/// <summary>
/// Market data request message
/// </summary>
public bool SubscribeTickData(Subscribe request)
{
try
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Sending market data request for: " + request.Security.Symbol, _type.FullName,
"SubscribeTickData");
}
_nextValidId++;
// Update IDs Map
_idsMap.Add(request.Id, _nextValidId);
// Add Value to the Internal Ticks Map
_tickList.Add(_nextValidId, new Tick {
Security = request.Security, MarketDataProvider = _marketDataProviderName
});
var list = new Collection <GenericTickType> {
GenericTickType.MarkPrice
};
_ibClient.RequestMarketData(Convert.ToInt32(_nextValidId), new Equity(request.Security.Symbol), list, snapshot: false, marketDataOff: false);
_ibClient.RequestMarketDepth(Convert.ToInt32(_nextValidId), new Equity(request.Security.Symbol), 1);
return(true);
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "SubscribeTickData");
return(false);
}
}
public void StartSymbol(Receiver receiver, SymbolInfo symbol, StartSymbolDetail detail)
{
if (debug)
{
log.Debug("StartSymbol " + symbol + ", " + detail.LastTime);
}
// Equity equity = new Equity(symbol.Symbol);
// Contract contract = new Contract(symbol.Symbol,"SMART",SecurityType.Stock,"USD");
// Contract contract = new Contract(symbol.Symbol,"GLOBEX",SecurityType.Future,"USD","201006");
Contract contract = SymbolToContract(symbol);
SymbolHandler handler = GetSymbolHandler(symbol, receiver);
// tickerid.Add((int)symbol.BinaryIdentifier);
// client.RequestMarketData((int)symbol.BinaryIdentifier, contract, null, false, false);
client.RequestMarketData((int)symbol.BinaryIdentifier, contract, null, false, false);
receiver.OnEvent(symbol, (int)EventType.StartRealTime, null);
}
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);
}
}
/// <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);
}
}
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();
}
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();
}
public List <TickData> RequestQuote(string symbol, string exchange, string primary_exchange, SecurityType type, string currency, List <ContractDetails> details)
{
// make sure we are connected
if (!Connect)
{
Connect = true;
if (!Connect)
{
return(null);
}
}
// create returned list
List <TickData> list = new List <TickData>();
// get quotes count
int count = 1;
if (details != null && details.Count > 1)
{
count = details.Count;
}
for (int i = 0; i < count; i++)
{
// get id from id queue
if (id_queue.Count == 0)
{
break;
}
int id = id_queue.Dequeue();
// get tick object
if (!tick_list.ContainsKey(id))
{
tick_list[id] = new TickData(id);
}
TickData t = tick_list[id];
t.name = symbol;
t.symbol = symbol;
t.exchange = exchange;
t.currency = currency;
// keep request rate
if (i % 24 == 0 && i != 0)
{
Thread.Sleep(500 + tws_backoff_time / 2);
}
t.pending_requests.AddRange(new TickType[]
{
TickType.BidPrice,
TickType.AskPrice,
TickType.BidSize,
TickType.AskSize,
TickType.Volume
});
if (type == SecurityType.Index)
{
t.pending_requests.Add(TickType.ClosePrice);
t.pending_requests.Add(TickType.OpenPrice);
t.pending_requests.Add(TickType.HighPrice);
t.pending_requests.Add(TickType.LowPrice);
t.pending_requests.Add(TickType.LastPrice);
t.pending_requests.Add(TickType.LastSize);
t.pending_requests.Add(TickType.LastTimestamp);
Krs.Ats.IBNet.Contracts.Index contract = new Krs.Ats.IBNet.Contracts.Index(symbol, exchange);
contract.PrimaryExchange = primary_exchange;
contract.Currency = currency;
tws.RequestMarketData(id, contract, null, false);
}
else if (type == SecurityType.Stock)
{
t.pending_requests.Add(TickType.ClosePrice);
t.pending_requests.Add(TickType.OpenPrice);
t.pending_requests.Add(TickType.HighPrice);
t.pending_requests.Add(TickType.LowPrice);
t.pending_requests.Add(TickType.LastPrice);
t.pending_requests.Add(TickType.LastSize);
t.pending_requests.Add(TickType.LastTimestamp);
Krs.Ats.IBNet.Contracts.Equity contract = new Krs.Ats.IBNet.Contracts.Equity(symbol, exchange);
contract.PrimaryExchange = primary_exchange;
contract.Currency = currency;
tws.RequestMarketData(id, contract, null, false);
}
else if (type == SecurityType.Future)
{
t.pending_requests.Add(TickType.ClosePrice);
t.pending_requests.Add(TickType.OpenPrice);
t.pending_requests.Add(TickType.HighPrice);
t.pending_requests.Add(TickType.LowPrice);
t.pending_requests.Add(TickType.LastPrice);
t.pending_requests.Add(TickType.LastSize);
t.pending_requests.Add(TickType.LastTimestamp);
Krs.Ats.IBNet.Contracts.Future contract = new Krs.Ats.IBNet.Contracts.Future(symbol, exchange, details[i].Summary.Expiry);
contract.PrimaryExchange = primary_exchange;
contract.Currency = currency;
tws.RequestMarketData(id, contract, null, false);
}
else if (type == SecurityType.Option || type == SecurityType.FutureOption)
{
Collection <GenericTickType> g = null;
if (tws_download_openint)
{
t.pending_requests.Add(TickType.OpenInterest);
g = new Collection <GenericTickType>();
g.Add(GenericTickType.OptionOpenInterest);
g.Add(GenericTickType.OptionVolume);
}
// Krs.Ats.IBNet.Contracts.Option contract = new Krs.Ats.IBNet.Contracts.Option(details[i].Summary.Symbol, details[i].Summary.LocalSymbol, details[i].Summary.Expiry, details[i].Summary.Right, (decimal)details[i].Summary.Strike);
// contract.PrimaryExchange = primary_exchange;
// contract.Currency = details[i].Summary.Currency;
// tws.RequestMarketData(id, contract, g, false);
tws.RequestMarketData(id, details[i].Summary, g, false);
}
// add tick to return list
list.Add(t);
}
// setup timeout
DateTime to = DateTime.Now.AddSeconds(tws_quote_timeout);
foreach (TickData t in list)
{
if (to > DateTime.Now)
{
// wait for result
t.ready_event.WaitOne((TimeSpan)(to - DateTime.Now), false);
}
// remove tick from list
tick_list.Remove(t.id);
// cancel market data return id to id queue
tws.CancelMarketData(t.id);
id_queue.Enqueue(t.id);
}
return(list);
}
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);
////////////////////////////////////////////////////////////////////
}
