public TWSTickGenericEventArgs(TWSClient client, int requestId, IBTickType tickType, double value)
: base(client)
{
RequestId = requestId;
TickType = tickType;
Value = value;
}
public TWSTickStringEventArgs(TWSClient client, int requestId, IBTickType tickType, string value)
: base(client)
{
RequestId = requestId;
TickType = tickType;
Value = value;
}
public TWSMarketDataEventArgs(TWSClient client,
TWSMarketDataSnapshot snapshot, IBTickType tickType)
: base(client)
{
TickType = tickType;
Snapshot = snapshot;
}
void TickSizeHandler(TickSizeMessage message)
{
int contractId = message.RequestId;
IBTickType type = (IBTickType)message.Field;
dynamic size = message.Size;
//Debug.WriteLine("ZEUS - TickSizeHandler: " + contractId + ", " + type + ", " + size);
Market currentMarket = Contracts[contractId].Item2;
currentMarket.Timestamp = Now;
bool send = false;
if (type == IBTickType.BidSize)
{
currentMarket.BidSize = size;
send = true;
}
else if (type == IBTickType.AskSize)
{
currentMarket.AskSize = size;
send = true;
}
if (send)
{
Ether.Send(currentMarket);
}
}
public TWSTickPriceEventArgs(TWSClient client, int requestId, IBTickType tickType,
double price, int size, int canAutoExecute)
: base(client)
{
RequestId = requestId;
TickType = tickType;
Price = price;
Size = size;
CanAutoExecute = canAutoExecute;
}
public TWSTickOptionComputationEventArgs(TWSClient client, int reqId, IBTickType tickType,
double impliedVol, double delta, double modelPrice, double pvDividend)
: base(client)
{
RequestId = reqId;
TickType = tickType;
ImpliedVol = impliedVol;
Delta = delta;
ModelPrice = modelPrice;
PVDividend = pvDividend;
}
public void HandleMarketDataChange(int reqId, IBTickType tickType, double price, int size, int canAutoExecute)
{
// TODO: Don't forget to lock the socket
_enc.Encode(ClientMessage.TickPrice);
_enc.Encode(TWSServer.PROTOCOL_VERSION);
_enc.Encode(reqId);
_enc.Encode((int)tickType);
_enc.Encode(price);
_enc.Encode(size);
_enc.Encode(canAutoExecute);
}
public object ConnectData(int TopicId, ref Array Strings, ref bool GetNewValues)
{
if (Strings.Length != 2)
{
throw new Exception("Error: Must supply ContractId and TickType!");
}
string contractKey = Strings.GetValue(0) as string; // The key in OM.
Contract cc = XLOM.Get <Contract>(contractKey);
int contractId = cc.Id;
string contractCcy = cc.Currency;
IBTickType tickType = (IBTickType)Enum.Parse(typeof(IBTickType), Strings.GetValue(1) as string, true);
// If we're not already subscribed to this contract, crank up TWSSource.
if (!(TopicsToContractIds.ContainsKey(TopicId) && TopicsToTickTypes.ContainsKey(TopicId)))
{
TopicsToContractIds.Add(TopicId, contractId);
TopicsToTickTypes.Add(TopicId, tickType);
if (!ContractsToMarkets.ContainsKey(contractId))
{
ContractsToMarkets.Add(contractId, new Market(DateTimeOffset.UtcNow, contractId, -1, -1));
ContractsUpdated.Add(contractId, true);
XL_RTD.DataSource.Subscribe(cc);
XL_RTD.Ether.AsObservable <Market>().Where(x => x.ContractId == contractId).Subscribe(x =>
{
ContractsToMarkets[x.ContractId] = x;
ContractsUpdated[x.ContractId] = true;
try
{
RTDCallback.UpdateNotify();
}
catch (Exception e)
{
Debug.WriteLine(e.StackTrace);
}
},
e =>
{
Debug.WriteLine(e.ToString());
});
}
}
return("(WAITING)");
}
public TWSTickEFPEventArgs(TWSClient client, int requestId, IBTickType tickType, double basisPoints,
string formattedBasisPoints, double impliedFuturesPrice, int holdDays,
string futureExpiry, double dividendImpact, double dividendsToExpiry)
: base(client)
{
RequestId = requestId;
TickType = tickType;
BasisPoints = basisPoints;
FormattedBasisPoints = formattedBasisPoints;
ImpliedFuturesPrice = impliedFuturesPrice;
HoldDays = holdDays;
FutureExpiry = futureExpiry;
DividendImpact = dividendImpact;
DividendsToExpiry = dividendsToExpiry;
}
void TickPriceHandler(TickPriceMessage message)
{
int contractId = message.RequestId;
IBTickType type = (IBTickType)message.Field;
dynamic price = message.Price;
//Debug.WriteLine("ZEUS - TickPriceHandler: " + contractId + ", " + type + ", " + price);
Market currentMarket = Contracts[contractId].Item2;
currentMarket.Timestamp = Now;
bool send = false;
if (type == IBTickType.BidPrice && price > 0)
{ // TODO(live-5) - true for EFPs?
currentMarket.Bid = price;
if (Math.Abs(price / currentMarket.Bid - 1) < 0.15M)
{
send = true;
}
}
else if (type == IBTickType.AskPrice && price > 0)
{
currentMarket.Ask = price;
if (Math.Abs(price / currentMarket.Ask - 1) < 0.15M)
{
send = true;
}
}
else if (currentMarket.Mid.Equals(decimal.MinValue) && (type == IBTickType.ClosePrice || type == IBTickType.LastPrice))
{
currentMarket.Ask = currentMarket.Bid = (decimal)price;
send = true;
}
else if (type == IBTickType.ClosePrice)
{
currentMarket.PreviousClose = (decimal)price;
send = true;
}
if (send)
{
Ether.Send(currentMarket);
}
}
protected void OnTickOptionComputation(int reqId, IBTickType tickType,
double impliedVol, double delta, double optionPrice, double pvDividend, double gamma, double vega, double theta, double underlyingPrice)
{
if (TickOptionComputation != null)
TickOptionComputation(this, new TWSTickOptionComputationEventArgs(this) {
RequestId = reqId,
TickType = tickType,
ImpliedVol = impliedVol,
Delta = delta,
OptionPrice = optionPrice,
PVDividend = pvDividend,
Gamma = gamma,
Vega = vega,
Theta = theta,
UnderlyingPrice = underlyingPrice,
});
TWSMarketDataSnapshot record;
if (!_marketDataRecords.TryGetValue(reqId, out record)) {
OnError(String.Format("OnTickPrice: Error request id {0}", reqId));
return;
}
switch (tickType) {
case IBTickType.BidOption:
record.BidImpliedVol = impliedVol;
record.BidDelta = delta;
break;
case IBTickType.AskOption:
record.AskImpliedVol = impliedVol;
record.AskDelta = delta;
break;
case IBTickType.LastOption:
record.ImpliedVol = impliedVol;
record.Delta = delta;
break;
case IBTickType.ModelOption:
record.ImpliedVol = impliedVol;
record.Delta = delta;
record.PVDividend = pvDividend;
record.ModelPrice = optionPrice;
break;
default:
throw new ArgumentException("Error tick type - " + tickType);
}
OnMarketData(record, tickType);
}
protected void OnTickPrice(int reqId, IBTickType tickType, double price, int size, int canAutoExecute)
{
if (TickPrice != null)
TickPrice(this, new TWSTickPriceEventArgs(this) {
TickerId = reqId,
TickType = tickType,
Price = price,
Size = size,
CanAutoExecute = canAutoExecute
});
TWSMarketDataSnapshot record;
if (!_marketDataRecords.TryGetValue(reqId, out record)) {
OnError(String.Format("OnTickPrice: Error request id {0}", reqId));
return;
}
//Console.WriteLine("Client: Received tick price msg for reqid " + reqId + ", symbol " + record.Contract.Symbol +
// ", price: " + price);
// Crap?
if (record.Contract.SecurityType != IBSecurityType.Index &&
record.Contract.SecurityType != IBSecurityType.Cash &&
size == 0)
return;
switch (tickType) {
case IBTickType.BidPrice:
record.Bid = price;
if (!_settings.IgnoreSizeInPriceTicks)
record.BidSize = size;
record.BidTimeStamp = DateTime.Now;
break;
case IBTickType.AskPrice:
record.Ask = price;
if (!_settings.IgnoreSizeInPriceTicks)
record.AskSize = size;
record.AskTimeStamp = DateTime.Now;
break;
case IBTickType.LastPrice:
// Make sure we are allowed to generate trades from this event type
if ((_settings.TradeGeneration & TradeGeneration.LastSizePrice) == 0)
return;
record.Last = price;
if (!_settings.IgnoreSizeInPriceTicks)
record.LastSize = size;
record.TradeTimeStamp = DateTime.Now;
break;
case IBTickType.HighPrice:
record.High = price;
break;
case IBTickType.LowPrice:
record.Low = price;
break;
case IBTickType.ClosePrice:
record.Close = price;
break;
case IBTickType.OpenPrice:
record.Open = price;
break;
default:
throw new ArgumentException("Error tick type - " + tickType);
}
OnMarketData(record, tickType);
}
protected void OnTickSize(int reqId, IBTickType tickType, int size)
{
if (size == 0)
return;
if (TickSize != null)
TickSize(this, new TWSTickSizeEventArgs(this) {
TickerId = reqId,
TickType = tickType,
Size = size
});
TWSMarketDataSnapshot record;
if (!_marketDataRecords.TryGetValue(reqId, out record)) {
OnError(String.Format("OnTickPrice: Error request id {0}", reqId));
return;
}
int recordSize = size;
bool lastDupHit = false;
switch (tickType) {
case IBTickType.BidSize:
if (record.BidSize == size && FilterDups(record.BidTimeStamp)) {
lastDupHit = true;
record.BidDups++;
break;
}
record.BidSize = size;
break;
case IBTickType.AskSize:
if (record.AskSize == size && FilterDups(record.AskTimeStamp)) {
lastDupHit = true;
record.AskDups++;
break;
}
record.AskSize = size;
break;
case IBTickType.LastSize:
// Make sure we are allowed to generate trades from this event type
if ((_settings.TradeGeneration & TradeGeneration.LastSize) == 0)
return;
if (record.LastSize == size && FilterDups(record.TradeTimeStamp)) {
lastDupHit = true;
record.TradeDups++;
break;
}
record.LastSize = size;
break;
case IBTickType.Volume:
record.Volume = size;
if ((_settings.TradeGeneration & TradeGeneration.Volume) != 0) {
// Synthetic volume matches reported volume
if (record.SyntheticVolume == size)
break;
// This is just plain wrong... we may want to raise some sort
// of red flag here..?!?
if (record.SyntheticVolume > size)
break;
// If we got to here, it means we need to generate a trade from volume changes
// with the last price using the volume difference between
// the reported volume and the synthetic one...
record.LastSize = (size - record.SyntheticVolume);
}
break;
default:
throw new ArgumentException("Error tick type - " + tickType);
}
if (lastDupHit == false)
OnMarketData(record, tickType);
}
private void UpdateGridRow(TWSMarketDataSnapshot s, IBTickType t)
{
var record = _symbolDataMap[s.Contract];
record.Snapshot = s;
// Make sure we don't crash and burn on the first invocation
if (record.PreviousSnapshot == null)
{
record.PreviousSnapshot = record.Snapshot;
}
var g = record.Grid;
var r = record.Row;
var p = record.PreviousSnapshot;
try {
UnHighlightCells(record);
if (s.LastTimeStamp != p.LastTimeStamp)
{
SetValue(record, IBGridColumn.UpdateTime, s.LastTimeStamp);
}
if (s.Last != p.Last)
{
SetValue(record, IBGridColumn.LastPrice, s.Last);
}
if (s.LastSize != p.LastSize)
{
SetValue(record, IBGridColumn.LastSize, s.LastSize);
}
if (s.Volume != p.Volume)
{
SetValue(record, IBGridColumn.Volume, s.Volume);
}
if (s.VolumeEvents != p.VolumeEvents)
{
SetValue(record, IBGridColumn.VolumeEvents, s.VolumeEvents);
}
if (s.VolumeMisses != p.VolumeMisses)
{
SetValue(record, IBGridColumn.VolumeMisses, s.VolumeMisses);
}
if (s.TradeDups != p.TradeDups)
{
SetValue(record, IBGridColumn.TradeDups, s.TradeDups);
}
if (s.BidDups != p.BidDups)
{
SetValue(record, IBGridColumn.BidDups, s.BidDups);
}
if (s.AskDups != p.AskDups)
{
SetValue(record, IBGridColumn.AskDups, s.AskDups);
}
if (s.Bid != p.Bid)
{
SetValue(record, IBGridColumn.BidPrice, s.Bid);
}
if (s.Ask != p.Ask)
{
SetValue(record, IBGridColumn.AskPrice, s.Ask);
}
if (s.BidSize != p.BidSize)
{
SetValue(record, IBGridColumn.BidSize, s.BidSize);
}
if (s.AskSize != p.AskSize)
{
SetValue(record, IBGridColumn.AskSize, s.AskSize);
}
if (s.Close != p.Close)
{
SetValue(record, IBGridColumn.Close, s.Close);
}
if (s.High != p.High)
{
SetValue(record, IBGridColumn.High, s.High);
}
if (s.Low != p.Low)
{
SetValue(record, IBGridColumn.Low, s.Low);
}
if (s.SyntheticVolume != p.SyntheticVolume)
{
SetValue(record, IBGridColumn.SyntheticVolume, s.SyntheticVolume);
}
if (s.TradeEvents != p.TradeEvents)
{
SetValue(record, IBGridColumn.TradeEvents, s.TradeEvents);
}
if (s.BidEvents != p.BidEvents)
{
SetValue(record, IBGridColumn.BidEvents, s.BidEvents);
}
if (s.AskEvents != p.AskEvents)
{
SetValue(record, IBGridColumn.AskEvents, s.AskEvents);
}
if (s.Contract.SecurityType != IBSecurityType.Option &&
s.Contract.SecurityType != IBSecurityType.FutureOption)
{
return;
}
if (s.AskImpliedVol != p.AskImpliedVol)
{
SetValue(record, IBGridColumn.AskImpVol, s.AskImpliedVol);
}
if (s.BidImpliedVol != p.BidImpliedVol)
{
SetValue(record, IBGridColumn.BidImpVol, s.BidImpliedVol);
}
if (s.AskDelta != p.AskDelta)
{
SetValue(record, IBGridColumn.AskDelta, s.AskDelta);
}
if (s.BidDelta != p.BidDelta)
{
SetValue(record, IBGridColumn.BidDelta, s.BidDelta);
}
if (s.Delta != p.Delta)
{
SetValue(record, IBGridColumn.Delta, s.Delta);
}
if (s.ImpliedVol != p.ImpliedVol)
{
SetValue(record, IBGridColumn.Volatility, s.ImpliedVol);
}
if (s.ModelPrice != p.ModelPrice)
{
SetValue(record, IBGridColumn.Price, s.ModelPrice);
}
if (s.PVDividend != p.PVDividend)
{
SetValue(record, IBGridColumn.PVDividend, s.PVDividend);
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
finally
{
record.PreviousSnapshot = record.Snapshot;
record.Snapshot = null;
}
}
protected void OnMarketData(TWSMarketDataSnapshot snapshot, IBTickType tickType)
{
if (MarketData != null)
MarketData(this, new TWSMarketDataEventArgs(this)
{
Snapshot = snapshot,
TickType = tickType
});
}
private void OnTickGeneric(int reqId, IBTickType tickType, double value)
{
if (TickGeneric != null)
TickGeneric(this, new TWSTickGenericEventArgs(this) {
TickerId = reqId,
TickType = tickType,
Value = value,
});
TWSMarketDataSnapshot record;
if (!_marketDataRecords.TryGetValue(reqId, out record)) {
OnError(String.Format("OnTickPrice: Error request id {0}", reqId));
return;
}
bool tickRecognized = false;
switch (tickType) {
case IBTickType.LastTimestamp:
record.LastTimeStamp = DateTime.FromFileTime((long) value);
tickRecognized = true;
break;
}
if (tickRecognized)
OnMarketData(record, tickType);
}
private void OnTickString(int reqId, IBTickType tickType, string value)
{
if (TickString != null)
TickString(this, new TWSTickStringEventArgs(this, reqId, tickType, value));
}
private void UpdateGridRow(TWSMarketDataSnapshot s, IBTickType t)
{
var record = _symbolDataMap[s.Contract];
record.Snapshot = s;
// Make sure we don't crash and burn on the first invocation
if (record.PreviousSnapshot == null)
record.PreviousSnapshot = record.Snapshot;
var g = record.Grid;
var r = record.Row;
var p = record.PreviousSnapshot;
try {
UnHighlightCells(record);
if (s.LastTimeStamp != p.LastTimeStamp) SetValue(record, IBGridColumn.UpdateTime, s.LastTimeStamp);
if (s.Last != p.Last) SetValue(record, IBGridColumn.LastPrice, s.Last);
if (s.LastSize != p.LastSize) SetValue(record, IBGridColumn.LastSize, s.LastSize);
if (s.Volume != p.Volume) SetValue(record, IBGridColumn.Volume, s.Volume);
if (s.VolumeEvents != p.VolumeEvents) SetValue(record, IBGridColumn.VolumeEvents, s.VolumeEvents);
if (s.VolumeMisses != p.VolumeMisses) SetValue(record, IBGridColumn.VolumeMisses, s.VolumeMisses);
if (s.TradeDups != p.TradeDups) SetValue(record, IBGridColumn.TradeDups, s.TradeDups);
if (s.BidDups != p.BidDups) SetValue(record, IBGridColumn.BidDups, s.BidDups);
if (s.AskDups != p.AskDups) SetValue(record, IBGridColumn.AskDups, s.AskDups);
if (s.Bid != p.Bid) SetValue(record, IBGridColumn.BidPrice, s.Bid);
if (s.Ask != p.Ask) SetValue(record, IBGridColumn.AskPrice, s.Ask);
if (s.BidSize != p.BidSize) SetValue(record, IBGridColumn.BidSize, s.BidSize);
if (s.AskSize != p.AskSize) SetValue(record, IBGridColumn.AskSize, s.AskSize);
if (s.Close != p.Close) SetValue(record, IBGridColumn.Close, s.Close);
if (s.High != p.High) SetValue(record, IBGridColumn.High, s.High);
if (s.Low != p.Low) SetValue(record, IBGridColumn.Low, s.Low);
if (s.SyntheticVolume != p.SyntheticVolume) SetValue(record, IBGridColumn.SyntheticVolume, s.SyntheticVolume);
if (s.TradeEvents != p.TradeEvents) SetValue(record, IBGridColumn.TradeEvents, s.TradeEvents);
if (s.BidEvents != p.BidEvents) SetValue(record, IBGridColumn.BidEvents, s.BidEvents);
if (s.AskEvents != p.AskEvents) SetValue(record, IBGridColumn.AskEvents, s.AskEvents);
if (s.Contract.SecurityType != IBSecurityType.Option &&
s.Contract.SecurityType != IBSecurityType.FutureOption)
return;
if (s.AskImpliedVol != p.AskImpliedVol) SetValue(record, IBGridColumn.AskImpVol, s.AskImpliedVol);
if (s.BidImpliedVol != p.BidImpliedVol) SetValue(record, IBGridColumn.BidImpVol, s.BidImpliedVol);
if (s.AskDelta != p.AskDelta) SetValue(record, IBGridColumn.AskDelta, s.AskDelta);
if (s.BidDelta != p.BidDelta) SetValue(record, IBGridColumn.BidDelta, s.BidDelta);
if (s.Delta != p.Delta) SetValue(record, IBGridColumn.Delta, s.Delta);
if (s.ImpliedVol != p.ImpliedVol) SetValue(record, IBGridColumn.Volatility, s.ImpliedVol);
if (s.ModelPrice != p.ModelPrice) SetValue(record, IBGridColumn.Price, s.ModelPrice);
if (s.PVDividend != p.PVDividend) SetValue(record, IBGridColumn.PVDividend, s.PVDividend);
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
finally
{
record.PreviousSnapshot = record.Snapshot;
record.Snapshot = null;
}
}
public TWSTickSizeEventArgs(TWSClient client, int requestId, IBTickType sizeTickType, int size)
: base(client)
{
RequestId = requestId;
TickType = sizeTickType;
Size = size;
}
protected void OnTickPrice(int reqId, IBTickType tickType, double price, int size, int canAutoExecute)
{
if (TickPrice != null)
TickPrice(this, new TWSTickPriceEventArgs(this, reqId, tickType, price, size, canAutoExecute));
TWSMarketDataSnapshot record;
if (!_marketDataRecords.TryGetValue(reqId, out record)) {
OnError(String.Format("OnTickPrice: Unknown request id {0}", reqId));
return;
}
// Crap?
if (record.Contract.SecType != IBSecType.IND &&
record.Contract.SecType != IBSecType.CASH &&
size == 0)
return;
switch (tickType) {
case IBTickType.BID:
record.Bid = price;
if (!_settings.IgnoreSizeInPriceTicks)
record.BidSize = size;
record.BidTimeStamp = DateTime.Now;
break;
case IBTickType.ASK:
record.Ask = price;
if (!_settings.IgnoreSizeInPriceTicks)
record.AskSize = size;
record.AskTimeStamp = DateTime.Now;
break;
case IBTickType.LAST:
// Make sure we are allowed to generate trades from this event type
if ((_settings.TradeGeneration & TradeGeneration.LastSizePrice) == 0)
return;
record.Last = price;
if (!_settings.IgnoreSizeInPriceTicks)
record.LastSize = size;
record.TradeTimeStamp = DateTime.Now;
break;
case IBTickType.HIGH:
record.High = price;
break;
case IBTickType.LOW:
record.Low = price;
break;
case IBTickType.CLOSE:
record.Close = price;
break;
case IBTickType.OPEN:
record.Open = price;
break;
default:
throw new ArgumentException("Unknown tick type - " + tickType);
}
OnMarketData(record, tickType);
}
protected void OnTickOptionComputation(int reqId, IBTickType tickType,
double impliedVol, double delta, double modelPrice, double pvDividend)
{
if (TickOptionComputation != null)
TickOptionComputation(this,
new TWSTickOptionComputationEventArgs(this, reqId, tickType,
impliedVol, delta, modelPrice, pvDividend));
TWSMarketDataSnapshot record;
if (!_marketDataRecords.TryGetValue(reqId, out record)) {
OnError(String.Format("OnTickPrice: Unknown request id {0}", reqId));
return;
}
switch (tickType)
{
case IBTickType.BID_OPTION:
record.BidImpliedVol = impliedVol;
record.BidDelta = delta;
break;
case IBTickType.ASK_OPTION:
record.AskImpliedVol = impliedVol;
record.AskDelta = delta;
break;
case IBTickType.LAST_OPTION:
record.ImpliedVol = impliedVol;
record.Delta = delta;
break;
case IBTickType.MODEL_OPTION:
record.ImpliedVol = impliedVol;
record.Delta = delta;
record.PVDividend = pvDividend;
record.ModelPrice = modelPrice;
break;
default:
throw new ArgumentException("Unknown tick type - " + tickType);
}
OnMarketData(record, tickType);
}
public TWSTickEFPEventArgs(TWSClient client, int requestId, IBTickType tickType, double basisPoints,
string formattedBasisPoints, double impliedFuturesPrice, int holdDays,
string futureExpiry, double dividendImpact, double dividendsToExpiry)
: base(client)
{
RequestId = requestId;
TickType = tickType;
BasisPoints = basisPoints;
FormattedBasisPoints = formattedBasisPoints;
ImpliedFuturesPrice = impliedFuturesPrice;
HoldDays = holdDays;
FutureExpiry = futureExpiry;
DividendImpact = dividendImpact;
DividendsToExpiry = dividendsToExpiry;
}
public TWSMarketDataEventArgs(TWSClient client,
TWSMarketDataSnapshot snapshot, IBTickType tickType)
: base(client)
{
TickType = tickType;
Snapshot = snapshot;
}
private void OnTickEFP(int reqId, IBTickType tickType, double basisPoints, string formattedBasisPoints,
double impliedFuturesPrice, int holdDays, string futureExpiry,
double dividendImpact, double dividendsToExpiry)
{
if (TickEFP != null)
TickEFP(this, new TWSTickEFPEventArgs(this, reqId, tickType, basisPoints, formattedBasisPoints,
impliedFuturesPrice, holdDays, futureExpiry,
dividendImpact, dividendsToExpiry));
}
private void OnTickEFP(int reqId, IBTickType tickType, double basisPoints, string formattedBasisPoints,
double impliedFuturesPrice, int holdDays, string futureExpiry,
double dividendImpact, double dividendsToExpiry)
{
if (TickEFP != null)
TickEFP(this, new TWSTickEFPEventArgs(this) {
TickerId = reqId,
TickType = tickType,
BasisPoints = basisPoints,
FormattedBasisPoints = formattedBasisPoints,
ImpliedFuturesPrice = impliedFuturesPrice,
HoldDays = holdDays,
FutureExpiry = futureExpiry,
DividendImpact = dividendImpact,
DividendsToExpiry = dividendsToExpiry
});
}
public TWSTickStringEventArgs(TWSClient client, int requestId, IBTickType tickType, string value)
: base(client)
{
RequestId = requestId;
TickType = tickType;
Value = value;
}
private void OnTickString(int reqId, IBTickType tickType, string value)
{
if (TickString != null)
TickString(this, new TWSTickStringEventArgs(this) {
RequestId = reqId,
TickType = tickType,
Value = value
});
}
private void WriteToLog(TextWriter file, DateTime ts, double last, int size, IBTickType tickType)
{
file.WriteLine("{0},{1},{2},{3}", ts.Ticks, last, size, (int)tickType);
}
public TWSTickGenericEventArgs(TWSClient client, int requestId, IBTickType tickType, double value)
: base(client)
{
RequestId = requestId;
TickType = tickType;
Value = value;
}
public TWSTickSizeEventArgs(TWSClient client, int requestId, IBTickType sizeTickType, int size) : base(client)
{
RequestId = requestId;
TickType = sizeTickType;
Size = size;
}
public TWSTickOptionComputationEventArgs(TWSClient client, int reqId, IBTickType tickType,
double impliedVol, double delta, double modelPrice, double pvDividend)
: base(client)
{
RequestId = reqId;
TickType = tickType;
ImpliedVol = impliedVol;
Delta = delta;
ModelPrice = modelPrice;
PVDividend = pvDividend;
}
public TWSTickPriceEventArgs(TWSClient client, int requestId, IBTickType tickType,
double price, int size, int canAutoExecute)
: base(client)
{
RequestId = requestId;
TickType = tickType;
Price = price;
Size = size;
CanAutoExecute = canAutoExecute;
}
public void HandleMarketDataChange(int reqId, IBTickType tickType, double price, int size, int canAutoExecute)
{
// TODO: Don't forget to lock the socket
_enc.Encode(ClientMessage.TickPrice);
_enc.Encode(TWSServer.PROTOCOL_VERSION);
_enc.Encode(reqId);
_enc.Encode((int) tickType);
_enc.Encode(price);
_enc.Encode(size);
_enc.Encode(canAutoExecute);
}
private void WriteToLog(TextWriter file, DateTime ts, double last, int size, IBTickType tickType)
{
file.WriteLine("{0},{1},{2},{3}", ts.Ticks, last, size, (int) tickType);
}