private static Trading.Contract ConvertContract(IBApi.Contract contractIB)
{
if (contractIB != null)
{
Trading.Contract contract = new Trading.Contract();
contract.ComboLegsDescription = contractIB.ComboLegsDescription;
contract.ContractId = contractIB.ConId;
contract.Symbol = contractIB.Symbol;
contract.SecType = contractIB.SecType;
contract.LastTradeDateOrContractMonth = contractIB.LastTradeDateOrContractMonth;
contract.Strike = contractIB.Strike;
contract.Right = contractIB.Right;
contract.Multiplier = contractIB.Multiplier;
contract.Exchange = contractIB.Exchange;
contract.Currency = contractIB.Currency;
contract.LocalSymbol = contractIB.LocalSymbol;
contract.PrimaryExchange = contractIB.PrimaryExch;
contract.TradingClass = contractIB.TradingClass;
contract.SecIdType = contractIB.SecIdType;
contract.SecId = contractIB.SecId;
contract.SID = GetSIDFromName(contract.Symbol);
return(contract);
}
return(null);
}
public int PlaceSimpleOrder(SimpleOrder simpleOrder)
{
try
{
IBUser user = _userManager.GetUser(simpleOrder.UserName);
if (user != null)
{
IBApi.Contract contract = IBContractSamples.GetContract(simpleOrder);
IBApi.Order order = IBOrderSamples.GetOrder(simpleOrder);
return(user.PlaceOrder(contract, order, simpleOrder.Fund, simpleOrder.Strategy, simpleOrder.Folder));
}
return(-1);
}
catch (Exception ex)
{
_Logger.Error(ex);
throw ex;
}
}
protected async System.Threading.Tasks.Task ProcessFileAsync(IBDTaskInstruction Instruction, string CurrentFile, Action <TaskResultData> OnTakResult)
{
IBApi.Contract underlyingContract = null;
Dictionary <string, List <CboeCsvRecord> > fileOptionQuotes = new Dictionary <string, List <CboeCsvRecord> >();
ZipArchive zipFile = null;
Stream stream;
if (CurrentFile.EndsWith("zip", StringComparison.InvariantCulture))
{
//TODO: support more than 1 file per archive
zipFile = ZipFile.OpenRead(CurrentFile);
stream = zipFile.Entries[0].Open();
}
else
{
stream = File.OpenRead(CurrentFile);
}
this.Log("Processing {0}...", CurrentFile);
using (stream)
{
StreamReader fileStream = new StreamReader(stream);
CsvReader reader = new CsvReader(fileStream);
foreach (var record in reader.GetRecords <CboeCsvRecord>())
{
if (underlyingContract == null)
{
underlyingContract = record.AsUnderlyingContract();
}
else if (underlyingContract.Symbol != record.AsUnderlyingContract().Symbol)
{
throw new Exception("Task does not support data with multiple underlying contracts!");
}
string optionLocalSymbol = record.AsOptionContract().LocalSymbol;
if (!fileOptionQuotes.ContainsKey(optionLocalSymbol))
{
fileOptionQuotes[optionLocalSymbol] = new List <CboeCsvRecord>();
}
fileOptionQuotes[optionLocalSymbol].Add(record);
}
}
if (zipFile != null)
{
zipFile.Dispose();
}
//grouped by option symbol/contract
foreach (var optionQuoteSet in fileOptionQuotes)
{
var underlyingQuotes = new Dictionary <DateTime, HistoricalDataMessage>();
var optionQuotes = new List <HistoricalDataMessage>();
foreach (CboeCsvRecord quote in optionQuoteSet.Value)
{
optionQuotes.Add(quote.AsOptionQuote());
var underlyingQuote = quote.AsUnderlyingQuote();
underlyingQuotes[underlyingQuote.Date.ParseElse <DateTime>(DateTime.Now)] = underlyingQuote;
}
var ins = new IBDTaskInstruction()
{
contract = optionQuoteSet.Value[0].AsOptionContract(), parameters = Instruction.parameters.Clone()
}; //clone parameters so we get same settings (barSize etc)
ins.metadata[IBDMetadataType.underlying] = underlyingContract;
ins.metadata[IBDMetadataType.underlyingData] = underlyingQuotes;
var taskResult = new TaskResultData(ins, true, optionQuotes);
//fire event with this task result
OnTakResult(taskResult);
//give storage a second to keep up
await System.Threading.Tasks.Task.Delay(10);
}
}
