public void deltaNeutralValidation(int reqId, UnderComp underComp)
{
throw new NotImplementedException();
}
public virtual void deltaNeutralValidation(int reqId, UnderComp underComp)
{
Console.WriteLine("DeltaNeutralValidation. " + reqId + ", ConId: " + underComp.ConId + ", Delta: " + underComp.Delta + ", Price: " + underComp.Price);
}
private void OpenOrderEvent()
{
int msgVersion = ReadInt();
// read order id
Order order = new Order();
order.OrderId = ReadInt();
// read contract fields
Contract contract = new Contract();
if (msgVersion >= 17)
{
contract.ConId = ReadInt();
}
contract.Symbol = ReadString();
contract.SecType = ReadString();
contract.Expiry = ReadString();
contract.Strike = ReadDouble();
contract.Right = ReadString();
if (msgVersion >= 32)
{
contract.Multiplier = ReadString();
}
contract.Exchange = ReadString();
contract.Currency = ReadString();
if (msgVersion >= 2)
{
contract.LocalSymbol = ReadString();
}
if (msgVersion >= 32)
{
contract.TradingClass = ReadString();
}
// read order fields
order.Action = ReadString();
order.TotalQuantity = ReadInt();
order.OrderType = ReadString();
if (msgVersion < 29)
{
order.LmtPrice = ReadDouble();
}
else
{
order.LmtPrice = ReadDoubleMax();
}
if (msgVersion < 30)
{
order.AuxPrice = ReadDouble();
}
else
{
order.AuxPrice = ReadDoubleMax();
}
order.Tif = ReadString();
order.OcaGroup = ReadString();
order.Account = ReadString();
order.OpenClose = ReadString();
order.Origin = ReadInt();
order.OrderRef = ReadString();
if (msgVersion >= 3)
{
order.ClientId = ReadInt();
}
if (msgVersion >= 4)
{
order.PermId = ReadInt();
if (msgVersion < 18)
{
// will never happen
/* order.ignoreRth = */
ReadBoolFromInt();
}
else
{
order.OutsideRth = ReadBoolFromInt();
}
order.Hidden = ReadInt() == 1;
order.DiscretionaryAmt = ReadDouble();
}
if (msgVersion >= 5)
{
order.GoodAfterTime = ReadString();
}
if (msgVersion >= 6)
{
// skip deprecated sharesAllocation field
ReadString();
}
if (msgVersion >= 7)
{
order.FaGroup = ReadString();
order.FaMethod = ReadString();
order.FaPercentage = ReadString();
order.FaProfile = ReadString();
}
if (msgVersion >= 8)
{
order.GoodTillDate = ReadString();
}
if (msgVersion >= 9)
{
order.Rule80A = ReadString();
order.PercentOffset = ReadDoubleMax();
order.SettlingFirm = ReadString();
order.ShortSaleSlot = ReadInt();
order.DesignatedLocation = ReadString();
if (parent.ServerVersion == 51)
{
ReadInt(); // exemptCode
}
else if (msgVersion >= 23)
{
order.ExemptCode = ReadInt();
}
order.AuctionStrategy = ReadInt();
order.StartingPrice = ReadDoubleMax();
order.StockRefPrice = ReadDoubleMax();
order.Delta = ReadDoubleMax();
order.StockRangeLower = ReadDoubleMax();
order.StockRangeUpper = ReadDoubleMax();
order.DisplaySize = ReadInt();
if (msgVersion < 18)
{
// will never happen
/* order.rthOnly = */
ReadBoolFromInt();
}
order.BlockOrder = ReadBoolFromInt();
order.SweepToFill = ReadBoolFromInt();
order.AllOrNone = ReadBoolFromInt();
order.MinQty = ReadIntMax();
order.OcaType = ReadInt();
order.ETradeOnly = ReadBoolFromInt();
order.FirmQuoteOnly = ReadBoolFromInt();
order.NbboPriceCap = ReadDoubleMax();
}
if (msgVersion >= 10)
{
order.ParentId = ReadInt();
order.TriggerMethod = ReadInt();
}
if (msgVersion >= 11)
{
order.Volatility = ReadDoubleMax();
order.VolatilityType = ReadInt();
if (msgVersion == 11)
{
int receivedInt = ReadInt();
order.DeltaNeutralOrderType = ((receivedInt == 0) ? "NONE" : "MKT");
}
else
{ // msgVersion 12 and up
order.DeltaNeutralOrderType = ReadString();
order.DeltaNeutralAuxPrice = ReadDoubleMax();
if (msgVersion >= 27 && !Util.StringIsEmpty(order.DeltaNeutralOrderType))
{
order.DeltaNeutralConId = ReadInt();
order.DeltaNeutralSettlingFirm = ReadString();
order.DeltaNeutralClearingAccount = ReadString();
order.DeltaNeutralClearingIntent = ReadString();
}
if (msgVersion >= 31 && !Util.StringIsEmpty(order.DeltaNeutralOrderType))
{
order.DeltaNeutralOpenClose = ReadString();
order.DeltaNeutralShortSale = ReadBoolFromInt();
order.DeltaNeutralShortSaleSlot = ReadInt();
order.DeltaNeutralDesignatedLocation = ReadString();
}
}
order.ContinuousUpdate = ReadInt();
if (parent.ServerVersion == 26)
{
order.StockRangeLower = ReadDouble();
order.StockRangeUpper = ReadDouble();
}
order.ReferencePriceType = ReadInt();
}
if (msgVersion >= 13)
{
order.TrailStopPrice = ReadDoubleMax();
}
if (msgVersion >= 30)
{
order.TrailingPercent = ReadDoubleMax();
}
if (msgVersion >= 14)
{
order.BasisPoints = ReadDoubleMax();
order.BasisPointsType = ReadIntMax();
contract.ComboLegsDescription = ReadString();
}
if (msgVersion >= 29)
{
int comboLegsCount = ReadInt();
if (comboLegsCount > 0)
{
contract.ComboLegs = new List<ComboLeg>(comboLegsCount);
for (int i = 0; i < comboLegsCount; ++i)
{
int conId = ReadInt();
int ratio = ReadInt();
String action = ReadString();
String exchange = ReadString();
int openClose = ReadInt();
int shortSaleSlot = ReadInt();
String designatedLocation = ReadString();
int exemptCode = ReadInt();
ComboLeg comboLeg = new ComboLeg(conId, ratio, action, exchange, openClose,
shortSaleSlot, designatedLocation, exemptCode);
contract.ComboLegs.Add(comboLeg);
}
}
int orderComboLegsCount = ReadInt();
if (orderComboLegsCount > 0)
{
order.OrderComboLegs = new List<OrderComboLeg>(orderComboLegsCount);
for (int i = 0; i < orderComboLegsCount; ++i)
{
double price = ReadDoubleMax();
OrderComboLeg orderComboLeg = new OrderComboLeg(price);
order.OrderComboLegs.Add(orderComboLeg);
}
}
}
if (msgVersion >= 26)
{
int smartComboRoutingParamsCount = ReadInt();
if (smartComboRoutingParamsCount > 0)
{
order.SmartComboRoutingParams = new List<TagValue>(smartComboRoutingParamsCount);
for (int i = 0; i < smartComboRoutingParamsCount; ++i)
{
TagValue tagValue = new TagValue();
tagValue.tag = ReadString();
tagValue.value = ReadString();
order.SmartComboRoutingParams.Add(tagValue);
}
}
}
if (msgVersion >= 15)
{
if (msgVersion >= 20)
{
order.ScaleInitLevelSize = ReadIntMax();
order.ScaleSubsLevelSize = ReadIntMax();
}
else
{
/* int notSuppScaleNumComponents = */
ReadIntMax();
order.ScaleInitLevelSize = ReadIntMax();
}
order.ScalePriceIncrement = ReadDoubleMax();
}
if (msgVersion >= 28 && order.ScalePriceIncrement > 0.0 && order.ScalePriceIncrement != Double.MaxValue)
{
order.ScalePriceAdjustValue = ReadDoubleMax();
order.ScalePriceAdjustInterval = ReadIntMax();
order.ScaleProfitOffset = ReadDoubleMax();
order.ScaleAutoReset = ReadBoolFromInt();
order.ScaleInitPosition = ReadIntMax();
order.ScaleInitFillQty = ReadIntMax();
order.ScaleRandomPercent = ReadBoolFromInt();
}
if (msgVersion >= 24)
{
order.HedgeType = ReadString();
if (!Util.StringIsEmpty(order.HedgeType))
{
order.HedgeParam = ReadString();
}
}
if (msgVersion >= 25)
{
order.OptOutSmartRouting = ReadBoolFromInt();
}
if (msgVersion >= 19)
{
order.ClearingAccount = ReadString();
order.ClearingIntent = ReadString();
}
if (msgVersion >= 22)
{
order.NotHeld = ReadBoolFromInt();
}
if (msgVersion >= 20)
{
if (ReadBoolFromInt())
{
UnderComp underComp = new UnderComp();
underComp.ConId = ReadInt();
underComp.Delta = ReadDouble();
underComp.Price = ReadDouble();
contract.UnderComp = underComp;
}
}
if (msgVersion >= 21)
{
order.AlgoStrategy = ReadString();
if (!Util.StringIsEmpty(order.AlgoStrategy))
{
int algoParamsCount = ReadInt();
if (algoParamsCount > 0)
{
order.AlgoParams = new List<TagValue>(algoParamsCount);
for (int i = 0; i < algoParamsCount; ++i)
{
TagValue tagValue = new TagValue();
tagValue.tag = ReadString();
tagValue.value = ReadString();
order.AlgoParams.Add(tagValue);
}
}
}
}
OrderState orderState = new OrderState();
if (msgVersion >= 16)
{
order.WhatIf = ReadBoolFromInt();
orderState.Status = ReadString();
orderState.InitMargin = ReadString();
orderState.MaintMargin = ReadString();
orderState.EquityWithLoan = ReadString();
orderState.Commission = ReadDoubleMax();
orderState.MinCommission = ReadDoubleMax();
orderState.MaxCommission = ReadDoubleMax();
orderState.CommissionCurrency = ReadString();
orderState.WarningText = ReadString();
}
parent.Wrapper.openOrder(order.OrderId, contract, order, orderState);
}
/// <summary>
/// Initializes a new instance of the <see cref="DeltaNeutralValidationEventArgs"/> class
/// </summary>
public DeltaNeutralValidationEventArgs(int requestId, UnderComp underComp)
{
RequestId = requestId;
UnderComp = underComp;
}
private void DeltaNeutralValidationEvent()
{
int msgVersion = ReadInt();
int requestId = ReadInt();
UnderComp underComp = new UnderComp();
underComp.ConId = ReadInt();
underComp.Delta = ReadDouble();
underComp.Price = ReadDouble();
parent.Wrapper.deltaNeutralValidation(requestId, underComp);
}
public virtual void deltaNeutralValidation(int reqId, UnderComp underComp)
{
addTextToBox("DeltaNeutralValidation. " + reqId + ", ConId: " + underComp.ConId + ", Delta: " + underComp.Delta + ", Price: " + underComp.Price + "\n");
}
public virtual void deltaNeutralValidation(int reqId, UnderComp underComp) { }
public virtual void deltaNeutralValidation(int reqId, UnderComp underComp)
{
String str;
str = "DeltaNeutralValidation. " + reqId + ", ConId: " + underComp.ConId + ", Delta: " + underComp.Delta + ", Price: " + underComp.Price;
AddTextToResponseListWindow(str);
}
/// <summary>
/// Upon accepting a Delta-Neutral RFQ(request for quote), the server sends a deltaNeutralValidation() message with the UnderComp structure.
/// If the delta and price fields are empty in the original request, the confirmation will contain the current values from the server.
/// These values are locked when the RFQ is processed and remain locked until the RFQ is canceled.
/// </summary>
/// <param name="reqId">The ID of the data request.</param>
/// <param name="underComp">Underlying component.</param>
public void deltaNeutralValidation(int reqId, UnderComp underComp)
{
OnDeltaNeutralValidation(new DeltaNeutralValidationEventArgs(reqId, underComp));
}
