public void FutureSubscriptions()
{
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager(), TestGlobals.MapFileProvider))
{
ib.Connect();
var gotEsData = false;
var gotHsiData = false;
var cancelationToken = new CancellationTokenSource();
var es = Symbols.CreateFuturesCanonicalSymbol("ES");
var firstEs = ib.LookupSymbols(es, includeExpired: false).First();
ProcessFeed(
ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(firstEs, Resolution.Second), (s, e) => { gotEsData = true; }),
cancelationToken,
(tick) => Log(tick));
// non USD quote currency, HDK
var hsi = Symbols.CreateFuturesCanonicalSymbol("HSI");
var firstHsi = ib.LookupSymbols(hsi, includeExpired: false).First();
ProcessFeed(
ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(firstHsi, Resolution.Second), (s, e) => { gotHsiData = true; }),
cancelationToken,
(tick) => Log(tick));
Thread.Sleep(2000);
cancelationToken.Cancel();
cancelationToken.Dispose();
Assert.IsTrue(gotEsData);
Assert.IsTrue(gotHsiData);
}
}
public void CreateExpectedFutureContractsWithDifferentCurrencies()
{
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager(), TestGlobals.MapFileProvider))
{
ib.Connect();
Assert.IsTrue(ib.IsConnected);
var tickersByMarket = new Dictionary <string, string[]>
{
{
Market.HKFE,
new[]
{
"HSI"
}
},
{
Market.CME,
new[]
{
"ACD",
"AJY",
"ANE"
}
},
{
Market.CBOT,
new[]
{
"ZC"
}
}
};
foreach (var kvp in tickersByMarket)
{
var market = kvp.Key;
var tickers = kvp.Value;
foreach (var ticker in tickers)
{
var currentSymbol = Symbol.Create(ticker, SecurityType.Future, market);
var symbolsFound = ib.LookupSymbols(currentSymbol, false);
Assert.IsNotEmpty(symbolsFound);
foreach (var symbol in symbolsFound)
{
Log.Trace($"Symbol found in IB: {symbol}");
}
}
}
}
}
/// <summary>
/// Returns an IEnumerable of Future/Option contract symbols for the given root ticker
/// </summary>
/// <param name="symbol">The Symbol to get futures/options chain for</param>
/// <param name="includeExpired">Include expired contracts</param>
public IEnumerable <Symbol> GetChainSymbols(Symbol symbol, bool includeExpired)
{
return(_brokerage.LookupSymbols(symbol, includeExpired));
}
/// <summary>
/// Returns an IEnumerable of Future/Option contract symbols for the given root ticker
/// </summary>
/// <param name="ticker">The root ticker</param>
/// <param name="securityType">Expected security type of the returned symbols (if any)</param>
/// <param name="includeExpired">Include expired contracts</param>
public IEnumerable <Symbol> GetChainSymbols(string ticker, SecurityType securityType, bool includeExpired)
{
return(_brokerage.LookupSymbols(ticker, securityType, includeExpired));
}