[roq-api] CancelAllOrders / CancelAllOrdersAck

[thraneh]

To better support various use-cases, it has been decided to improve the workflow around CancelAllOrders.

• Adding exchange/symbol and side to the request. Potentially useful when forwarding a cancel order "filter" to an exchange.

• Adding CancelAllOrdersAck to notify the client about "forward" (to exchange) or immediate reject (if not connected or required filter not supported).

• Adding fields to GatewaySettings to inform clients what filters are supported. This can potentially be used to avoid a round-trip to learn if a filter is supported. The FIX Bridge can benefit from this.

[thraneh]

• Adding exchange/symbol and side to the request. Potentially useful when forwarding a cancel order "filter" to an exchange.

Done

• Adding fields to GatewaySettings to inform clients what filters are supported. This can potentially be used to avoid a round-trip to learn if a filter is supported. The FIX Bridge can benefit from this.

Done

20231011

[thraneh]

• Adding CancelAllOrdersAck to notify the client about "forward" (to exchange) or immediate reject (if not connected or required filter not supported).

• Have added CancelAllOrdersAck everywhere. However, not yet in use.
• Also minor clean-up around the work done yesterday.
• Rejects are now communicated through OrderMassCancelReport

20231012

[thraneh]

Have reviewed and updated all gateways.

There are complications making it difficult to create a proper workflow:

• A single request will often have to be split on multiple dimensions, e.g. for each account, for each symbol, ...
• Some exchanges do not respond with enough information to correlate back to the request

The roq-server library has been reviewed:

• CancelAllOrders will now be duplicated for each account (when not explicitly specified as a filter).
• The gateway handler for the Disconnected event will no longer be expected to auto-cancel (see next point).
• CancelAllOrders will be auto-generated by the library when a client has a order-cancel policy.
• Stronger exception handling to auto-send CancelAllOrdersAck.

This is currently how far we can support request/response style CancelAllOrders / CancelAllOrdersAck with filters.

Next steps will depend on actual use-cases and the experienced learned from this change. Closing this issue for now.