public void error(int id, int errorCode, string errorMsg)
{
if (id == -1 && Array.IndexOf(TwsRtdServerErrors.TwsServerErrors(), errorCode) >= 0)
{
m_connection.SetError(TwsRtdServerErrors.CANNOT_CONNECT_TO_TWS, errorMsg);
}
if (id != -1 && Array.IndexOf(TwsRtdServerErrors.TwsTickerErrors(), errorCode) >= 0)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(id);
if (mktDataRequest != null)
{
mktDataRequest.SetError(errorCode, errorMsg);
}
switch (errorCode)
{
case 10167:
{
SetAllLiveTopicsValues(id, "TwsRtdServer error: " + errorMsg);
break;
}
default:
{
SetAllTopicsValues(id, "TwsRtdServer error: " + errorMsg);
break;
}
}
}
}
void SetOptionComputationTopicsValues(int tickerId, int field, TwsRtdServerData.OptionComputationData value)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(tickerId);
string tickTypeStr = TwsRtdServerData.GetTickTypeStrByTickId(field);
if (mktDataRequest != null && tickTypeStr != null)
{
switch (tickTypeStr)
{
// assigning implied vol, delta, opt price, pv dividend, gamma, vega, theta and und price
case TwsRtdServerData.BID_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.BID_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.BID_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.BID_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.BID_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.BID_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.BID_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.BID_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.BID_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.BID_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.ASK_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.ASK_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.LAST_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.LAST_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.MODEL_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
}
}
}
void SetAllLiveTopicsValues(int tickerId, string value)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(tickerId);
if (mktDataRequest != null)
{
m_server.AddUpdatedTopicIds(mktDataRequest.SetAllLiveTopicsValues(value));
}
}
// method is called when there are new data to update
public Array RefreshData(ref int topicCount)
{
object[,] data = null;
try
{
TwsRtdServerConnection connection = null;
TwsRtdServerMktDataRequest mktDataRequest = null;
TwsRtdServerTopic topic = null;
// in loop - update all topics from updatedTopicIds array
int[] updatedTopicIds;
lock (m_updatedTopicIds)
{
updatedTopicIds = m_updatedTopicIds.ToArray();
m_updatedTopicIds.Clear();
}
topicCount = updatedTopicIds.Length;
data = new object[2, topicCount];
int n = 0;
foreach(var topicId in updatedTopicIds)
{
TwsRtdServerTopicIdMap twsRtdServerTopicIdMap = null;
if (m_topicIdMap.TryGetValue(topicId, out twsRtdServerTopicIdMap))
{
// get appropriate connection
if (m_connections.TryGetValue(twsRtdServerTopicIdMap.ConnectionStr(), out connection))
{
// get appropriate mktDataRequest
mktDataRequest = connection.GetMktDataRequest(twsRtdServerTopicIdMap.TwsReqId());
if (mktDataRequest != null)
{
// get appropriate topic
topic = mktDataRequest.GetTopic(twsRtdServerTopicIdMap.TopicStr());
}
if (topic != null)
{
// update data array with topic.Id and topic.Value
data[0, n] = topic.TopicId();
data[1, n] = topic.TopicValue();
n++;
}
}
}
}
}
catch //(COMException comException)
{
// comException.Message = "The message filter indicated that the application is busy. (Exception from HRESULT: 0x8001010A (RPC_E_SERVERCALL_RETRYLATER))"
// Console.WriteLine(comException.Message);
}
return data;
}
void SetTopicValue(int tickerId, int field, object value)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(tickerId);
string tickTypeStr = TwsRtdServerData.GetTickTypeStrByTickId(field);
if (mktDataRequest != null && tickTypeStr != null)
{
GetTopicAndAddUpdate(tickTypeStr, mktDataRequest, value);
}
}
public void rerouteMktDataReq(int reqId, int conId, string exchange)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(reqId);
String errorMsg = "Re-route market data request to conId:" + conId + " exchange:" + exchange;
if (mktDataRequest != null)
{
mktDataRequest.SetError(TwsRtdServerErrors.REQUEST_MKT_DATA_ERROR, errorMsg);
}
SetAllTopicsValues(reqId, "TwsRtdServer error: " + errorMsg);
}
void GetTopicAndAddUpdate(string topicStr, TwsRtdServerMktDataRequest mktDataRequest, object value)
{
TwsRtdServerTopic topic = mktDataRequest.GetTopic(topicStr);
if (topic != null)
{
// set topic's new value
topic.TopicValue(value);
m_server.AddUpdatedTopicId(topic.TopicId()); // add topic to updatedTopicIds array
}
// save latest value
mktDataRequest.SetMktDataTickValue(topicStr, value);
}
// this method is called when topic is removed
public void DisconnectData(int topicId)
{
try
{
// find appropriate connection, mktDataRequest and topic
TwsRtdServerTopicIdMap twsRtdServerTopicIdMap = null;
if (!m_topicIdMap.TryGetValue(topicId, out twsRtdServerTopicIdMap))
{
return;
}
// get appropriate connection
TwsRtdServerConnection connection = null;
if (!m_connections.TryGetValue(twsRtdServerTopicIdMap.ConnectionStr(), out connection))
{
return;
}
// get appropriate mktDataRequest
TwsRtdServerMktDataRequest mktDataRequest = connection.GetMktDataRequest(twsRtdServerTopicIdMap.TwsReqId());
if (mktDataRequest != null)
{
// get appropriate topic
TwsRtdServerTopic topic = mktDataRequest.GetTopic(twsRtdServerTopicIdMap.TopicStr());
if (topic != null)
{
// remove topic
mktDataRequest.RemoveTopic(twsRtdServerTopicIdMap.TopicStr());
}
m_topicIdMap.Remove(topicId);
// remove topicId from updatedTopicIds
lock (m_updatedTopicIds)
{
m_updatedTopicIds.Remove(topicId);
}
// try to remove mktDataRequest
connection.RemoveMktDataRequest(twsRtdServerTopicIdMap.TwsReqId());
}
}
catch
{
// error disconnecting data
}
}
public TwsRtdServerMktDataRequest GetOrAddMktDataRequest(string mktDataRequestStr)
{
TwsRtdServerMktDataRequest mktDataRequest = null;
int mktDataRequestId;
// find mktdata request (TWS reqMktData) (to reuse existing mktdata request and not to create new one)
if (mktDataRequestStr != null && (!m_mktDataRequestsStrToIdMapping.TryGetValue(mktDataRequestStr, out mktDataRequestId) ||
!m_mktDataRequests.TryGetValue(mktDataRequestId, out mktDataRequest)))
{
// if marketdata request was not found, then create new one
mktDataRequest = new TwsRtdServerMktDataRequest(mktDataRequestStr, m_twsReqIdNext, this);
m_twsReqIdNext++;
}
return(mktDataRequest);
}
public void RemoveMktDataRequest(int twsReqId)
{
TwsRtdServerMktDataRequest mktDataRequest = null;
if (m_mktDataRequests.TryGetValue(twsReqId, out mktDataRequest))
{
// if collection of topics is empty, then remove mktdatarequest
if (mktDataRequest.TopicsCount() <= 0)
{
// cancel TWS market data request
mktDataRequest.TwsRtdServerMktDataRequestCancel(twsReqId, this);
// remove mktDataRequest from collection using key==reqId
m_mktDataRequests.Remove(twsReqId);
// remove str->reqId mapping using key==str
m_mktDataRequestsStrToIdMapping.Remove(mktDataRequest.MktDataRequestStr());
}
}
}
// this method is called when new topic is requested
public object ConnectData(int topicId, ref Array strings, ref bool newValues)
{
string connectionStr, mktDataRequestStr, topicStr;
newValues = true;
try
{
// parse input strings (connection, marketDataRequest and topic)
connectionStr = TwsRtdServerConnection.ParseConnectionStrings(strings);
mktDataRequestStr = TwsRtdServerMktDataRequest.ParseMktDataRequestStrings(strings);
topicStr = TwsRtdServerTopic.ParseTopicStrings(strings);
// check that connectioStr, mktDataRequestStr and topicStr is not null
if (connectionStr == null)
{
return("TwsRtdServer: Cannot parse connection strings");
}
if (mktDataRequestStr == null)
{
return("TwsRtdServer: Cannot parse mktDataRequest strings");
}
if (topicStr == null)
{
return("TwsRtdServer: Cannot parse topic strings");
}
TwsRtdServerConnection connection = null;
// find connection from RTD server to TWS (to reuse existing connection and not to create new one)
if (!m_connections.TryGetValue(connectionStr, out connection))
{
// if connection is not found, then create new one and add it to collection
connection = new TwsRtdServerConnection(this, connectionStr);
// save connection
m_connections.Add(connectionStr, connection);
}
if (connection != null && connection.GetErrorCode() != -1)
{
// error connecting to TWS
return("TwsRtdServer error: " + connection.GetErrorText());
}
TwsRtdServerMktDataRequest mktDataRequest = connection.GetOrAddMktDataRequest(mktDataRequestStr);
string errorStr = null;
if (mktDataRequest != null)
{
// save topicId -> connection/mktDataRequest/topicStr map
m_topicIdMap.Add(topicId, new TwsRtdServerTopicIdMap(connectionStr, mktDataRequest.TwsReqId(), topicStr));
if (mktDataRequest.GetErrorCode() != -1 &&
mktDataRequest.GetErrorCode() != TwsRtdServerErrors.REQUESTED_MARKET_DATA_NOT_SUBSCRIBED)
{
// error creating market data request
return(errorStr = "TwsRtdServer error: " + mktDataRequest.GetErrorText());
}
}
else
{
// error creating market data request
return(errorStr = "TwsRtdServer error: market data request creation error");
}
TwsRtdServerTopic topic = mktDataRequest.GetOrAddTopic(topicStr, topicId);
if (topic == null)
{
// error creating topic
return(errorStr = "TwsRtdServer error: topic creation error");
}
// check if topic is delayed type
if (topic != null && Array.IndexOf(TwsRtdServerData.DelayedTopics(), topic.TopicStr()) < 0 &&
mktDataRequest.GetErrorCode() == TwsRtdServerErrors.REQUESTED_MARKET_DATA_NOT_SUBSCRIBED)
{
errorStr = "TwsRtdServer error: " + mktDataRequest.GetErrorText();
}
return((topic != null && errorStr == null) ? topic.TopicValue() : errorStr);
}
catch
{
return("RTDServer: Error connecting data");
}
}
