internal ContractComboLeg(ResponseComposer c) { ContractId = c.ReadInt(); Ratio = c.ReadInt(); TradeAction = c.ReadStringEnum <TradeAction>(); Exchange = c.ReadString(); OpenClose = c.ReadEnum <ComboOpenClose>(); ComboShortSaleSlot = c.ReadEnum <ComboShortSaleSlot>(); DesignatedLocation = c.ReadString(); ExemptCode = c.ReadInt(); }
internal MarketDepth(ResponseComposer c, bool isLevel2) { c.IgnoreVersion(); RequestId = c.ReadInt(); Position = c.ReadInt(); MarketMaker = isLevel2 ? c.ReadString() : string.Empty; Operation = c.ReadEnum <MarketDepthOperation>(); Side = c.ReadEnum <MarketDepthSide>(); Price = c.ReadDouble(); Size = c.ReadInt(); if (isLevel2 && c.Config.SupportsServerVersion(ServerVersion.SmartDepth)) { IsSmartDepth = c.ReadBool(); } }
internal TickSize(ResponseComposer c) { c.IgnoreVersion(); RequestId = c.ReadInt(); TickType = c.ReadEnum <TickType>(); Size = c.ReadInt(); }
internal TickMarketDataType(ResponseComposer c) { c.IgnoreVersion(); RequestId = c.ReadInt(); TickType = TickType.MarketDataType; // MarketDataType = c.ReadEnum <MarketDataType>(); }
internal static void Send(ResponseComposer p) { var version = p.GetVersion(); var requestId = p.ReadInt(); if (requestId == int.MaxValue) { p.ReadDouble(); // trigger parse exception for testing } var priceTickType = p.ReadEnum <TickType>(); var price = p.ReadDouble(); var size = version >= 2 ? p.ReadInt() : 0; var priceTick = new TickPrice(requestId, priceTickType, price, new TickAttrib(version >= 3? p: null)); p.Output(priceTick); if (version >= 2) { TickType tickTypeSize = GetTickTypeSize(priceTickType); if (tickTypeSize != TickType.Undefined) { p.Output(new TickSize(requestId, tickTypeSize, size)); } } }
internal NewsBulletin(ResponseComposer c) { c.IgnoreVersion(); MessageId = c.ReadInt(); Type = c.ReadEnum <NewsBulletinType>(); Message = c.ReadString(); Origin = c.ReadString(); }
internal TickOptionComputation(ResponseComposer c) { var version = c.GetVersion(); RequestId = c.ReadInt(); TickType = c.ReadEnum <TickType>(); ImpliedVolatility = c.ReadDoubleNullable(); if (ImpliedVolatility == -1) { ImpliedVolatility = null; } Delta = c.ReadDoubleNullable(); if (Delta == -2) { Delta = null; } if (version >= 6 || TickType == TickType.ModelOptionComputation || TickType == TickType.DelayedModelOption) { OptPrice = c.ReadDoubleNullable(); if (OptPrice == -1) { OptPrice = null; } PvDividend = c.ReadDoubleNullable(); if (PvDividend == -1) { PvDividend = null; } } if (version >= 6) { Gamma = c.ReadDoubleNullable(); if (Gamma == -2) { Gamma = null; } Vega = c.ReadDoubleNullable(); if (Vega == -2) { Vega = null; } Theta = c.ReadDoubleNullable(); if (Theta == -2) { Theta = null; } UndPrice = c.ReadDoubleNullable(); if (UndPrice == -1) { UndPrice = null; } } }
internal TickExchangeForPhysical(ResponseComposer c) { c.IgnoreVersion(); RequestId = c.ReadInt(); TickType = c.ReadEnum <TickType>(); BasisPoints = c.ReadDouble(); FormattedBasisPoints = c.ReadString(); ImpliedFuturesPrice = c.ReadDouble(); HoldDays = c.ReadInt(); FutureExpiry = c.ReadString(); DividendImpact = c.ReadDouble(); DividendsToLastTradeDate = c.ReadDouble(); }
internal static Tick Create(ResponseComposer c) { c.IgnoreVersion(); var requestId = c.ReadInt(); var tickType = c.ReadEnum <TickType>(); var value = c.ReadDouble(); if (tickType == TickType.Halted) { return(new TickHalted(requestId, tickType, value == 0 ? HaltType.NotHalted : HaltType.GeneralHalt)); } return(new TickGeneric(requestId, tickType, value)); }
internal Execution(ResponseComposer c) { if (!c.Config.SupportsServerVersion(ServerVersion.LastLiqidity)) { c.RequireVersion(10); } var requestId = c.ReadInt(); var orderId = c.ReadInt(); Contract = new Contract { ContractId = c.ReadInt(), Symbol = c.ReadString(), SecurityType = c.ReadStringEnum <SecurityType>(), LastTradeDateOrContractMonth = c.ReadString(), Strike = c.ReadDouble(), Right = c.ReadStringEnum <RightType>(), Multiplier = c.ReadString(), Exchange = c.ReadString(), Currency = c.ReadString(), LocalSymbol = c.ReadString(), TradingClass = c.ReadString() }; RequestId = requestId; OrderId = orderId; ExecutionId = c.ReadString(); Time = c.ReadString(); Account = c.ReadString(); Exchange = c.ReadString(); Side = c.ReadStringEnum <ExecutionSide>(); Shares = c.ReadDouble(); Price = c.ReadDouble(); PermanentId = c.ReadInt(); ClientId = c.ReadInt(); Liquidation = c.ReadInt(); CumulativeQuantity = c.ReadDouble(); AveragePrice = c.ReadDouble(); OrderReference = c.ReadString(); EconomicValueRule = c.ReadString(); EconomicValueMultiplier = c.ReadDouble(); if (c.Config.SupportsServerVersion(ServerVersion.ModelsSupport)) { ModelCode = c.ReadString(); } if (c.Config.SupportsServerVersion(ServerVersion.LastLiqidity)) { LastLiquidity = c.ReadEnum <Liquidity>(); } Executions[ExecutionId] = this; }
internal static TickByTick?Create(ResponseComposer c) { var requestId = c.ReadInt(); var tickType = c.ReadEnum <TickByTickType>(); var time = c.ReadLong(); return(tickType switch { TickByTickType.None => null as TickByTick, TickByTickType.Last => new TickByTickAllLast(requestId, tickType, time, c), TickByTickType.AllLast => new TickByTickAllLast(requestId, tickType, time, c), TickByTickType.BidAsk => new TickByTickBidAsk(requestId, tickType, time, c), TickByTickType.MidPoint => new TickByTickMidpoint(requestId, tickType, time, c), _ => throw new Exception("Invalid TickByTick type.") });
internal static Tick Create(ResponseComposer c) { c.IgnoreVersion(); var requestId = c.ReadInt(); var tickType = c.ReadEnum <TickType>(); var str = c.ReadString(); if (tickType == TickType.RealtimeVolume) { return(new TickRealtimeVolume(requestId, str, c.Parser)); } if (tickType == TickType.LastTimeStamp) { return(new TickTime(requestId, str)); } return(new TickString(requestId, tickType, str)); }
internal OpenOrder(ResponseComposer c) // the monster { var serverVersion = c.Config.ServerVersionCurrent; var messageVersion = serverVersion < ServerVersion.OrderContainer ? c.RequireVersion(17) : (int)serverVersion; var orderId = c.ReadInt(); Contract = new Contract { ContractId = c.ReadInt(), Symbol = c.ReadString(), SecurityType = c.ReadStringEnum <SecurityType>(), LastTradeDateOrContractMonth = c.ReadString(), Strike = c.ReadDouble(), Right = c.ReadStringEnum <RightType>(), Multiplier = messageVersion >= 32 ? c.ReadString() : string.Empty, Exchange = c.ReadString(), Currency = c.ReadString(), LocalSymbol = c.ReadString(), TradingClass = messageVersion >= 32 ? c.ReadString() : string.Empty }; Order = new Order { OrderId = orderId, TradeAction = c.ReadStringEnum <TradeAction>(), TotalQuantity = c.ReadDouble(), OrderType = c.ReadStringEnum <OrderType>(), LimitPrice = messageVersion < 29 ? c.ReadDouble() : c.ReadDoubleNullable(), AuxPrice = messageVersion < 30 ? c.ReadDouble() : c.ReadDoubleNullable(), TimeInForce = c.ReadStringEnum <TimeInForce>(), OcaGroup = c.ReadString(), Account = c.ReadString(), OpenClose = c.ReadStringEnum <OrderOpenClose>(), Origin = c.ReadEnum <OrderOrigin>(), OrderRef = c.ReadString(), ClientId = c.ReadInt(), PermanentId = c.ReadInt(), OutsideRegularTradingHours = c.ReadBool(), Hidden = c.ReadBool(), DiscretionaryAmount = c.ReadDouble(), GoodAfterTime = c.ReadString() }; OrderId = Order.OrderId; c.ReadString(); // skip deprecated sharesAllocation field Order.FinancialAdvisorGroup = c.ReadString(); Order.FinancialAdvisorMethod = c.ReadStringEnum <FinancialAdvisorAllocationMethod>(); Order.FinancialAdvisorPercentage = c.ReadString(); Order.FinancialAdvisorProfile = c.ReadString(); if (c.Config.SupportsServerVersion(ServerVersion.ModelsSupport)) { Order.ModelCode = c.ReadString(); } Order.GoodUntilDate = c.ReadString(); Order.Rule80A = c.ReadStringEnum <AgentDescription>(); Order.PercentOffset = c.ReadDoubleNullable(); Order.SettlingFirm = c.ReadString(); Order.ShortSaleSlot = c.ReadEnum <ShortSaleSlot>(); Order.DesignatedLocation = c.ReadString(); Order.ExemptCode = c.ReadInt(); Order.AuctionStrategy = c.ReadEnum <AuctionStrategy>(); Order.StartingPrice = c.ReadDoubleNullable(); Order.StockReferencePrice = c.ReadDoubleNullable(); Order.Delta = c.ReadDoubleNullable(); Order.StockRangeLower = c.ReadDoubleNullable(); Order.StockRangeUpper = c.ReadDoubleNullable(); Order.DisplaySize = c.ReadInt(); Order.BlockOrder = c.ReadBool(); Order.SweepToFill = c.ReadBool(); Order.AllOrNone = c.ReadBool(); Order.MinimumQuantity = c.ReadIntNullable(); Order.OcaType = c.ReadEnum <OcaType>(); Order.ElectronicTradeOnly = c.ReadBool(); Order.FirmQuoteOnly = c.ReadBool(); Order.NbboPriceCap = c.ReadDoubleNullable(); Order.ParentId = c.ReadInt(); Order.TriggerMethod = c.ReadEnum <TriggerMethod>(); Order.Volatility = c.ReadDoubleNullable(); Order.VolatilityType = c.ReadEnum <VolatilityType>(); Order.DeltaNeutralOrderType = c.ReadString(); Order.DeltaNeutralAuxPrice = c.ReadDoubleNullable(); if (!string.IsNullOrEmpty(Order.DeltaNeutralOrderType)) { if (messageVersion >= 27) { Order.DeltaNeutralContractId = c.ReadInt(); Order.DeltaNeutralSettlingFirm = c.ReadString(); Order.DeltaNeutralClearingAccount = c.ReadString(); Order.DeltaNeutralClearingIntent = c.ReadString(); } if (messageVersion >= 31) { Order.DeltaNeutralOpenClose = c.ReadString(); Order.DeltaNeutralShortSale = c.ReadBool(); Order.DeltaNeutralShortSaleSlot = c.ReadInt(); Order.DeltaNeutralDesignatedLocation = c.ReadString(); } } Order.ContinuousUpdate = c.ReadInt(); Order.ReferencePriceType = c.ReadEnum <ReferencePriceType>(); Order.TrailingStopPrice = c.ReadDoubleNullable(); if (messageVersion >= 30) { Order.TrailingStopPercent = c.ReadDoubleNullable(); } Order.BasisPoints = c.ReadDoubleNullable(); Order.BasisPointsType = c.ReadIntNullable(); Contract.ComboLegsDescription = c.ReadString(); if (messageVersion >= 29) { var n = c.ReadInt(); for (var i = 0; i < n; i++) { Contract.ComboLegs.Add(new ContractComboLeg(c)); } n = c.ReadInt(); for (var i = 0; i < n; i++) { Order.ComboLegs.Add(new OrderComboLeg(c.ReadDoubleNullable())); } } if (messageVersion >= 26) { c.AddTagsToList(Order.SmartComboRoutingParams); } if (messageVersion >= 15) { if (messageVersion >= 20) { Order.ScaleInitLevelSize = c.ReadIntNullable(); Order.ScaleSubsLevelSize = c.ReadIntNullable(); } else { c.ReadString(); Order.ScaleInitLevelSize = c.ReadIntNullable(); } Order.ScalePriceIncrement = c.ReadDoubleNullable(); } if (messageVersion >= 28 && Order.ScalePriceIncrement > 0) { Order.ScalePriceAdjustValue = c.ReadDoubleNullable(); Order.ScalePriceAdjustInterval = c.ReadIntNullable(); Order.ScaleProfitOffset = c.ReadDoubleNullable(); Order.ScaleAutoReset = c.ReadBool(); Order.ScaleInitPosition = c.ReadIntNullable(); Order.ScaleInitFillQty = c.ReadIntNullable(); Order.ScaleRandomPercent = c.ReadBool(); } if (messageVersion >= 24) { Order.HedgeType = c.ReadStringEnum <HedgeType>(); if (Order.HedgeType != HedgeType.Undefined) { Order.HedgeParam = c.ReadString(); } } if (messageVersion >= 25) { Order.OptOutSmartRouting = c.ReadBool(); } if (messageVersion >= 19) { Order.ClearingAccount = c.ReadString(); Order.ClearingIntent = c.ReadStringEnum <ClearingIntent>(); } if (messageVersion >= 22) { Order.NotHeld = c.ReadBool(); } if (messageVersion >= 20 && c.ReadBool()) { Contract.DeltaNeutralContract = new DeltaNeutralContract(c, false); } if (messageVersion >= 21) { Order.AlgoStrategy = c.ReadString(); if (!string.IsNullOrEmpty(Order.AlgoStrategy)) { c.AddTagsToList(Order.AlgoParams); } } if (messageVersion >= 33) { Order.Solicited = c.ReadBool(); } Order.WhatIf = c.ReadBool(); Status = c.ReadStringEnum <OrderStatus>(); if (serverVersion >= ServerVersion.WhatIfExtFields) { InitialMarginBefore = c.ReadString(); MaintenanceMarginBefore = c.ReadString(); EquityWithLoanBefore = c.ReadString(); InitMarginChange = c.ReadString(); MaintMarginChange = c.ReadString(); EquityWithLoanChange = c.ReadString(); } InitMarginAfter = c.ReadString(); MaintMarginAfter = c.ReadString(); EquityWithLoanBefore = c.ReadString(); Commission = c.ReadDoubleNullable(); MinimumCommission = c.ReadDoubleNullable(); MaximumCommission = c.ReadDoubleNullable(); CommissionCurrency = c.ReadString(); WarningText = c.ReadString(); if (messageVersion >= 34) { Order.RandomizeSize = c.ReadBool(); Order.RandomizePrice = c.ReadBool(); } if (c.Config.SupportsServerVersion(ServerVersion.PeggedToBenchmark)) { if (Order.OrderType == OrderType.PeggedToBenchmark) { Order.ReferenceContractId = c.ReadInt(); Order.IsPeggedChangeAmountDecrease = c.ReadBool(); Order.PeggedChangeAmount = c.ReadDoubleNullable(); Order.ReferenceChangeAmount = c.ReadDoubleNullable(); Order.ReferenceExchange = c.ReadString(); } var n = c.ReadInt(); if (n > 0) { for (var i = 0; i < n; i++) { var orderConditionType = c.ReadEnum <OrderConditionType>(); var condition = OrderCondition.Create(orderConditionType); condition.Deserialize(c); Order.Conditions.Add(condition); } Order.ConditionsIgnoreRegularTradingHours = c.ReadBool(); Order.ConditionsCancelOrder = c.ReadBool(); } Order.AdjustedOrderType = c.ReadString(); Order.TriggerPrice = c.ReadDoubleNullable(); Order.TrailingStopPrice = c.ReadDoubleNullable(); Order.LmtPriceOffset = c.ReadDoubleNullable(); Order.AdjustedStopPrice = c.ReadDoubleNullable(); Order.AdjustedStopLimitPrice = c.ReadDoubleNullable(); Order.AdjustedTrailingAmount = c.ReadDoubleNullable(); Order.AdjustableTrailingUnit = c.ReadInt(); } if (c.Config.SupportsServerVersion(ServerVersion.SoftDollarTier)) { Order.SoftDollarTier = new SoftDollarTier(c); } if (c.Config.SupportsServerVersion(ServerVersion.CashQty)) { Order.CashQty = c.ReadDoubleNullable(); } if (c.Config.SupportsServerVersion(ServerVersion.AutoPriceForHedge)) { Order.DontUseAutoPriceForHedge = c.ReadBool(); } if (c.Config.SupportsServerVersion(ServerVersion.OrderContainer)) { Order.IsOmsContainer = c.ReadBool(); } if (c.Config.SupportsServerVersion(ServerVersion.DPegOrders)) { Order.DiscretionaryUpToLimitPrice = c.ReadBool(); } }
internal override void Deserialize(ResponseComposer c) { base.Deserialize(c); TriggerMethod = c.ReadEnum <TriggerMethod>(); }
internal FinancialAdvisor(ResponseComposer c) { c.IgnoreVersion(); DataType = c.ReadEnum <FinancialAdvisorDataType>(); XmlData = c.ReadString(); }