private void axTws1_historicalData(object sender, AxTWSLib._DTwsEvents_historicalDataEvent e)
{
// Handle the incoming historical data records.
// Object e contains:
// e.date Date (and time) of the historical data bar
// e.open The opening price of the bar/interval
// e.high The high price for the bar/interval
// e.low The low price for the bar/interval
// e.close The closing price of the bar/interval
// e.volume The volume (number of shares/contract) for the bar/interval
// e.wAP The average price during the bar/interval
string OutputString;
// Concatenate all of the required fields into the OutputString
OutputString = e.date + " " +
e.open.ToString("N2") + " " +
e.close.ToString("N2") + " " +
e.volume;
// Add the output string to the ListBox
lbData.Items.Add(OutputString);
// Declare a stream writer to append data to a file
StreamWriter sw = File.AppendText("mydata.txt");
// write the data to the file
sw.Write(OutputString);
// Flush the output to disk
sw.Flush();
// Close the streamwriter
sw.Close();
// Add data points to the chart
if (e.close > 0.0)
{
chtStocks.Series["Series1"].Points.AddXY(e.date, e.close);
}
}
private void axTws1_orderStatus(object sender, AxTWSLib._DTwsEvents_orderStatusEvent e)
{
// Update the order status fields
// e.id
// e.parentId
// e.remaining
string strOrderStatus;
strOrderStatus = e.id + " " + e.parentId + " " + e.status +
" " + e.filled + " " + e.lastFillPrice;
// Add to list box
lbOrderStatus.Items.Add(strOrderStatus);
}
private void axTws1_contractDetails(object sender, AxTWSLib._DTwsEvents_contractDetailsEvent e)
{
// Report all of the contract details in response to
// reqContractDetailsEX
// This method will be called one time per contract
// e.conId - ContractID
// GridViewRowInfo rowInfo = dgOptionsSeries.Rows.AddNew();
// Only add if we already did not put this one in
if ( ! (alOptionsSeries.Contains(e.conId) ) )
{
dgOptionsSeries.Rows.Add(e.conId, e.symbol, e.expiry, e.strike, e.right);
alOptionsSeries.Add(e.conId);
}
}
private void axTws1_orderStatus(object sender, AxTWSLib._DTwsEvents_orderStatusEvent e)
{
// Get the status of an order.
// Responds to every change in order status.
// Status in in event object e:
// e.id The OrderID (long)
// e.status The status of the order (string)
// e.filled The number of shares/contracts filled in the so far
// e.remaining The number of shares/contracts remaining in the order
// e.avgFillPrice The average fill price (double)
// e.permId The permanent order Id (long)
// e.lastFilledPrice The price of the last partial fill (double)
// e.clientId The Id of the client who placed the order (long)
// Use the Convert.ToString() to convert int and double values to strings
tbStatus.Text = e.status;
// Quantity of shares filled on this order
tbFilled.Text = Convert.ToString(e.filled);
// Number of shares remaining to be filled on this order
tbRemaining.Text = Convert.ToString(e.remaining);
// The average price for all executions against this order
tbAveragePrice.Text = Convert.ToString(e.avgFillPrice);
}
/// <summary>
/// apply an order status change
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
void TWS_orderStatus(object sender, AxTWSLib._DTwsEvents_orderStatusEvent e)
{
try
{
if (m_DriverLog.IsDebugEnabled)
{
m_DriverLog.Debug("TWS_openOrderEx:" + e.clientId.ToString() + ": " + e.ToString() + ": " + e.status.ToString());
}
QuickFix.OrdStatus myOrdStatus;
QuickFix.ExecType myExecType = new QuickFix.ExecType(QuickFix.ExecType.ORDER_STATUS);
double myLastFill = 0.0;
// get the order contect using the IB ID
DriverBase.OrderContext myCntx = null;
if (this.m_ApiIDOrderMap.ContainsKey(e.id.ToString()))
{
myCntx = m_ApiIDOrderMap[e.id.ToString()];
}
if (myCntx == null)
{
string myErr = "IB TWS: no context found for IB ID:" + e.id.ToString();
Exception myE = new Exception(myErr);
throw myE;
}
myLastFill = myCntx.LeavesQty - e.remaining;
myCntx.CumQty = e.filled;
// get the original order from the context
QuickFix.Message myOrder = myCntx.QFOrder;
switch (e.status)
{
case "PendingSubmit":
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.PENDING_NEW);
sendExecReport(myOrder, new QuickFix.OrderID(e.id.ToString()), myOrdStatus, myExecType, myLastFill, e.remaining, e.filled, e.lastFillPrice, e.avgFillPrice);
break;
case "PendingCancel":
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.PENDING_CANCEL);
sendExecReport(myOrder, new QuickFix.OrderID(e.id.ToString()), myOrdStatus, myExecType, myLastFill, e.remaining, e.filled, e.lastFillPrice, e.avgFillPrice);
break;
case "PreSubmitted":
break;
case "Inactive":
break;
case "Submitted":
if (e.filled > 0)
{
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.PARTIALLY_FILLED);
myExecType = new QuickFix.ExecType(QuickFix.ExecType.PARTIAL_FILL);
}
else
{
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.NEW);
}
// mark the context as done for the sub
SetContextCommand(myCntx, DriverBase.ORCommand.Submit, DriverBase.ORCommand.Undefined);
sendExecReport(myOrder, new QuickFix.OrderID(e.id.ToString()), myOrdStatus, myExecType, myLastFill, e.remaining, e.filled, e.lastFillPrice, e.avgFillPrice);
break;
case "Cancelled":
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.CANCELED);
sendExecReport(myOrder, new QuickFix.OrderID(e.id.ToString()), myOrdStatus, myExecType, myLastFill, e.remaining, e.filled, e.lastFillPrice, e.avgFillPrice);
// mark the context as done for the sub
SetContextCommand(myCntx, DriverBase.ORCommand.Pull, DriverBase.ORCommand.Undefined);
break;
case "Filled":
myOrdStatus = new QuickFix.OrdStatus(QuickFix.OrdStatus.FILLED);
myExecType = new QuickFix.ExecType(QuickFix.ExecType.FILL);
sendExecReport(myOrder, new QuickFix.OrderID(e.id.ToString()), myOrdStatus, myExecType, myLastFill, e.remaining, e.filled, e.lastFillPrice, e.avgFillPrice);
// mark the context as done for the sub
SetContextCommand(myCntx, DriverBase.ORCommand.Undefined, DriverBase.ORCommand.Undefined);
break;
default:
_log.Error("TWS_orderStatus:unknown status" + e.status);
break;
}
}
catch (Exception myE)
{
_log.Error("TWS_orderStatus", myE);
}
}
/// <summary>
/// Handles the openOrderEx event of the AxTWSLib.AxTws object in the TwsHostForm.
/// </summary>
/// <param name="sender">The sender.</param>
/// <param name="e">The e.</param>
void TWS_openOrderEx(object sender, AxTWSLib._DTwsEvents_openOrderExEvent e)
{
try
{
if (_log.IsDebugEnabled)
{
_log.Debug("TWS_openOrderEx:" + e.orderId.ToString() + ": " + e.contract.ToString() + ": " + e.orderState.ToString());
}
switch (e.orderState.status)
{
case "PendingSubmit":
break;
case "PendingCancel":
break;
case "PreSubmitted":
break;
case "Cancelled":
break;
case "Inactive":
break;
case "Submitted":
break;
case "Filled":
break;
default:
_log.Error("TWS_openOrderEx:unknown order state" + e.orderState.status);
break;
}
}
catch (Exception myE)
{
_log.Error("TWS_openOrderEx", myE);
}
}
/// <summary>
/// Handles the nextValidId event of the AxTWSLib.AxTws object in the TwsHostForm.
/// </summary>
/// <param name="sender">The sender.</param>
/// <param name="e">The _DTwsEvents_nextValidIdEvent.</param>
void TWS_nextValidId(object sender, AxTWSLib._DTwsEvents_nextValidIdEvent e)
{
m_NextID = e.id;
}
private void axTws1_nextValidId(object sender, AxTWSLib._DTwsEvents_nextValidIdEvent e)
{
// The next unique OrderId will be held in e.id
// Assign the unique id to the text box
tbOrderId.Text = Convert.ToString(e.id);
}
private void DumpRecord(KaiTrade.Interfaces.ITSItem tsItem, KaiTrade.Interfaces.ITSSet tsSet, AxTWSLib._DTwsEvents_realtimeBarEvent e)
{
try
{
// get a new TS item
tsItem.Index = e.count;
tsItem.Tag = e.time;
//tsItem.TimeStamp = e.date
//tsItem.TimeStamp = e.date;
tsItem.Open = e.open;
tsItem.High = e.high;
tsItem.Low = e.low;
tsItem.Close = e.close;
tsItem.Volume = e.volume;
DateTime result=new DateTime(1970,1,1);
TimeSpan span = new TimeSpan(0, 0, e.time);
result.Add(span);
tsItem.TimeStamp = result;
}
catch (Exception myE)
{
_log.Error("DumpRecord", myE);
}
}
/// <summary>
/// Updates the publisher price
/// </summary>
/// <param name="myPub"></param>
/// <param name="e"></param>
private void UpdatePrice(KaiTrade.Interfaces.TradableProduct product, AxTWSLib._DTwsEvents_tickPriceEvent e)
{
try
{
KaiTrade.TradeObjects.PXUpdateBase pxupdate = new KaiTrade.TradeObjects.PXUpdateBase(m_ID);
pxupdate.Mnemonic = product.Mnemonic;
pxupdate.DepthOperation = KaiTrade.Interfaces.PXDepthOperation.none;
switch (e.tickType)
{
case 1:
pxupdate.BidPrice = (decimal)e.price;
break;
case 2:
pxupdate.OfferPrice = (decimal)e.price;
break;
case 4:
pxupdate.TradePrice = (decimal)e.price;
break;
case 6:
pxupdate.DayHigh = (decimal)e.price;
break;
case 7:
pxupdate.DayLow = (decimal)e.price;
break;
}
//myPub.APIUpdateTime = DateTime.Now;
ApplyPriceUpdate(pxupdate);
}
catch (Exception myE)
{
_log.Error("UpdateMDSubjectPrice", myE);
}
}
/// <summary>
/// apply a size update
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
void TWS_tickSize(object sender, AxTWSLib._DTwsEvents_tickSizeEvent e)
{
try
{
if (m_IBReqIDProductMap.ContainsKey(e.id))
{
this.UpdateSize(m_IBReqIDProductMap[e.id], e);
}
}
catch (Exception myE)
{
_log.Error("TWS_tickSize", myE);
}
}
private void axTws1_nextValidId(object sender, AxTWSLib._DTwsEvents_nextValidIdEvent e)
{
// Set to the next available order id
tbOrderId.Text = e.id.ToString();
}
private void axTws1_errMsg(object sender, AxTWSLib._DTwsEvents_errMsgEvent e)
{
lbErrors.Items.Add(e.errorCode + " " + e.errorMsg);
}
private void axTws1_errMsg(object sender, AxTWSLib._DTwsEvents_errMsgEvent e)
{
// Report any errors if occuring
lbErrors.Items.Add(e.errorMsg);
}
void TWS_realtimeBar(object sender, AxTWSLib._DTwsEvents_realtimeBarEvent e)
{
try
{
if (m_IBReqIDTSSet.ContainsKey(e.tickerId))
{
KaiTrade.Interfaces.ITSSet tsSet = m_IBReqIDTSSet[e.tickerId];
// get a new TS item
KaiTrade.Interfaces.ITSItem tsItem = tsSet.GetNewItem();
DumpRecord(tsItem, tsSet, e);
tsSet.AddItem(tsItem);
tsSet.Added = true;
}
else
{
_log.Error("TWS_realtimeBar:unknown request id");
}
}
catch (Exception myE)
{
_log.Error("TWS_realtimeBar", myE);
}
}
void TWS_contractDetailsEx(object sender, AxTWSLib._DTwsEvents_contractDetailsExEvent e)
{
try
{
KaiTrade.Interfaces.TradableProduct myProduct = m_ContractDetailsRequest[e.reqId];
if (myProduct.TradeVenueSequence == 0)
{
myProduct.TradeVenueSequence += 1;
}
else
{
// this is not the first definition
long venueSeq = myProduct.TradeVenueSequence;
myProduct.TradeVenueSequence += 1;
myProduct = Facade.Factory.GetProductManager().CloneProduct(myProduct.Identity);
myProduct.Mnemonic = myProduct.Mnemonic + "." + venueSeq.ToString();
Facade.Factory.GetProductManager().RegisterProduct(myProduct);
}
//string zztemp = e.contractDetails.summary.ToString();
myProduct.TickSize = (decimal)e.contractDetails.minTick;
myProduct.LongName = e.contractDetails.longName;
string[] temp = myProduct.TickSize.ToString().Split('.');
if (temp.Length > 1)
{
myProduct.NumberDecimalPlaces = temp[1].Length;
}
else
{
myProduct.NumberDecimalPlaces = 0;
}
if ( (e.contractDetails.contractMonth.Length > 0))
{
myProduct.MMY = e.contractDetails.contractMonth;
}
if (myProduct.CFICode != null)
{
if (myProduct.CFICode.ToString()[0] == 'E')
{
myProduct.PriceFeedQuantityMultiplier = 100;
}
else
{
myProduct.PriceFeedQuantityMultiplier = 1;
}
}
}
catch (Exception myE)
{
_log.Error("TWS_contractDetailsEx", myE);
}
}
/// <summary>
/// Apply a price update
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
void TWS_tickPrice(object sender, AxTWSLib._DTwsEvents_tickPriceEvent e)
{
try
{
if (m_IBReqIDProductMap.ContainsKey(e.id))
{
this.UpdatePrice(m_IBReqIDProductMap[e.id], e);
/*
(m_IBReqIDPubMap[e.id] as KaiTrade.Interfaces.Publisher).OnUpdate(null);
if ((m_IBReqIDPubMap[e.id] as KaiTrade.Interfaces.Publisher).Status != KaiTrade.Interfaces.Status.open)
{
(m_IBReqIDPubMap[e.id] as KaiTrade.Interfaces.Publisher).Status = KaiTrade.Interfaces.Status.open;
}
*/
}
}
catch (Exception myE)
{
_log.Error("TWS_tickPrice", myE);
}
}
void TWS_currentTime(object sender, AxTWSLib._DTwsEvents_currentTimeEvent e)
{
try
{
// We use this to determine if the connection is open
if (this.Status != KaiTrade.Interfaces.Status.open)
{
this.setStatus(KaiTrade.Interfaces.Status.open);
}
}
catch (Exception myE)
{
_log.Error("TWS_currentTime", myE);
}
}
void TWS_updateMktDepthL2(object sender, AxTWSLib._DTwsEvents_updateMktDepthL2Event e)
{
try
{
updateMktDepth(e.id, e.position, e.marketMaker, e.operation, e.side, e.price, e.size);
}
catch (Exception myE)
{
_log.Error("TWS_updateMktDepthL2", myE);
}
}
/// <summary>
/// Handles the errMsg event of the AxTWSLib.AxTws object in the TwsHostForm.
/// </summary>
/// <param name="sender">The sender.</param>
/// <param name="e">The e.</param>
void TWS_errMsg(object sender, AxTWSLib._DTwsEvents_errMsgEvent e)
{
try
{
string myError = "TWS_errMsg: " + e.errorMsg + " " + e.errorCode + " " + e.id;
_log.Error(myError);
this.SendAdvisoryMessage(myError);
if (e.errorCode == 504)
{
setStatus(KaiTrade.Interfaces.Status.closed);
}
//will reject the order - if any
if (e.id >= 0)
{
rejectOrder(e.id.ToString(), e.errorMsg);
}
}
catch (Exception myE)
{
_log.Error("TWS_errMsg", myE);
}
}
/// <summary>
/// Update the publisher size
/// </summary>
/// <param name="mySubject"></param>
/// <param name="e"></param>
private void UpdateSize(KaiTrade.Interfaces.TradableProduct product, AxTWSLib._DTwsEvents_tickSizeEvent e)
{
KaiTrade.TradeObjects.PXUpdateBase pxupdate = new KaiTrade.TradeObjects.PXUpdateBase(m_ID);
pxupdate.Mnemonic = product.Mnemonic;
switch (e.tickType)
{
case 0:
pxupdate.BidSize = e.size * product.PriceFeedQuantityMultiplier;
break;
case 3:
pxupdate.OfferSize = e.size * product.PriceFeedQuantityMultiplier;
break;
case 5:
pxupdate.TradeVolume = e.size * product.PriceFeedQuantityMultiplier;
break;
}
ApplyPriceUpdate(pxupdate);
}
/// <summary>
/// Process historical data
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
void TWS_historicalData(object sender, AxTWSLib._DTwsEvents_historicalDataEvent e)
{
try
{
if (m_IBReqIDTSSet.ContainsKey(e.reqId))
{
KaiTrade.Interfaces.ITSSet tsSet = m_IBReqIDTSSet[e.reqId];
// get a new TS item
KaiTrade.Interfaces.ITSItem tsItem = tsSet.GetNewItem();
if (tsSet.Items.Count > 200)
{
tsSet.Added = true;
tsSet.Items.Clear();
}
DumpRecord(tsItem, tsSet,e);
tsSet.AddItem(tsItem);
if (tsItem.Tag.ToString().IndexOf("fin",0) >= 0)
{
tsSet.Added = true;
}
if (tsSet.Items.Count > 200)
{
}
_log.Info("BAR: " + tsItem.ToString());
}
else
{
_log.Error("TWS_historicalData:unknown request id");
}
}
catch (Exception myE)
{
_log.Error("TWS_historicalData", myE);
}
}
private void DumpRecord(KaiTrade.Interfaces.ITSItem tsItem, KaiTrade.Interfaces.ITSSet tsSet, AxTWSLib._DTwsEvents_historicalDataEvent e)
{
try
{
// get a new TS item
tsItem.Index = e.barCount;
tsItem.Tag = e.date;
//tsItem.TimeStamp = e.date
//tsItem.TimeStamp = e.date;
tsItem.Open = e.open;
tsItem.High = e.high;
tsItem.Low = e.low;
tsItem.Close =e.close;
tsItem.Volume = e.volume;
DateTime result;
if (e.date.Length > 10)
{
DriverBase.DriverUtils.FromLocalMktDate(out result, e.date.Substring(0, 8), e.date.Substring(10, 8));
}
else
{
DriverBase.DriverUtils.FromLocalMktDate(out result, e.date);
}
tsItem.TimeStamp = result;
//tsItem.AskVolume = e.;
//tsItem.BidVolume = myBar.BidVolume;
// e.volume
//tsItem.Mid = e.m;
//tsItem.HLC3 = myBar.HLC3;
//tsItem.Avg = myBar.Avg;
//tsItem.TrueHigh = myBar.TrueHigh;
//tsItem.TrueLow = myBar.TrueLow;
//tsItem.Range = myBar.Range;
//tsItem.TrueRange = myBar.TrueRange;
//tsItem.Index = int.Parse(e.date);
}
catch (Exception myE)
{
_log.Error("DumpRecord", myE);
}
}
private void axTws1_tickPrice(object sender, AxTWSLib._DTwsEvents_tickPriceEvent e)
{
// Callback method to handle new market data Price change events
// When this callback method/routine is activated, price changes will appear
// in the Events objects named "e"
// Properties of "e" include:
// e.id The identifier that was set during the call to reqMktData
// e.price The latest Price
// e.tickType The tick type 1=bid,2=ask, 4=last, 6=high, 7=low, 9=close
// e.canAutoExecute A flag 1= the order can be automatically executed
// If this is a bid price change, then display it
if ((e.tickType) == 1)
{
// Add the bid price to the text box
lbPrice.Items.Add("Bid = " + e.price);
}
// If this is a ask price change, then display it
if ((e.tickType) == 2)
{
// Add the ask price to the text box
lbPrice.Items.Add("Ask = " + e.price);
}
// If this is a last price change, then display it
if ((e.tickType) == 4)
{
// Add the last price to the list box
// Note: In C# the plus sign can be used for string concatenation
lbPrice.Items.Add("Last =" + e.price);
// Add the trade's latest price to the chart box
chtPrices.Series["Prices"].Points.AddY(e.price);
// Add latest price to lstPriceHistory's list
lstPriceHistory.Add(e.price);
//Calculate when lstPriceHistory's count is above 20
if (lstPriceHistory.Count > 20)
{
// Remove the first price entry from lstPriceHistory's list
lstPriceHistory.RemoveAt(0);
// Calculating the Average Prices and then plotting it
double dblTotalPrice = lstPriceHistory.Sum();
double dblMovingAverage = (dblTotalPrice) / 20.0;
chtPrices.Series["AveragePrices"].Points.AddY(dblMovingAverage);
}
// Calculate when lstPriceHistory's count is below 20
else
{
// Add the point to the graph (0.0)
chtPrices.Series["AveragePrices"].Points.AddY(0.0);
// Now making that point "Empty"
chtPrices.Series["AveragePrices"].Points.ElementAt( (lstPriceHistory.Count() - 1) ).IsEmpty = true;
// Adding an Empty Point
chtPrices.DataManipulator.InsertEmptyPoints(1, IntervalType.Number, "AveragePrices");
}
}
}
