/// <summary>
/// Gets the execution details matching the filter
/// </summary>
/// <returns>A list of executions matching the filter</returns>
public List <IB.ExecDetailsEventArgs> GetExecutions(string symbol, IB.SecurityType?type, string exchange, DateTime?timeSince, IB.ActionSide?side)
{
var filter = new IB.ExecutionFilter
{
AcctCode = _account,
ClientId = _clientID,
Exchange = exchange,
SecurityType = type ?? IB.SecurityType.Undefined,
Symbol = symbol,
Time = timeSince ?? DateTime.MinValue,
Side = side ?? IB.ActionSide.Undefined
};
var details = new List <IB.ExecDetailsEventArgs>();
using (var client = new IB.IBClient())
{
client.Connect(_host, _port, IncrementClientID());
var manualResetEvent = new ManualResetEvent(false);
int requestID = GetNextRequestID();
// define our event handlers
EventHandler <IB.ExecutionDataEndEventArgs> clientOnExecutionDataEnd = (sender, args) =>
{
if (args.RequestId == requestID)
{
manualResetEvent.Set();
}
};
EventHandler <IB.ExecDetailsEventArgs> clientOnExecDetails = (sender, args) =>
{
if (args.RequestId == requestID)
{
details.Add(args);
}
};
client.ExecDetails += clientOnExecDetails;
client.ExecutionDataEnd += clientOnExecutionDataEnd;
// no need to be fancy with request id since that's all this client does is 1 request
client.RequestExecutions(requestID, filter);
if (!manualResetEvent.WaitOne(5000))
{
throw new TimeoutException("InteractiveBrokersBrokerage.GetExecutions(): Operation took longer than 1 second.");
}
// remove our event handlers
client.ExecDetails -= clientOnExecDetails;
client.ExecutionDataEnd -= clientOnExecutionDataEnd;
}
return(details);
}
/// <summary>
/// Gets the execution details matching the filter
/// </summary>
/// <returns>A list of executions matching the filter</returns>
public List<IB.ExecDetailsEventArgs> GetExecutions(string symbol, IB.SecurityType? type, string exchange, DateTime? timeSince, IB.ActionSide? side)
{
var filter = new IB.ExecutionFilter
{
AcctCode = _account,
ClientId = _clientID,
Exchange = exchange,
SecurityType = type ?? IB.SecurityType.Undefined,
Symbol = symbol,
Time = timeSince ?? DateTime.MinValue,
Side = side ?? IB.ActionSide.Undefined
};
var details = new List<IB.ExecDetailsEventArgs>();
using (var client = new IB.IBClient())
{
client.Connect(_host, _port, IncrementClientID());
var manualResetEvent = new ManualResetEvent(false);
int requestID = GetNextRequestID();
// define our event handlers
EventHandler<IB.ExecutionDataEndEventArgs> clientOnExecutionDataEnd = (sender, args) =>
{
if (args.RequestId == requestID) manualResetEvent.Set();
};
EventHandler<IB.ExecDetailsEventArgs> clientOnExecDetails = (sender, args) =>
{
if (args.RequestId == requestID) details.Add(args);
};
client.ExecDetails += clientOnExecDetails;
client.ExecutionDataEnd += clientOnExecutionDataEnd;
// no need to be fancy with request id since that's all this client does is 1 request
client.RequestExecutions(requestID, filter);
if (!manualResetEvent.WaitOne(5000))
{
throw new TimeoutException("InteractiveBrokersBrokerage.GetExecutions(): Operation took longer than 1 second.");
}
// remove our event handlers
client.ExecDetails -= clientOnExecDetails;
client.ExecutionDataEnd -= clientOnExecutionDataEnd;
}
return details;
}
public bool Connect(ServiceConnectOptions connectOptions)
{
ClearError();
if (_connected)
return true;
foreach (Symbol symbol in new List<Symbol>(watchedSymbols.Keys))
{
watchedSymbols[symbol] = null;
}
if (client == null)
{
client = new IBClient();
client.ThrowExceptions = true;
client.Error += client_Error;
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.UpdateAccountValue += client_UpdateAccountValue;
client.UpdatePortfolio += client_UpdatePortfolio;
client.OrderStatus += client_OrderStatus;
client.ExecDetails += client_ExecDetails;
client.NextValidId += client_NextValidId;
client.CurrentTime += client_CurrentTime;
}
int clientID = -1;
bool brokerConnect = ((connectOptions & ServiceConnectOptions.Broker) == ServiceConnectOptions.Broker);
if ((connectOptions & ServiceConnectOptions.Broker) == ServiceConnectOptions.Broker)
{
clientID = _clientIDBroker;
}
else if ((connectOptions & ServiceConnectOptions.LiveData) == ServiceConnectOptions.LiveData)
{
clientID = _clientIDLiveData;
}
else if ((connectOptions & ServiceConnectOptions.HistoricalData) == ServiceConnectOptions.HistoricalData)
{
clientID = _clientIDHist;
}
if (clientID < 0)
{
clientID = new Random().Next();
}
client.Connect(string.IsNullOrEmpty(ServerAddress) ? "127.0.0.1" : ServerAddress, (Port == 0) ? 7496 : Port, clientID);
lock (_lockObject)
{
_connected = true;
}
if (brokerConnect)
{
lock (_lockObject)
{
_connectWaitHandle = new ManualResetEvent(false);
_gettingReconnectData = true;
_hadError1102 = false;
foreach (string id in openOrders.Keys)
{
_potentiallyCancelledOrders[id] = null;
}
}
client.RequestAccountUpdates(true, accountCode);
//client.ReqAllOpenOrders();
client.RequestOpenOrders();
ExecutionFilter filter = new ExecutionFilter();
filter.ClientId = clientID;
filter.Side = ActionSide.Buy;
client.RequestExecutions(nextID++, filter);
filter.Side = ActionSide.Sell;
client.RequestExecutions(nextID++, filter);
// Request the current time so that when we get it, we know that (hopefully)
// we have gotten all the results from ReqOpenOrders and ReqExecutions
client.RequestCurrentTime();
if (!_connectWaitHandle.WaitOne(TimeSpan.FromSeconds(10.0), true))
{
string msg = "Timed out waiting for TWS order and execution data to finish.";
Trace.WriteLine(msg);
Console.WriteLine(msg);
}
if (_potentiallyCancelledOrders.Count > 0)
{
// Wait a bit longer to check for errorCode 1102
Thread.Sleep(500);
}
lock (_lockObject)
{
_gettingReconnectData = false;
if (!_hadError1102)
{
foreach (string orderID in _potentiallyCancelledOrders.Keys)
{
BrokerOrder order;
if (openOrders.TryGetValue(orderID, out order))
{
order.OrderState = BrokerOrderState.Cancelled;
OrderUpdatedDelegate tmp = OrderUpdated;
if (tmp != null)
{
tmp(order, null, "Order cancelled while disconnected.");
}
openOrders.Remove(orderID);
}
else
{
int b = 0;
}
}
}
_potentiallyCancelledOrders.Clear();
}
}
return true;
}
