private void RealTimeCandlesClick(object sender, RoutedEventArgs e)
{
foreach (var security in SecurityPicker.SelectedSecurities)
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, InteractiveBrokersTimeFrames.Second5);
if (_realTimeCandles.Keys.Any(s => s.Security == security))
{
Trader.UnSubscribeCandles(series);
_realTimeCandles.GetAndRemove(series).Close();
RealTimeCandles.IsChecked = false;
}
else
{
var wnd = new CandlesWindow
{
Title = security.Id + LocalizedStrings.Str2973
};
_realTimeCandles.Add(series, wnd);
Trader.SubscribeCandles(series);
wnd.Show();
RealTimeCandles.IsChecked = true;
}
}
}
private void RealTimeCandlesClick(object sender, RoutedEventArgs e)
{
var series = new CandleSeries(typeof(TimeFrameCandle), SelectedSecurity, IBTimeFrames.Second5);
if (RealTimeCandles.IsChecked == true)
{
var wnd = new CandlesWindow {
Title = SelectedSecurity.Id + LocalizedStrings.Str2973
};
_сandles.Add(series, wnd);
Trader.SubscribeCandles(series, DateTimeOffset.MinValue, DateTimeOffset.MaxValue);
wnd.Show();
}
else
{
Trader.UnSubscribeCandles(series);
_сandles.GetAndRemove(series).Close();
}
}
/// <summary>
/// Отправить сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_depths.Clear();
_secIdByTradeIds.Clear();
if (_socket != null)
{
try
{
_socket.Dispose();
}
catch (Exception ex)
{
SendOutError(ex);
}
_socket = null;
}
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
if (_socket != null)
{
throw new InvalidOperationException(LocalizedStrings.Str1619);
}
_socket = new IBSocket {
Parent = this
};
_socket.ProcessResponse += OnProcessResponse;
_socket.Connect(Address);
_socket.Send((int)_clientVersion);
_socket.ServerVersion = (ServerVersions)_socket.ReadInt();
if (_socket.ServerVersion >= ServerVersions.V20)
{
var str = _socket.ReadStr();
ConnectedTime = str.Substring(0, str.LastIndexOf(' ')).ToDateTime("yyyyMMdd HH:mm:ss");
}
if (_socket.ServerVersion < _minimumServerVersion)
{
throw new InvalidOperationException(LocalizedStrings.Str2513Params
.Put((int)_socket.ServerVersion, (int)_minimumServerVersion));
}
if (_socket.ServerVersion >= ServerVersions.V3)
{
if (_socket.ServerVersion >= ServerVersions.V70)
{
if (!ExtraAuth)
{
_socket.Send((int)RequestMessages.StartApi);
_socket.Send((int)ServerVersions.V1);
_socket.Send(ClientId);
}
}
else
{
_socket.Send(ClientId);
}
}
_socket.StartListening(error => SendOutMessage(new ConnectMessage {
Error = error
}));
SendOutMessage(new ConnectMessage());
// отправляется автоматически
//RequestIds(1);
SetServerLogLevel();
SetMarketDataType();
RequestCurrentTime();
break;
}
case MessageTypes.Disconnect:
{
if (_socket == null)
{
throw new InvalidOperationException(LocalizedStrings.Str1856);
}
UnSubscribePosition();
UnSubscribeAccountSummary(_pfRequests.GetAndRemove("ALL"));
_socket.Dispose();
_socket = null;
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.OrderRegister:
{
RegisterOrder((OrderRegisterMessage)message);
break;
}
case MessageTypes.OrderCancel:
{
var cancelMsg = (OrderCancelMessage)message;
ProcessRequest(RequestMessages.CancelOrder, 0, ServerVersions.V1, socket => socket.Send((int)cancelMsg.OrderTransactionId));
break;
}
case MessageTypes.OrderGroupCancel:
{
RequestGlobalCancel();
break;
}
case MessageTypes.SecurityLookup:
{
RequestSecurityInfo((SecurityLookupMessage)message);
break;
}
case MessageTypes.MarketData:
{
ProcessMarketDataMessage((MarketDataMessage)message);
break;
}
case MessageTypes.PortfolioLookup:
{
var pfMsg = (PortfolioLookupMessage)message;
// отправляется автоматически
//RequestPortfolios();
SubscribePosition();
_pfRequests.Add("ALL", pfMsg.TransactionId);
SubscribeAccountSummary(pfMsg.TransactionId, "ALL", Enumerator.GetValues <AccountSummaryTag>());
break;
}
case MessageTypes.Portfolio:
{
var pfMsg = (PortfolioMessage)message;
SubscribePortfolio(pfMsg.PortfolioName, pfMsg.IsSubscribe);
break;
}
case MessageTypes.OrderStatus:
{
var orderMsg = (OrderStatusMessage)message;
RequestOpenOrders();
RequestAllOpenOrders();
//RequestAutoOpenOrders(ClientId == 0);
ReqeustMyTrades(orderMsg.TransactionId, new MyTradeFilter());
break;
}
}
}
/// <summary>
/// Отправить сообщение.
/// </summary>
/// <param name="message">Сообщение.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Connect:
{
_depths.Clear();
_secIdByTradeIds.Clear();
if (SessionHolder.Session == null)
{
var socket = new IBSocket {
Parent = SessionHolder
};
socket.Connect(SessionHolder.Address);
socket.Send((int)_clientVersion);
socket.ServerVersion = (ServerVersions)socket.ReadInt();
if (socket.ServerVersion >= ServerVersions.V20)
{
var str = socket.ReadStr();
SessionHolder.ConnectedTime = str.Substring(0, str.LastIndexOf(' ')).ToDateTime("yyyyMMdd HH:mm:ss");
}
if (socket.ServerVersion < _minimumServerVersion)
{
throw new InvalidOperationException(LocalizedStrings.Str2513Params
.Put((int)socket.ServerVersion, (int)_minimumServerVersion));
}
if (socket.ServerVersion >= ServerVersions.V3)
{
if (socket.ServerVersion >= ServerVersions.V70)
{
if (!SessionHolder.ExtraAuth)
{
socket.Send((int)RequestMessages.StartApi);
socket.Send((int)ServerVersions.V1);
socket.Send(SessionHolder.ClientId);
}
}
else
{
socket.Send(SessionHolder.ClientId);
}
}
socket.StartListening(error => SendOutMessage(new ConnectMessage {
Error = error
}));
_isSessionOwner = true;
SessionHolder.Session = socket;
}
SendOutMessage(new ConnectMessage());
if (_isSessionOwner)
{
// отправляется автоматически
//RequestIds(1);
SetServerLogLevel();
SetMarketDataType();
RequestCurrentTime();
}
switch (Type)
{
case MessageAdapterTypes.Transaction:
SendInMessage(new PortfolioLookupMessage {
TransactionId = TransactionIdGenerator.GetNextId()
});
SendInMessage(new OrderStatusMessage {
TransactionId = TransactionIdGenerator.GetNextId()
});
break;
case MessageAdapterTypes.MarketData:
//RequestScannerParameters();
break;
default:
throw new ArgumentOutOfRangeException();
}
break;
}
case MessageTypes.Disconnect:
{
switch (Type)
{
case MessageAdapterTypes.Transaction:
UnSubscribePosition();
UnSubscribeAccountSummary(_pfRequests.GetAndRemove("ALL"));
break;
case MessageAdapterTypes.MarketData:
break;
default:
throw new ArgumentOutOfRangeException();
}
if (_isSessionOwner)
{
SessionHolder.Session.Dispose();
SessionHolder.Session = null;
_isSessionOwner = false;
}
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.OrderRegister:
{
RegisterOrder((OrderRegisterMessage)message);
break;
}
case MessageTypes.OrderCancel:
{
var cancelMsg = (OrderCancelMessage)message;
ProcessRequest(RequestMessages.CancelOrder, 0, ServerVersions.V1, socket => socket.Send((int)cancelMsg.OrderTransactionId));
break;
}
case MessageTypes.OrderGroupCancel:
{
RequestGlobalCancel();
break;
}
case MessageTypes.SecurityLookup:
{
RequestSecurityInfo((SecurityLookupMessage)message);
break;
}
case MessageTypes.MarketData:
{
var mdMsg = (MarketDataMessage)message;
switch (mdMsg.DataType)
{
case MarketDataTypes.Level1:
{
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)null);
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeMarketData(mdMsg, SessionHolder.Fields, false, false);
}
else
{
UnSubscribeMarketData(_requestIds[key]);
}
break;
}
case MarketDataTypes.MarketDepth:
{
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)null);
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeMarketDepth(mdMsg);
}
else
{
UnSubscriveMarketDepth(_requestIds[key]);
}
break;
}
case MarketDataTypes.Trades:
break;
case MarketDataTypes.News:
{
if (mdMsg.IsSubscribe)
{
SubscribeNewsBulletins(true);
}
else
{
UnSubscribeNewsBulletins();
}
break;
}
case MarketDataTypes.CandleTimeFrame:
{
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)Tuple.Create(mdMsg.Arg, mdMsg.To == DateTimeOffset.MaxValue));
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
if (mdMsg.To == DateTimeOffset.MaxValue)
{
SubscribeRealTimeCandles(mdMsg);
}
else
{
SubscribeHistoricalCandles(mdMsg, CandleDataTypes.Trades);
}
}
else
{
var requestId = _requestIds[key];
if (mdMsg.To == DateTimeOffset.MaxValue)
{
UnSubscribeRealTimeCandles(mdMsg, requestId);
}
else
{
ProcessRequest(RequestMessages.UnSubscribeHistoricalData, 0, ServerVersions.V1,
socket => socket.Send(requestId));
}
}
break;
}
case ExtendedMarketDataTypes.Scanner:
{
var scannerMsg = (ScannerMarketDataMessage)mdMsg;
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)scannerMsg.Filter);
if (mdMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeScanner(scannerMsg);
}
else
{
UnSubscribeScanner(_requestIds[key]);
}
break;
}
case ExtendedMarketDataTypes.FundamentalReport:
{
var reportMsg = (FundamentalReportMarketDataMessage)mdMsg;
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)reportMsg.Report);
if (reportMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeFundamentalReport(reportMsg);
}
else
{
UnSubscribeFundamentalReport(_requestIds[key]);
}
break;
}
case ExtendedMarketDataTypes.OptionCalc:
{
var optionMsg = (OptionCalcMarketDataMessage)mdMsg;
var key = Tuple.Create(mdMsg.DataType, mdMsg.SecurityId, (object)Tuple.Create(optionMsg.OptionPrice, optionMsg.ImpliedVolatility, optionMsg.AssetPrice));
if (optionMsg.IsSubscribe)
{
_requestIds.Add(key, mdMsg.TransactionId);
SubscribeCalculateOptionPrice(optionMsg);
SubscribeCalculateImpliedVolatility(optionMsg);
}
else
{
var requestId = _requestIds[key];
UnSubscribeCalculateOptionPrice(requestId);
UnSubscribeCalculateImpliedVolatility(requestId);
}
break;
}
default:
throw new ArgumentOutOfRangeException("message", mdMsg.DataType, LocalizedStrings.Str1618);
}
var reply = (MarketDataMessage)mdMsg.Clone();
reply.OriginalTransactionId = mdMsg.OriginalTransactionId;
SendOutMessage(reply);
break;
}
case MessageTypes.PortfolioLookup:
{
var pfMsg = (PortfolioLookupMessage)message;
// отправляется автоматически
//RequestPortfolios();
SubscribePosition();
_pfRequests.Add("ALL", pfMsg.TransactionId);
SubscribeAccountSummary(pfMsg.TransactionId, "ALL", Enumerator.GetValues <AccountSummaryTag>());
break;
}
case MessageTypes.Portfolio:
{
var pfMsg = (PortfolioMessage)message;
SubscribePortfolio(pfMsg.PortfolioName, pfMsg.IsSubscribe);
break;
}
case MessageTypes.OrderStatus:
{
var orderMsg = (OrderStatusMessage)message;
RequestOpenOrders();
RequestAllOpenOrders();
//RequestAutoOpenOrders(ClientId == 0);
ReqeustMyTrades(orderMsg.TransactionId, new MyTradeFilter());
break;
}
}
}
