder.getField( FIX::FIELD::OrderID ),
replaceOrder.getField( FIX::FIELD::OrigClOrdID ),
replaceOrder.getField( FIX::FIELD::SecurityID ),
replaceOrder.getField( FIX::FIELD::ClOrdID ),
sessionId.toString(),
FromFix::convert( lSide ),
FromFix::convert( lOrdType ),
lOrderQty ) ) ;
try
{
FIX::TimeInForce lTimeInForce;
if( replaceOrder.isSetField( lTimeInForce ) )
{
replaceOrder.getField( lTimeInForce );
order->setTimeInForce( FromFix::convert( lTimeInForce ) ) ;
}
}catch( std::exception &e ) {}
FIX::MaxFloor lMaxFloor ;
if( replaceOrder.isSetField( lMaxFloor ) )
{
replaceOrder.getField( lMaxFloor ) ;
order->setDisclosedQty( lMaxFloor ) ;
}
switch( order->getOrderType() )
{
case OrderType_LIMIT :
{ FIX::Price lPrice ; replaceOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
break ;
case OrderType_STOP_LIMIT :
{ FIX::Price lPrice ; replaceOrder.getField( lPrice ) ; order->setPrice( lPrice ) ; }
// No break here
case OrderType_STOP :
{ FIX::StopPx lStopPx ; replaceOrder.getField( lStopPx ) ; order->setStopPrice( lStopPx ) ; }
break ;
case OrderType_MARKET :
break ;
}
FIX::CumQty lCumQty ;
replaceOrder.getField( lCumQty ) ;
order->addOrderQty( lCumQty ) ;
_market.replace( order ) ;
}
void FixProviderImpl::onCreate(const FIX::SessionID& sessionID) {
_sessionString = sessionID.toString();
std::cout << __FUNCTION__ << ": " << sessionID << std::endl;
}