public void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
try
{
TWSSubscription subscription = TWSSubscriptionManager.GetById(tickerId);
if (subscription != null)
{
TWSTickEventArgs args = new TWSTickEventArgs(subscription, field, price, attribs);
if (m_twsTickEventHandler != null)
{
if (args.DoubleValue >= 0)
{
m_twsTickEventHandler(this, args);
}
else
{
Info(String.Format("Ignoring tick price: {0}", args.ToString()));
}
}
}
else
{
Info(String.Format("Error - tick received for unknown ticker id {0}", tickerId));
}
}
catch (Exception ex) { Error("Exception in tickPrice callback", ex); }
}
//! [tickprice]
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
if (field == (int)TickType.BidPrice || field == (int)TickType.AskPrice)
{
var symbol = subscription.GetSymbolNameByRequestId(tickerId);
var tickType = (TickType)field;
quotes.AddOrUpdate(symbol, s => new Quote
{
Time = DateTimeOffset.UtcNow,
Symbol = symbol,
Ask = tickType == TickType.AskPrice ? price : 0,
Bid = tickType == TickType.BidPrice ? price : 0
}, (s, q) => new Quote
{
Time = DateTimeOffset.UtcNow,
Symbol = symbol,
Ask = tickType == TickType.AskPrice ? price : q.Ask,
Bid = tickType == TickType.BidPrice ? price : q.Bid
});
if (quotes.TryGetValue(symbol, out Quote quote))
{
if (quote.IsFilled())
{
queue.AddItem(quote);
}
}
}
}
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
switch (field)
{
case 1:
{
if (_priceUpdate.Bid != price)
{
_priceUpdate.Bid = price;
PriceUpdateReceived?.Invoke(this, _priceUpdate);
}
break;
}
case 2:
{
if (_priceUpdate.Ask != price)
{
_priceUpdate.Ask = price;
PriceUpdateReceived?.Invoke(this, _priceUpdate);
}
break;
}
}
}
public TickPriceArg(int tickerId, int field, double price, TickAttrib attribs)
{
this.tickerId = tickerId;
this.field = field;
this.price = price;
this.attribs = attribs;
}
//! [tickprice]
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
_messages.Add($"Price: {price}");
Console.WriteLine("Tick Price. Ticker Id:" + tickerId + ", Field: " + field + ", Price: " + price + ", CanAutoExecute: " + attribs.CanAutoExecute +
", PastLimit: " + attribs.PastLimit + ", PreOpen: " + attribs.PreOpen);
}
public TWSTickEventArgs(TWSSubscription subscription, int field, double price, TickAttrib attribs = null)
: this(subscription)
{
Field = field;
DoubleValue = price;
Attribs = attribs;
}
public TickPrice(int tickerId, int field, double price, TickAttrib tickAttribs)
{
TickerId = tickerId;
Field = field;
Price = price;
TickAttribs = tickAttribs;
}
/// <summary>
/// Initializes a new instance of the <see cref="TickPriceEventArgs"/> class.
/// </summary>
/// <param name="tickerId">The ticker id</param>
/// <param name="field">The ticker field</param>
/// <param name="price">The price</param>
/// <param name="attribs">The price attributes</param>
public TickPriceEventArgs(int tickerId, int field, double price, TickAttrib attribs)
{
this.TickerId = tickerId;
this.Field = field;
this.Price = price;
this.Attribs = attribs;
}
internal PriceTick(ResponseReader r)
{
r.RequireVersion(3);
RequestId = r.ReadInt();
TickType = r.ReadEnum <TickType>();
Price = r.ReadDouble();
Size = r.ReadLong();
TickAttrib = new TickAttrib(r);
}
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
Console.WriteLine("Tick Price. Ticker Id:" + tickerId + ", Field: " + field + ", Price: " + price + ", CanAutoExecute: " + attribs.CanAutoExecute +
", PastLimit: " + attribs.PastLimit + ", PreOpen: " + attribs.PreOpen);
TickPrice tickPrice = new TickPrice(tickerId, field, price, attribs);
RaiseTickPriceUpdatedEvent(new TickPriceArgs(tickPrice));
}
//! [tickprice]
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
if (field == 4)
{
// Console.WriteLine("Tick Price. Ticker Id:" + tickerId + ", Field: " + field + ", Price: " + price +
// ", CanAutoExecute: " + attribs.CanAutoExecute +
// ", PastLimit: " + attribs.PastLimit + ", PreOpen: " + attribs.PreOpen);
}
}
void EWrapper.tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
var tmp = TickPrice;
if (tmp != null)
{
FireEvent(t => tmp(new TickPriceMessage(tickerId, field, price, attribs)), null);
}
}
public TickByTickBidAskMessage(int reqId, long time, double bidPrice, double askPrice, long bidSize, long askSize, TickAttrib attribs)
{
ReqId = reqId;
Time = time;
BidPrice = bidPrice;
AskPrice = askPrice;
BidSize = bidSize;
AskSize = askSize;
Attribs = attribs;
}
void EWrapper.tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
var tmp = TickPrice;
if (tmp != null)
{
new Task(() =>
tmp(new TickPriceMessage(tickerId, field, price, attribs))
).RunSynchronously(scheduler);
}
}
public TickByTickAllLastMessage(int reqId, int tickType, long time, double price, long size, TickAttrib attribs, string exchange, string specialConditions)
{
RequestId = reqId;
TickType = tickType;
Time = time;
Price = price;
Size = size;
Attribs = attribs;
Exchange = exchange;
SpecialConditions = specialConditions;
}
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
//Console.WriteLine("Tick Price. Ticker Id:"+tickerId+", Field: "+field+", Price: "+price+", CanAutoExecute: "+attribs.CanAutoExecute + ", PastLimit" + attribs.PastLimit);
var now = DateTime.Now;
if (now.Minute == 25 && now.Second <= 10)
{
var s = "Tick Price. Ticker Id:" + tickerId + ", Field: " + field + ", Price: " + price + ", CanAutoExecute: " + attribs.CanAutoExecute + ", PastLimit" + attribs.PastLimit;
log.Debug(s);
}
}
public void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
var now = DateTime.Now;
//var message = "Tick Price. Ticker Id:" + tickerId + ", Field: " + field + ", Price: " + price + ", CanAutoExecute: " + attribs.CanAutoExecute +
// ", PastLimit: " + attribs.PastLimit + ", PreOpen: " + attribs.PreOpen;
var message = now.ToString("MMdd hh:mm:ss:ffff") + "-" + field + "-" + price + "-" + attribs.toString();
//OnMarketDataTicked("tickPrice", message);
Console.WriteLine(message);
}
public void tickPrice(int tickerId, TickType field, double price, TickAttrib attribs)
{
if (mTickers[tickerId]?.ContractDetails == null)
{
// the market depth stream has been stopped but this
// update was already on its way
return;
}
var formatPrice = mTickers[tickerId].FormatPrice;
switch (field)
{
case TickType.Ask:
showTickerValue(tickerId, TickerColumnAsk, formatPrice(price));
break;
case TickType.Bid:
showTickerValue(tickerId, TickerColumnBid, formatPrice(price));
break;
case TickType.Last:
showTickerValue(tickerId, TickerColumnLast, formatPrice(price));
break;
case TickType.Open:
showTickerValue(tickerId, TickerColumnOpen, formatPrice(price));
break;
case TickType.High:
showTickerValue(tickerId, TickerColumnHigh, formatPrice(price));
break;
case TickType.Low:
showTickerValue(tickerId, TickerColumnLow, formatPrice(price));
break;
case TickType.Close:
showTickerValue(tickerId, TickerColumnClose, formatPrice(price));
break;
default:
logMessage($"tickPrice: id={tickerId}; field={getField(field)}; value={formatPrice(price)}");
break;
}
}
public void tickPrice(int tickerId, int tickType, double price, TickAttrib attribs)
{
var cd = mTickers[tickerId].ContractDetails;
switch (tickType)
{
case IBApi.TickType.ASK:
showTickerValue(tickerId, TickerColumnAsk, PriceFormatter.FormatPrice(price, cd.Contract.SecType, cd.MinTick * cd.PriceMagnifier));
break;
case IBApi.TickType.BID:
showTickerValue(tickerId, TickerColumnBid, PriceFormatter.FormatPrice(price, cd.Contract.SecType, cd.MinTick * cd.PriceMagnifier));
break;
case IBApi.TickType.LAST:
showTickerValue(tickerId, TickerColumnLast, PriceFormatter.FormatPrice(price, cd.Contract.SecType, cd.MinTick * cd.PriceMagnifier));
break;
}
}
public void tickByTickAllLast(int reqId, int tickType, long time, double price, int size, TickAttrib attribs, string exchange, string specialConditions)
{
try { throw new NotImplementedException(); }
catch (Exception ex) { Error("Exception in tickByTickAllLast", ex); }
}
public TickPriceMessage(int requestId, int field, double price, TickAttrib attribs)
: base(requestId, field)
{
this.price = price;
this.attribs = attribs;
}
//! [historicaltickslast]
//! [tickbytickalllast]
public void tickByTickAllLast(int reqId, int tickType, long time, double price, int size, TickAttrib attribs, string exchange, string specialConditions)
{
Console.WriteLine("Tick-By-Tick. Request Id: {0}, TickType: {1}, Time: {2}, Price: {3}, Size: {4}, Exchange: {5}, Special Conditions: {6}, PastLimit: {7}, Unreported: {8}",
reqId, tickType == 1 ? "Last" : "AllLast", Util.UnixSecondsToString(time, "yyyyMMdd-HH:mm:ss zzz"), price, size, exchange, specialConditions, attribs.PastLimit, attribs.Unreported);
}
//! [tickbytickalllast]
//! [tickbytickbidask]
public void tickByTickBidAsk(int reqId, long time, double bidPrice, double askPrice, int bidSize, int askSize, TickAttrib attribs)
{
Console.WriteLine("Tick-By-Tick. Request Id: {0}, TickType: BidAsk, Time: {1}, BidPrice: {2}, AskPrice: {3}, BidSize: {4}, AskSize: {5}, BidPastLow: {6}, AskPastHigh: {7}",
reqId, Util.UnixSecondsToString(time, "yyyyMMdd-HH:mm:ss zzz"), bidPrice, askPrice, bidSize, askSize, attribs.BidPastLow, attribs.AskPastHigh);
}
public virtual void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
OnManagedTickPrice?.Invoke(this, new TickPriceArg(tickerId, field, price, attribs));
}
void EWrapper.tickByTickBidAsk(int reqId, long time, double bidPrice, double askPrice, int bidSize, int askSize, TickAttrib attribs)
{
var tmp = tickByTickBidAsk;
if (tmp != null)
{
sc.Post((t) => tmp(new TickByTickBidAskMessage(reqId, time, bidPrice, askPrice, bidSize, askSize, attribs)), null);
}
}
/// <inheritdoc/>
public void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
var eventArgs = new TickPriceEventArgs(tickerId, field, price, attribs);
this.TickPriceEvent?.Invoke(this, eventArgs);
}
public void tickPrice(int tickerId, int field, double price, /*unused*/ TickAttrib attribs)
{
SetTopicValue(tickerId, field, price);
}
internal PriceTick()
{
TickAttrib = new TickAttrib();
}
/// <inheritdoc/>
public void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
throw new NotImplementedException();
}
public void tickByTickBidAsk(int reqId, long time, double bidPrice, double askPrice, int bidSize, int askSize, TickAttrib attribs)
{
try { throw new NotImplementedException(); }
catch (Exception ex) { Error("Exception in tickByTickBidAsk", ex); }
}
