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/usr/include/quickfix/fix40/OrderCancelReject.h is in libquickfix-dev 1.13.3+dfsg-4.

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#ifndef FIX40_ORDERCANCELREJECT_H
#define FIX40_ORDERCANCELREJECT_H

#include "Message.h"

namespace FIX40
{

  class OrderCancelReject : public Message
  {
  public:
    OrderCancelReject() : Message(MsgType()) {}
    OrderCancelReject(const FIX::Message& m) : Message(m) {}
    OrderCancelReject(const Message& m) : Message(m) {}
    OrderCancelReject(const OrderCancelReject& m) : Message(m) {}
    static FIX::MsgType MsgType() { return FIX::MsgType("9"); }

    OrderCancelReject(
      const FIX::OrderID& aOrderID,
      const FIX::ClOrdID& aClOrdID )
    : Message(MsgType())
    {
      set(aOrderID);
      set(aClOrdID);
    }

    FIELD_SET(*this, FIX::OrderID);
    FIELD_SET(*this, FIX::ClOrdID);
    FIELD_SET(*this, FIX::ClientID);
    FIELD_SET(*this, FIX::ExecBroker);
    FIELD_SET(*this, FIX::ListID);
    FIELD_SET(*this, FIX::CxlRejReason);
    FIELD_SET(*this, FIX::Text);
  };

}

#endif