コード例 #1
0
        public void ClientSellsMarketOrder()
        {
            bool orderFilled      = false;
            var  manualResetEvent = new ManualResetEvent(false);

            var ib = new InteractiveBrokersBrokerage();

            ib.Connect();

            ib.OrderEvent += (sender, args) =>
            {
                orderFilled = true;
                manualResetEvent.Set();
            };

            // sell a single share
            var order = new Order("AAPL", SecurityType.Equity, -1, OrderType.Market, DateTime.UtcNow);

            ib.PlaceOrder(order);

            manualResetEvent.WaitOne(2500);

            var orderFromIB = AssertOrderOpened(orderFilled, ib, order);

            Assert.AreEqual(OrderType.Market, orderFromIB.Type);
        }
コード例 #2
0
        public void InitializeBrokerage()
        {
            // grabs account info from configuration
            var securityProvider = new SecurityProvider();

            securityProvider[Symbols.USDJPY] = new Security(
                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
                new SubscriptionDataConfig(
                    typeof(TradeBar),
                    Symbols.USDJPY,
                    Resolution.Minute,
                    TimeZones.NewYork,
                    TimeZones.NewYork,
                    false,
                    false,
                    false
                    ),
                new Cash(Currencies.USD, 0, 1m),
                SymbolProperties.GetDefault(Currencies.USD),
                ErrorCurrencyConverter.Instance
                );

            _interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(_orders), securityProvider);
            _interactiveBrokersBrokerage.Connect();
        }
        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);
            }
        }
コード例 #4
0
        public void GetsTickData()
        {
            using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager(), new LocalDiskMapFileProvider()))
            {
                ib.Connect();
                var gotUsdData = false;
                var gotEurData = false;

                var cancelationToken = new CancellationTokenSource();

                ProcessFeed(
                    ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(Symbols.AAPL, Resolution.Second), (s, e) => { gotUsdData = true; }),
                    cancelationToken,
                    (tick) => Log(tick));

                ProcessFeed(
                    ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(Symbols.SPY, Resolution.Second), (s, e) => { gotEurData = true; }),
                    cancelationToken,
                    (tick) => Log(tick));

                Thread.Sleep(2000);
                cancelationToken.Cancel();
                cancelationToken.Dispose();

                Assert.IsTrue(gotUsdData);
                Assert.IsTrue(gotEurData);
            }
        }
コード例 #5
0
        /// <summary>
        /// Creates a new IBrokerage instance and set ups the environment for the brokerage
        /// </summary>
        /// <param name="job">The job packet to create the brokerage for</param>
        /// <param name="algorithm">The algorithm instance</param>
        /// <returns>A new brokerage instance</returns>
        public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algorithm)
        {
            var errors = new List <string>();

            // read values from the brokerage datas
            var useTws                = Config.GetBool("ib-use-tws");
            var port                  = Config.GetInt("ib-port", 4001);
            var host                  = Config.Get("ib-host", "127.0.0.1");
            var twsDirectory          = Config.Get("ib-tws-dir", "C:\\Jts");
            var ibControllerDirectory = Config.Get("ib-controller-dir", "C:\\IBController");

            var account          = Read <string>(job.BrokerageData, "ib-account", errors);
            var userID           = Read <string>(job.BrokerageData, "ib-user-name", errors);
            var password         = Read <string>(job.BrokerageData, "ib-password", errors);
            var agentDescription = Read <AgentDescription>(job.BrokerageData, "ib-agent-description", errors);

            if (errors.Count != 0)
            {
                // if we had errors then we can't create the instance
                throw new Exception(string.Join(Environment.NewLine, errors));
            }

            // launch the IB gateway
            InteractiveBrokersGatewayRunner.Start(ibControllerDirectory, twsDirectory, userID, password, useTws);

            var ib = new InteractiveBrokersBrokerage(algorithm.Transactions, algorithm.Portfolio, account, host, port, agentDescription);

            Composer.Instance.AddPart <IDataQueueHandler>(ib);
            return(ib);
        }
コード例 #6
0
        public void GetsTickData()
        {
            InteractiveBrokersGatewayRunner.StartFromConfiguration();

            var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider());

            ib.Connect();

            ib.Subscribe(null, new List <Symbol> {
                Symbols.USDJPY, Symbols.EURGBP
            });

            Thread.Sleep(1000);

            var gotUsdData = false;
            var gotEurData = false;

            for (int i = 0; i < 20; i++)
            {
                foreach (var tick in ib.GetNextTicks())
                {
                    Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
                    gotUsdData |= tick.Symbol == Symbols.USDJPY;
                    gotEurData |= tick.Symbol == Symbols.EURGBP;
                }
            }
            Assert.IsTrue(gotUsdData);
            Assert.IsTrue(gotEurData);
            InteractiveBrokersGatewayRunner.Stop();
        }
コード例 #7
0
        public void InitializeBrokerage()
        {
            Log.LogHandler = new NUnitLogHandler();

            // grabs account info from configuration
            var securityProvider = new SecurityProvider();

            securityProvider[Symbols.USDJPY] = new Security(
                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
                new SubscriptionDataConfig(
                    typeof(TradeBar),
                    Symbols.USDJPY,
                    Resolution.Minute,
                    TimeZones.NewYork,
                    TimeZones.NewYork,
                    false,
                    false,
                    false
                    ),
                new Cash(Currencies.USD, 0, 1m),
                SymbolProperties.GetDefault(Currencies.USD),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null,
                new SecurityCache()
                );

            _interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(
                new QCAlgorithm(),
                new OrderProvider(_orders),
                securityProvider,
                new AggregationManager(),
                TestGlobals.MapFileProvider);
            _interactiveBrokersBrokerage.Connect();
        }
コード例 #8
0
        private InteractiveBrokersBrokerage GetBrokerage()
        {
            // grabs account info from configuration
            var securityProvider = new SecurityProvider();

            securityProvider[Symbols.USDJPY] = new Security(
                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
                new SubscriptionDataConfig(
                    typeof(TradeBar),
                    Symbols.USDJPY,
                    Resolution.Minute,
                    TimeZones.NewYork,
                    TimeZones.NewYork,
                    false,
                    false,
                    false
                    ),
                new Cash(Currencies.USD, 0, 1m),
                SymbolProperties.GetDefault(Currencies.USD),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null,
                new SecurityCache()
                );

            var brokerage = new InteractiveBrokersBrokerage(
                new QCAlgorithm(),
                new OrderProvider(_orders),
                securityProvider,
                new AggregationManager());

            brokerage.Connect();

            return(brokerage);
        }
コード例 #9
0
        public void ClientPlacesMarketOrder()
        {
            bool orderFilled      = false;
            var  manualResetEvent = new ManualResetEvent(false);
            var  ib = new InteractiveBrokersBrokerage();

            ib.Connect();

            ib.Client.RequestOpenOrders();

            ib.OrderEvent += (sender, args) =>
            {
                orderFilled = true;
                manualResetEvent.Set();
            };

            const int buyQuantity = 1;
            //ib.PlaceOrder(new Order("AAPL", SecurityType.Equity, buyQuantity, OrderType.Market, DateTime.Now));
            var order = new Order("AAPL", SecurityType.Equity, buyQuantity, OrderType.Market, DateTime.Now);

            ib.PlaceOrder(order);

            manualResetEvent.WaitOne(2500);
            var orderFromIB = AssertOrderOpened(orderFilled, ib, order);

            Assert.AreEqual(OrderType.Market, orderFromIB.Type);
        }
コード例 #10
0
        public void ClientCancelsLimitOrder()
        {
            OrderStatus status           = OrderStatus.New;
            var         manualResetEvent = new ManualResetEvent(false);

            var ib = new InteractiveBrokersBrokerage();

            ib.Connect();

            ib.OrderEvent += (sender, args) =>
            {
                status = args.Status;
                manualResetEvent.Set();
            };

            // try to sell a single share at a ridiculous price, we'll cancel this later
            var order = new Order("AAPL", SecurityType.Equity, -1, OrderType.Limit, DateTime.UtcNow, 100000);

            ib.PlaceOrder(order);
            manualResetEvent.WaitOne(2500);

            ib.CancelOrder(order);

            manualResetEvent.Reset();
            manualResetEvent.WaitOne(2500);

            Assert.AreEqual(OrderStatus.Canceled, status);
        }
コード例 #11
0
        public void GetsTickData()
        {
            InteractiveBrokersGatewayRunner.StartFromConfiguration();

            var ib = new InteractiveBrokersBrokerage(new OrderProvider());

            ib.Connect();

            ib.Subscribe(null, new Dictionary <SecurityType, List <string> >
            {
                { SecurityType.Forex, new List <string> {
                      "USDJPY", "EURGBP"
                  } }
            });

            Thread.Sleep(1000);

            for (int i = 0; i < 10; i++)
            {
                foreach (var tick in ib.GetNextTicks())
                {
                    Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
                }
            }

            InteractiveBrokersGatewayRunner.Stop();
        }
コード例 #12
0
        public void InitializeBrokerage()
        {
            InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
                                                  Config.Get("ib-tws-dir"),
                                                  Config.Get("ib-user-name"),
                                                  Config.Get("ib-password"),
                                                  Config.Get("ib-trading-mode"),
                                                  Config.GetBool("ib-use-tws")
                                                  );

            // grabs account info from configuration
            var securityProvider = new SecurityProvider();

            securityProvider[Symbols.USDJPY] = new Security(
                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
                new SubscriptionDataConfig(
                    typeof(TradeBar),
                    Symbols.USDJPY,
                    Resolution.Minute,
                    TimeZones.NewYork,
                    TimeZones.NewYork,
                    false,
                    false,
                    false
                    ),
                new Cash(Currencies.USD, 0, 1m),
                SymbolProperties.GetDefault(Currencies.USD),
                ErrorCurrencyConverter.Instance
                );

            _interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(_orders), securityProvider);
            _interactiveBrokersBrokerage.Connect();
        }
コード例 #13
0
        /// <summary>
        /// Initializes a new instance of the <see cref="IBDataDownloader"/> class
        /// </summary>
        public IBDataDownloader()
        {
            var mapFileProvider = Composer.Instance.GetExportedValueByTypeName <IMapFileProvider>(
                Config.Get("map-file-provider", "LocalDiskMapFileProvider"));

            _brokerage = new InteractiveBrokersBrokerage(null, null, null, null, mapFileProvider);
            _brokerage.Connect();
        }
コード例 #14
0
        public void InitializeBrokerage()
        {
            InteractiveBrokersGatewayRunner.Start(Config.Get("ib-account"));

            // grabs account info from configuration
            _interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new OrderMapping(_orders));
            _interactiveBrokersBrokerage.Connect();
        }
コード例 #15
0
        public void ClientPlacesStopLimitOrder()
        {
            bool orderFilled      = false;
            var  manualResetEvent = new ManualResetEvent(false);
            var  ib = new InteractiveBrokersBrokerage();

            ib.Connect();

            decimal aapl  = 100m;
            decimal delta = 85.0m; // if we can't get a price then make the delta huge

            ib.OrderEvent += (sender, args) =>
            {
                orderFilled = true;
                aapl        = args.FillPrice;
                delta       = 0.02m;
                manualResetEvent.Set();
            };

            // get the current market price, couldn't get RequestMarketData to fire tick events
            int id = 0;

            ib.PlaceOrder(new Order("AAPL", SecurityType.Equity, 1, OrderType.Market, DateTime.UtcNow)
            {
                Id = ++id
            });

            manualResetEvent.WaitOne(2000);
            manualResetEvent.Reset();
            Assert.IsTrue(orderFilled);

            orderFilled = false;

            // make a box around the current price +- a little

            const int quantity = 1;
            var       order    = new Order("AAPL", SecurityType.Equity, +quantity, OrderType.StopMarket, DateTime.Now, aapl - delta)
            {
                Id = ++id
            };

            ib.PlaceOrder(order);

            ib.PlaceOrder(new Order("AAPL", SecurityType.Equity, -quantity, OrderType.StopMarket, DateTime.Now, aapl + delta)
            {
                Id = ++id
            });

            manualResetEvent.WaitOne(1000);

            var orderFromIB = AssertOrderOpened(orderFilled, ib, order);

            Assert.AreEqual(OrderType.StopMarket, orderFromIB.Type);
        }
コード例 #16
0
        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}");
                        }
                    }
                }
            }
        }
コード例 #17
0
        public void InitializeBrokerage()
        {
            _factory = new InteractiveBrokersBrokerageFactory();

            // grabs account info from configuration
            var job = new LiveNodePacket()
            {
                BrokerageData = _factory.BrokerageData
            };

            _interactiveBrokersBrokerage = (InteractiveBrokersBrokerage)_factory.CreateBrokerage(job, InteractiveBrokersBrokerageFactoryTests.AlgorithmDependency);
            _interactiveBrokersBrokerage.Connect();
        }
コード例 #18
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        public void InitializeBrokerage()
        {
            InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
                                                  Config.Get("ib-tws-dir"),
                                                  Config.Get("ib-user-name"),
                                                  Config.Get("ib-password"),
                                                  Config.GetBool("ib-use-tws")
                                                  );

            // grabs account info from configuration
            _interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new OrderProvider(_orders));
            _interactiveBrokersBrokerage.Connect();
        }
コード例 #19
0
        private static Order AssertOrderOpened(bool orderFilled, InteractiveBrokersBrokerage ib, Order order)
        {
            // if the order didn't fill check for it as an open order
            if (!orderFilled)
            {
                // find the right order and return it
                foreach (var openOrder in ib.GetOpenOrders())
                {
                    if (openOrder.BrokerId.Any(id => order.BrokerId.Any(x => x == id)))
                    {
                        return(openOrder);
                    }
                }
                Assert.Fail("The order was not filled and was unable to be located via GetOpenOrders()");
            }

            Assert.Pass("The order was successfully filled!");
            return(null);
        }
コード例 #20
0
        public void GetsTickDataAfterDisconnectionConnectionCycle()
        {
            using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider()))
            {
                ib.Connect();
                ib.Subscribe(null, new List <Symbol> {
                    Symbols.USDJPY, Symbols.EURGBP
                });
                ib.Disconnect();
                Thread.Sleep(2000);

                for (var i = 0; i < 20; i++)
                {
                    foreach (var tick in ib.GetNextTicks()) // we need to make sure we consumer the already sent data, if any
                    {
                        Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
                    }
                }

                ib.Connect();
                Thread.Sleep(2000);

                var gotUsdData = false;
                var gotEurData = false;
                for (var i = 0; i < 20; i++)
                {
                    foreach (var tick in ib.GetNextTicks())
                    {
                        Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
                        gotUsdData |= tick.Symbol == Symbols.USDJPY;
                        gotEurData |= tick.Symbol == Symbols.EURGBP;
                    }
                }
                Assert.IsTrue(gotUsdData);
                Assert.IsTrue(gotEurData);
            }
        }
コード例 #21
0
ファイル: IBDataDownloader.cs プロジェクト: zdomokos/Lean
 /// <summary>
 /// Initializes a new instance of the <see cref="IBDataDownloader"/> class
 /// </summary>
 public IBDataDownloader()
 {
     _brokerage = new InteractiveBrokersBrokerage(null, null, null, null);
     _brokerage.Connect();
 }
コード例 #22
0
        public void Teardown()
        {
            try
            { // give the tear down a header so we can easily find it in the logs
                Log.Trace("-----");
                Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Starting teardown...");
                Log.Trace("-----");

                var canceledResetEvent = new ManualResetEvent(false);
                var filledResetEvent   = new ManualResetEvent(false);
                _interactiveBrokersBrokerage.OrderStatusChanged += (sender, orderEvent) =>
                {
                    if (orderEvent.Status == OrderStatus.Filled)
                    {
                        filledResetEvent.Set();
                    }
                    if (orderEvent.Status == OrderStatus.Canceled)
                    {
                        canceledResetEvent.Set();
                    }
                };

                // cancel all open orders

                Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Canceling open orders...");

                var orders = _interactiveBrokersBrokerage.GetOpenOrders();
                foreach (var order in orders)
                {
                    _interactiveBrokersBrokerage.CancelOrder(order);
                    canceledResetEvent.WaitOne(3000);
                    canceledResetEvent.Reset();
                }

                Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Liquidating open positions...");

                // liquidate all positions
                var holdings = _interactiveBrokersBrokerage.GetAccountHoldings();
                foreach (var holding in holdings.Where(x => x.Quantity != 0))
                {
                    //var liquidate = new MarketOrder(holding.Symbol, (int) -holding.Quantity, DateTime.UtcNow, type: holding.Type);
                    //_interactiveBrokersBrokerage.PlaceOrder(liquidate);
                    //filledResetEvent.WaitOne(3000);
                    //filledResetEvent.Reset();
                }

                var openOrdersText = _interactiveBrokersBrokerage.GetOpenOrders().Select(x => x.Symbol.ToString() + " " + x.Quantity);
                Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Open orders: " + string.Join(", ", openOrdersText));
                //Assert.AreEqual(0, actualOpenOrderCount, "Failed to verify that there are zero open orders.");

                var holdingsText = _interactiveBrokersBrokerage.GetAccountHoldings().Where(x => x.Quantity != 0).Select(x => x.Symbol.ToString() + " " + x.Quantity);
                Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Account holdings: " + string.Join(", ", holdingsText));
                //Assert.AreEqual(0, holdingsCount, "Failed to verify that there are zero account holdings.");

                _interactiveBrokersBrokerage.Dispose();
                _interactiveBrokersBrokerage = null;
                _orders.Clear();
            }
            finally
            {
                InteractiveBrokersGatewayRunner.Stop();
            }
        }
コード例 #23
0
        public void ClientConnects()
        {
            var ib = new InteractiveBrokersBrokerage();

            ib.Connect();
        }
コード例 #24
0
        /// <summary>
        /// Downloads the financial advisor configuration
        /// </summary>
        /// <param name="client">The IB client</param>
        /// <returns>true if successfully completed</returns>
        public bool Load(InteractiveBrokersClient client)
        {
            var faResetEvent = new AutoResetEvent(false);

            var xmlGroups   = string.Empty;
            var xmlProfiles = string.Empty;
            var xmlAliases  = string.Empty;

            EventHandler <ReceiveFaEventArgs> handler = (sender, e) =>
            {
                switch (e.FaDataType)
                {
                case Constants.FaAliases:
                    xmlAliases = e.FaXmlData;
                    break;

                case Constants.FaGroups:
                    xmlGroups = e.FaXmlData;
                    break;

                case Constants.FaProfiles:
                    xmlProfiles = e.FaXmlData;
                    break;
                }

                faResetEvent.Set();
            };

            client.ReceiveFa += handler;

            // request FA Aliases
            Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): requesting FA Aliases");
            client.ClientSocket.requestFA(Constants.FaAliases);
            if (!faResetEvent.WaitOne(2000))
            {
                Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): Download FA Aliases failed. Operation took longer than 2 seconds.");
                return(false);
            }

            // request FA Groups
            Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): requesting FA Groups");
            client.ClientSocket.requestFA(Constants.FaGroups);
            if (!faResetEvent.WaitOne(2000))
            {
                Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): Download FA Groups failed. Operation took longer than 2 seconds.");
                return(false);
            }

            // request FA Profiles
            Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): requesting FA Profiles");
            client.ClientSocket.requestFA(Constants.FaProfiles);
            if (!faResetEvent.WaitOne(2000))
            {
                Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): Download FA Profiles failed. Operation took longer than 2 seconds.");
                return(false);
            }

            client.ReceiveFa -= handler;

            // load FA configuration
            var serializer = new XmlSerializer(typeof(List <AccountAlias>), new XmlRootAttribute("ListOfAccountAliases"));

            using (var stringReader = new StringReader(xmlAliases))
            {
                _accountAliases = (List <AccountAlias>)serializer.Deserialize(stringReader);
                Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): FA Aliases found: " + _accountAliases.Count);
            }

            serializer = new XmlSerializer(typeof(List <Group>), new XmlRootAttribute("ListOfGroups"));
            using (var stringReader = new StringReader(xmlGroups))
            {
                _accountGroups = (List <Group>)serializer.Deserialize(stringReader);
                Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): FA Groups found: " + _accountGroups.Count);
            }

            serializer = new XmlSerializer(typeof(List <AllocationProfile>), new XmlRootAttribute("ListOfAllocationProfiles"));
            using (var stringReader = new StringReader(xmlProfiles))
            {
                _allocationProfiles = (List <AllocationProfile>)serializer.Deserialize(stringReader);
                Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): FA Profiles found: " + _allocationProfiles.Count);
            }

            // save the master account code
            var entry = _accountAliases.FirstOrDefault(x => InteractiveBrokersBrokerage.IsMasterAccount(x.Account));

            if (entry == null)
            {
                throw new Exception("The Financial Advisor master account was not found.");
            }

            MasterAccount = entry.Account;

            return(true);
        }
コード例 #25
0
        public void CreatesExpectedFuturesContracts()
        {
            var symbolMapper = new InteractiveBrokersSymbolMapper();

            using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager()))
            {
                ib.Connect();
                Assert.IsTrue(ib.IsConnected);

                var ibMarkets = new Dictionary <string, string>
                {
                    { Market.CME, "GLOBEX" },
                    { Market.NYMEX, "NYMEX" },
                    { Market.COMEX, "NYMEX" },
                    { Market.CBOT, "ECBOT" },
                    { Market.ICE, "NYBOT" },
                    { Market.CBOE, "CFE" }
                };

                var tickersByMarket = new Dictionary <string, string[]>
                {
                    {
                        Market.CBOE,
                        new[]
                        {
                            "VX"
                        }
                    },
                    {
                        Market.CBOT,
                        new[]
                        {
                            "AW",
                            //"BCF",
                            //"BWF",
                            "EH",
                            "F1U",
                            "KE",
                            "TN",
                            "UB",
                            "YM",
                            "ZB",
                            "ZC",
                            "ZF",
                            "ZL",
                            "ZM",
                            "ZN",
                            "ZO",
                            "ZS",
                            "ZT",
                            "ZW",
                        }
                    },
                    {
                        Market.CME,
                        new[]
                        {
                            "6A",
                            "6B",
                            "6C",
                            "6E",
                            "6J",
                            "6L",
                            "6M",
                            "6N",
                            "6R",
                            "6S",
                            "6Z",
                            //"ACD",
                            //"AJY",
                            //"ANE",
                            "BIO",
                            "BTC",
                            "CB",
                            //"CJY",
                            //"CNH",
                            "CSC",
                            //"DC",
                            "DY",
                            "E7",
                            //"EAD",
                            //"ECD",
                            //"EI",
                            "EMD",
                            "ES",
                            //"ESK",
                            "GD",
                            "GDK",
                            "GE",
                            "GF",
                            //"GNF",
                            "HE",
                            //"IBV",
                            "J7",
                            //"LBS",
                            "LE",
                            "NKD",
                            "NQ",
                            "RTY",
                        }
                    },
                    {
                        Market.COMEX,
                        new[]
                        {
                            //"AUP",
                            //"EDP",
                            "GC",
                            "HG",
                            "SI",
                        }
                    },
                    {
                        Market.ICE,
                        new[]
                        {
                            "B",
                            "CC",
                            "CT",
                            "DX",
                            "G",
                            "KC",
                            "OJ",
                            "SB",
                        }
                    },
                    {
                        Market.NYMEX,
                        new[]
                        {
                            //"1S",
                            //"22",
                            //"A0D",
                            //"A0F",
                            //"A1L",
                            //"A1M",
                            //"A1R",
                            //"A32",
                            //"A3G",
                            //"A7E",
                            //"A7I",
                            //"A7Q",
                            //"A8J",
                            //"A8K",
                            //"A8O",
                            //"A91",
                            //"A9N",
                            //"AA6",
                            //"AA8",
                            //"ABS",
                            "ABT",
                            //"AC0",
                            //"AD0",
                            //"ADB",
                            //"AE5",
                            //"AGA",
                            //"AJL",
                            //"AJS",
                            //"AKL",
                            //"AKZ",
                            //"APS",
                            //"AR0",
                            "ARE",
                            //"AVZ",
                            //"AYV",
                            //"AYX",
                            //"AZ1",
                            //"B0",
                            //"B7H",
                            "BK",
                            //"BOO",
                            //"BR7",
                            "BZ",
                            "CL",
                            //"CRB",
                            //"CSW",
                            "CSX",
                            //"CU",
                            //"D1N",
                            //"DCB",
                            //"E6",
                            //"EN",
                            //"EPN",
                            //"EVC",
                            "EWG",
                            //"EWN",
                            "EXR",
                            //"FO",
                            "FRC",
                            //"FSS",
                            //"GCU",
                            //"HCL",
                            "HH",
                            "HO",
                            "HP",
                            "HRC",
                            //"HTT",
                            "NG",
                            "PA",
                            "PL",
                            "RB",
                            //"YO",
                        }
                    }
                };

                foreach (var kvp in tickersByMarket)
                {
                    var market  = kvp.Key;
                    var tickers = kvp.Value;

                    foreach (var ticker in tickers)
                    {
                        var contract = new Contract
                        {
                            Symbol   = symbolMapper.GetBrokerageRootSymbol(ticker),
                            Currency = Currencies.USD,
                            Exchange = null,
                            SecType  = "FUT"
                        };

                        Log.Trace($"Market: {market} - Future Ticker: {ticker}");
                        var results = ib.FindContracts(contract, contract.Symbol);
                        foreach (var contractDetails in results.Where(x => ibMarkets.Values.Contains(x.Contract.Exchange)))
                        {
                            var message = $"  - ContractDetails: {contractDetails.Contract} {contractDetails.ContractMonth}";
                            Log.Trace(message);

                            Assert.AreEqual(ibMarkets[market], contractDetails.Contract.Exchange, message);
                        }
                    }
                }
            }
        }