/// <summary>
/// Gets the execution details matching the filter
/// </summary>
/// <returns>A list of executions matching the filter</returns>
public List <IB.ExecDetailsEventArgs> GetExecutions(string symbol, IB.SecurityType?type, string exchange, DateTime?timeSince, IB.ActionSide?side)
{
var filter = new IB.ExecutionFilter
{
AcctCode = _account,
ClientId = _clientID,
Exchange = exchange,
SecurityType = type ?? IB.SecurityType.Undefined,
Symbol = symbol,
Time = timeSince ?? DateTime.MinValue,
Side = side ?? IB.ActionSide.Undefined
};
var details = new List <IB.ExecDetailsEventArgs>();
using (var client = new IB.IBClient())
{
client.Connect(_host, _port, IncrementClientID());
var manualResetEvent = new ManualResetEvent(false);
int requestID = GetNextRequestID();
// define our event handlers
EventHandler <IB.ExecutionDataEndEventArgs> clientOnExecutionDataEnd = (sender, args) =>
{
if (args.RequestId == requestID)
{
manualResetEvent.Set();
}
};
EventHandler <IB.ExecDetailsEventArgs> clientOnExecDetails = (sender, args) =>
{
if (args.RequestId == requestID)
{
details.Add(args);
}
};
client.ExecDetails += clientOnExecDetails;
client.ExecutionDataEnd += clientOnExecutionDataEnd;
// no need to be fancy with request id since that's all this client does is 1 request
client.RequestExecutions(requestID, filter);
if (!manualResetEvent.WaitOne(5000))
{
throw new TimeoutException("InteractiveBrokersBrokerage.GetExecutions(): Operation took longer than 1 second.");
}
// remove our event handlers
client.ExecDetails -= clientOnExecDetails;
client.ExecutionDataEnd -= clientOnExecutionDataEnd;
}
return(details);
}
/// <summary>
/// Gets the execution details matching the filter
/// </summary>
/// <returns>A list of executions matching the filter</returns>
public List<IB.ExecDetailsEventArgs> GetExecutions(string symbol, IB.SecurityType? type, string exchange, DateTime? timeSince, IB.ActionSide? side)
{
var filter = new IB.ExecutionFilter
{
AcctCode = _account,
ClientId = _clientID,
Exchange = exchange,
SecurityType = type ?? IB.SecurityType.Undefined,
Symbol = symbol,
Time = timeSince ?? DateTime.MinValue,
Side = side ?? IB.ActionSide.Undefined
};
var details = new List<IB.ExecDetailsEventArgs>();
using (var client = new IB.IBClient())
{
client.Connect(_host, _port, IncrementClientID());
var manualResetEvent = new ManualResetEvent(false);
int requestID = GetNextRequestID();
// define our event handlers
EventHandler<IB.ExecutionDataEndEventArgs> clientOnExecutionDataEnd = (sender, args) =>
{
if (args.RequestId == requestID) manualResetEvent.Set();
};
EventHandler<IB.ExecDetailsEventArgs> clientOnExecDetails = (sender, args) =>
{
if (args.RequestId == requestID) details.Add(args);
};
client.ExecDetails += clientOnExecDetails;
client.ExecutionDataEnd += clientOnExecutionDataEnd;
// no need to be fancy with request id since that's all this client does is 1 request
client.RequestExecutions(requestID, filter);
if (!manualResetEvent.WaitOne(5000))
{
throw new TimeoutException("InteractiveBrokersBrokerage.GetExecutions(): Operation took longer than 1 second.");
}
// remove our event handlers
client.ExecDetails -= clientOnExecDetails;
client.ExecutionDataEnd -= clientOnExecutionDataEnd;
}
return details;
}
/// <summary>
/// Connects the client to the IB gateway
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
// set up event handlers
_client.UpdatePortfolio += HandlePortfolioUpdates;
_client.OrderStatus += HandleOrderStatusUpdates;
_client.UpdateAccountValue += HandleUpdateAccountValue;
_client.Error += HandleError;
// we need to wait until we receive the next valid id from the server
var manualResetEvent = new ManualResetEvent(false);
_client.NextValidId += (sender, e) =>
{
// only grab this id when we initialize, and we'll manually increment it here to avoid threading issues
if (_nextValidID == 0)
{
_nextValidID = e.OrderId;
manualResetEvent.Set();
}
Log.Trace("InteractiveBrokersBrokerage.HandleNextValidID(): " + e.OrderId);
};
int attempt = 1;
while (true)
{
try
{
Log.Trace("InteractiveBrokersBrokerage.Connect(): Attempting to connect (" + attempt + "/10) ...");
// we're going to try and connect several times, if successful break
_client.Connect(_host, _port, _clientID);
break;
}
catch (Exception err)
{
// max out at 10 attempts to connect
if (attempt++ < 10)
{
Thread.Sleep(5000);
continue;
}
// we couldn't connect after several attempts, log the error and throw an exception
Log.Error("InteractiveBrokersBrokerage.Connect(): " + err.Message);
throw;
}
}
// pause for a moment to receive next valid ID message from gateway
if (!manualResetEvent.WaitOne(1000))
{
// we timed out our wait for next valid id... we'll just log it
Log.Error("InteractiveBrokersBrokerage.Connect(): Timed out waiting for next valid ID event to fire.");
}
_client.RequestAccountUpdates(true, _account);
}