public AddInstrumentInteractiveBrokersWindow()
{
Random r = new Random();
_client = new IBClient();
try
{
//random connection id for this one...
_client.Connect(Properties.Settings.Default.ibClientHost, Properties.Settings.Default.ibClientPort, r.Next(1000, 200000));
}
catch (Exception e)
{
MessageBox.Show("Could not connect to TWS: " + e.Message, "Error");
Close();
return;
}
AddedInstruments = new List <Instrument>();
_client.NextValidId += _client_NextValidId;
_client.ContractDetails += _client_ContractDetails;
_client.Error += _client_Error;
_client.ConnectionClosed += _client_ConnectionClosed;
_client.ContractDetailsEnd += _client_ContractDetailsEnd;
Exchanges = new ObservableCollection <KeyValuePair <int, string> > {
new KeyValuePair <int, string>(0, "All")
};
_exchanges = new Dictionary <string, Exchange>();
using (var context = new MyDBContext())
{
_thisDS = context.Datasources.First(x => x.Name == "Interactive Brokers");
foreach (Exchange e in context.Exchanges)
{
Exchanges.Add(new KeyValuePair <int, string>(e.ID, e.Name));
_exchanges.Add(e.Name, e);
}
}
InitializeComponent();
DataContext = this;
Instruments = new ObservableCollection <Instrument>();
InstrumentTypes = new ObservableCollection <InstrumentType>();
//list the available types from our enum
var values = MyUtils.GetEnumValues <InstrumentType>();
foreach (var val in values)
{
InstrumentTypes.Add(val);
}
ShowDialog();
}
static void Main(string[] args)
{
/*
* OrderManager om = new OrderManager();
* MainViewModel.Instance.test();
*/
//IBController controller = new IBController(MainViewModel.Instance);
//controller.test();
//Console.ReadLine();
IBClient client = new IBClient();
client.Connect("localhost", 4002, 1);
Task.Run(() => client.PlaceOrder(1000, new Contract("MHIN9", "HKFE", SecurityType.Future, "HKD"), new Order()));
Task.Run(() => client.CancelOrder(1000));
var c = JsonConvert.DeserializeObject <Dictionary <string, string> >("");
Dictionary <string, Dictionary <string, GTA> > t = new Dictionary <string, Dictionary <string, GTA> >();
t.Add("buy", new Dictionary <string, GTA>()
{
{ "GTA", new GTA()
{
DT = DateTime.Now
} }
});
string s1 = JsonConvert.SerializeObject(t);
string s = "{'buy':{'GTA':{'DT':'15:39'}}}";
var dateTimeConverter = new IsoDateTimeConverter {
DateTimeFormat = "HH:mm"
};
Dictionary <string, Dictionary <string, GTA> > t1 = JsonConvert.DeserializeObject <Dictionary <string, Dictionary <string, GTA> > >(s, dateTimeConverter);
//Console.ReadLine();
/*
* Test test = new Test();
* test.Names.Add("chan");
* List<string> t = test.Names;
* Test test1 = null;
* PropertyInfo pi;
* test1 = (Test)Reflection.GetPropertyParent(t, "Test.Names", out pi);*/
Regex r1 = new Regex(@"(?<dateFormat>y*[-\/]*M*[-\/]*[Dd]*)(?<dateFormat>M*[-\/]*[Dd]*[-\/]*y*)(?<dateFormat>[Dd]*[-\/]*M*[-\/]*y*)(?<timeFormat>[Hh]*[:]*m*[:]*s*[ ]*t*)");
Regex r2 = new Regex(@"([Hh]*[:]*m*[:]*s*[ ]*t*)");
//var p1 = new PcreRegex(@"(y*[-\/]*M*[-\/]*[Dd]*)(M*[-\/]*[Dd]*[-\/]*y*)([Dd]*[-\/]*M*[-\/]*y*)([Hh]*[:]*m*[:]*s*[ ]*t*)");
string input = "MMDDyyyy HH:mm:ss";
MatchCollection match = r1.Matches(input);
Match m2 = r2.Match(input);
//var m3 = p1.Match(input);
if (m2.Success)
{
//string v = match.Groups[1].Value;
//Console.WriteLine("Between One and Three: {0}", v);
}
}
public AddInstrumentInteractiveBrokersWindow()
{
Random r = new Random();
_client = new IBClient();
try
{
//random connection id for this one...
_client.Connect(Properties.Settings.Default.ibClientHost, Properties.Settings.Default.ibClientPort, r.Next(1000, 200000));
}
catch (Exception e)
{
MessageBox.Show("Could not connect to TWS: " + e.Message, "Error");
Close();
return;
}
AddedInstruments = new List<Instrument>();
_client.NextValidId += _client_NextValidId;
_client.ContractDetails += _client_ContractDetails;
_client.Error += _client_Error;
_client.ConnectionClosed += _client_ConnectionClosed;
_client.ContractDetailsEnd += _client_ContractDetailsEnd;
Exchanges = new ObservableCollection<KeyValuePair<int, string>> { new KeyValuePair<int, string>(0, "All") };
_exchanges = new Dictionary<string, Exchange>();
using (var context = new MyDBContext())
{
_thisDS = context.Datasources.First(x => x.Name == "Interactive Brokers");
foreach (Exchange e in context.Exchanges)
{
Exchanges.Add(new KeyValuePair<int, string>(e.ID, e.Name));
_exchanges.Add(e.Name, e);
}
}
InitializeComponent();
DataContext = this;
Instruments = new ObservableCollection<Instrument>();
InstrumentTypes = new ObservableCollection<InstrumentType>();
//list the available types from our enum
var values = MyUtils.GetEnumValues<InstrumentType>();
foreach (var val in values)
{
InstrumentTypes.Add(val);
}
ShowDialog();
}
/// <summary>
/// Connects/Starts a client
/// </summary>
public bool Start()
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Sending connection call for IB.", _type.FullName, "Start");
}
if (_ibClient == null)
{
_ibClient = new IBClient();
}
// Toggle Field Value
_logoutRequest = false;
// Hook Gateway Events
RegisterGatewayEvents();
_ibClient.Connect(_parameters.Host, _parameters.Port, _parameters.ClientId);
Task.Factory.StartNew(
() =>
{
while (!IsConnected())
{
}
// Raise Logon Event
if (LogonArrived != null)
{
LogonArrived(_marketDataProviderName);
}
});
// Indicating calls were successfully sent
return(true);
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "Start");
return(false);
}
}
private void btnConnect_Click(object sender, EventArgs e)
{
if (btnConnect.Text == "Connect")
{
client = new IBClient();
client.ThrowExceptions = true;
client.Connect(tbIPAddress.Text, Convert.ToInt32(tbPort.Text), 0);
client.HistoricalData += client_HistoricalData;
btnConnect.Text = "Disconnect";
gbDownloadConfiguration.Enabled = true;
}
else
{
client.Disconnect();
client.Dispose();
client = null;
btnConnect.Text = "Connect";
gbDownloadConfiguration.Enabled = false;
}
}
private void btnConnect_Click(object sender, EventArgs e)
{
if (btnConnect.Text == "Connect")
{
client = new IBClient();
client.ThrowExceptions = true;
client.Connect(tbIPAddress.Text, Convert.ToInt32(tbPort.Text), 0);
client.HistoricalData += client_HistoricalData;
btnConnect.Text = "Disconnect";
gbDownloadConfiguration.Enabled = true;
}
else
{
client.Disconnect();
client.Dispose();
client = null;
btnConnect.Text = "Connect";
gbDownloadConfiguration.Enabled = false;
}
}
private void Initialize()
{
client = new IBClient();
client.ThrowExceptions = true;
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
client.NextValidId += client_NextValidId;
client.UpdateMarketDepth += client_UpdateMktDepth;
client.RealTimeBar += client_RealTimeBar;
client.OrderStatus += client_OrderStatus;
client.OpenOrder += client_OpenOrder;
client.OpenOrderEnd += client_OpenOrderEnd;
client.ExecDetails += new EventHandler <ExecDetailsEventArgs>(client_ExecDetails);
client.UpdatePortfolio += client_UpdatePortfolio;
client.ReportException += client_ReportException;
client.Connect("127.0.0.1", 7496, 0);
client.RequestAccountUpdates(true, null);
Thread.Sleep(1000);
}
public AddInstrumentIbViewModel(IDialogCoordinator dialogService)
{
_dialogService = dialogService;
CreateCommands();
Random r = new Random();
_client = new IBClient();
//random connection id for this one...
_client.Connect(Properties.Settings.Default.ibClientHost, Properties.Settings.Default.ibClientPort, r.Next(1000, 200000));
AddedInstruments = new List <Instrument>();
_client.ContractDetails += _client_ContractDetails;
_client.ContractDetailsEnd += _client_ContractDetailsEnd;
Observable
.FromEventPattern <ConnectionClosedEventArgs>(_client, "ConnectionClosed")
.Subscribe(e => _logger.Warn("IB Instrument Adder connection closed."));
Observable
.FromEventPattern <NextValidIdEventArgs>(_client, "NextValidId")
.Subscribe(e => _nextRequestID = e.EventArgs.OrderId);
Observable
.FromEventPattern <ErrorEventArgs>(_client, "Error")
.Subscribe(e =>
{
if (e.EventArgs.ErrorMsg != "No security definition has been found for the request")
{
_logger.Error($"{e.EventArgs.ErrorCode} - {e.EventArgs.ErrorMsg}");
}
Status = e.EventArgs.ErrorMsg;
SearchUnderway = false;
});
Exchanges = new ObservableCollection <string> {
"All"
};
_exchanges = new Dictionary <string, Exchange>();
using (var context = new MyDBContext())
{
_thisDS = context.Datasources.First(x => x.Name == "Interactive Brokers");
foreach (Exchange e in context.Exchanges.Include(x => x.Sessions))
{
Exchanges.Add(e.Name);
_exchanges.Add(e.Name, e);
}
}
Instruments = new ObservableCollection <Instrument>();
InstrumentTypes = new ObservableCollection <InstrumentType>();
//list the available types from our enum
var values = MyUtils.GetEnumValues <InstrumentType>();
foreach (var val in values)
{
InstrumentTypes.Add(val);
}
}
/// <summary>
/// The main entry point for the application.
/// </summary>
//[STAThread]
static void Main(string[] args)
{
client = new IBClient();
client.ThrowExceptions = true;
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
client.NextValidId += client_NextValidId;
client.UpdateMarketDepth += client_UpdateMktDepth;
client.RealTimeBar += client_RealTimeBar;
client.OrderStatus += client_OrderStatus;
client.ExecDetails += client_ExecDetails;
Console.WriteLine("Connecting to IB.");
client.Connect("127.0.0.1", 7496, 0);
TF = new Contract("TF", "NYBOT", SecurityType.Future, "USD", "200909");
YmEcbot = new Contract("YM", "ECBOT", SecurityType.Future, "USD", "200909");
ES = new Contract("ES", "GLOBEX", SecurityType.Future, "USD", "200909");
SPY = new Contract("SPY", "GLOBEX", SecurityType.Future, "USD", "200909");
ZN = new Contract("ZN", "ECBOT", SecurityType.Future, "USD", "200909");
ZB = new Contract("ZB", "ECBOT", SecurityType.Future, "USD", "200909");
ZT = new Contract("ZT", "ECBOT", SecurityType.Future, "USD", "200909");
AAPL = new Contract("ZF", "ECBOT", SecurityType.Future, "USD", "200909");
//TickNasdaq = new Contract("TICK-NASD", "NASDAQ", SecurityType.Index, "USD");
//VolNasdaq = new Contract("VOL-NASD", "NASDAQ", SecurityType.Index, "USD");
//AdNasdaq = new Contract("AD-NASD", "NASDAQ", SecurityType.Index, "USD");
//TickNyse = new Contract("TICK-NYSE", "NYSE", SecurityType.Index, "USD");
//VolNyse = new Contract("VOL-NYSE", "NYSE", SecurityType.Index, "USD");
//AdNyse = new Contract("AD-NYSE", "NYSE", SecurityType.Index, "USD");
//New Contract Creation Features
Equity Google = new Equity("GOOG");
client.RequestMarketData(14, Google, null, false, false);
client.RequestMarketDepth(15, Google, 5);
client.RequestRealTimeBars(16, Google, 5, RealTimeBarType.Trades, false);
Order BuyContract = new Order();
BuyContract.Action = ActionSide.Sell;
BuyContract.OutsideRth = false;
BuyContract.LimitPrice = 560;
BuyContract.OrderType = OrderType.Market;
BuyContract.TotalQuantity = 1;
BuyContract.AuxPrice = 560;
client.PlaceOrder(NextOrderId, Google, BuyContract);
client.RequestIds(1);
client.RequestExecutions(34, new ExecutionFilter());
client.RequestAllOpenOrders();
//Application.EnableVisualStyles();
//Application.SetCompatibleTextRenderingDefault(false);
//Application.Run(new Form1());
while (true)
{
Thread.Sleep(100);
}
}
private void ConnectToIB()
{
DisposeIBClient();
logger.Info("Rebuilding IBClient");
if (client != null)
{
client.Dispose();
}
client = new IBClient();
Thread.Sleep(1000);
logger.Info("IBClient Rebuilt");
//client.ThrowExceptions = true;
int retryCt = 5;
while (!client.Connected)
{
if ((retryCt--) <= 0)
{
logger.Info("Tried to reconnect 5 times going to try re-creating the client...");
return;
}
if (terminateRequested)
{
ShutdownRecorder();
}
try
{
//int clientID = (new Random()).Next(0, 2000);
logger.Info("Connecting to TWS Interactive brokers on port 7496..." + "(Try " + (4 - retryCt) + " of 5)");
client.Connect(settings.IBHostToConnectTo, settings.IBPortToConnectTo, 1);
logger.Info("Connection initiated, requesting data");
Thread.Sleep(2000);
client.RequestIds(1);
Thread.Sleep(2000);
}
catch (Exception ex)
{
logger.Info("IB Connecting Exception: " + ex.Message);
if (terminateRequested) // changed: 2004-1-28
{
ShutdownRecorder();
}
Thread.Sleep(3000);
}
}
logger.Info("TWS Client Connected is now true.");
Thread.Sleep(2000);
logger.Info("Connected to TWS server version {0} at {1}.", client.ServerVersion, client.TwsConnectionTime);
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
//client.UpdateMarketDepth += new EventHandler<UpdateMarketDepthEventArgs>(client_UpdateMarketDepth);
//client.UpdateMarketDepthL2 += new EventHandler<UpdateMarketDepthL2EventArgs>(client_UpdateMarketDepthL2);
//// client.TickString += new EventHandler<TickStringEventArgs>(client_TickString); // nothing of value that I see
//client.TickGeneric += new EventHandler<TickGenericEventArgs>(client_TickGeneric);
//client.TickEfp += new EventHandler<TickEfpEventArgs>(client_TickEfp);
//client.FundamentalData += new EventHandler<FundamentalDetailsEventArgs>(client_FundamentalData);
//client.ContractDetails += new EventHandler<ContractDetailsEventArgs>(client_ContractDetails);
/////////// Register the list of symbols for TWS ///////////
string listToEcho = "";
for (int s = 0; s < symbols.Count(); s++)
{
string name = symbols[s].Symbol.Trim();
Contract item = new Contract(name, symbols[s].Market, symbols[s].securityType, "USD");
client.RequestMarketData(symbols[s].SymbolID, item, null, false, false);
// Examples..
//axTws1.reqMktData(curID++, symbols[s], "STK", "", 0, "", "", "SMART", "ISLAND", "USD", "", 0);
//client.RequestMarketDepth(s, item, 10);
//client.RequestContractDetails(s, item);
//client.RequestFundamentalData(s, item, "Estimates");
//client.RequestFundamentalData(s, item, "Financial Statements");
//client.RequestFundamentalData(s, item, "Summary");
//client.RequestNewsBulletins(false);
listToEcho += ", " + name;
}
logger.Debug("Symbols: {0}", listToEcho);
//(NowString() + ": Symbols: " + listToEcho).Log();
}
/// <summary>
/// Arguments are GOOG/IB, rundate, basketfile, datapath
/// </summary>
static void Main(string[] args)
{
#region parameters
string _client = "IB"; // IB or GOOG
IClient _iclient;
string _enddate = DateTime.Today.ToString("yyyyMMdd");
string _basketfile = @"c:\QuantTrading\Config\basket.xml";
string _datapath = @"c:\QuantTrading\HistData\";
Basket _basket;
if (args.Length > 0)
{
_client = args[0];
}
if (args.Length > 1)
{
_enddate = args[1];
}
if (args.Length > 2)
{
_basketfile = args[2];
}
if (args.Length > 3)
{
_datapath = args[3];
}
_datapath = _datapath + _client + @"\";
_basket = Basket.DeserializeFromXML(_basketfile);
#endregion
_sec2bars = new Dictionary <string, List <string> >(_basket.Count);
Dictionary <string, string> _outfiles = new Dictionary <string, string>(_basket.Count);
Dictionary <string, long> _totalBars = new Dictionary <string, long>(_basket.Count);
_processedBars = new Dictionary <string, long>(_basket.Count);
DateTime _startTime = DateTime.SpecifyKind(DateTime.ParseExact(_enddate, "yyyyMMdd", null), DateTimeKind.Local);
DateTime _endTime = _startTime + new TimeSpan(1, 0, 0, 0); // one day later
double sec = _endTime.Subtract(_startTime).TotalSeconds; // should be 24 hours or 86,400 secs
foreach (string s in _basket.Securities)
{
// set up bar counts
_totalBars.Add(s, (long)sec); // one bar is one sec; if one minute, divide it by 60
_processedBars.Add(s, 0); // initialize processed to 0
// set up out filenames
string filename = _datapath + s + "_" + _startTime.Date.ToString("yyyyMMdd") + ".csv";
_outfiles.Add(s, filename);
List <string> lines = new List <string>(90000); // set something greater than 86,4000
lines.Add("DateTime,Open,High,Low,Close,Volume");
_sec2bars.Add(s, lines);
}
if (_client == "IB")
{
_iclient = new IBClient(); // currently it uses default ip:port
_iclient.SendDebugEventDelegate += _iclient_SendDebugEventDelegate;
_iclient.GotHistoricalBarDelegate += _iclient_GotHistoricalBarDelegate;
_iclient.Connect();
long totalRequests = (long)sec / 1800; // one request is 30 min, totalRequests = 48
TimeSpan thirtyMin = new TimeSpan(0, 30, 0);
foreach (string sym in _basket.Securities)
{
DateTime s = _startTime;
DateTime t = _startTime + thirtyMin;
Console.WriteLine("Requesting historical bars for :" + sym);
for (int i = 0; i < totalRequests; i++)
{
Console.WriteLine("Request #: " + (i + 1).ToString() + "/" + totalRequests);
// 1 = 1 second
BarRequest br = new BarRequest(sym, 1, Util.ToIntDate(s.Date), Util.ToIntTime(s.Hour, s.Minute, s.Second),
Util.ToIntDate(t.Date), Util.ToIntTime(t.Hour, t.Minute, t.Second), _client);
_iclient.RequestHistoricalData(br, true);
// Do not make more than 60 historical data requests in any ten-minute period.
// If I have 10 names, each can only make 6 requests in ten minute;
// I use 5 minute for a pause; Then 24 hours takes 120 min or 1.5hour
// Thread.Sleep(new TimeSpan(0, 5, 0));
// wait 10 secs
Thread.Sleep(10000);
s += thirtyMin;
t += thirtyMin;
}
}
}
else if (_client == "GOOG")
{
_iclient = new GoogleClient(1);
_iclient.SendDebugEventDelegate += _iclient_SendDebugEventDelegate;
_iclient.GotHistoricalBarDelegate += _iclient_GotHistoricalBarDelegate;
foreach (string sym in _basket.Securities)
{
Console.WriteLine("Requesting historical bars for :" + sym);
BarRequest br = new BarRequest(sym, 60, Util.ToIntDate(DateTime.Today), Util.ToIntTime(DateTime.Today),
Util.ToIntDate(DateTime.Today), Util.ToIntTime(DateTime.Today), _client);
_iclient.RequestHistoricalData(br);
}
}
// write to files
Console.WriteLine("Wait three minutes for bars being processed.....");
Thread.Sleep(new TimeSpan(0, 3, 0)); // wait three minutes for all hist bar to be processed.
foreach (string s in _basket.Securities)
{
List <string> noDups = _sec2bars[s].Distinct().ToList();
//_sec2bars[s].Insert(0, _processedBars[s].ToString());
File.WriteAllLines(_outfiles[s], noDups);
}
}
static void Main(string[] args)
{
client = new IBClient();
client.ThrowExceptions = true;
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
client.NextValidId += client_NextValidId;
client.UpdateMarketDepth += client_UpdateMktDepth;
client.RealTimeBar += client_RealTimeBar;
client.OrderStatus += client_OrderStatus;
client.ExecDetails += client_ExecDetails;
Console.WriteLine("Connecting to IB.");
client.Connect("127.0.0.1", 7496, 0);
TF = new Contract("TF", "NYBOT", SecurityType.Future, "USD", "200909");
YmEcbot = new Contract("YM", "ECBOT", SecurityType.Future, "USD", "200909");
ES = new Contract("ES", "GLOBEX", SecurityType.Future, "USD", "200909");
SPY = new Contract("SPY", "GLOBEX", SecurityType.Future, "USD", "200909");
ZN = new Contract("ZN", "ECBOT", SecurityType.Future, "USD", "200909");
ZB = new Contract("ZB", "ECBOT", SecurityType.Future, "USD", "200909");
ZT = new Contract("ZT", "ECBOT", SecurityType.Future, "USD", "200909");
ZF = new Contract("ZF", "ECBOT", SecurityType.Future, "USD", "200909");
TickNasdaq = new Contract("TICK-NASD", "NASDAQ", SecurityType.Index, "USD");
VolNasdaq = new Contract("VOL-NASD", "NASDAQ", SecurityType.Index, "USD");
AdNasdaq = new Contract("AD-NASD", "NASDAQ", SecurityType.Index, "USD");
TickNyse = new Contract("TICK-NYSE", "NYSE", SecurityType.Index, "USD");
VolNyse = new Contract("VOL-NYSE", "NYSE", SecurityType.Index, "USD");
AdNyse = new Contract("AD-NYSE", "NYSE", SecurityType.Index, "USD");
//New Contract Creation Features
Equity Google = new Equity("GOOG");
//Forex Test
Forex EUR = new Forex("EUR", "USD");
client.RequestMarketData(14, Google, null, false, false);
client.RequestMarketDepth(15, Google, 5);
client.RequestRealTimeBars(16, Google, 5, RealTimeBarType.Trades, false);
client.RequestMarketData(17, EUR, null, false, false);
Order BuyContract = new Order();
BuyContract.Action = ActionSide.Buy;
BuyContract.OutsideRth = false;
BuyContract.LimitPrice = 560;
BuyContract.OrderType = OrderType.Limit;
BuyContract.TotalQuantity = 1;
//client.PlaceOrder(503, TF, BuyContract);
client.RequestExecutions(34, new ExecutionFilter());
client.RequestAllOpenOrders();
while (true)
{
Thread.Sleep(100);
}
}
static void Main(string[] args)
{
client = new IBClient {
ThrowExceptions = true
};
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
client.NextValidId += client_NextValidId;
client.UpdateMarketDepth += client_UpdateMktDepth;
client.RealTimeBar += client_RealTimeBar;
client.OrderStatus += client_OrderStatus;
client.ExecDetails += client_ExecDetails;
client.CommissionReport += client_CommissionReport;
Console.WriteLine("Connecting to IB.");
client.Connect("127.0.0.1", 7496, 10);
//TF = new Future("TF", "NYBOT", "USD", "200909");
//YmEcbot = new Future("YM", "ECBOT", "USD", "200909");
//ES = new Future("ES", "GLOBEX", "USD", "200909");
//SPY = new Future("SPY", "GLOBEX", "USD", "200909");
//ZN = new Future("ZN", "ECBOT", "USD", "200909");
//ZB = new Future("ZB", "ECBOT", "USD", "200909");
//ZT = new Future("ZT", "ECBOT", "USD", "200909");
//ZF = new Future("ZF", "ECBOT", "USD", "200909");
//TickNasdaq = new Index("TICK-NASD", "NASDAQ");
//VolNasdaq = new Index("VOL-NASD", "NASDAQ");
//AdNasdaq = new Index("AD-NASD", "NASDAQ");
//TickNyse = new Index("TICK-NYSE", "NYSE");
//VolNyse = new Index("VOL-NYSE", "NYSE");
//AdNyse = new Index("AD-NYSE", "NYSE");
//New Contract Creation Features
//var Google = new Equity("GOOG");
//Forex Test
var EUR = new Forex("EUR", "USD");
//Order BuyContract = KrsOrderFactory.CreateOrder(ActionSide.Buy, OrderType.Limit, 560, 0, 1, false, 0);
//BuyContract.OutsideRth = false;
//BuyContract.LimitPrice = 560;
//BuyContract.OrderType = OrderType.Limit;
//BuyContract.TotalQuantity = 1;
//client.PlaceOrder(503, TF, BuyContract);
client.RequestExecutions(NextOrderId++, new KrsExecutionFilter());
client.RequestAllOpenOrders();
client.RequestMarketData(NextOrderId++, EUR, null, false, false);
client.RequestMarketDepth(NextOrderId++, EUR, 5);
client.RequestRealTimeBars(NextOrderId++, EUR, 5, RealTimeBarType.Midpoint, false);
//client.RequestMarketData(NextOrderId++, EUR, null, false, false);
while (true)
{
Thread.Sleep(100);
}
}
private void ConnectToIB()
{
DisposeIBClient();
logger.Info("Rebuilding IBClient");
if (client != null)
client.Dispose();
client = new IBClient();
Thread.Sleep(1000);
logger.Info("IBClient Rebuilt");
//client.ThrowExceptions = true;
int retryCt = 5;
while (!client.Connected)
{
if ((retryCt--) <= 0)
{
logger.Info("Tried to reconnect 5 times going to try re-creating the client...");
return;
}
if (terminateRequested)
ShutdownRecorder();
try
{
//int clientID = (new Random()).Next(0, 2000);
logger.Info("Connecting to TWS Interactive brokers with host "+ settings.IBHostToConnectTo
+ " on port " + settings.IBPortToConnectTo + "..." +"(Try " + (4-retryCt) + " of 5)" );
client.Connect(settings.IBHostToConnectTo, settings.IBPortToConnectTo, 1);
logger.Info("Connection initiated, requesting data");
Thread.Sleep(2000);
client.RequestIds(1);
Thread.Sleep(2000);
}
catch (Exception ex)
{
logger.Info("IB Connecting Exception: " + ex.Message);
if (terminateRequested) // changed: 2004-1-28
ShutdownRecorder();
Thread.Sleep(3000);
}
}
logger.Info("TWS Client Connected is now true.");
Thread.Sleep(2000);
logger.Info("Connected to TWS server version {0} at {1}.", client.ServerVersion, client.TwsConnectionTime);
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
//client.UpdateMarketDepth += new EventHandler<UpdateMarketDepthEventArgs>(client_UpdateMarketDepth);
//client.UpdateMarketDepthL2 += new EventHandler<UpdateMarketDepthL2EventArgs>(client_UpdateMarketDepthL2);
//// client.TickString += new EventHandler<TickStringEventArgs>(client_TickString); // nothing of value that I see
//client.TickGeneric += new EventHandler<TickGenericEventArgs>(client_TickGeneric);
//client.TickEfp += new EventHandler<TickEfpEventArgs>(client_TickEfp);
//client.FundamentalData += new EventHandler<FundamentalDetailsEventArgs>(client_FundamentalData);
//client.ContractDetails += new EventHandler<ContractDetailsEventArgs>(client_ContractDetails);
//client.RequestNewsBulletins(false);
/////////// Register the list of symbols for TWS ///////////
string listToEcho = "";
for (int s = 0; s < symbols.Count(); s++)
{
string name = symbols[s].Symbol.Trim();
Contract item = new Contract(name, symbols[s].Market, symbols[s].securityType, "USD");
client.RequestMarketData(symbols[s].SymbolID, item, null, false, false);
// Examples..
//axTws1.reqMktData(curID++, symbols[s], "STK", "", 0, "", "", "SMART", "ISLAND", "USD", "", 0);
//client.RequestMarketDepth(symbol.SymbolID, item, 10);
//client.RequestContractDetails(symbol.SymbolID, item);
//client.RequestFundamentalData(symbol.SymbolID, item, "Estimates");
//client.RequestFundamentalData(symbol.SymbolID, item, "Financial Statements");
//client.RequestFundamentalData(symbol.SymbolID, item, "Summary");
listToEcho += ", " + name;
}
logger.Debug("Symbols: {0}", listToEcho);
//(NowString() + ": Symbols: " + listToEcho).Log();
}
public void SetUp()
{
_client = IBClientFactory.CreateNew();
_client.Connect("127.0.0.1", 4002, 2);
}
static void Main(string[] args)
{
client = new IBClient {ThrowExceptions = true};
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
client.NextValidId += client_NextValidId;
client.UpdateMarketDepth += client_UpdateMktDepth;
client.RealTimeBar += client_RealTimeBar;
client.OrderStatus += client_OrderStatus;
client.ExecDetails += client_ExecDetails;
client.CommissionReport += client_CommissionReport;
Console.WriteLine("Connecting to IB.");
client.Connect("127.0.0.1", 7496, 10);
//TF = new Future("TF", "NYBOT", "USD", "200909");
//YmEcbot = new Future("YM", "ECBOT", "USD", "200909");
//ES = new Future("ES", "GLOBEX", "USD", "200909");
//SPY = new Future("SPY", "GLOBEX", "USD", "200909");
//ZN = new Future("ZN", "ECBOT", "USD", "200909");
//ZB = new Future("ZB", "ECBOT", "USD", "200909");
//ZT = new Future("ZT", "ECBOT", "USD", "200909");
//ZF = new Future("ZF", "ECBOT", "USD", "200909");
//TickNasdaq = new Index("TICK-NASD", "NASDAQ");
//VolNasdaq = new Index("VOL-NASD", "NASDAQ");
//AdNasdaq = new Index("AD-NASD", "NASDAQ");
//TickNyse = new Index("TICK-NYSE", "NYSE");
//VolNyse = new Index("VOL-NYSE", "NYSE");
//AdNyse = new Index("AD-NYSE", "NYSE");
//New Contract Creation Features
//var Google = new Equity("GOOG");
//Forex Test
var EUR = new Forex("EUR", "USD");
//Order BuyContract = KrsOrderFactory.CreateOrder(ActionSide.Buy, OrderType.Limit, 560, 0, 1, false, 0);
//BuyContract.OutsideRth = false;
//BuyContract.LimitPrice = 560;
//BuyContract.OrderType = OrderType.Limit;
//BuyContract.TotalQuantity = 1;
//client.PlaceOrder(503, TF, BuyContract);
client.RequestExecutions(NextOrderId++, new KrsExecutionFilter());
client.RequestAllOpenOrders();
client.RequestMarketData(NextOrderId++, EUR, null, false, false);
client.RequestMarketDepth(NextOrderId++, EUR, 5);
client.RequestRealTimeBars(NextOrderId++, EUR, 5, RealTimeBarType.Midpoint, false);
//client.RequestMarketData(NextOrderId++, EUR, null, false, false);
while(true)
{
Thread.Sleep(100);
}
}
static void Main(string[] args)
{
client = new IBClient();
client.ThrowExceptions = true;
client.TickPrice += client_TickPrice;
client.TickSize += client_TickSize;
client.Error += client_Error;
client.NextValidId += client_NextValidId;
client.UpdateMarketDepth += client_UpdateMktDepth;
client.RealTimeBar += client_RealTimeBar;
client.OrderStatus += client_OrderStatus;
client.ExecDetails += client_ExecDetails;
client.HistoricalData += client_HistoricalData;
Console.WriteLine("Connecting to IB.");
client.Connect("127.0.0.1", 7496, 0);
//TF = new Contract("TF", "NYBOT", SecurityType.Future, "USD", "200909");
//YmEcbot = new Contract("YM", "ECBOT", SecurityType.Future, "USD", "200909");
ES = new Contract("ES", "GLOBEX", SecurityType.Future, "USD", "201609");
//SPY = new Contract("SPY", "GLOBEX", SecurityType.Future, "USD", "200909");
//ZN = new Contract("ZN", "ECBOT", SecurityType.Future, "USD", "200909");
//ZB = new Contract("ZB", "ECBOT", SecurityType.Future, "USD", "201609");
//ZT = new Contract("ZT", "ECBOT", SecurityType.Future, "USD", "200909");
//ZF = new Contract("ZF", "ECBOT", SecurityType.Future, "USD", "200909");
var dbk = new Contract();
dbk.ContractId = 14121;
dbk.Exchange = "IBIS";
//var dbk = new Contract("DBK", "IBIS", SecurityType.Stock, "EUR");
client.RequestHistoricalData(1, ES, DateTime.Today.AddDays(1), "5 D", BarSize.OneDay, HistoricalDataType.Trades, 0);
//var eurusd = new Contract();
//eurusd.ContractId = 12087792;
//eurusd.Exchange = "IDEALPRO";
//var eurusd = new Contract("EUR", "IDEALPRO", SecurityType.Cash, "USD");
//client.RequestRealTimeBars(1, eurusd, 5, RealTimeBarType.Midpoint, true);
//TickNasdaq = new Contract("TICK-NASD", "NASDAQ", SecurityType.Index, "USD");
//VolNasdaq = new Contract("VOL-NASD", "NASDAQ", SecurityType.Index, "USD");
//AdNasdaq = new Contract("AD-NASD", "NASDAQ", SecurityType.Index, "USD");
//TickNyse = new Contract("TICK-NYSE", "NYSE", SecurityType.Index, "USD");
//VolNyse = new Contract("VOL-NYSE", "NYSE", SecurityType.Index, "USD");
//AdNyse = new Contract("AD-NYSE", "NYSE", SecurityType.Index, "USD");
//New Contract Creation Features
//Equity Google = new Equity("GOOG");
//Forex Test
//Forex EUR = new Forex("EUR", "USD");
//client.RequestMarketData(14, Google, null, false, false);
//client.RequestMarketDepth(15, Google, 5);
//client.RequestRealTimeBars(16, Google, 5, RealTimeBarType.Trades,false);
//client.RequestMarketData(17, EUR, null, false, false);
//Order BuyContract = new Order();
//BuyContract.Action = ActionSide.Buy;
//BuyContract.OutsideRth = false;
//BuyContract.LimitPrice = 560;
//BuyContract.OrderType = OrderType.Limit;
//BuyContract.TotalQuantity = 1;
////client.PlaceOrder(503, TF, BuyContract);
//client.RequestExecutions(34, new ExecutionFilter());
//client.RequestAllOpenOrders();
while (true)
{
Thread.Sleep(100);
}
}
public AddInstrumentIbViewModel(DialogCoordinator dialogService)
{
_dialogService = dialogService;
CreateCommands();
Random r = new Random();
_client = new IBClient();
//random connection id for this one...
_client.Connect(Properties.Settings.Default.ibClientHost, Properties.Settings.Default.ibClientPort, r.Next(1000, 200000));
AddedInstruments = new List<Instrument>();
_client.ContractDetails += _client_ContractDetails;
_client.ContractDetailsEnd += _client_ContractDetailsEnd;
Observable
.FromEventPattern<ConnectionClosedEventArgs>(_client, "ConnectionClosed")
.ObserveOnDispatcher()
.Subscribe(e => _logger.Log(NLog.LogLevel.Warn, "IB Instrument Adder connection closed."));
Observable
.FromEventPattern<NextValidIdEventArgs>(_client, "NextValidId")
.Subscribe(e => _nextRequestID = e.EventArgs.OrderId);
Observable
.FromEventPattern<ErrorEventArgs>(_client, "Error")
.ObserveOnDispatcher()
.Subscribe(e =>
{
if (e.EventArgs.ErrorMsg != "No security definition has been found for the request")
{
_logger.Log(NLog.LogLevel.Error,
string.Format("{0} - {1}", e.EventArgs.ErrorCode, e.EventArgs.ErrorMsg));
}
Status = e.EventArgs.ErrorMsg;
SearchUnderway = false;
});
Exchanges = new ObservableCollection<string> { "All" };
_exchanges = new Dictionary<string, Exchange>();
using (var context = new MyDBContext())
{
_thisDS = context.Datasources.First(x => x.Name == "Interactive Brokers");
foreach (Exchange e in context.Exchanges)
{
Exchanges.Add(e.Name);
_exchanges.Add(e.Name, e);
}
}
Instruments = new ObservableCollection<Instrument>();
InstrumentTypes = new ObservableCollection<InstrumentType>();
//list the available types from our enum
var values = MyUtils.GetEnumValues<InstrumentType>();
foreach (var val in values)
{
InstrumentTypes.Add(val);
}
}
public Instrument(String m_Symbol, String m_Expiry, InstrumentType m_Type)
{
this.CreateHandle();
this.Visible = false;
if (m_Client == null)
{
m_Client = new IBClient();
m_Client.ThrowExceptions = true;
m_Client.TickPrice += new EventHandler <TickPriceEventArgs>(S_OnPriceDataUpdate);
m_Client.TickSize += new EventHandler <TickSizeEventArgs>(S_OnSizeDataUpdate);
m_Client.Error += new EventHandler <ErrorEventArgs>(S_OnError);
m_Client.NextValidId += new EventHandler <NextValidIdEventArgs>(S_OnNextValidId);
//m_Client.OrderStatus += new EventHandler< OrderStatusEventArgs >( OnOrderStatus);
m_Client.ExecDetails += new EventHandler <ExecDetailsEventArgs>(S_OnFill);
m_Client.HistoricalData += new EventHandler <HistoricalDataEventArgs>(OnHistoricalDataUpdate);
m_Client.Connect("127.0.0.1", 7496, 0);
contracts = new Dictionary <int, Instrument>();
}
m_ID = id;
id++;
Symbol = m_Symbol;
switch (m_Type)
{
case InstrumentType.EQUITY:
m_Contract = new Equity(m_Symbol);
break;
case InstrumentType.FOREX:
//m_Contract = new Forex();
break;
case InstrumentType.FUTURE:
m_Contract = new Future(m_Symbol, "GLOBEX", m_Expiry);
break;
//case InstrumentType.FUTURE:
// m_Contract = new Future( "CCK2", "NYBOT", "JUN12" );
// break;
case InstrumentType.INDEX:
m_Contract = new Index(m_Symbol, "CBOE");
break;
case InstrumentType.OPTION:
m_Contract = new Option("IBM", "IBM 120518C00170000", 2012, 5, Krs.Ats.IBNet.RightType.Call, 170);
break;
}
;
m_Client.RequestMarketData(m_ID, m_Contract, null, false, false);
contracts.Add(m_ID, this);
//client.RequestExecutions(34, new ExecutionFilter());
///////////////////////////////////////////////////////////////////
//////////// These delegates perform cross-thread operation ///////
////////////////////////////////////////////////////////////////////
OnPriceUpdateDelegate = new PriceUpdateEventHandler(Client_TickPrice);
OnSizeUpdateDelegate = new SizeUpdateEventHandler(Client_TickSize);
OnFillUpdateDelegate = new FillUpdateEventHandler(Client_Fill);
////////////////////////////////////////////////////////////////////
}
