public Task <IEnumerable <ScannerDataMessage> > GetScannerDataAsync(ScannerSubscription subscription, string scannerSubscriptionOptions, string scannerSubscriptionFilterOptions)
{
var reqId = GetUniqueRequestId();
var reqScannerSubscription = new Action(() => _clientSocket.reqScannerSubscription(reqId, subscription, scannerSubscriptionOptions, scannerSubscriptionFilterOptions));
return(GetScannerDataAsync(reqId, reqScannerSubscription));
}
public void RequestScannerSubscription(int requestId, ScannerSubscription subscription, IList <Tag>?subscriptionOptions = null, IList <Tag>?filterOptions = null)
{
if (subscription == null)
{
throw new ArgumentNullException(nameof(subscription));
}
var m = CreateMessage().Write(RequestCode.RequestScannerSubscription);
if (Config.ServerVersionCurrent < ServerVersion.ScannerGenericOpts)
{
m.Write("4");
}
m.Write(requestId, subscription.NumberOfRows, subscription.Instrument,
subscription.LocationCode, subscription.ScanCode,
subscription.AbovePrice, subscription.BelowPrice, subscription.AboveVolume,
subscription.MarketCapAbove, subscription.MarketCapBelow,
subscription.MoodyRatingAbove, subscription.MoodyRatingBelow,
subscription.SpRatingAbove, subscription.SpRatingBelow,
subscription.MaturityDateAbove, subscription.MaturityDateBelow,
subscription.CouponRateAbove, subscription.CouponRateBelow,
subscription.ExcludeConvertible, subscription.AverageOptionVolumeAbove,
subscription.ScannerSettingPairs, subscription.StockType);
if (Config.SupportsServerVersion(ServerVersion.ScannerGenericOpts))
{
m.Write(Tag.Combine(filterOptions));
}
m.Write(Tag.Combine(subscriptionOptions)).Send();
}
//########################################################
// Market Scanners
//########################################################
#region Market Scanners
public List <scannerData_Struct> reqScannerSubscription(int reqId, ScannerSubscription subscription)
{
testImpl.this_ScannerData_List.Clear();
clientSocket.reqScannerSubscription(reqId, subscription, new List <TagValue>());
while (testImpl.scannerDataActive)
{
}
return(testImpl.this_ScannerData_List);
}
public static ScannerSubscription GetScannerSubscription()
{
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "STOCK.EU";
scanSub.LocationCode = "STK.EU.IBIS";
scanSub.ScanCode = "HOT_BY_VOLUME";
return(scanSub);
}
public static ScannerSubscription ToScannerSubscription(this ScannerParameter param)
{
var res = new ScannerSubscription();
if (param.NumberOfRows.HasValue)
{
res.NumberOfRows = (int)param.NumberOfRows;
}
if (param.AbovePrice.HasValue)
{
res.AbovePrice = (double)param.AbovePrice;
}
if (param.BelowPrice.HasValue)
{
res.BelowPrice = (double)param.BelowPrice;
}
if (param.AboveVolume.HasValue)
{
res.AboveVolume = (int)param.AboveVolume;
}
if (param.AverageOptionVolumeAbove.HasValue)
{
res.AverageOptionVolumeAbove = (int)param.AverageOptionVolumeAbove;
}
if (param.MarketCapAbove.HasValue)
{
res.MarketCapAbove = (double)param.MarketCapAbove;
}
if (param.MarketCapBelow.HasValue)
{
res.MarketCapBelow = (double)param.MarketCapBelow;
}
if (param.CouponRateAbove.HasValue)
{
res.CouponRateAbove = (double)param.CouponRateAbove;
}
if (param.CouponRateBelow.HasValue)
{
res.CouponRateBelow = (double)param.CouponRateBelow;
}
res.Instrument = param.Instrument;
res.LocationCode = param.LocationCode;
res.ScanCode = param.ScanCode;
res.MoodyRatingAbove = param.MoodyRatingAbove;
res.MoodyRatingBelow = param.MoodyRatingBelow;
res.SpRatingAbove = param.SpRatingAbove;
res.SpRatingBelow = param.SpRatingBelow;
res.MaturityDateAbove = param.MaturityDateAbove;
res.MaturityDateBelow = param.MaturityDateBelow;
res.ExcludeConvertible = param.ExcludeConvertible;
res.ScannerSettingPairs = param.ScannerSettingPairs;
res.StockTypeFilter = param.StockTypeFilter;
return(res);
}
public static ScannerSubscription TopPercentGainersIbis()
{
//! [toppercentgaineribis]
//Top % gainers at IBIS
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "STOCK.EU";
scanSub.LocationCode = "STK.EU.IBIS";
scanSub.ScanCode = "TOP_PERC_GAIN";
//! [toppercentgaineribis]
return(scanSub);
}
public static ScannerSubscription HotUSStkByVolume()
{
//! [hotusvolume]
//Hot US stocks by volume
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "STK";
scanSub.LocationCode = "STK.US.MAJOR";
scanSub.ScanCode = "HOT_BY_VOLUME";
//! [hotusvolume]
return(scanSub);
}
public static ScannerSubscription HighOptVolumePCRatioUSIndexes()
{
//! [highoptvolume]
//High option volume P/C ratio US indexes
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "IND.US";
scanSub.LocationCode = "IND.US";
scanSub.ScanCode = "HIGH_OPT_VOLUME_PUT_CALL_RATIO";
//! [highoptvolume]
return(scanSub);
}
public static ScannerSubscription ComplexOrdersAndTrades()
{
//! [combolatesttrade]
//Complex orders and trades scan, latest trades
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "NATCOMB";
scanSub.LocationCode = "NATCOMB.OPT.US";
scanSub.ScanCode = "COMBO_LATEST_TRADE";
//! [combolatesttrade]
return(scanSub);
}
public static ScannerSubscription MostActiveFutSoffex()
{
//! [mostactivefutsoffex]
//Most active futures at SOFFEX
ScannerSubscription scanSub = new ScannerSubscription();
scanSub.Instrument = "FUT.EU";
scanSub.LocationCode = "FUT.EU.SOFFEX";
scanSub.ScanCode = "MOST_ACTIVE";
//! [mostactivefutsoffex]
return(scanSub);
}
private void scannerRequest_Button_Click(object sender, EventArgs e)
{
if (isConnected)
{
ScannerSubscription subscription = new ScannerSubscription();
subscription.ScanCode = scanCode.Text;
subscription.Instrument = scanInstrument.Text;
subscription.LocationCode = scanLocation.Text;
subscription.StockTypeFilter = scanStockType.Text;
subscription.NumberOfRows = Int32.Parse(scanNumRows.Text);
scannerManager.AddRequest(subscription);
ShowTab(marketData_MDT, scannerTab);
}
}
public IObservable <IList <ScannerDataItem> > ScannerObservable(ScannerSubscription subscription, IList <Tag>?subscriptionOptions = null, IList <Tag>?filterOptions = null)
{
if (subscription == null)
{
throw new ArgumentNullException(nameof(subscription));
}
return(Response
.ToObservable <ScannerData>(
Request.NextId,
requestId => Request.RequestScannerSubscription(requestId, subscription, subscriptionOptions, filterOptions),
Request.CancelScannerSubscription)
.Select(m => m.Items)
.ToShareSource());
}
/// <summary>
/// Creates an observable which, upon subscription, emits scanner results, then completes.
/// </summary>
public IObservable <IReadOnlyList <ScannerDataItem> > ScannerObservable(ScannerSubscription subscription, params Tag[] options)
{
if (subscription == null)
{
throw new ArgumentNullException(nameof(subscription));
}
return(Response
.ToObservable <ScannerData>(
Request.NextId,
requestId => Request.RequestScannerSubscription(requestId, subscription, options),
Request.CancelScannerSubscription)
.Select(m => m.Items)
.ToShareSource());
}
public async Task Should_GetScannerDataAsync_Tags()
{
// Arrange
var subscription = new ScannerSubscription()
{
ScanCode = "MOST_ACTIVE",
Instrument = "STK",
LocationCode = "STK.US"
};
// Act
var scanners = await _client.GetScannerDataAsync(subscription, new List <TagValue>(), new List <TagValue>());
// Assert
var symbols = scanners.Select(x => x.ContractDetails.Contract.Symbol);
Assert.Positive(symbols.Count());
}
public Task <Scanner[]> GetScannerAsync(ScannerSubscription scannerSubscription, List <TagValue> scannerSubscriptionOptions = null)
{
var ct = new CancellationTokenSource(DefaultTimeoutMs);
var res = new TaskCompletionSource <Scanner[]>();
ct.Token.Register(() => res.TrySetCanceled(), false);
var reqId = new Random(DateTime.Now.Millisecond).Next();
scannerSubscriptionOptions = scannerSubscriptionOptions ?? new List <TagValue>();
var scanners = new List <Scanner>();
EventHandler <ScannerEventArgs> scanner = (sender, args) =>
{
if (args.RequestId != reqId)
{
return;
}
scanners.Add(new Scanner(args.Rank, args.ContractDetails, args.Distance, args.Benchmark, args.Projection, args.LegsStr));
};
EventHandler <ScannerEndEventArgs> scannerEnd = (sender, args) =>
{
if (args.RequestId != reqId)
{
return;
}
res.SetResult(scanners.ToArray());
};
EventDispatcher.Scanner += scanner;
EventDispatcher.ScannerEnd += scannerEnd;
ClientSocket.reqScannerSubscription(reqId, scannerSubscription, scannerSubscriptionOptions);
res.Task.ContinueWith(x =>
{
ClientSocket.cancelScannerSubscription(reqId);
EventDispatcher.Scanner -= scanner;
EventDispatcher.ScannerEnd -= scannerEnd;
}, TaskContinuationOptions.None);
return(res.Task);
}
/// <summary>
/// Starts an individual scanner
/// </summary>
/// <param name="choice"></param>
private void ScanStart(int choice)
{
ScannerSubscription scanSub = new ScannerSubscription();
int reqId = -1;
switch (choice)
{
case 0:
reqId = 300;
scanSub.Instrument = "STK";
scanSub.LocationCode = "STK.US.MAJOR";
scanSub.ScanCode = "MOST_ACTIVE";
scanSub.AbovePrice = 10;
scanSub.AboveVolume = 30000;
scanSub.NumberOfRows = 50;
break;
case 1:
reqId = 301;
scanSub.Instrument = "STK";
scanSub.LocationCode = "STK.US.MAJOR";
scanSub.ScanCode = "TOP_PERC_GAIN";
scanSub.AbovePrice = 10;
scanSub.AboveVolume = 50000;
scanSub.NumberOfRows = 20;
break;
case 2:
reqId = 302;
scanSub.Instrument = "STK";
scanSub.LocationCode = "STK.US.MAJOR";
scanSub.ScanCode = "TOP_PERC_LOSE";
scanSub.AbovePrice = 10;
scanSub.AboveVolume = 50000;
scanSub.NumberOfRows = 20;
break;
default:
Log.Error(3, string.Format("ScanStart Bad Choice= {0}", choice));
break;
}
Program.myIB.ibClient.ClientSocket.reqScannerSubscription(reqId, scanSub, null, (string)null);
}
private async void RequestScanner()
{
var delayTimeSec = 30;
var scannerSubscription = new ScannerSubscription
{
ScanCode = ScanCode.TOP_PERC_GAIN,
Instrument = "STK",
LocationCode = "STK.US",
NumberOfRows = 25
};
while (true)
{
try
{
Logger.Info("Requesting scanner...");
var scanners = await _realTimeDataProviderExample.GetScannerAsync(scannerSubscription);
StringBuilder sb = new StringBuilder();
for (var i = 0; i < scanners.Length; i++)
{
var scanner = scanners[i];
if (i != 0)
{
sb.Append(", ");
}
sb.Append($"[{scanner.Rank}]: {scanner.ContractDetails.Summary.Symbol}");
}
Logger.Info($"Scanner results: {sb}");
}
catch (Exception e)
{
Logger.Error(e);
}
Logger.Info($"Waiting {delayTimeSec} seconds before the next scanner request...");
await Task.Delay((int)TimeSpan.FromSeconds(delayTimeSec).TotalMilliseconds);
}
}
public void AddRequest(ScannerSubscription scannerSubscription, List <TagValue> filterOptions)
{
ibClient.ClientSocket.reqScannerSubscription(currentTicker, scannerSubscription, null, filterOptions);
}
/// <summary>
/// Call the reqScannerSubscription() method to start receiving market scanner results through the scannerData() EWrapper method.
/// </summary>
/// <param name="requestId">the Id for the subscription. Must be a unique value. When the subscription data is received, it will be identified by this Id. This is also used when canceling the scanner.</param>
/// <param name="subscription">summary of the scanner subscription parameters including filters.</param>
public void RequestScannerSubscription(int requestId, ScannerSubscription subscription, string scannerSubscriptionOptions, string scannerSubscriptionFilterOptions)
{
lock (this)
ClientSocket.reqScannerSubscription(requestId, subscription, scannerSubscriptionOptions, scannerSubscriptionFilterOptions);
}
public void AddRequest(ScannerSubscription scannerSubscription)
{
ibClient.ClientSocket.reqScannerSubscription(currentTicker, scannerSubscription);
}
public void reqScannerSubscription(int reqId, ScannerSubscription subscription, List <TagValue> scannerSubscriptionOptions)
{
throw new NotImplementedException();
}
public void RequestScannerSubscription(int tickerId, ScannerSubscription subscription)
{
lock (_socketLock) {
// not connected?
if (!IsConnected)
throw new NotConnectedException();
if (ServerInfo.Version < 24)
throw new TWSOutdatedException();
const int VERSION = 3;
try {
_enc.Encode(ServerMessage.RequestScannerSubscription);
_enc.Encode(VERSION);
_enc.Encode(tickerId);
_enc.EncodeMax(subscription.NumberOfRows);
_enc.Encode(subscription.Instrument);
_enc.Encode(subscription.LocationCode);
_enc.Encode(subscription.ScanCode);
_enc.EncodeMax(subscription.AbovePrice);
_enc.EncodeMax(subscription.BelowPrice);
_enc.EncodeMax(subscription.AboveVolume);
_enc.EncodeMax(subscription.MarketCapAbove);
_enc.EncodeMax(subscription.MarketCapBelow);
_enc.Encode(subscription.MoodyRatingAbove);
_enc.Encode(subscription.MoodyRatingBelow);
_enc.Encode(subscription.SPRatingAbove);
_enc.Encode(subscription.SPRatingBelow);
_enc.Encode(subscription.MaturityDateAbove);
_enc.Encode(subscription.MaturityDateBelow);
_enc.EncodeMax(subscription.CouponRateAbove);
_enc.EncodeMax(subscription.CouponRateBelow);
_enc.Encode(subscription.ExcludeConvertible);
if (ServerInfo.Version >= 25) {
_enc.Encode(subscription.AverageOptionVolumeAbove);
_enc.Encode(subscription.ScannerSettingPairs);
}
if (ServerInfo.Version >= 27)
_enc.Encode(subscription.StockTypeFilter);
} catch (Exception) {
Disconnect();
throw;
}
}
}
public void AddRequest(ScannerSubscription scannerSubscription)
{
ibClient.ClientSocket.reqScannerSubscription(currentTicker, scannerSubscription, new List <TagValue>());
}
