/// <summary>
/// Creates an IB contract from the order.
/// </summary>
/// <param name="order">The order to create a contract from</param>
/// <param name="exchange">The exchange where the order will be placed, defaults to 'Smart'</param>
/// <returns>A new IB contract for the order</returns>
private IB.Contract CreateContract(Order order, string exchange = null)
{
var securityType = ConvertSecurityType(order.SecurityType);
var contract = new IB.Contract(order.Symbol, exchange ?? "Smart", securityType, "USD");
return(contract);
}
private IB.ContractDetails GetContractDetails(IB.Contract contract)
{
IB.ContractDetails details = null;
var requestID = GetNextRequestID();
var manualResetEvent = new ManualResetEvent(false);
// define our event handlers
EventHandler <IB.ContractDetailsEventArgs> clientOnContractDetails = (sender, args) =>
{
// ignore other requests
if (args.RequestId != requestID)
{
return;
}
details = args.ContractDetails;
_contractDetails.TryAdd(contract.Symbol, details);
manualResetEvent.Set();
};
_client.ContractDetails += clientOnContractDetails;
// make the request for data
_client.RequestContractDetails(requestID, contract);
// we'll wait a second, but it may not exist so just pass through
manualResetEvent.WaitOne(1000);
// be sure to remove our event handlers
_client.ContractDetails -= clientOnContractDetails;
return(details);
}
private Order ConvertOrder(IB.Order ibOrder, IB.Contract contract)
{
decimal price = 0;
if (ibOrder.LimitPrice != 0)
{
price = ibOrder.LimitPrice;
}
else if (ibOrder.AuxPrice != 0)
{
price = ibOrder.AuxPrice;
}
var order = new Order(contract.Symbol,
ConvertSecurityType(contract.SecurityType),
ibOrder.TotalQuantity,
ConvertOrderType(ibOrder.OrderType),
new DateTime(), // not sure how to get this data
price
);
order.BrokerId.Add(ibOrder.OrderId);
return(order);
}
/// <summary>
/// Maps the IB Contract's symbol to a QC symbol
/// </summary>
private static string MapSymbol(IB.Contract contract)
{
if (contract.SecurityType == IB.SecurityType.Cash)
{
// reformat for QC
return(contract.Symbol + contract.Currency);
}
return(contract.Symbol);
}
private Order ConvertOrder(IB.Order ibOrder, IB.Contract contract)
{
// this function is called by GetOpenOrders which is mainly used by the setup handler to
// initialize algorithm state. So the only time we'll be executing this code is when the account
// has orders sitting and waiting from before algo initialization...
// because of this we can't get the time accurately
Order order;
var mappedSymbol = MapSymbol(contract);
var orderType = ConvertOrderType(ibOrder.OrderType);
switch (orderType)
{
case OrderType.Market:
order = new MarketOrder(mappedSymbol,
ibOrder.TotalQuantity,
new DateTime() // not sure how to get this data
);
break;
case OrderType.Limit:
order = new LimitOrder(mappedSymbol,
ibOrder.TotalQuantity,
ibOrder.LimitPrice,
new DateTime()
);
break;
case OrderType.StopMarket:
order = new StopMarketOrder(mappedSymbol,
ibOrder.TotalQuantity,
ibOrder.AuxPrice,
new DateTime()
);
break;
case OrderType.StopLimit:
order = new StopLimitOrder(mappedSymbol,
ibOrder.TotalQuantity,
ibOrder.AuxPrice,
ibOrder.LimitPrice,
new DateTime()
);
break;
default:
throw new InvalidEnumArgumentException("orderType", (int)orderType, typeof(OrderType));
}
order.SecurityType = ConvertSecurityType(contract.SecurityType);
order.BrokerId.Add(ibOrder.OrderId);
return(order);
}
/// <summary>
/// Creates an IB contract from the order.
/// </summary>
/// <param name="order">The order to create a contract from</param>
/// <param name="exchange">The exchange where the order will be placed, defaults to 'Smart'</param>
/// <returns>A new IB contract for the order</returns>
private IB.Contract CreateContract(Order order, string exchange = null)
{
var securityType = ConvertSecurityType(order.SecurityType);
var contract = new IB.Contract(order.Symbol, exchange ?? "Smart", securityType, "USD");
if (order.SecurityType == SecurityType.Forex)
{
// forex is special, so rewrite some of the properties to make it work
contract.Exchange = "IDEALPRO";
contract.Symbol = order.Symbol.Substring(0, 3);
contract.Currency = order.Symbol.Substring(3);
}
return(contract);
}
private string GetPrimaryExchange(IB.Contract contract)
{
IB.ContractDetails details;
if (_contractDetails.TryGetValue(contract.Symbol, out details))
{
return(details.Summary.PrimaryExchange);
}
details = GetContractDetails(contract);
if (details == null)
{
// we were unable to find the contract details
return(null);
}
return(details.Summary.PrimaryExchange);
}
/// <summary>
/// Creates an IB contract from the order.
/// </summary>
/// <param name="symbol">The symbol whose contract we need to create</param>
/// <param name="type">The security type of the symbol</param>
/// <param name="exchange">The exchange where the order will be placed, defaults to 'Smart'</param>
/// <returns>A new IB contract for the order</returns>
private IB.Contract CreateContract(string symbol, SecurityType type, string exchange = null)
{
var securityType = ConvertSecurityType(type);
var contract = new IB.Contract(symbol, exchange ?? "Smart", securityType, "USD");
if (type == SecurityType.Forex)
{
// forex is special, so rewrite some of the properties to make it work
contract.Exchange = "IDEALPRO";
contract.Symbol = symbol.Substring(0, 3);
contract.Currency = symbol.Substring(3);
}
// some contracts require this, such as MSFT
contract.PrimaryExchange = GetPrimaryExchange(contract);
return(contract);
}
private Order ConvertOrder(IB.Order ibOrder, IB.Contract contract)
{
decimal price = 0;
if (ibOrder.LimitPrice != 0)
{
price = ibOrder.LimitPrice;
}
else if (ibOrder.AuxPrice != 0)
{
price = ibOrder.AuxPrice;
}
Order order;
var orderType = ConvertOrderType(ibOrder.OrderType);
var securityType = ConvertSecurityType(contract.SecurityType);
switch (orderType)
{
default:
case OrderType.Market:
order = new MarketOrder(contract.Symbol, ibOrder.TotalQuantity, new DateTime(), "", securityType);
break;
case OrderType.Limit:
order = new LimitOrder(contract.Symbol, ibOrder.TotalQuantity, price, new DateTime(), "", securityType);
break;
case OrderType.StopMarket:
order = new StopMarketOrder(contract.Symbol, ibOrder.TotalQuantity, price, new DateTime(), "", securityType);
break;
}
order.BrokerId.Add(ibOrder.OrderId);
return(order);
}
/// <summary>
/// Creates an IB contract from the order.
/// </summary>
/// <param name="symbol">The symbol whose contract we need to create</param>
/// <param name="exchange">The exchange where the order will be placed, defaults to 'Smart'</param>
/// <returns>A new IB contract for the order</returns>
private IB.Contract CreateContract(Symbol symbol, string exchange = null)
{
var securityType = ConvertSecurityType(symbol.ID.SecurityType);
var ibSymbol = _symbolMapper.GetBrokerageSymbol(symbol);
var contract = new IB.Contract(ibSymbol, exchange ?? "Smart", securityType, "USD");
if (symbol.ID.SecurityType == SecurityType.Forex)
{
// forex is special, so rewrite some of the properties to make it work
contract.Exchange = "IDEALPRO";
contract.Symbol = ibSymbol.Substring(0, 3);
contract.Currency = ibSymbol.Substring(3);
}
if (symbol.ID.SecurityType == SecurityType.Option)
{
contract.Expiry = symbol.ID.Date.ToString(DateFormat.EightCharacter);
contract.Right = symbol.ID.OptionRight == OptionRight.Call ? IB.RightType.Call : IB.RightType.Put;
contract.Strike = Convert.ToDouble(symbol.ID.StrikePrice);
contract.Symbol = symbol.ID.Symbol;
}
// some contracts require this, such as MSFT
contract.PrimaryExchange = GetPrimaryExchange(contract);
return contract;
}
/// <summary>
/// Creates an IB contract from the order.
/// </summary>
/// <param name="symbol">The symbol whose contract we need to create</param>
/// <param name="type">The security type of the symbol</param>
/// <param name="exchange">The exchange where the order will be placed, defaults to 'Smart'</param>
/// <returns>A new IB contract for the order</returns>
private IB.Contract CreateContract(string symbol, SecurityType type, string exchange = null)
{
var securityType = ConvertSecurityType(type);
var contract = new IB.Contract(symbol, exchange ?? "Smart", securityType, "USD");
if (type == SecurityType.Forex)
{
// forex is special, so rewrite some of the properties to make it work
contract.Exchange = "IDEALPRO";
contract.Symbol = symbol.Substring(0, 3);
contract.Currency = symbol.Substring(3);
}
// some contracts require this, such as MSFT
contract.PrimaryExchange = GetPrimaryExchange(contract);
return contract;
}
/// <summary>
/// Creates an IB contract from the order.
/// </summary>
/// <param name="order">The order to create a contract from</param>
/// <param name="exchange">The exchange where the order will be placed, defaults to 'Smart'</param>
/// <returns>A new IB contract for the order</returns>
private IB.Contract CreateContract(Order order, string exchange = null)
{
var securityType = ConvertSecurityType(order.SecurityType);
var contract = new IB.Contract(order.Symbol, exchange ?? "Smart", securityType, "USD");
return contract;
}
