public TWSClientErrorEventArgs(TWSClient client, int tickerId, IBContract contract, TWSError error)
: base(client)
{
RequestId = tickerId;
Error = error;
Contract = contract;
}
private void RegisterContractList(IList <IBSimplefiedContract> list, Grid grid)
{
var i = 1;
foreach (var c in list)
{
var contract = new IBContract
{
Currency = c.Currency,
Symbol = c.Symbol,
Exchange = c.Exchange,
SecurityType = c.SecurityType,
Expiry = c.Expiry,
Multiplier = c.Multiplier.ToString(),
Strike = c.Strike,
Right = c.PutOrCall
};
_client.RequestMarketData(contract, null);
_symbolDataMap.Add(contract, new InstrumentDataRecord()
{
Grid = grid, Row = i
});
i++;
}
}
public TWSExecDetailsEventArgs(TWSClient client, int orderId, IBContract contract, IBExecution execution)
: base(client)
{
OrderId = orderId;
Contract = contract;
Execution = execution;
}
private void ProcessMarketDepthRequest()
{
try {
var reqVersion = _enc.DecodeInt();
var reqId = _enc.DecodeInt();
int numRows = 0;
var contract = new IBContract();
contract.Symbol = _enc.DecodeString();
contract.SecType = _enc.DecodeSecType();
contract.Expiry = _enc.DecodeExpiryDate();
contract.Strike = _enc.DecodeDouble();
contract.Right = _enc.DecodeString();
if (ServerInfo.Version >= 15)
{
contract.Multiplier = _enc.DecodeInt();
}
contract.Exchange = _enc.DecodeString();
contract.Currency = _enc.DecodeString();
contract.LocalSymbol = _enc.DecodeString();
if (ServerInfo.Version >= 19)
{
numRows = _enc.DecodeInt();
}
OnMarketDepthRequest(reqId, contract, numRows);
}
catch (Exception e) {
OnError(TWSErrors.FAIL_SEND_REQMKTDEPTH);
OnError(e.Message);
Disconnect();
}
}
public TWSOpenOrderEventArgs(TWSClient client, int orderId, IBOrder order, IBContract contract)
: base(client)
{
OrderId = orderId;
Order = order;
Contract = contract;
}
private void ProcessContractDataRequest()
{
try {
// send req mkt data msg
var reqVersion = _enc.DecodeInt();
var contract = new IBContract();
contract.Symbol = _enc.DecodeString();
contract.SecType = _enc.DecodeSecType();
contract.Expiry = _enc.DecodeExpiryDate();
contract.Strike = _enc.DecodeDouble();
contract.Right = _enc.DecodeString();
if (ServerInfo.Version >= 15)
{
contract.Multiplier = _enc.DecodeInt();
}
contract.Exchange = _enc.DecodeString();
contract.Currency = _enc.DecodeString();
contract.LocalSymbol = _enc.DecodeString();
if (ServerInfo.Version >= 31)
{
contract.IncludeExpired = _enc.DecodeBool();
}
OnContractDataRequest(contract);
}
catch (Exception e) {
OnError(TWSErrors.FAIL_SEND_REQCONTRACT);
OnError(e.Message);
Disconnect();
}
}
private void OnContractDataRequest(IBContract contract)
{
if (Server != null)
{
Server.OnContractDetailsRequest(this, contract);
}
}
internal OrderRecord(IBOrder order, IBContract contract)
{
Order = order;
Contract = contract;
CumQty = 0;
LeavesQty = order.TotalQuantity;
AvgPx = 0;
}
void OnMarketDataRequest(int reqId, IBContract contract)
{
Server?.OnMarketDataRequest(this, reqId, contract);
MarketDataRequest?.Invoke(this, new TWSMarketDataRequestEventArgs(this, reqId, contract));
_marketDataSubscriptions.Add(reqId, contract);
}
internal OrderRecord(IBOrder order, IBContract contract)
{
Order = order;
Contract = contract;
CumQty = 0;
LeavesQty = order.TotalQuantity;
AvgPx = 0;
}
private void OnMarketDepthRequest(int reqId, IBContract contract, int numRows)
{
if (Server != null)
{
Server.OnMarketDepthRequest(this, reqId, contract, numRows);
}
if (MarketDepthRequest != null)
{
MarketDepthRequest(this, new TWSMarketDepthRequestEventArgs(this, reqId, contract, numRows));
}
}
void OnMarketDataCancel(int reqId)
{
IBContract contract = null;
if (_marketDataSubscriptions.TryGetValue(reqId, out contract))
{
_marketDataSubscriptions.Remove(reqId);
}
Server?.OnMarketDataCancel(this, reqId, contract);
MarketDataCancel?.Invoke(this, new TWSMarketDataCancelEventArgs(this, reqId, contract));
}
public TWSUpdatePortfolioEventArgs(TWSClient client, IBContract contract, int position,
double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, string accountName)
: base(client)
{
Contract = contract;
Position = position;
MarketPrice = marketPrice;
MarketValue = marketValue;
AverageCost = averageCost;
UnrealizedPnL = unrealizedPNL;
RealizedPnL = realizedPNL;
AccountName = accountName;
}
private void OnMarketDataRequest(int reqId, IBContract contract)
{
if (Server != null)
{
Server.OnMarketDataRequest(this, reqId, contract);
}
if (MarketDataRequest != null)
{
MarketDataRequest(this, new TWSMarketDataRequestEventArgs(this, reqId, contract));
}
_marketDataSubscriptions.Add(reqId, contract);
}
private void OnMarketDataCancel(int reqId)
{
IBContract contract = null;
if (_marketDataSubscriptions.TryGetValue(reqId, out contract))
{
_marketDataSubscriptions.Remove(reqId);
}
if (Server != null)
{
Server.OnMarketDataCancel(this, reqId, contract);
}
if (MarketDataCancel != null)
{
MarketDataCancel(this, new TWSMarketDataCancelEventArgs(this, reqId, contract));
}
}
public virtual void OnContractDetailsRequest(TWSServerClientHandler client, IBContract contract) {}
public TWSMarketDepthRequestEventArgs(TWSServerClientState clientState, int reqId, IBContract contract, int numRows)
: base(clientState, reqId, contract)
{
numRows = numRows;
}
public TWSMarketDataSnapshot(IBContract contract, int reqId)
{
Contract = contract;
RequestId = reqId;
}
public virtual void OnMarketDataRequest(TWSServerClientHandler client, int reqId, IBContract contract)
{
if (MarketDataRequest != null)
MarketDataRequest(this, new TWSMarketDataRequestEventArgs(client, reqId, contract));
}
protected void OnOpenOrder(int orderId, IBOrder order, IBContract contract, IBOrderState orderState)
{
if (OpenOrder != null)
OpenOrder(this, new TWSOpenOrderEventArgs(this) {
OrderId = orderId,
Order = order,
Contract = contract
});
if (OrderChanged != null) {
OrderRecord or;
if (_orderRecords.TryGetValue(orderId, out or))
{
OrderChanged(this, new TWSOrderChangedEventArgs(this, or) {
ChangeType = IBOrderChangeType.OpenOrder,
ReportedContract = contract,
OpenOrder = order,
OpenOrderState = orderState
});
}
}
}
protected void OnExecutionDetails(int orderId, IBContract contract, IBExecutionDetails execution)
{
if (ExecutionDetails != null)
ExecutionDetails(this, new TWSExecutionDetailsEventArgs(this) {
OrderId = orderId,
Contract = contract,
Execution = execution
});
if (OrderChanged != null) {
OrderRecord or;
if (_orderRecords.TryGetValue(orderId, out or)) {
OrderChanged(this, new TWSOrderChangedEventArgs(this, or) {
ChangeType = IBOrderChangeType.ExecutionDetails,
ReportedContract = contract,
ExecutionDetails = execution,
});
}
}
}
private void ProcessExecutionData()
{
var version = _enc.DecodeInt();
var reqId = -1;
if (version >= 7)
reqId = _enc.DecodeInt();
var orderId = _enc.DecodeInt();
var contract = new IBContract
{
ContractId = version >= 5 ? _enc.DecodeInt() : 0,
Symbol = _enc.DecodeString(),
SecurityType = _enc.DecodeEnum<IBSecurityType>(),
Expiry = DecodeIBExpiry(_enc),
Strike = _enc.DecodeDouble(),
Right = _enc.DecodeString()
};
if (version >= 9)
contract.Multiplier = _enc.DecodeString();
contract.Exchange = _enc.DecodeString();
contract.Currency = _enc.DecodeString();
contract.LocalSymbol = _enc.DecodeString();
var execution = new IBExecutionDetails {
OrderId = orderId,
ExecId = _enc.DecodeString(),
Time = _enc.DecodeString(),
AcctNumber = _enc.DecodeString(),
Exchange = _enc.DecodeString(),
Side = _enc.DecodeEnum<IBExecutionSide>(),
Shares = _enc.DecodeInt(),
Price = _enc.DecodeDouble(),
PermId = version >= 2 ? _enc.DecodeInt() : 0,
ClientId = version >= 3 ? _enc.DecodeInt() : 0,
Liquidation = version >= 4 ? _enc.DecodeInt() : 0,
CumQty = version >= 6 ? _enc.DecodeInt() : 0,
AveragePrice = version >= 6 ? _enc.DecodeDouble() : 0,
OrderRef = version >= 8 ? _enc.DecodeString() : null,
EvRule = version >= 9 ? _enc.DecodeString() : null,
EvMultiplier = version >= 9 ? _enc.DecodeDouble() : 0
};
OnExecutionDetails(reqId, contract, execution);
}
public virtual void OnMarketDataRequest(TWSServerClientHandler client, int reqId, IBContract contract)
{
MarketDataRequest?.Invoke(this, new TWSMarketDataRequestEventArgs(client, reqId, contract));
}
public virtual void OnContractDetailsRequest(TWSServerClientState client, IBContract contract)
{
}
public virtual void OnMarketDepthRequest(TWSServerClientState clientState, int reqId, IBContract contract, int numRows)
{
if (MarketDepthRequest != null)
{
MarketDepthRequest(this, new TWSMarketDepthRequestEventArgs(clientState, reqId, contract, numRows));
}
}
public virtual void OnMarketDepthCancel(TWSServerClientState client, int reqId, IBContract contract)
{
if (MarketDataCancel != null)
{
MarketDataCancel(this, new TWSMarketDataCancelEventArgs(client, reqId, contract));
}
}
public virtual void OnMarketDataRequest(TWSServerClientState client, int reqId, IBContract contract)
{
if (MarketDataRequest != null)
{
MarketDataRequest(this, new TWSMarketDataRequestEventArgs(client, reqId, contract));
}
}
void OnMarketDepthRequest(int reqId, IBContract contract, int numRows)
{
Server?.OnMarketDepthRequest(this, reqId, contract, numRows);
MarketDepthRequest?.Invoke(this, new TWSMarketDepthRequestEventArgs(this, reqId, contract, numRows));
}
public TWSClientErrorEventArgs(TWSClient client, int tickerId, IBContract contract, TWSError error) : base(client)
{
RequestId = tickerId;
Error = error;
Contract = contract;
}
/// <summary>
/// Places an order for the requested contract through TWS
/// </summary>
/// <param name="contract">The contract.</param>
/// <param name="order">The order.</param>
/// <returns>the order id of the newly generated order</returns>
/// <exception cref="Daemaged.IBNet.Client.NotConnectedException"></exception>
public virtual int PlaceOrder(IBContract contract, IBOrder order)
{
lock (_socketLock) {
if (!IsConnected)
throw new NotConnectedException();
CheckServerCompatability(contract, order);
var orderId = NextValidId;
var reqVersion = ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_NOT_HELD ? 27 : 39;
try {
_enc.Encode(ServerMessage.PlaceOrder);
_enc.Encode(reqVersion);
_enc.Encode(orderId);
// send contract fields
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_PLACE_ORDER_CONID)
_enc.Encode(contract.ContractId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
if (ServerInfo.Version >= 15)
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
if (ServerInfo.Version >= 14)
_enc.Encode(contract.PrimaryExchange);
_enc.Encode(contract.Currency);
if (ServerInfo.Version >= 2)
_enc.Encode(contract.LocalSymbol);
if (ServerInfo.Version > TWSServerInfo.MIN_SERVER_VER_SEC_ID_TYPE) {
_enc.Encode(contract.SecurityIdType);
_enc.Encode(contract.SecurityId);
}
_enc.Encode(order.Action);
_enc.Encode(order.TotalQuantity);
_enc.Encode(order.OrderType);
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE)
_enc.Encode(order.LimitPrice == Double.MaxValue ? 0 : order.LimitPrice);
else
_enc.EncodeMax(order.LimitPrice);
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_TRAILING_PERCENT)
_enc.Encode(order.AuxPrice == Double.MaxValue ? 0 : order.AuxPrice);
else
_enc.EncodeMax(order.AuxPrice);
_enc.Encode(order.Tif);
_enc.Encode(order.OcaGroup);
_enc.Encode(order.Account);
_enc.Encode(order.OpenClose);
_enc.Encode(order.Origin);
_enc.Encode(order.OrderRef);
_enc.Encode(order.Transmit);
if (ServerInfo.Version >= 4)
_enc.Encode(order.ParentId);
if (ServerInfo.Version >= 5) {
_enc.Encode(order.BlockOrder);
_enc.Encode(order.SweepToFill);
_enc.Encode(order.DisplaySize);
_enc.Encode(order.TriggerMethod);
if (ServerInfo.Version < 38)
_enc.Encode(false); // Deprecated order.IgnoreRth
else
_enc.Encode(order.OutsideRth);
}
if (ServerInfo.Version >= 7)
_enc.Encode(order.Hidden);
if ((ServerInfo.Version >= 8) && (contract.SecurityType == IBSecurityType.Bag)) {
_enc.Encode(contract.ComboLegs.Count);
foreach (var leg in contract.ComboLegs) {
_enc.Encode(leg.ContractId);
_enc.Encode(leg.Ratio);
_enc.Encode(leg.Action);
_enc.Encode(leg.Exchange);
_enc.Encode(leg.OpenClose);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SSHORT_COMBO_LEGS) {
_enc.Encode(leg.ShortSaleSlot);
_enc.Encode(leg.DesignatedLocation);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SSHORTX_OLD)
_enc.Encode(leg.ExemptCode);
}
}
// Send order combo legs for BAG requests
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE && contract.SecurityType == IBSecurityType.Bag) {
if (order.OrderComboLegs == null)
_enc.Encode(0);
else {
_enc.Encode(order.OrderComboLegs.Count);
foreach (var l in order.OrderComboLegs)
_enc.EncodeMax(l.Price);
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SMART_COMBO_ROUTING_PARAMS && contract.SecurityType == IBSecurityType.Bag) {
if (order.SmartComboRoutingParams == null || order.SmartComboRoutingParams.Count == 0)
_enc.Encode(0);
else {
_enc.Encode(order.SmartComboRoutingParams.Count);
foreach (var tv in order.SmartComboRoutingParams) {
_enc.Encode(tv.Tag);
_enc.Encode(tv.Value);
}
}
}
if (ServerInfo.Version >= 9)
_enc.Encode(String.Empty); // Deprecated order.SharesAllocation
if (ServerInfo.Version >= 10)
_enc.Encode(order.DiscretionaryAmt);
if (ServerInfo.Version >= 11)
_enc.Encode(order.GoodAfterTime);
if (ServerInfo.Version >= 12)
_enc.Encode(order.GoodTillDate);
if (ServerInfo.Version >= 13) {
_enc.Encode(order.FaGroup);
_enc.Encode(order.FaMethod);
_enc.Encode(order.FaPercentage);
_enc.Encode(order.FaProfile);
}
if (ServerInfo.Version >= 18) {
_enc.Encode(order.ShortSaleSlot);
_enc.Encode(order.DesignatedLocation);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SSHORTX_OLD)
_enc.Encode(order.ExemptCode);
if (ServerInfo.Version >= 19) {
_enc.Encode(order.OcaType);
if (ServerInfo.Version < 38)
_enc.Encode(false); // Deprecated order.m_rthOnly
_enc.Encode(order.Rule80A);
_enc.Encode(order.SettlingFirm);
_enc.Encode(order.AllOrNone);
_enc.EncodeMax(order.MinQty);
_enc.EncodeMax(order.PercentOffset);
_enc.Encode(order.ETradeOnly);
_enc.Encode(order.FirmQuoteOnly);
_enc.EncodeMax(order.NbboPriceCap);
_enc.EncodeMax(order.AuctionStrategy);
_enc.EncodeMax(order.StartingPrice);
_enc.EncodeMax(order.StockRefPrice);
_enc.EncodeMax(order.Delta);
var stockRangeLower = ((ServerInfo.Version == 26) && (order.OrderType == IBOrderType.Volatility))
? Double.MaxValue
: order.StockRangeLower;
var stockRangeUpper = ((ServerInfo.Version == 26) && (order.OrderType == IBOrderType.Volatility))
? Double.MaxValue
: order.StockRangeUpper;
_enc.EncodeMax(stockRangeLower);
_enc.EncodeMax(stockRangeUpper);
if (ServerInfo.Version >= 22) {
_enc.Encode(order.OverridePercentageConstraints);
}
if (ServerInfo.Version >= 26) {
_enc.EncodeMax(order.Volatility);
_enc.Encode(order.VolatilityType);
if (ServerInfo.Version < 28) {
_enc.Encode(order.DeltaNeutralOrderType == IBOrderType.Market);
}
else {
_enc.Encode(order.DeltaNeutralOrderType);
_enc.EncodeMax(order.DeltaNeutralAuxPrice);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_CONID && order.DeltaNeutralOrderType != IBOrderType.Empty) {
_enc.Encode(order.DeltaNeutralContractId);
_enc.Encode(order.DeltaNeutralSettlingFirm);
_enc.Encode(order.DeltaNeutralClearingAccount);
_enc.Encode(order.DeltaNeutralClearingIntent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_OPEN_CLOSE && order.DeltaNeutralOrderType != IBOrderType.Empty) {
_enc.Encode(order.DeltaNeutralOpenClose);
_enc.Encode(order.DeltaNeutralShortSale);
_enc.Encode(order.DeltaNeutralShortSaleSlot);
_enc.Encode(order.DeltaNeutralDesignatedLocation);
}
}
_enc.Encode(order.ContinuousUpdate);
if (ServerInfo.Version == 26) {
if (order.OrderType == IBOrderType.Volatility) {
_enc.EncodeMax(order.StockRangeLower);
_enc.EncodeMax(order.StockRangeUpper);
}
else {
_enc.EncodeMax(Double.MaxValue);
_enc.EncodeMax(Double.MaxValue);
}
}
_enc.EncodeMax(order.ReferencePriceType);
}
}
if (ServerInfo.Version >= 30) { // TRAIL_STOP_LIMIT stop price
_enc.EncodeMax( order.TrailStopPrice);
}
if( ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_TRAILING_PERCENT){
_enc.EncodeMax( order.TrailingPercent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS) {
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS2) {
_enc.EncodeMax(order.ScaleInitLevelSize);
_enc.EncodeMax(order.ScaleSubsLevelSize);
}
else {
_enc.Encode("");
_enc.EncodeMax(order.ScaleInitLevelSize);
}
_enc.EncodeMax(order.ScalePriceIncrement);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS3 && order.ScalePriceIncrement > 0.0 && order.ScalePriceIncrement != Double.MaxValue) {
_enc.EncodeMax(order.ScalePriceAdjustValue);
_enc.EncodeMax(order.ScalePriceAdjustInterval);
_enc.EncodeMax(order.ScaleProfitOffset);
_enc.Encode(order.ScaleAutoReset);
_enc.EncodeMax(order.ScaleInitPosition);
_enc.EncodeMax(order.ScaleInitFillQty);
_enc.Encode(order.ScaleRandomPercent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_HEDGE_ORDERS) {
_enc.Encode(order.HedgeType);
if (!String.IsNullOrEmpty(order.HedgeType)) {
_enc.Encode(order.HedgeParam);
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_OPT_OUT_SMART_ROUTING) {
_enc.Encode(order.OptOutSmartRouting);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_PTA_ORDERS) {
_enc.Encode(order.ClearingAccount);
_enc.Encode(order.ClearingIntent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_NOT_HELD)
_enc.Encode(order.NotHeld);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_UNDER_COMP) {
if (contract.UnderlyingComponent != null) {
var uc = contract.UnderlyingComponent;
_enc.Encode( true);
_enc.Encode(uc.ContractId);
_enc.Encode(uc.Delta);
_enc.Encode(uc.Price);
}
else {
_enc.Encode(false);
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_ALGO_ORDERS) {
_enc.Encode( order.AlgoStrategy ?? String.Empty);
if (!String.IsNullOrEmpty(order.AlgoStrategy)) {
if (order.AlgoParams == null || order.AlgoParams.Count == 0)
_enc.Encode(0);
else {
_enc.Encode(order.AlgoParams.Count);
foreach (var tv in order.AlgoParams) {
_enc.Encode(tv.Tag);
_enc.Encode(tv.Value);
}
}
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_WHAT_IF_ORDERS)
_enc.Encode(order.WhatIf);
}
catch (Exception) {
Disconnect();
throw;
}
order.OrderId = orderId;
_orderRecords.Add(orderId, new OrderRecord {
OrderId = orderId,
Order = order,
Contract = contract,
});
return orderId;
}
}
public virtual void OnMarketDepthRequest(TWSServerClientHandler clientState, int reqId, IBContract contract,
int numRows)
{
MarketDepthRequest?.Invoke(this, new TWSMarketDepthRequestEventArgs(clientState, reqId, contract, numRows));
}
private void CheckServerCompatability(IBContract contract, IBOrder order)
{
//Scale Orders Minimum Version is 35
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS)
if (order.ScaleInitLevelSize != Int32.MaxValue || order.ScalePriceIncrement != Double.MaxValue)
throw new TWSOutdatedException();
//Minimum Sell Short Combo Leg Order is 35
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SSHORT_COMBO_LEGS)
if (contract.ComboLegs.Count != 0)
if (contract.ComboLegs.Any(t => t.ShortSaleSlot != 0 || (!string.IsNullOrEmpty(t.DesignatedLocation))))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_WHAT_IF_ORDERS)
if (order.WhatIf)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_UNDER_COMP)
if (contract.UnderlyingComponent != null)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS2)
if (order.ScaleSubsLevelSize != Int32.MaxValue)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_ALGO_ORDERS)
if (!string.IsNullOrEmpty(order.AlgoStrategy))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_NOT_HELD)
if (order.NotHeld)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SEC_ID_TYPE)
if (contract.SecurityIdType != IBSecurityIdType.None || !string.IsNullOrEmpty(contract.SecurityId))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_PLACE_ORDER_CONID)
if (contract.ContractId > 0)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SSHORTX)
if (order.ExemptCode != -1)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SSHORTX)
if (contract.ComboLegs.Count > 0)
if (contract.ComboLegs.Any(comboLeg => comboLeg.ExemptCode != -1))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_HEDGE_ORDERS)
if (!String.IsNullOrEmpty(order.HedgeType))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_OPT_OUT_SMART_ROUTING)
if (order.OptOutSmartRouting)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_CONID)
if (order.DeltaNeutralContractId > 0 ||
!String.IsNullOrEmpty(order.DeltaNeutralSettlingFirm) ||
!String.IsNullOrEmpty(order.DeltaNeutralClearingAccount) ||
!String.IsNullOrEmpty(order.DeltaNeutralClearingIntent))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_OPEN_CLOSE)
if (!String.IsNullOrEmpty(order.DeltaNeutralOpenClose) ||
order.DeltaNeutralShortSale || order.DeltaNeutralShortSaleSlot > 0 || !String.IsNullOrEmpty(order.DeltaNeutralDesignatedLocation))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS3)
if (order.ScalePriceIncrement > 0 && order.ScalePriceIncrement != Double.MaxValue)
if (order.ScalePriceAdjustValue != Double.MaxValue ||
order.ScalePriceAdjustInterval != Int32.MaxValue ||
order.ScaleProfitOffset != Double.MaxValue ||
order.ScaleAutoReset ||
order.ScaleInitPosition != Int32.MaxValue ||
order.ScaleInitFillQty != Int32.MaxValue ||
order.ScaleRandomPercent)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE && contract.SecurityType == IBSecurityType.Bag)
if (order.OrderComboLegs.Any(c => c.Price != Double.MaxValue))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_TRAILING_PERCENT)
if (order.TrailingPercent != Double.MaxValue)
throw new TWSOutdatedException();
}
private void DumpContract(IBContract c)
{
Debug.WriteLine(String.Format("{0} {1} {2} {3} {4} {5} {6}", c.Symbol, c.SecurityType, c.Expiry, c.Strike, c.Right,
c.Exchange, c.Currency));
}
public virtual void ExerciseOptions(int reqId,
IBContract contract,
int exerciseAction,
int exerciseQuantity,
string account,
int overrideOrder)
{
lock (_socketLock) {
// not connected?
if (!IsConnected)
throw new NotConnectedException();
const int reqVersion = 1;
try {
if (ServerInfo.Version < 21) {
OnError(TWSErrors.UPDATE_TWS);
return;
}
_enc.Encode(ServerMessage.ExerciseOptions);
_enc.Encode(reqVersion);
_enc.Encode(reqId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
_enc.Encode(contract.Currency);
_enc.Encode(contract.LocalSymbol);
_enc.Encode(exerciseAction);
_enc.Encode(exerciseQuantity);
_enc.Encode(account);
_enc.Encode(overrideOrder);
} catch (Exception) {
Disconnect();
throw;
}
}
}
protected void OnUpdatePortfolio(IBContract contract, int position, double marketPrice, double marketValue,
double averageCost, double unrealizedPNL, double realizedPNL, string accountName)
{
if (UpdatePortfolio != null)
UpdatePortfolio(this, new TWSUpdatePortfolioEventArgs(this) {
Contract = contract,
Position = position,
MarketPrice = marketPrice,
MarketValue = marketValue,
AverageCost = averageCost,
UnrealizedPnL = unrealizedPNL,
RealizedPnL = realizedPNL,
AccountName = accountName,
});
}
public TWSMarketDataCancelEventArgs(TWSServerClientHandler clientState, int reqId, IBContract contract)
: base(clientState)
{
Contract = contract;
ReqId = reqId;
}
public async Task<IList<IBContractDetails>> GetContractDetailsAsync(IBContract c)
{
var id = -1;
var results = new List<IBContractDetails>();
var completed = new ProgressiveTaskCompletionSource<List<IBContractDetails>> {Value = results};
id = NextValidId;
_asyncCalls.Add(id, completed);
RequestContractDetails(c, id);
await completed.Task;
_asyncCalls.Remove(id);
return results;
}
private void ProcessMarketDepthRequest()
{
try {
int reqVersion = _enc.DecodeInt();
int reqId = _enc.DecodeInt();
int numRows = 0;
var contract = new IBContract {
Symbol = _enc.DecodeString(),
SecurityType = _enc.DecodeEnum<IBSecurityType>(),
Expiry = _enc.DecodeExpiryDate(),
Strike = _enc.DecodeDouble(),
Right = _enc.DecodeString()
};
if (ServerInfo.Version >= 15)
contract.Multiplier = _enc.DecodeString();
contract.Exchange = _enc.DecodeString();
contract.Currency = _enc.DecodeString();
contract.LocalSymbol = _enc.DecodeString();
if (ServerInfo.Version >= 19)
numRows = _enc.DecodeInt();
OnMarketDepthRequest(reqId, contract, numRows);
}
catch (Exception e) {
OnError(TWSErrors.FAIL_SEND_REQMKTDEPTH);
OnError(e.Message);
Disconnect();
}
}
private void ProcessMarketDataRequest()
{
int reqId = -1;
try {
int reqVersion = _enc.DecodeInt();
reqId = _enc.DecodeInt();
var contract = new IBContract {
Symbol = _enc.DecodeString(),
SecurityType = _enc.DecodeEnum <IBSecurityType>(),
Expiry = _enc.DecodeExpiryDate(),
Strike = _enc.DecodeDouble(),
Right = _enc.DecodeString()
};
if (ServerInfo.Version >= 15)
{
contract.Multiplier = _enc.DecodeString();
}
contract.Exchange = _enc.DecodeString();
if (ServerInfo.Version >= 14)
{
contract.PrimaryExchange = _enc.DecodeString();
}
contract.Currency = _enc.DecodeString();
if (ServerInfo.Version >= 2)
{
contract.LocalSymbol = _enc.DecodeString();
}
if (ServerInfo.Version >= 8 && (contract.SecurityType == IBSecurityType.Bag))
{
int comboLegCount = _enc.DecodeInt();
for (int i = 0; i < comboLegCount; i++)
{
var leg = new IBComboLeg {
ContractId = _enc.DecodeInt(),
Ratio = _enc.DecodeInt(),
Action = _enc.DecodeEnum <IBAction>(),
Exchange = _enc.DecodeString()
};
contract.ComboLegs.Add(leg);
}
}
if (ServerInfo.Version >= 31)
{
string genericTickList = _enc.DecodeString();
if (!string.IsNullOrEmpty(genericTickList))
{
var list = new List <IBGenericTickType>();
foreach (string s in genericTickList.Split(','))
{
list.Add((IBGenericTickType)Enum.Parse(typeof(IBGenericTickType), s));
}
}
}
OnMarketDataRequest(reqId, contract);
}
catch (Exception e) {
OnError(reqId, TWSErrors.FAIL_SEND_REQMKT);
OnError(e.Message);
Disconnect();
}
}
private void ProcessContractDataRequest()
{
try {
// send req mkt data msg
int reqVersion = _enc.DecodeInt();
var contract = new IBContract {
Symbol = _enc.DecodeString(),
SecurityType = _enc.DecodeEnum<IBSecurityType>(),
Expiry = _enc.DecodeExpiryDate(),
Strike = _enc.DecodeDouble(),
Right = _enc.DecodeString()
};
if (ServerInfo.Version >= 15) {
contract.Multiplier = _enc.DecodeString();
}
contract.Exchange = _enc.DecodeString();
contract.Currency = _enc.DecodeString();
contract.LocalSymbol = _enc.DecodeString();
if (ServerInfo.Version >= 31) {
contract.IncludeExpired = _enc.DecodeBool();
}
OnContractDataRequest(contract);
}
catch (Exception e) {
OnError(TWSErrors.FAIL_SEND_REQCONTRACT);
OnError(e.Message);
Disconnect();
}
}
public virtual void OnMarketDepthCancel(TWSServerClientHandler client, int reqId, IBContract contract)
{
if (MarketDataCancel != null)
MarketDataCancel(this, new TWSMarketDataCancelEventArgs(client, reqId, contract));
}
private void OnMarketDataRequest(int reqId, IBContract contract)
{
if (Server != null)
Server.OnMarketDataRequest(this, reqId, contract);
if (MarketDataRequest != null)
MarketDataRequest(this, new TWSMarketDataRequestEventArgs(this, reqId, contract));
_marketDataSubscriptions.Add(reqId, contract);
}
public virtual void OnMarketDepthRequest(TWSServerClientHandler clientState, int reqId, IBContract contract,
int numRows)
{
if (MarketDepthRequest != null)
MarketDepthRequest(this, new TWSMarketDepthRequestEventArgs(clientState, reqId, contract, numRows));
}
public TWSMarketDepthRequestEventArgs(TWSServerClientHandler clientState, int reqId, IBContract contract,
int numRows)
: base(clientState, reqId, contract)
{
numRows = numRows;
}
public TWSMarketDataRequestEventArgs(TWSServerClientState clientState, int reqId, IBContract contract)
: base(clientState)
{
Contract = contract;
ReqId = reqId;
}
public virtual void RequestRealTimeBars(int reqId, IBContract contract,
int barSize, string whatToShow, bool useRTH)
{
lock (_socketLock) {
// not connected?
if (!IsConnected)
throw new NotConnectedException();
if (ServerInfo.Version < 34)
throw new TWSOutdatedException();
const int reqVersion = 1;
try {
// send req mkt data msg
_enc.Encode(ServerMessage.RequestRealTimeBars);
_enc.Encode(reqVersion);
_enc.Encode(reqId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
_enc.Encode(contract.PrimaryExchange);
_enc.Encode(contract.Currency);
_enc.Encode(contract.LocalSymbol);
_enc.Encode(barSize);
_enc.Encode(whatToShow);
_enc.Encode(useRTH);
} catch (Exception e) {
Disconnect();
throw;
}
}
}
private void ProcessMarketDataRequest()
{
int reqId = -1;
try {
int reqVersion = _enc.DecodeInt();
reqId = _enc.DecodeInt();
var contract = new IBContract();
contract.Symbol = _enc.DecodeString();
contract.SecType = _enc.DecodeSecType();
contract.Expiry = _enc.DecodeExpiryDate();
contract.Strike = _enc.DecodeDouble();
contract.Right = _enc.DecodeString();
if (ServerInfo.Version >= 15)
{
contract.Multiplier = _enc.DecodeInt();
}
contract.Exchange = _enc.DecodeString();
if (ServerInfo.Version >= 14)
{
contract.PrimaryExch = _enc.DecodeString();
}
contract.Currency = _enc.DecodeString();
if (ServerInfo.Version >= 2)
{
contract.LocalSymbol = _enc.DecodeString();
}
if (ServerInfo.Version >= 8 && (contract.SecType == IBSecType.BAG))
{
int comboLegCount = _enc.DecodeInt();
for (var i = 0; i < comboLegCount; i++)
{
IBComboLeg leg = new IBComboLeg();
leg.ConId = _enc.DecodeInt();
leg.Ratio = _enc.DecodeInt();
leg.Action = _enc.DecodeAction();
leg.Exchange = _enc.DecodeString();
contract.ComboLegs.Add(leg);
}
}
if (ServerInfo.Version >= 31)
{
string genericTickList = _enc.DecodeString();
if (genericTickList != null && genericTickList.Length > 0)
{
var list = new List <IBGenericTickType>();
foreach (var s in genericTickList.Split(','))
{
list.Add((IBGenericTickType)Enum.Parse(typeof(IBGenericTickType), s));
}
}
}
OnMarketDataRequest(reqId, contract);
}
catch (Exception e) {
OnError(reqId, TWSErrors.FAIL_SEND_REQMKT);
OnError(e.Message);
Disconnect();
}
}
public virtual int RequestMarketDepth(IBContract contract, int numRows)
{
lock (_socketLock) {
if (!IsConnected)
throw new NotConnectedException();
if (ServerInfo.Version < 6)
throw new TWSOutdatedException();
const int reqVersion = 3;
var reqId = NextValidId;
try {
_enc.Encode(ServerMessage.RequestMarketDepth);
_enc.Encode(reqVersion);
_enc.Encode(reqId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
if (ServerInfo.Version >= 15)
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
_enc.Encode(contract.Currency);
_enc.Encode(contract.LocalSymbol);
if (ServerInfo.Version >= 19)
_enc.Encode(numRows);
}
catch (Exception) {
Disconnect();
throw;
}
return reqId;
}
}
public virtual void OnMarketDepthCancel(TWSServerClientHandler client, int reqId, IBContract contract)
{
MarketDataCancel?.Invoke(this, new TWSMarketDataCancelEventArgs(client, reqId, contract));
}
/// <summary>
/// Request Full Contract Details for the specified partial contract through the <see cref="ContractDetails"/> event
/// </summary>
/// <param name="contract">The partial contract details</param>
/// <param name="requestId">Optional request id</param>
/// <returns>the request id</returns>
/// <exception cref="NotConnectedException"></exception>
/// <exception cref="TWSOutdatedException"></exception>
public virtual int RequestContractDetails(IBContract contract, int requestId = 0)
{
lock (_socketLock) {
// not connected?
if (!IsConnected)
throw new NotConnectedException();
// This feature is only available for versions of TWS >=4
if (ServerInfo.Version < 4)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SEC_ID_TYPE)
if (contract.SecurityIdType != IBSecurityIdType.None || !String.IsNullOrEmpty(contract.SecurityId))
throw new TWSOutdatedException();
const int reqVersion = 6;
try {
// send req mkt data msg
_enc.Encode(ServerMessage.RequestContractData);
_enc.Encode(reqVersion);
if (requestId == 0)
requestId = NextValidId;
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_CONTRACT_DATA_CHAIN) {
_enc.Encode(requestId);
}
// send contract fields
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_CONTRACT_CONID)
_enc.Encode(contract.ContractId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
if (ServerInfo.Version >= 15) {
_enc.Encode(contract.Multiplier);
}
_enc.Encode(contract.Exchange);
_enc.Encode(contract.Currency);
_enc.Encode(contract.LocalSymbol);
if (ServerInfo.Version >= 31)
_enc.Encode(contract.IncludeExpired);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SEC_ID_TYPE) {
_enc.Encode(contract.SecurityIdType);
_enc.Encode(contract.SecurityId);
}
return requestId;
} catch (Exception) {
Disconnect();
throw;
}
}
}
public virtual int RequestHistoricalData(IBContract contract, string endDateTime,
string durationStr, int barSizeSetting,
string whatToShow, int useRTH, int formatDate)
{
lock (_socketLock) {
// not connected?
if (!IsConnected)
throw new NotConnectedException();
const int reqVersion = 4;
var requestId = NextValidId;
try {
if (ServerInfo.Version < 16)
throw new TWSOutdatedException();
_enc.Encode(ServerMessage.RequestHistoricalData);
_enc.Encode(reqVersion);
_enc.Encode(requestId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
_enc.Encode(contract.PrimaryExchange);
_enc.Encode(contract.Currency);
_enc.Encode(contract.LocalSymbol);
if (ServerInfo.Version >= 31)
_enc.Encode(contract.IncludeExpired ? 1 : 0);
if (ServerInfo.Version >= 20) {
_enc.Encode(endDateTime);
_enc.Encode(barSizeSetting);
}
_enc.Encode(durationStr);
_enc.Encode(useRTH);
_enc.Encode(whatToShow);
if (ServerInfo.Version > 16) {
_enc.Encode(formatDate);
}
if (IBSecurityType.Bag == contract.SecurityType) {
if (contract.ComboLegs == null || contract.ComboLegs.Count == 0)
_enc.Encode(0);
else {
_enc.Encode(contract.ComboLegs.Count);
foreach (var comboLeg in contract.ComboLegs) {
_enc.Encode(comboLeg.ContractId);
_enc.Encode(comboLeg.Ratio);
_enc.Encode(comboLeg.Action);
_enc.Encode(comboLeg.Exchange);
}
}
}
}
catch (Exception) {
Disconnect();
throw;
}
return requestId;
}
}
void OnContractDataRequest(IBContract contract)
{
Server?.OnContractDetailsRequest(this, contract);
}
public TWSMarketDataSnapshot(IBContract contract)
{
Contract = contract;
}
public async Task<int> RequestMarketDataAsync(IBContract contract, IList<IBGenericTickType> tickList = null, bool snapshot = false)
{
var completion = new ProgressiveTaskCompletionSource<object>();
var id = NextValidId;
_asyncCalls.Add(id, completion);
RequestMarketData(contract, tickList, snapshot, id);
int timeout = 1000;
if (await Task.WhenAny(completion.Task, Task.Delay(timeout)) == completion.Task) {
if (completion.Task.IsFaulted)
throw completion.Task.Exception;
}
// We might be here because there was no market-data or error within the timeout
// At any rate, we consider this to be a success
// IB is shit, this is the best we can do
_asyncCalls.Remove(id);
return id;
}
private void ProcessMarketDataRequest()
{
int reqId = -1;
try {
int reqVersion = _enc.DecodeInt();
reqId = _enc.DecodeInt();
var contract = new IBContract {
Symbol = _enc.DecodeString(),
SecurityType = _enc.DecodeEnum<IBSecurityType>(),
Expiry = _enc.DecodeExpiryDate(),
Strike = _enc.DecodeDouble(),
Right = _enc.DecodeString()
};
if (ServerInfo.Version >= 15)
contract.Multiplier = _enc.DecodeString();
contract.Exchange = _enc.DecodeString();
if (ServerInfo.Version >= 14)
contract.PrimaryExchange = _enc.DecodeString();
contract.Currency = _enc.DecodeString();
if (ServerInfo.Version >= 2)
contract.LocalSymbol = _enc.DecodeString();
if (ServerInfo.Version >= 8 && (contract.SecurityType == IBSecurityType.Bag)) {
int comboLegCount = _enc.DecodeInt();
for (int i = 0; i < comboLegCount; i++) {
var leg = new IBComboLeg {
ContractId = _enc.DecodeInt(),
Ratio = _enc.DecodeInt(),
Action = _enc.DecodeEnum<IBAction>(),
Exchange = _enc.DecodeString()
};
contract.ComboLegs.Add(leg);
}
}
if (ServerInfo.Version >= 31) {
string genericTickList = _enc.DecodeString();
if (!string.IsNullOrEmpty(genericTickList)) {
var list = new List<IBGenericTickType>();
foreach (string s in genericTickList.Split(','))
list.Add((IBGenericTickType) Enum.Parse(typeof (IBGenericTickType), s));
}
}
OnMarketDataRequest(reqId, contract);
}
catch (Exception e) {
OnError(reqId, TWSErrors.FAIL_SEND_REQMKT);
OnError(e.Message);
Disconnect();
}
}
public virtual int RequestMarketData(IBContract contract, IList<IBGenericTickType> genericTickList = null, bool snapshot = false, int reqId = 0)
{
lock (_socketLock) {
if (!IsConnected)
throw new NotConnectedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SNAPSHOT_MKT_DATA && snapshot)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_UNDER_COMP)
if (contract.UnderlyingComponent != null)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_REQ_MKT_DATA_CONID)
if (contract.ContractId > 0)
throw new TWSOutdatedException();
const int reqVersion = 9;
if (reqId == 0)
reqId = NextValidId;
try {
_enc.Encode(ServerMessage.RequestMarketData);
_enc.Encode(reqVersion);
_enc.Encode(reqId);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_REQ_MKT_DATA_CONID)
_enc.Encode(contract.ContractId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
if (ServerInfo.Version >= 15)
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
if (ServerInfo.Version >= 14)
_enc.Encode(contract.PrimaryExchange);
_enc.Encode(contract.Currency);
if (ServerInfo.Version >= 2)
_enc.Encode(contract.LocalSymbol);
if (ServerInfo.Version >= 8 && (contract.SecurityType == IBSecurityType.Bag)) {
if (contract.ComboLegs == null || contract.ComboLegs.Count == 0)
_enc.Encode(0);
else {
_enc.Encode(contract.ComboLegs.Count);
foreach (var leg in contract.ComboLegs) {
_enc.Encode(leg.ContractId);
_enc.Encode(leg.Ratio);
_enc.Encode(leg.Action);
_enc.Encode(leg.Exchange);
}
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_UNDER_COMP)
{
if (contract.UnderlyingComponent != null) {
_enc.Encode(true);
_enc.Encode(contract.UnderlyingComponent.ContractId);
_enc.Encode(contract.UnderlyingComponent.Delta);
_enc.Encode(contract.UnderlyingComponent.Price);
}
else
_enc.Encode(false);
}
if (ServerInfo.Version >= 31) {
var sb = new StringBuilder();
if (genericTickList != null) {
foreach (var tick in genericTickList)
sb.Append((int) tick).Append(',');
sb.Remove(sb.Length - 2, 1);
}
_enc.Encode(sb.ToString());
}
// If we got to here without choking on something
// we update the request registry
_marketDataRecords.Add(reqId, new TWSMarketDataSnapshot(contract, reqId));
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SNAPSHOT_MKT_DATA)
_enc.Encode(snapshot);
_enc.Flush();
return reqId;
}
catch (Exception e) {
Disconnect();
throw;
}
}
}
private void OnContractDataRequest(IBContract contract)
{
if (Server != null)
Server.OnContractDetailsRequest(this, contract);
}
public void RequestFundamentalData(int reqId, IBContract contract, String reportType)
{
lock (_socketLock) {
if (!IsConnected)
throw new NotConnectedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_FUNDAMENTAL_DATA)
throw new TWSOutdatedException();
const int VERSION = 1;
try {
// send req fund data msg
_enc.Encode(ServerMessage.RequestFundamentalData);
_enc.Encode(VERSION);
_enc.Encode(reqId);
// send contract fields
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Exchange);
_enc.Encode(contract.PrimaryExchange);
_enc.Encode(contract.Currency);
_enc.Encode(contract.LocalSymbol);
_enc.Encode(reportType);
} catch (Exception) {
Disconnect();
throw;
}
}
}
private void OnMarketDepthRequest(int reqId, IBContract contract, int numRows)
{
if (Server != null)
Server.OnMarketDepthRequest(this, reqId, contract, numRows);
if (MarketDepthRequest != null)
MarketDepthRequest(this, new TWSMarketDepthRequestEventArgs(this, reqId, contract, numRows));
}
public void CalculateOptionPrice(int reqId, IBContract contract, double volatility, double underPrice)
{
lock (_socketLock) {
if (!IsConnected)
throw new NotConnectedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_REQ_CALC_OPTION_PRICE)
throw new TWSOutdatedException();
const int reqVersion = 1;
try {
// send calculate option price msg
_enc.Encode(ServerMessage.RequestCalcOptionPrice);
_enc.Encode(reqVersion);
_enc.Encode(reqId);
// send contract fields
_enc.Encode(contract.ContractId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
_enc.Encode(contract.PrimaryExchange);
_enc.Encode(contract.Currency);
_enc.Encode(contract.LocalSymbol);
_enc.Encode(volatility);
_enc.Encode(underPrice);
} catch (Exception) {
Disconnect();
throw;
}
}
}