public static Contract SmartFutureComboContract()
{
//! [smartfuturespread]
Contract contract = new Contract();
contract.Symbol = "WTI"; // WTI,COIL spread. Symbol can be defined as first leg symbol ("WTI") or currency ("USD").
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "SMART";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 55928698;//WTI future June 2017
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "IPE";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 55850663;//COIL future June 2017
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "IPE";
contract.ComboLegs = new List <ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
//! [smartfuturespread]
return(contract);
}
/*
* CBOE Volatility Index Future combo contract
* Leg 1: 195538625 - FUT expiring 2016/02/17
* Leg 2: 197436571 - FUT expiring 2016/03/16
*/
public static Contract FutureComboContract()
{
//! [bagfutcontract]
Contract contract = new Contract();
contract.Symbol = "VIX";
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "CFE";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 195538625;//VIX FUT 20160217
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "CFE";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 197436571;//VIX FUT 20160316
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "CFE";
contract.ComboLegs = new List <ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
//! [bagfutcontract]
return(contract);
}
/*
* STK Combo contract
* Leg 1: 43645865 - IBKR's STK
* Leg 2: 9408 - McDonald's STK
*/
public static Contract StockComboContract()
{
//! [bagstkcontract]
Contract contract = new Contract();
contract.Symbol = "IBKR,MCD";
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "SMART";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 43645865;//IBKR STK
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "SMART";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 9408;//MCD STK
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "SMART";
contract.ComboLegs = new List <ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
//! [bagstkcontract]
return(contract);
}
public static Contract OptionComboContract()
{
//! [bagoptcontract]
Contract contract = new Contract();
contract.Symbol = "DBK";
contract.SecType = "BAG";
contract.Currency = "EUR";
contract.Exchange = "DTB";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 197397509;//DBK JUN 15 '18 C
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "DTB";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 197397584;//DBK JUN 15 '18 P
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "DTB";
contract.ComboLegs = new List <ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
//! [bagoptcontract]
return(contract);
}
public static Contract InterCmdtyFuturesContract()
{
//! [intcmdfutcontract]
Contract contract = new Contract();
contract.Symbol = "CL.BZ";
contract.SecType = "BAG";
contract.Currency = "USD";
contract.Exchange = "NYMEX";
ComboLeg leg1 = new ComboLeg();
leg1.ConId = 47207310; //CL Dec'16 @NYMEX
leg1.Ratio = 1;
leg1.Action = "BUY";
leg1.Exchange = "NYMEX";
ComboLeg leg2 = new ComboLeg();
leg2.ConId = 47195961; //BZ Dec'16 @NYMEX
leg2.Ratio = 1;
leg2.Action = "SELL";
leg2.Exchange = "NYMEX";
contract.ComboLegs = new List <ComboLeg>();
contract.ComboLegs.Add(leg1);
contract.ComboLegs.Add(leg2);
//! [intcmdfutcontract]
return(contract);
}
public Contract ExtractContract(string mktDataRequest)
{
Contract contract = new Contract();
string[] strings = mktDataRequest.Split(TwsRtdServerData.CHAR_UNDERSCORE);
if (strings.Length != 16)
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_CONTRACT, "Cannot extract contract from " + mktDataRequest);
return(contract);
}
try
{
if (strings[0] != null && strings[0].Length > 0)
{
contract.ConId = StrToInt(strings[0]);
}
contract.Symbol = strings[1];
contract.SecType = strings[2];
contract.LastTradeDateOrContractMonth = strings[3];
if (strings[4] != null && strings[4].Length > 0)
{
contract.Strike = StrToDouble(strings[4]);
}
contract.Right = strings[5];
contract.Multiplier = strings[6];
contract.Exchange = strings[7];
contract.PrimaryExch = strings[8];
contract.Currency = strings[9];
contract.LocalSymbol = strings[10];
contract.TradingClass = strings[11];
}
catch
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_CONTRACT, "Exception during contract extraction from " + mktDataRequest);
return(contract);
}
// parse combo legs
string comboStr = strings[12];
try
{
if (comboStr != null && comboStr.Length > 0)
{
contract.ComboLegs = new List <ComboLeg>();
string[] comboLegsStr = comboStr.Split(TwsRtdServerData.CHAR_SEMICOLON);
foreach (string comboLegStr in comboLegsStr)
{
if (comboLegStr != null && comboLegStr.Length > 0)
{
ComboLeg comboLeg = new ComboLeg();
string[] comboParams = comboLegStr.Split(TwsRtdServerData.CHAR_HASH);
if (comboParams.Length == 4)
{
comboLeg.ConId = StrToInt(comboParams[0]);
comboLeg.Ratio = StrToInt(comboParams[1]);
string action = comboParams[2];
if (action != null && action.Length > 0)
{
if (action == TwsRtdServerData.ACTION_SELL_1 || (action == TwsRtdServerData.ACTION_SELL_2))
{
comboLeg.Action = TwsRtdServerData.ACTION_SELL_1;
}
else if (action == TwsRtdServerData.ACTION_SELL_SHORT_1 || (action == TwsRtdServerData.ACTION_SELL_SHORT_2))
{
comboLeg.Action = TwsRtdServerData.ACTION_SELL_SHORT_1;
}
else // default
{
comboLeg.Action = TwsRtdServerData.ACTION_BUY_1;
}
}
comboLeg.Exchange = comboParams[3];
contract.ComboLegs.Add(comboLeg);
}
else
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_COMBO_LEGS, "Cannot extract combo legs from " + comboStr);
return(contract);
}
}
}
}
}
catch
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_COMBO_LEGS, "Exception during combo legs extraction from " + comboStr);
return(contract);
}
// parse delta-neutral contract
string deltaNeutralContractStr = strings[13];
try
{
if (deltaNeutralContractStr != null && deltaNeutralContractStr.Length > 0)
{
contract.DeltaNeutralContract = new DeltaNeutralContract();
string[] deltaNeutralContractParams = deltaNeutralContractStr.Split(TwsRtdServerData.CHAR_HASH);
if (deltaNeutralContractParams != null && deltaNeutralContractParams.Length >= 3)
{
try
{
contract.DeltaNeutralContract.ConId = StrToInt(deltaNeutralContractParams[0]);
}
catch
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_DELTA_NEUTRAL_CONTRACT, "Cannot convert conid from " + deltaNeutralContractParams[0] + " : " + StrToInt(deltaNeutralContractParams[0]));
return(contract);
}
try
{
contract.DeltaNeutralContract.Delta = StrToDouble(deltaNeutralContractParams[1]);
}
catch
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_DELTA_NEUTRAL_CONTRACT, "Cannot convert delta from " + deltaNeutralContractParams[1] + " : " + StrToDouble(deltaNeutralContractParams[1]));
return(contract);
}
try
{
contract.DeltaNeutralContract.Price = StrToDouble(deltaNeutralContractParams[2]);
}
catch
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_DELTA_NEUTRAL_CONTRACT, "Cannot convert price from " + deltaNeutralContractParams[2] + " : " + StrToDouble(deltaNeutralContractParams[2]));
return(contract);
}
}
else
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_DELTA_NEUTRAL_CONTRACT, "Cannot extract delta-neutral contract from " + deltaNeutralContractStr);
return(contract);
}
}
}
catch
{
SetError(TwsRtdServerErrors.CANNOT_EXTRACT_DELTA_NEUTRAL_CONTRACT, "Exception during delta-neutral contract extraction from " + deltaNeutralContractStr);
}
return(contract);
}
protected Contract generateContractFromComboAssetID(string comboAssetID)
{
Contract con = new Contract();
con.Currency = "USD";
con.Exchange = "SMART";
con.SecType = "BAG";
con.Symbol = "";
con.ComboLegs = new List <ComboLeg>();
List <Contract> sub_contracts = new List <Contract>();
List <string> asset_ids = new List <string>();
var combo_IDs = comboAssetID.Split('|');
foreach (var combo_id in combo_IDs)
{
var combo_parts = combo_id.Split('*');
if (combo_parts.Length != 2)
{
throw new FormatException(String.Format("Format Error: {0}", comboAssetID));
}
Contract sub_con = generateContractFromAssetID(combo_parts[1]);
sub_contracts.Add(sub_con);
asset_ids.Add(combo_parts[1]);
bool bFindCon = false;
for (int i = 0; i < sub_contracts.Count - 1; ++i)
{
if (sub_contracts[i].Symbol == sub_con.Symbol && sub_contracts[i].SecType == sub_con.SecType)
{
bFindCon = true;
break;
}
}
if (!bFindCon)
{
if (con.Symbol == "")
{
con.Symbol = sub_con.Symbol;
}
else
{
con.Symbol += ", " + sub_con.Symbol;
}
}
ComboLeg leg = new ComboLeg();
leg.ConId = -1;
leg.Exchange = "SMART";
int ratio = Convert.ToInt32(combo_parts[0]);
if (ratio >= 0)
{
leg.Ratio = ratio;
leg.Action = "BUY";
}
else
{
leg.Ratio = -ratio;
leg.Action = "SELL";
}
con.ComboLegs.Add(leg);
}
// 处理ConId逻辑
// 先不触发reqContractDetails，来获取ConId
bool bConIdLeft = false;
rwLock.AcquireReaderLock(1000);
try
{
for (int i = 0; i < sub_contracts.Count; ++i)
{
if (con.ComboLegs[i].ConId == -1)
{
if (dicContract.ContainsKey(asset_ids[i]))
{
var find_con = dicContract[asset_ids[i]];
con.ComboLegs[i].ConId = find_con.ConId;
}
else
{
if (!bConIdLeft)
{
bConIdLeft = true;
ibClient.ContractDetails += ibClient_HandleContractDataMessageSignal;
ibClient.ClientSocket.reqContractDetails(CONTRACT_ID++, sub_contracts[i]);
}
}
}
}
}
catch (Exception e)
{
throw e;
}
finally
{
rwLock.ReleaseReaderLock();
}
if (!bConIdLeft)
{
return(con);
}
// 触发reqContractDetails来获取ConId
while (bConIdLeft)
{
autoEvent.WaitOne(5000);
if (isDebug)
{
Console.WriteLine("Got an auto event.");
}
bConIdLeft = false;
rwLock.AcquireReaderLock(1000);
try
{
for (int i = 0; i < sub_contracts.Count; ++i)
{
if (con.ComboLegs[i].ConId == -1)
{
if (dicContract.ContainsKey(asset_ids[i]))
{
var find_con = dicContract[asset_ids[i]];
con.ComboLegs[i].ConId = find_con.ConId;
}
else
{
bConIdLeft = true;
}
}
}
}
catch (Exception e)
{
throw e;
}
finally
{
rwLock.ReleaseReaderLock();
}
}
ibClient.ContractDetails -= ibClient_HandleContractDataMessageSignal;
return(con);
}
