// 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;
}
// constructor
public TwsRtdServerMktDataRequest(string mktDataRequestStr, int twsReqId, TwsRtdServerConnection twsRtdServerConnection)
{
try
{
SetError(TwsRtdServerErrors.NO_ERROR);
m_twsRtdServerConnection = twsRtdServerConnection;
m_mktDataRequestStr = mktDataRequestStr;
m_twsReqId = twsReqId;
// create empty contract
Contract contract = new Contract();
// parse string into contract
contract = ExtractContract(m_mktDataRequestStr);
if (GetErrorCode() != TwsRtdServerErrors.NO_ERROR)
{
return;
}
// extract mkt data options
List <TagValue> mktDataOptions = ExtractOptions(m_mktDataRequestStr);
if (GetErrorCode() != TwsRtdServerErrors.NO_ERROR)
{
return;
}
// extract generic ticks
string genericTicks = ExtractGenericTicks(m_mktDataRequestStr, contract.SecType);
if (GetErrorCode() != TwsRtdServerErrors.NO_ERROR)
{
return;
}
// request market data
EClientSocket socket = twsRtdServerConnection.Socket();
if (socket == null)
{
SetError(TwsRtdServerErrors.SOCKET_IS_NULL);
return;
}
twsRtdServerConnection.mktDataRequests().Add(m_twsReqId, this);
twsRtdServerConnection.mktDataRequestsStrToIdMapping().Add(mktDataRequestStr, m_twsReqId);
socket.reqMktData(m_twsReqId, contract, genericTicks, false, false, mktDataOptions);
}
catch
{
SetError(TwsRtdServerErrors.REQUEST_MKT_DATA_ERROR);
}
}
// this method is called when RTD server is stopped (last topic is removed)
public void ServerTerminate()
{
Console.WriteLine("TwsRtdServer Terminate");
foreach (var connectionStr in m_connections.Keys.ToArray())
{
TwsRtdServerConnection connection = null;
if (m_connections.TryGetValue(connectionStr, out connection))
{
if (connection.MktDataRequestsCount() <= 0)
{
connection.TwsRtdServerConnectionDisconnect();
m_connections.Remove(connectionStr);
}
}
}
}
// 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
}
}
// 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");
}
}
public TwsRtdServerWrapper(TwsRtdServer server, TwsRtdServerConnection connection)
{
m_server = server;
m_connection = connection;
}
public void TwsRtdServerMktDataRequestCancel(int reqId, TwsRtdServerConnection connection)
{
// cancel market data
connection.Socket().cancelMktData(reqId);
}
