public async Task MarketOptionDataController_Should_ReturnMarketDataType()
{
TwsObjectFactory twsObjectFactory = new TwsObjectFactory("localhost", 7497, 1);
ITwsControllerBase twsController = twsObjectFactory.TwsControllerBase;
await twsController.EnsureConnectedAsync();
MarketDataTypeEventArgs marketDataTypeEventArgs = null;
TickPriceEventArgs tickPriceEventArgs = null;
TickOptionComputationEventArgs tickOptionComputationEventArgs = null;
twsObjectFactory.TwsCallbackHandler.MarketDataTypeEvent +=
(sender, args) => { marketDataTypeEventArgs = args; };
twsObjectFactory.TwsCallbackHandler.TickPriceEvent +=
(sender, args) => { tickPriceEventArgs = args; };
twsObjectFactory.TwsCallbackHandler.TickOptionComputationEvent +=
(sender, args) => { tickOptionComputationEventArgs = args; };
Contract contract = new Contract
{
SecType = TwsContractSecType.Option,
Symbol = "MSFT",
Exchange = TwsExchange.Smart,
Multiplier = "100",
Currency = "USD",
Right = "C",
Strike = 200,
LastTradeDateOrContractMonth = "20201113"
};
twsObjectFactory.TwsControllerBase.RequestMarketDataType(1);
var marketDataResult = await twsObjectFactory.TwsControllerBase.RequestMarketDataAsync(contract, null, false, false, null);
marketDataResult.Should().NotBeNull();
tickPriceEventArgs.Should().NotBeNull();
tickPriceEventArgs.TickerId.Should().IsSameOrEqualTo(marketDataResult.TickerId);
tickOptionComputationEventArgs.Should().NotBeNull();
tickOptionComputationEventArgs.TickerId.Should().IsSameOrEqualTo(marketDataResult.TickerId);
}
void tws_TickOptionComputation(object sender, TickOptionComputationEventArgs e)
{
// get tick object
if (!tick_list.ContainsKey(e.TickerId))
{
return;
}
TickData t = tick_list[e.TickerId];
switch (e.TickType)
{
default:
break;
}
// remove from pending requests
t.pending_requests.Remove(e.TickType);
if (t.pending_requests.Count == 0)
{
t.ready_event.Set();
}
}
/// <inheritdoc/>
public void tickOptionComputation(int tickerId, int field, double impliedVolatility, double delta, double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice)
{
var eventArgs = new TickOptionComputationEventArgs(tickerId, field, impliedVolatility, delta, optPrice, pvDividend, gamma, vega, theta, undPrice);
this.TickOptionComputationEvent?.Invoke(this, eventArgs);
}
