public static IBSocket SendCombo(this IBSocket socket, WeightedIndexSecurity security, IBOrderCondition condition = null)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
var innerSecurities = security.InnerSecurities.ToArray();
socket.Send(innerSecurities.Length);
foreach (var innerSecurity in innerSecurities)
{
var weight = security.Weights[innerSecurity];
socket
.SendContractId(innerSecurity.ToSecurityId())
.Send((int)weight.Abs())
.SendSide(weight >= 0 ? Sides.Buy : Sides.Sell)
.SendBoardCode(innerSecurity.Board.Code);
if (condition == null)
{
continue;
}
var shortSale = condition.Combo.ShortSales[innerSecurity.ToSecurityId()];
socket
.Send(shortSale.IsOpenOrClose)
.SendShortSale(shortSale, true);
}
return(socket);
}
public static IBSocket SendFinancialAdvisor(this IBSocket socket, IBOrderCondition.FinancialAdvisorAllocations?allocation)
{
if (allocation == null)
{
return(socket.Send(string.Empty));
}
switch (allocation.Value)
{
case IBOrderCondition.FinancialAdvisorAllocations.PercentChange:
return(socket.Send("PctChange"));
case IBOrderCondition.FinancialAdvisorAllocations.AvailableEquity:
return(socket.Send("AvailableEquity"));
case IBOrderCondition.FinancialAdvisorAllocations.NetLiquidity:
return(socket.Send("NetLiq"));
case IBOrderCondition.FinancialAdvisorAllocations.EqualQuantity:
return(socket.Send("EqualQuantity"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static OrderStatus ReadOrderStatus(this IBSocket socket)
{
var str = socket.ReadStr();
switch (str)
{
case "PendingSubmit":
return(OrderStatus.SentToServer);
case "PendingCancel":
return(OrderStatus.SentToCanceled);
case "PreSubmitted":
return(OrderStatus.ReceiveByServer);
case "Submitted":
return(OrderStatus.Accepted);
case "Cancelled":
return(OrderStatus.Cancelled);
case "Filled":
return(OrderStatus.Matched);
case "Inactive":
return(OrderStatus.GateError);
default:
throw new InvalidOperationException(LocalizedStrings.Str2503Params.Put(str));
}
}
public static IBSocket SendSecurity(this IBSocket socket, SecurityMessage security, bool sendPrimExchange = true, bool sendPrimExchange2 = true)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
var multiplier = security.Multiplier;
socket
.Send(security.Name)
.SendSecurityType(security.SecurityType)
.Send(security.ExpiryDate, _expiryFormat)
.Send(security.Strike)
.SendOptionType(security.OptionType)
.SendIf(ServerVersions.V15, s => s.Send(multiplier == 1 ? string.Empty : multiplier.To <string>()))
.SendBoardCode(security.SecurityId.BoardCode);
if (sendPrimExchange2)
{
socket.Send(security.SecurityId.BoardCode);
socket.Send(security.GetRoutingBoard());
}
else if (sendPrimExchange)
{
socket.SendPrimaryExchange(security);
}
return(socket
.SendCurrency(security.Currency)
.SendSecurityCode(security.SecurityId.SecurityCode));
}
public static IBSocket SendSecurityId(this IBSocket socket, SecurityId id)
{
if (socket.ServerVersion < ServerVersions.V45)
{
return(socket);
}
if (!id.Cusip.IsEmpty())
{
socket.Send("CUSIP");
socket.Send(id.Cusip);
}
else if (!id.Isin.IsEmpty())
{
socket.Send("ISIN");
socket.Send(id.Isin);
}
else if (!id.Sedol.IsEmpty())
{
socket.Send("SEDOL");
socket.Send(id.Sedol);
}
else if (!id.Ric.IsEmpty())
{
socket.Send("RIC");
socket.Send(id.Ric);
}
else
{
socket.Send(string.Empty);
socket.Send(string.Empty);
}
return(socket);
}
public static IBSocket SendFundamental(this IBSocket socket, FundamentalReports report)
{
switch (report)
{
case FundamentalReports.Overview:
return(socket.Send("ReportSnapshot"));
case FundamentalReports.Statements:
return(socket.Send("ReportsFinStatements"));
case FundamentalReports.Summary:
return(socket.Send("ReportsFinSummary"));
case FundamentalReports.Ratio:
return(socket.Send("ReportRatios"));
case FundamentalReports.Estimates:
return(socket.Send("RESC"));
case FundamentalReports.Calendar:
return(socket.Send("CalendarReport"));
default:
throw new ArgumentOutOfRangeException(nameof(report));
}
}
public static void ReadSecurityId(this IBSocket socket, SecurityId securityId)
{
var count = socket.ReadInt();
for (var i = 0; i < count; i++)
{
var idType = socket.ReadStr();
switch (idType)
{
case "CUSIP":
securityId.Cusip = socket.ReadStr();
break;
case "ISIN":
securityId.Isin = socket.ReadStr();
break;
case "SEDOL":
securityId.Sedol = socket.ReadStr();
break;
case "RIC":
securityId.Ric = socket.ReadStr();
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2509Params.Put(idType));
}
}
}
public static void ReadHedge(this IBSocket socket, IBOrderCondition ibCon)
{
var str = socket.ReadStr();
if (str.IsEmpty())
{
ibCon.Hedge.Type = null;
return;
}
switch (str)
{
case "D":
ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.Delta;
break;
case "B":
ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.Beta;
break;
case "F":
ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.FX;
break;
case "P":
ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.Pair;
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2508Params.Put(str));
}
ibCon.Hedge.Param = socket.ReadStr();
}
public static IBSocket SendIncludeExpired(this IBSocket socket, DateTimeOffset?expiryDate)
{
if (socket.ServerVersion < ServerVersions.V31)
{
return(socket);
}
return(socket.Send((expiryDate != null && !(expiryDate < DateTimeOffset.Now))));
}
public static IBSocket SendEndDate(this IBSocket socket, DateTimeOffset endDate)
{
if (socket.ServerVersion < ServerVersions.V20)
{
return(socket);
}
//yyyymmdd hh:mm:ss tmz
return(socket.Send(endDate.ToUniversalTime().ToString("yyyyMMdd HH:mm:ss") + " GMT"));
}
public static SecurityTypes ReadSecurityType(this IBSocket socket)
{
var str = socket.ReadStr();
switch (str)
{
case "STK":
case "SLB": // short stock
return(SecurityTypes.Stock);
case "FUT":
case "ICU":
case "ICS":
return(SecurityTypes.Future);
case "FOP": // option on fut
case "OPT":
case "IOPT": // interactive option
return(SecurityTypes.Option);
case "IND":
case "BAG":
case "BSK":
return(SecurityTypes.Index);
case "CASH":
return(SecurityTypes.Currency);
case "BOND":
case "BILL":
case "FIXED":
return(SecurityTypes.Bond);
case "FUND":
return(SecurityTypes.Fund);
case "WAR":
return(SecurityTypes.Warrant);
case "CFD":
return(SecurityTypes.Cfd);
case "FWD":
return(SecurityTypes.Forward);
case "NEWS":
return(SecurityTypes.News);
case "CMDTY":
return(SecurityTypes.Commodity);
default:
throw new InvalidOperationException(LocalizedStrings.Str2502Params.Put(str));
}
}
public static IBSocket SendPortfolio(this IBSocket socket, string portfolioName, bool allowNull = true)
{
if (!portfolioName.IsEmpty())
{
return(socket.ServerVersion < ServerVersions.V9 ? socket : socket.Send(portfolioName));
}
if (allowNull)
{
return(socket.Send(string.Empty));
}
throw new ArgumentNullException(nameof(portfolioName));
}
public static IBSocket SendIf(this IBSocket socket, ServerVersions minVersion, Action <IBSocket> handler)
{
if (handler == null)
{
throw new ArgumentNullException(nameof(handler));
}
if (socket.ServerVersion >= minVersion)
{
handler(socket);
}
return(socket);
}
public static IBSocket SendPrimaryExchange(this IBSocket socket, SecurityMessage security)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
if (socket.ServerVersion < ServerVersions.V14)
{
return(socket);
}
return(socket.SendBoardCode(security.GetRoutingBoard()));
}
public static Sides?ReadTradeSide(this IBSocket socket)
{
switch (socket.ReadStr())
{
case "BOT":
return(Sides.Buy);
case "SLD":
return(Sides.Sell);
default:
return(null);
}
}
public static IBSocket SendTimeFrame(this IBSocket socket, IBTimeFrames timeFrame)
{
if (timeFrame == null)
{
throw new ArgumentNullException(nameof(timeFrame));
}
if (socket.ServerVersion < ServerVersions.V20)
{
return(socket);
}
return(socket.Send(timeFrame.Interval));
}
public static IBSocket SendOrderExpiration(this IBSocket socket, OrderRegisterMessage msg)
{
if (msg == null)
{
throw new ArgumentNullException(nameof(msg));
}
if (msg.OrderType != OrderTypes.Conditional)
{
switch (msg.TimeInForce)
{
case TimeInForce.PutInQueue:
case null:
{
if (msg.TillDate == null || msg.TillDate == DateTimeOffset.MaxValue)
{
return(socket.Send("GTC"));
}
else if (msg.TillDate.Value.DateTime != DateTime.Today)
{
return(socket.Send("GTD"));
}
else
{
return(socket.Send("DAY"));
}
}
case TimeInForce.MatchOrCancel:
return(socket.Send("FOK"));
case TimeInForce.CancelBalance:
return(socket.Send("IOC"));
default:
throw new ArgumentOutOfRangeException();
}
}
else if (msg.OrderType == OrderTypes.Conditional)
{
var ibCon = (IBOrderCondition)msg.Condition;
return(socket.Send(ibCon.IsMarketOnOpen ? "OPG" : "DAY"));
}
else
{
throw new ArgumentException(LocalizedStrings.Str2501Params.Put(msg.Type), nameof(msg));
}
}
public static IBSocket SendShortSale(this IBSocket socket, IBOrderCondition.ShortSaleCondition shortSale, bool extendCode = false)
{
socket.Send((int)shortSale.Slot);
socket.Send(shortSale.Location);
if (extendCode)
{
if (socket.ServerVersion >= ServerVersions.V51)
{
socket.Send(shortSale.ExemptCode);
}
}
return(socket);
}
public static string ReadLocalCode(this IBSocket socket, string secCode)
{
if (secCode.IsEmpty())
{
throw new ArgumentNullException(nameof(secCode));
}
var localCode = socket.ReadStr();
if (localCode.IsEmpty())
{
return(secCode);
}
return(localCode);
}
public static Sides ReadOrderSide(this IBSocket socket)
{
var str = socket.ReadStr();
switch (str)
{
case "BUY":
return(Sides.Buy);
case "SELL":
return(Sides.Sell);
default:
throw new InvalidOperationException(LocalizedStrings.Str2506Params.Put(str));
}
}
public static IBOrderCondition.VolatilityTimeFrames?ReadVolatilityType(this IBSocket socket)
{
var str = socket.ReadStr();
if (str.IsEmpty())
{
return(null);
}
var value = str.To <int>();
if (value == 0)
{
return(null);
}
return((IBOrderCondition.VolatilityTimeFrames)value);
}
public static IBOrderCondition.ClearingIntents ReadIntent(this IBSocket socket)
{
var str = socket.ReadStr();
switch (str.ToUpperInvariant())
{
case "IB":
return(IBOrderCondition.ClearingIntents.Broker);
case "AWAY":
return(IBOrderCondition.ClearingIntents.Away);
case "PTA":
return(IBOrderCondition.ClearingIntents.PostTradeAllocation);
default:
throw new InvalidOperationException(LocalizedStrings.Str2510Params.Put(str));
}
}
public static IBSocket SendSide(this IBSocket socket, Sides?side)
{
if (side == null)
{
return(socket.Send(string.Empty));
}
switch (side.Value)
{
case Sides.Buy:
return(socket.Send("BUY"));
case Sides.Sell:
return(socket.Send("SELL"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendHedge(this IBSocket socket, IBOrderCondition condition)
{
if (condition == null)
{
throw new ArgumentNullException(nameof(condition));
}
if (socket.ServerVersion < ServerVersions.V54)
{
return(socket);
}
if (condition.Hedge.Type == null)
{
return(socket.Send(string.Empty));
}
else
{
switch (condition.Hedge.Type.Value)
{
case IBOrderCondition.HedgeTypes.Delta:
socket.Send("D");
break;
case IBOrderCondition.HedgeTypes.Beta:
socket.Send("B");
break;
case IBOrderCondition.HedgeTypes.FX:
socket.Send("F");
break;
case IBOrderCondition.HedgeTypes.Pair:
socket.Send("P");
break;
default:
throw new ArgumentOutOfRangeException();
}
return(socket.Send(condition.Hedge.Param));
}
}
public static IBOrderCondition.AgentDescriptions?ReadAgent(this IBSocket socket)
{
var str = socket.ReadStr();
if (str.IsEmpty())
{
return(null);
}
switch (str)
{
case "I":
return(IBOrderCondition.AgentDescriptions.Individual);
case "A":
return(IBOrderCondition.AgentDescriptions.Agency);
case "W":
return(IBOrderCondition.AgentDescriptions.AgentOtherMember);
case "J":
return(IBOrderCondition.AgentDescriptions.IndividualPTIA);
case "U":
return(IBOrderCondition.AgentDescriptions.AgencyPTIA);
case "M":
return(IBOrderCondition.AgentDescriptions.AgentOtherMemberPTIA);
case "K":
return(IBOrderCondition.AgentDescriptions.IndividualPT);
case "Y":
return(IBOrderCondition.AgentDescriptions.AgencyPT);
case "N":
return(IBOrderCondition.AgentDescriptions.AgentOtherMemberPT);
default:
throw new InvalidOperationException(LocalizedStrings.Str2507Params.Put(str));
}
}
public static IBSocket SendDeltaNeutral(this IBSocket socket, IBOrderCondition condition)
{
if (condition == null)
{
throw new ArgumentNullException(nameof(condition));
}
var volatility = condition.Volatility;
if (socket.ServerVersion < ServerVersions.V28)
{
return(socket.Send(volatility.OrderType == OrderTypes.Market));
}
else
{
socket.SendOrderType(volatility.OrderType, volatility.ExtendedOrderType);
socket.Send(volatility.StopPrice);
if (volatility.ExtendedOrderType != IBOrderCondition.ExtendedOrderTypes.Empty)
{
if (socket.ServerVersion >= ServerVersions.V58)
{
socket
.Send(volatility.ConId)
.Send(volatility.SettlingFirm)
.SendPortfolio(volatility.ClearingPortfolio)
.Send(volatility.ClearingIntent);
}
if (socket.ServerVersion >= ServerVersions.V66)
{
socket
.Send(volatility.ShortSale.IsOpenOrClose)
.Send(volatility.IsShortSale)
.SendShortSale(volatility.ShortSale);
}
}
return(socket);
}
}
public static IBSocket SendLevel1Field(this IBSocket socket, Level1Fields field)
{
switch (field)
{
case CandleDataTypes.Trades:
return(socket.Send("TRADES"));
case CandleDataTypes.Midpoint:
return(socket.Send("MIDPOINT"));
case CandleDataTypes.Bid:
return(socket.Send("BID"));
case CandleDataTypes.Ask:
return(socket.Send("ASK"));
case CandleDataTypes.BidAsk:
return(socket.Send("BID_ASK"));
case CandleDataTypes.HistoricalVolatility:
return(socket.Send("HISTORICAL_VOLATILITY"));
case CandleDataTypes.ImpliedVolatility:
return(socket.Send("OPTION_IMPLIED_VOLATILITY"));
case CandleDataTypes.YieldAsk:
return(socket.Send("YIELD_ASK"));
case CandleDataTypes.YieldBid:
return(socket.Send("YIELD_BID"));
case CandleDataTypes.YieldBidAsk:
return(socket.Send("YIELD_BID_ASK"));
case CandleDataTypes.YieldLast:
return(socket.Send("YIELD_LAST"));
default:
throw new ArgumentOutOfRangeException(nameof(field));
}
}
public static IBSocket SendAgent(this IBSocket socket, IBOrderCondition.AgentDescriptions?description)
{
if (description == null)
{
return(socket.Send(string.Empty));
}
switch (description.Value)
{
case IBOrderCondition.AgentDescriptions.Individual:
return(socket.Send("I"));
case IBOrderCondition.AgentDescriptions.Agency:
return(socket.Send("A"));
case IBOrderCondition.AgentDescriptions.AgentOtherMember:
return(socket.Send("W"));
case IBOrderCondition.AgentDescriptions.IndividualPTIA:
return(socket.Send("J"));
case IBOrderCondition.AgentDescriptions.AgencyPTIA:
return(socket.Send("U"));
case IBOrderCondition.AgentDescriptions.AgentOtherMemberPTIA:
return(socket.Send("M"));
case IBOrderCondition.AgentDescriptions.IndividualPT:
return(socket.Send("K"));
case IBOrderCondition.AgentDescriptions.AgencyPT:
return(socket.Send("Y"));
case IBOrderCondition.AgentDescriptions.AgentOtherMemberPT:
return(socket.Send("N"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendIntent(this IBSocket socket, IBOrderCondition.ClearingIntents?intent)
{
if (intent == null)
{
return(socket);
}
switch (intent.Value)
{
case IBOrderCondition.ClearingIntents.Broker:
return(socket.Send("IB"));
case IBOrderCondition.ClearingIntents.Away:
return(socket.Send("Away"));
case IBOrderCondition.ClearingIntents.PostTradeAllocation:
return(socket.Send("PTA"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendSecurityType(this IBSocket socket, SecurityTypes?securityType)
{
if (securityType == null)
{
return(socket.Send(string.Empty));
}
switch (securityType)
{
case SecurityTypes.Stock:
return(socket.Send("STK"));
case SecurityTypes.Future:
return(socket.Send("FUT"));
case SecurityTypes.Option:
return(socket.Send("OPT"));
case SecurityTypes.Index:
return(socket.Send("IND"));
case SecurityTypes.Currency:
return(socket.Send("CASH"));
case SecurityTypes.Bond:
return(socket.Send("BOND"));
case SecurityTypes.Warrant:
return(socket.Send("WAR"));
case SecurityTypes.Forward:
case SecurityTypes.Swap:
throw new NotSupportedException(LocalizedStrings.Str2499Params.Put(securityType));
default:
throw new ArgumentOutOfRangeException(nameof(securityType));
}
}
private void ReadFundamentalData(IBSocket socket)
{
var requestId = socket.ReadInt();
var data = socket.ReadStr();
SendOutMessage(new FundamentalReportMessage
{
Data = data,
OriginalTransactionId = requestId,
});
}
private void ReadPortfolio(IBSocket socket, ServerVersions version)
{
var name = socket.ReadStr();
var value = socket.ReadStr();
var currency = socket.ReadStr();
var port = version >= ServerVersions.V2 ? socket.ReadStr() : null;
if (port == null || currency == "BASE")
return;
var pfMsg = this.CreatePortfolioChangeMessage(port);
switch (name)
{
case "CashBalance":
pfMsg.Add(PositionChangeTypes.CurrentValue, value.To<decimal>());
break;
case "Currency":
pfMsg.Add(PositionChangeTypes.Currency, currency.To<CurrencyTypes>());
break;
case "RealizedPnL":
pfMsg.Add(PositionChangeTypes.RealizedPnL, value.To<decimal>());
break;
case "UnrealizedPnL":
pfMsg.Add(PositionChangeTypes.UnrealizedPnL, value.To<decimal>());
break;
case "NetLiquidation":
pfMsg.Add(PositionChangeTypes.CurrentPrice, value.To<decimal>());
break;
case "Leverage-S":
pfMsg.Add(PositionChangeTypes.Leverage, value.To<decimal>());
break;
default:
var info = pfMsg.ExtensionInfo = new Dictionary<object, object>();
if (currency.IsEmpty())
info[name] = value;
else
{
info[name] = new Currency
{
Type = currency.To<CurrencyTypes>(),
Value = value.To<decimal>(),
};
}
break;
}
SendOutMessage(pfMsg);
}
private void ReadAccountSummaryEnd(IBSocket socket)
{
var requestId = socket.ReadInt();
SendOutMessage(new PortfolioLookupResultMessage { OriginalTransactionId = requestId });
}
private bool ProcessTransactionResponse(IBSocket socket, ResponseMessages message, ServerVersions version)
{
switch (message)
{
case ResponseMessages.OrderStatus:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/orderstatus.htm
ReadOrderStatus(socket, version);
return true;
}
case ResponseMessages.Portfolio:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updateaccountvalue.htm
ReadPortfolio(socket, version);
return true;
}
case ResponseMessages.PortfolioPosition:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updateportfolio.htm
ReadPortfolioPosition(socket, version);
return true;
}
case ResponseMessages.PortfolioUpdateTime:
{
ReadPortfolioUpdateTime(socket);
return true;
}
case ResponseMessages.OpenOrder:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/openorder.htm
ReadOpenOrder(socket, version);
return true;
}
case ResponseMessages.NextOrderId:
{
ReadNextOrderId(socket);
return true;
}
case ResponseMessages.MyTrade:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execdetails.htm
ReadMyTrade(socket, version);
return true;
}
case ResponseMessages.ManagedAccounts:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/managedaccounts.htm
ReadManagedAccounts(socket);
return true;
}
case ResponseMessages.OpenOrderEnd:
{
//openOrderEnd(socket);
return true;
}
case ResponseMessages.AccountDownloadEnd:
{
ReadPortfolioName(socket);
return true;
}
case ResponseMessages.MyTradeEnd:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execdetailsend.htm
ReadMyTradeEnd(socket);
return true;
}
case ResponseMessages.CommissionReport:
{
ReadCommissionReport(socket);
return true;
}
case ResponseMessages.Position:
{
ReadPosition(socket, version);
return true;
}
case ResponseMessages.PositionEnd:
{
ReadPositionEnd(socket);
return true;
}
case ResponseMessages.AccountSummary:
{
ReadAccountSummary(socket);
return true;
}
case ResponseMessages.AccountSummaryEnd:
{
ReadAccountSummaryEnd(socket);
return true;
}
default:
return false;
}
}
private void ReadPositionEnd(IBSocket socket)
{
}
private void ReadCommissionReport(IBSocket socket)
{
var tradeId = socket.ReadStr();
var value = socket.ReadDecimal();
var currency = socket.ReadCurrency();
var pnl = socket.ReadNullDecimal();
var yield = socket.ReadNullDecimal();
var redemptionDate = socket.ReadNullDateTime("yyyyMMdd");
var secId = _secIdByTradeIds.TryGetValue2(tradeId);
if (secId == null)
return;
// TODO
//SendOutMessage(new ExecutionMessage
//{
// ExecutionType = ExecutionTypes.Trade,
// TradeStringId = tradeId,
// Commission = value,
// SecurityId = secId.Value,
//});
}
private void ReadMyTrade(IBSocket socket, ServerVersions version)
{
/* requestId */
if (version >= ServerVersions.V7)
socket.ReadInt();
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execution.htm
var transactionId = socket.ReadInt();
//Handle the 2^31-1 == 0 bug
if (transactionId == int.MaxValue)
transactionId = 0;
//Read Contract Fields
var contractId = version >= ServerVersions.V5 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V9 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var secClass = (version >= ServerVersions.V10) ? socket.ReadStr() : null;
var tradeId = socket.ReadStr();
var time = socket.ReadDateTime("yyyyMMdd HH:mm:ss");
var portfolio = socket.ReadStr();
/* exchange */
socket.ReadStr();
var side = socket.ReadTradeSide();
var volume = socket.ReadDecimal();
var price = socket.ReadDecimal();
var permId = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
var liquidation = version >= ServerVersions.V4 ? socket.ReadInt() : (int?)null;
var cumulativeQuantity = version >= ServerVersions.V6 ? socket.ReadInt() : (int?)null;
var averagePrice = version >= ServerVersions.V6 ? socket.ReadDecimal() : (decimal?)null;
var orderRef = version >= ServerVersions.V8 ? socket.ReadStr() : null;
var evRule = version >= ServerVersions.V9 ? socket.ReadStr() : null;
var evMultiplier = version >= ServerVersions.V9 ? socket.ReadDecimal() : (decimal?)null;
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
// заявка была создана руками
if (transactionId == 0)
return;
_secIdByTradeIds[tradeId] = secId;
var execMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = transactionId,
TradeStringId = tradeId,
OriginSide = side,
TradePrice = price,
TradeVolume = volume,
PortfolioName = portfolio,
ServerTime = time,
SecurityId = secId,
HasTradeInfo = true,
};
if (permId != null)
execMsg.SetPermId(permId.Value);
if (clientId != null)
execMsg.SetClientId(clientId.Value);
if (liquidation != null)
execMsg.SetLiquidation(liquidation.Value);
if (cumulativeQuantity != null)
execMsg.SetCumulativeQuantity(cumulativeQuantity.Value);
if (averagePrice != null)
execMsg.SetAveragePrice(averagePrice.Value);
if (orderRef != null)
execMsg.SetOrderRef(orderRef);
if (evRule != null)
execMsg.SetEvRule(evRule);
if (evMultiplier != null)
execMsg.SetEvMultiplier(evMultiplier.Value);
SendOutMessage(execMsg);
}
private void ReadNextOrderId(IBSocket socket)
{
((IncrementalIdGenerator)TransactionIdGenerator).Current = socket.ReadInt();
}
private void ReadTickOptionComputation(IBSocket socket, ServerVersions version)
{
var requestId = socket.ReadInt();
var fieldType = (FieldTypes)socket.ReadInt();
decimal? impliedVol = socket.ReadDecimal();
if (impliedVol < 0)
{
// -1 is the "not yet computed" indicator
impliedVol = null;
}
decimal? delta = socket.ReadDecimal();
if (Math.Abs(delta.Value) > 1)
{
// -2 is the "not yet computed" indicator
delta = null;
}
decimal? optPrice = null;
decimal? pvDividend = null;
decimal? gamma = null;
decimal? vega = null;
decimal? theta = null;
decimal? undPrice;
if (version >= ServerVersions.V6 || fieldType == FieldTypes.ModelOption)
{
// introduced in version == 5
optPrice = socket.ReadDecimal();
if (optPrice < 0)
{
// -1 is the "not yet computed" indicator
optPrice = null;
}
pvDividend = socket.ReadDecimal();
if (pvDividend < 0)
{
// -1 is the "not yet computed" indicator
pvDividend = null;
}
}
if (version >= ServerVersions.V6)
{
gamma = socket.ReadDecimal();
if (Math.Abs(gamma.Value) > 1)
{
// -2 is the "not yet computed" indicator
gamma = null;
}
vega = socket.ReadDecimal();
if (Math.Abs(vega.Value) > 1)
{
// -2 is the "not yet computed" indicator
vega = null;
}
theta = socket.ReadDecimal();
if (Math.Abs(theta.Value) > 1)
{
// -2 is the "not yet computed" indicator
theta = null;
}
undPrice = socket.ReadDecimal();
if (undPrice < 0)
{
// -1 is the "not yet computed" indicator
undPrice = null;
}
}
var l1Msg = GetLevel1Message(requestId)
.TryAdd(Level1Fields.Delta, delta)
.TryAdd(Level1Fields.Gamma, gamma)
.TryAdd(Level1Fields.Vega, vega)
.TryAdd(Level1Fields.Theta, theta)
.TryAdd(Level1Fields.ImpliedVolatility, impliedVol)
.TryAdd(Level1Fields.TheorPrice, optPrice)
.TryAdd(Level1Fields.Yield, pvDividend);
SendOutMessage(l1Msg);
//tickOptionComputation(tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta,
// undPrice);
}
private void ReadRealTimeBars(IBSocket socket)
{
var requestId = socket.ReadInt();
var time = socket.ReadLongDateTime();
var open = socket.ReadDecimal();
var high = socket.ReadDecimal();
var low = socket.ReadDecimal();
var close = socket.ReadDecimal();
var volume = socket.ReadLong();
var wap = socket.ReadDecimal();
var count = socket.ReadInt();
SendOutMessage(new TimeFrameCandleMessage
{
OpenPrice = open,
HighPrice = high,
LowPrice = low,
ClosePrice = close,
TotalVolume = volume,
OpenTime = time,
CloseVolume = count,
SecurityId = GetSecurityId(requestId),
OriginalTransactionId = requestId,
});
//realTimeBar(reqId, time, open, high, low, close, volume, wap, count);
}
private void ReadScannerParameters(IBSocket socket)
{
var xml = socket.ReadStr();
SendOutMessage(new ScannerParametersMessage { Parameters = xml });
}
private void ReadPortfolioUpdateTime(IBSocket socket)
{
/*var timeStamp = */socket.ReadStr();
//updateAccountTime(timeStamp);
}
private void ReadTickGeneric(IBSocket socket)
{
var requestId = socket.ReadInt();
var field = (FieldTypes)socket.ReadInt();
var valueRenamed = socket.ReadDecimal();
ProcessTick(requestId, field, valueRenamed, null);
//tickGeneric(tickerId, (FieldTypes) tickType, valueRenamed);
}
private void ReadSecurityInfoEnd(IBSocket socket)
{
SendOutMessage(new SecurityLookupResultMessage { OriginalTransactionId = socket.ReadInt() });
}
private void ReadManagedAccounts(IBSocket socket)
{
var names = socket.ReadStr().Split(',');
//managedAccounts(accountsList);
names.ForEach(pf => SendOutMessage(new PortfolioMessage { PortfolioName = pf }));
}
private void ReadDeltaNuetralValidation(IBSocket socket)
{
/* requestId */
socket.ReadInt();
//UnderComp underComp = new UnderComp();
//underComp.ConId =
socket.ReadInt();
//underComp.Delta =
socket.ReadDecimal();
//underComp.Price =
socket.ReadDecimal();
//deltaNuetralValidation(reqId, underComp);
}
private void ReadMyTradeEnd(IBSocket socket)
{
/* requestId */
socket.ReadInt();
//executionDataEnd(reqId);
}
private void ReadTickSnapshotEnd(IBSocket socket)
{
/*var requestId = */socket.ReadInt();
//SendOutMessage(_level1Messages.GetAndRemove(requestId));
}
private void ReadPosition(IBSocket socket, ServerVersions version)
{
var account = socket.ReadStr();
var contractId = socket.ReadInt();
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = socket.ReadMultiplier();
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var secClass = (version >= ServerVersions.V2) ? socket.ReadStr() : null;
var pos = socket.ReadDecimal();
var avgCost = 0m;
if (version >= ServerVersions.V3)
avgCost = socket.ReadDecimal();
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
SendOutMessage(this
.CreatePositionChangeMessage(account, secId)
.Add(PositionChangeTypes.CurrentValue, pos)
.Add(PositionChangeTypes.AveragePrice, avgCost));
}
private void ReadMarketDataType(IBSocket socket)
{
/* requestId */
socket.ReadInt();
IsRealTimeMarketData = socket.ReadBool();
//marketDataType(reqId, mdt);
}
private void ReadAccountSummary(IBSocket socket)
{
/* requestId */
socket.ReadInt();
var account = socket.ReadStr();
var tag = socket.ReadStr().To<AccountSummaryTag>();
var value = socket.ReadStr();
var currency = socket.ReadCurrency();
var msg = this.CreatePortfolioChangeMessage(account);
msg.Add(PositionChangeTypes.Currency, currency);
switch (tag)
{
case AccountSummaryTag.TotalCashValue:
msg.Add(PositionChangeTypes.CurrentValue, value.To<decimal>());
break;
case AccountSummaryTag.SettledCash:
msg.Add(PositionChangeTypes.BlockedValue, value.To<decimal>());
break;
case AccountSummaryTag.AccruedCash:
msg.Add(PositionChangeTypes.VariationMargin, value.To<decimal>());
break;
case AccountSummaryTag.InitMarginReq:
msg.Add(PositionChangeTypes.BeginValue, value.To<decimal>());
break;
case AccountSummaryTag.Leverage:
msg.Add(PositionChangeTypes.Leverage, value.To<decimal>());
break;
}
SendOutMessage(msg);
}
private void ReadFinancialAdvice(IBSocket socket)
{
var type = socket.ReadInt();
var xml = socket.ReadStr();
SendOutMessage(new FinancialAdviseMessage
{
AdviseType = type,
Data = xml
});
}
private void ReadPortfolioName(IBSocket socket)
{
/*var str = */socket.ReadStr();
//return str.IsEmpty() ? null : str;
}
private bool ProcessMarketDataResponse(IBSocket socket, ResponseMessages message, ServerVersions version)
{
switch (message)
{
case ResponseMessages.TickPrice:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickprice.htm
ReadTickPrice(socket, version);
return true;
}
case ResponseMessages.TickVolume:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/ticksize.htm
ReadTickVolume(socket);
return true;
}
case ResponseMessages.TickOptionComputation:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickoptioncomputation.htm
ReadTickOptionComputation(socket, version);
return true;
}
case ResponseMessages.TickGeneric:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickgeneric.htm
ReadTickGeneric(socket);
return true;
}
case ResponseMessages.TickString:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickstring.htm
ReadTickString(socket);
return true;
}
case ResponseMessages.TickEfp:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickefp.htm
ReadTickEfp(socket);
return true;
}
case ResponseMessages.ScannerData:
{
ReadScannerData(socket, version);
return true;
}
case ResponseMessages.SecurityInfo:
{
ReadSecurityInfo(socket, version);
return true;
}
case ResponseMessages.BondInfo:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/bondcontractdetails.htm
ReadBondInfo(socket, version);
return true;
}
case ResponseMessages.MarketDepth:
case ResponseMessages.MarketDepthL2:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updatemktdepth.htm
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updatemktdepthl2.htm
ReadMarketDepth(socket, message);
return true;
}
case ResponseMessages.NewsBulletins:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updatenewsbulletin.htm
ReadNewsBulletins(socket);
return true;
}
case ResponseMessages.FinancialAdvice:
{
ReadFinancialAdvice(socket);
return true;
}
case ResponseMessages.HistoricalData:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/historicaldata.htm
ReadHistoricalData(socket, version);
return true;
}
case ResponseMessages.ScannerParameters:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/scannerparameters.htm
ReadScannerParameters(socket);
return true;
}
case ResponseMessages.RealTimeBars:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/realtimebar.htm
ReadRealTimeBars(socket);
return true;
}
case ResponseMessages.FundamentalData:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/fundamentaldata.htm
ReadFundamentalData(socket);
return true;
}
case ResponseMessages.SecurityInfoEnd:
{
ReadSecurityInfoEnd(socket);
return true;
}
case ResponseMessages.DeltaNuetralValidation:
{
ReadDeltaNuetralValidation(socket);
return true;
}
case ResponseMessages.TickSnapshotEnd:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/ticksnapshotend.htm
ReadTickSnapshotEnd(socket);
return true;
}
case ResponseMessages.MarketDataType:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/marketdatatype.htm
ReadMarketDataType(socket);
return true;
}
default:
return false;
}
}
private void ReadOrderStatus(IBSocket socket, ServerVersions version)
{
var id = socket.ReadInt();
var status = socket.ReadOrderStatus();
/* filled */
socket.ReadInt();
var balance = socket.ReadDecimal();
var avgPrice = socket.ReadDecimal();
var permId = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var parentId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
var lastTradePrice = version >= ServerVersions.V4 ? socket.ReadDecimal() : (decimal?)null;
var clientId = version >= ServerVersions.V5 ? socket.ReadInt() : (int?)null;
var whyHeld = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var execMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = id,
Balance = balance,
OrderStatus = status,
OrderState = status.ToOrderState(),
HasOrderInfo = true,
};
execMsg.SetAveragePrice(avgPrice);
if (permId != null)
execMsg.SetPermId(permId.Value);
if (parentId != null)
execMsg.Condition = new IBOrderCondition { ParentId = parentId.Value };
if (lastTradePrice != null)
execMsg.SetLastTradePrice(lastTradePrice.Value);
if (clientId != null)
execMsg.SetClientId(clientId.Value);
if (whyHeld != null)
execMsg.SetWhyHeld(whyHeld);
SendOutMessage(execMsg);
}
private void ReadTickPrice(IBSocket socket, ServerVersions version)
{
var requestId = socket.ReadInt();
var priceField = (FieldTypes)socket.ReadInt();
var price = socket.ReadDecimal();
var volume = version >= ServerVersions.V2 ? socket.ReadInt() : (decimal?)null;
var canAutoExecute = version >= ServerVersions.V3 ? socket.ReadBool() : (bool?)null;
ProcessTick(requestId, priceField, price, volume);
}
private void ReadPortfolioPosition(IBSocket socket, ServerVersions version)
{
var contractId = version >= ServerVersions.V6 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V7 ? socket.ReadMultiplier() : null;
var boardCode = version >= ServerVersions.V7 ? socket.ReadBoardCode() : null;
var currency = socket.ReadCurrency();
var secCode = (version >= ServerVersions.V2) ? socket.ReadStr() : secName;
var secClass = (version >= ServerVersions.V8) ? socket.ReadStr() : null;
var position = socket.ReadDecimal();
var marketPrice = socket.ReadDecimal();
var marketValue = socket.ReadDecimal();
var averagePrice = 0m;
var unrealizedPnL = 0m;
var realizedPnL = 0m;
if (version >= ServerVersions.V3)
{
averagePrice = socket.ReadDecimal();
unrealizedPnL = socket.ReadDecimal();
realizedPnL = socket.ReadDecimal();
}
var portfolio = version >= ServerVersions.V4 ? socket.ReadStr() : null;
if (version == ServerVersions.V6 && socket.ServerVersion == ServerVersions.V39)
boardCode = socket.ReadBoardCode();
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
if (portfolio.IsEmpty())
return;
SendOutMessage(
this
.CreatePositionChangeMessage(portfolio, secId)
.Add(PositionChangeTypes.CurrentValue, position)
.Add(PositionChangeTypes.CurrentPrice, marketPrice)
.Add(PositionChangeTypes.AveragePrice, averagePrice)
.Add(PositionChangeTypes.UnrealizedPnL, unrealizedPnL)
.Add(PositionChangeTypes.RealizedPnL, realizedPnL));
// TODO
//pos.SetMarketValue(marketValue);
}
private void ReadTickVolume(IBSocket socket)
{
var requestId = socket.ReadInt();
var volumeType = (FieldTypes)socket.ReadInt();
var volume = socket.ReadInt();
ProcessTick(requestId, volumeType, 0, volume);
}
private void ReadOpenOrder(IBSocket socket, ServerVersions version)
{
var transactionId = socket.ReadInt();
var contractId = version >= ServerVersions.V17 ? socket.ReadInt() : -1;
var secCode = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V32 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
secCode = version >= ServerVersions.V2 ? socket.ReadLocalCode(secCode) : null;
var secClass = (version >= ServerVersions.V32) ? socket.ReadStr() : null;
var ibCon = new IBOrderCondition();
// read order fields
var direction = socket.ReadOrderSide();
var volume = socket.ReadDecimal();
OrderTypes orderType;
IBOrderCondition.ExtendedOrderTypes? extendedType;
socket.ReadOrderType(out orderType, out extendedType);
ibCon.ExtendedType = extendedType;
var price = socket.ReadDecimal();
ibCon.StopPrice = socket.ReadDecimal();
var expiration = socket.ReadStr();
ibCon.Oca.Group = socket.ReadStr();
var portfolio = socket.ReadStr();
ibCon.IsOpenOrClose = socket.ReadStr() == "O";
ibCon.Origin = (IBOrderCondition.OrderOrigins)socket.ReadInt();
var comment = socket.ReadStr();
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
int? permId = null;
if (version >= ServerVersions.V4)
{
permId = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_ignoreRth = */
socket.ReadBool();
}
else
ibCon.OutsideRth = socket.ReadBool();
ibCon.Hidden = socket.ReadBool();
ibCon.SmartRouting.DiscretionaryAmount = socket.ReadDecimal();
}
if (version >= ServerVersions.V5)
ibCon.GoodAfterTime = socket.ReadNullDateTime(IBSocketHelper.TimeFormat);
if (version >= ServerVersions.V6)
{
// skip deprecated sharesAllocation field
socket.ReadStr();
}
if (version >= ServerVersions.V7)
{
ibCon.FinancialAdvisor.Group = socket.ReadStr();
ibCon.FinancialAdvisor.Allocation = socket.ReadFinancialAdvisor();
ibCon.FinancialAdvisor.Percentage = socket.ReadStr();
ibCon.FinancialAdvisor.Profile = socket.ReadStr();
}
var orderExpiryDate = version >= ServerVersions.V8 ? socket.ReadNullDateTime(IBSocketHelper.TimeFormat) : null;
var visibleVolume = volume;
if (version >= ServerVersions.V9)
{
ibCon.Agent = socket.ReadAgent();
ibCon.PercentOffset = socket.ReadDecimal();
ibCon.Clearing.SettlingFirm = socket.ReadStr();
ibCon.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.ShortSale.Location = socket.ReadStr();
if (socket.ServerVersion == ServerVersions.V51)
socket.ReadInt(); //exempt code
else if (version >= ServerVersions.V23)
ibCon.ShortSale.ExemptCode = socket.ReadInt();
ibCon.AuctionStrategy = (IBOrderCondition.AuctionStrategies)socket.ReadInt();
ibCon.StartingPrice = socket.ReadDecimal();
ibCon.StockRefPrice = socket.ReadDecimal();
ibCon.Delta = socket.ReadDecimal();
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
visibleVolume = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_rthOnly = */
socket.ReadBool();
}
ibCon.BlockOrder = socket.ReadBool();
ibCon.SweepToFill = socket.ReadBool();
ibCon.AllOrNone = socket.ReadBool();
ibCon.MinVolume = socket.ReadInt();
ibCon.Oca.Type = (IBOrderCondition.OcaTypes)socket.ReadInt();
ibCon.SmartRouting.ETradeOnly = socket.ReadBool();
ibCon.SmartRouting.FirmQuoteOnly = socket.ReadBool();
ibCon.SmartRouting.NbboPriceCap = socket.ReadDecimal();
}
if (version >= ServerVersions.V10)
{
ibCon.ParentId = socket.ReadInt();
ibCon.TriggerMethod = (IBOrderCondition.TriggerMethods)socket.ReadInt();
}
if (version >= ServerVersions.V11)
{
ibCon.Volatility.Volatility = socket.ReadDecimal();
ibCon.Volatility.VolatilityTimeFrame = socket.ReadVolatilityType();
if (version == ServerVersions.V11)
{
if (!socket.ReadBool())
ibCon.Volatility.ExtendedOrderType = IBOrderCondition.ExtendedOrderTypes.Empty;
else
ibCon.Volatility.OrderType = OrderTypes.Market;
}
else
{
OrderTypes volOrdertype;
IBOrderCondition.ExtendedOrderTypes? volExtendedType;
socket.ReadOrderType(out volOrdertype, out volExtendedType);
ibCon.Volatility.OrderType = volOrdertype;
ibCon.Volatility.ExtendedOrderType = volExtendedType;
ibCon.Volatility.StopPrice = socket.ReadDecimal();
if (volExtendedType != IBOrderCondition.ExtendedOrderTypes.Empty)
{
if (version >= ServerVersions.V27)
{
ibCon.Volatility.ConId = socket.ReadInt();
ibCon.Volatility.SettlingFirm = socket.ReadStr();
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Volatility.ClearingPortfolio = portfolioName;
ibCon.Volatility.ClearingIntent = socket.ReadStr();
}
if (version >= ServerVersions.V31)
{
var isOpenOrCloseStr = socket.ReadStr();
ibCon.Volatility.ShortSale.IsOpenOrClose = isOpenOrCloseStr == "?" ? (bool?)null : isOpenOrCloseStr.To<int>() == 1;
ibCon.Volatility.IsShortSale = socket.ReadBool();
ibCon.Volatility.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.Volatility.ShortSale.Location = socket.ReadStr();
}
}
}
ibCon.Volatility.ContinuousUpdate = socket.ReadBool();
if (socket.ServerVersion == ServerVersions.V26)
{
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
}
ibCon.Volatility.IsAverageBestPrice = socket.ReadBool();
}
if (version >= ServerVersions.V13)
ibCon.TrailStopPrice = socket.ReadDecimal();
if (version >= ServerVersions.V30)
ibCon.TrailStopVolumePercentage = socket.ReadNullDecimal();
if (version >= ServerVersions.V14)
{
ibCon.Combo.BasisPoints = socket.ReadDecimal();
ibCon.Combo.BasisPointsType = socket.ReadInt();
ibCon.Combo.LegsDescription = socket.ReadStr();
}
if (version >= ServerVersions.V29)
{
var comboLegsCount = socket.ReadInt();
if (comboLegsCount > 0)
{
//contract.m_comboLegs = new Vector(comboLegsCount);
for (var i = 0; i < comboLegsCount; ++i)
{
//int conId =
socket.ReadInt();
//int ratio =
socket.ReadInt();
//String action =
socket.ReadStr();
//String exchange =
socket.ReadStr();
//int openClose =
socket.ReadInt();
//int shortSaleSlot =
socket.ReadInt();
//String designatedLocation =
socket.ReadStr();
//int exemptCode =
socket.ReadInt();
//ComboLeg comboLeg = new ComboLeg(conId, ratio, action, exchange, openClose,
// shortSaleSlot, designatedLocation, exemptCode);
//contract.m_comboLegs.add(comboLeg);
}
}
var orderComboLegsCount = socket.ReadInt();
if (orderComboLegsCount > 0)
{
//order.m_orderComboLegs = new Vector(orderComboLegsCount);
for (var i = 0; i < orderComboLegsCount; ++i)
{
//var comboPrice =
socket.ReadNullDecimal();
//OrderComboLeg orderComboLeg = new OrderComboLeg(comboPrice);
//order.m_orderComboLegs.add(orderComboLeg);
}
}
}
if (version >= ServerVersions.V26)
{
var smartComboRoutingParamsCount = socket.ReadInt();
if (smartComboRoutingParamsCount > 0)
{
var @params = new List<Tuple<string, string>>();
for (var i = 0; i < smartComboRoutingParamsCount; ++i)
@params.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.SmartRouting.ComboParams = @params;
}
}
if (version >= ServerVersions.V15)
{
if (version >= ServerVersions.V20)
{
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
ibCon.Scale.SubsLevelSize = socket.ReadNullInt();
}
else
{
/* int notSuppScaleNumComponents = */
socket.ReadNullInt();
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
}
ibCon.Scale.PriceIncrement = socket.ReadNullDecimal();
}
if (version >= ServerVersions.V28 && ibCon.Scale.PriceIncrement > 0)
{
ibCon.Scale.PriceAdjustValue = socket.ReadNullDecimal();
ibCon.Scale.PriceAdjustInterval = socket.ReadInt();
ibCon.Scale.ProfitOffset = socket.ReadNullDecimal();
ibCon.Scale.AutoReset = socket.ReadBool();
ibCon.Scale.InitPosition = socket.ReadNullInt();
ibCon.Scale.InitFillQty = socket.ReadNullInt();
ibCon.Scale.RandomPercent = socket.ReadBool();
}
if (version >= ServerVersions.V24)
socket.ReadHedge(ibCon);
if (version >= ServerVersions.V25)
ibCon.SmartRouting.OptOutSmartRouting = socket.ReadBool();
if (version >= ServerVersions.V19)
{
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Clearing.ClearingPortfolio = portfolioName;
ibCon.Clearing.Intent = socket.ReadIntent();
}
if (version >= ServerVersions.V22)
ibCon.SmartRouting.NotHeld = socket.ReadBool();
if (version >= ServerVersions.V20)
{
if (socket.ReadBool())
{
//UnderlyingComponent underComp = new UnderlyingComponent();
//underComp.ContractId =
socket.ReadInt();
//underComp.Delta =
socket.ReadDecimal();
//underComp.Price =
socket.ReadDecimal();
//contract.UnderlyingComponent = underComp;
}
}
if (version >= ServerVersions.V21)
{
ibCon.Algo.Strategy = socket.ReadStr();
if (!ibCon.Algo.Strategy.IsEmpty())
{
var algoParamsCount = socket.ReadInt();
if (algoParamsCount > 0)
{
var algoParams = new List<Tuple<string, string>>();
for (var i = 0; i < algoParamsCount; i++)
algoParams.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.Algo.Params = algoParams;
}
}
}
//OrderState orderState = new OrderState();
OrderStatus? status = null;
if (version >= ServerVersions.V16)
{
socket.ReadStr();
//order.WhatIf = !(string.IsNullOrEmpty(rstr) || rstr == "0");
status = socket.ReadOrderStatus();
//orderState.InitMargin =
socket.ReadStr();
//orderState.MaintMargin =
socket.ReadStr();
//orderState.EquityWithLoan =
socket.ReadStr();
//orderState.IbCommission =
socket.ReadNullDecimal();
//orderState.MinCommission =
socket.ReadNullDecimal();
//orderState.MaxCommission =
socket.ReadNullDecimal();
//orderState.CommissionCurrency =
socket.ReadStr();
//orderState.WarningText =
socket.ReadStr();
}
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Class = secClass,
SecurityType = type,
Currency = currency,
Multiplier = multiplier ?? 0,
});
var orderMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
SecurityId = secId,
OriginalTransactionId = transactionId,
OrderType = orderType,
Side = direction,
OrderVolume = volume,
OrderPrice = price,
Condition = ibCon,
ExpiryDate = orderExpiryDate,
VisibleVolume = visibleVolume,
PortfolioName = portfolio,
Comment = comment,
OrderStatus = status,
OrderState = status?.ToOrderState(),
HasOrderInfo = true,
};
if (orderMsg.OrderState == OrderStates.Active || orderMsg.OrderState == OrderStates.Done)
orderMsg.OrderId = transactionId;
switch (expiration)
{
case "DAY":
orderMsg.TimeInForce = TimeInForce.PutInQueue;
break;
case "GTC":
//orderMsg.ExpiryDate = DateTimeOffset.MaxValue;
break;
case "IOC":
orderMsg.TimeInForce = TimeInForce.CancelBalance;
break;
case "FOK":
orderMsg.TimeInForce = TimeInForce.MatchOrCancel;
break;
case "GTD":
break;
case "OPG":
ibCon.IsMarketOnOpen = true;
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2515Params.Put(expiration));
}
if (clientId != null)
orderMsg.SetClientId(clientId.Value);
if (permId != null)
orderMsg.SetPermId(permId.Value);
SendOutMessage(orderMsg);
}
private void ReadHistoricalData(IBSocket socket, ServerVersions version)
{
var requestId = socket.ReadInt();
if (version >= ServerVersions.V2)
{
//Read Start Date String
/*String startDateStr = */
socket.ReadStr();
/*String endDateStr = */
socket.ReadStr();
//completedIndicator += ("-" + startDateStr + "-" + endDateStr);
}
var secId = GetSecurityId(requestId);
var itemCount = socket.ReadInt();
for (var i = 0; i < itemCount; i++)
{
//Comes in as seconds
//2 - dates are returned as a long integer specifying the number of seconds since 1/1/1970 GMT.
var time = socket.ReadLongDateTime();
var open = socket.ReadDecimal();
var high = socket.ReadDecimal();
var low = socket.ReadDecimal();
var close = socket.ReadDecimal();
var volume = socket.ReadInt();
var wap = socket.ReadDecimal();
/* hasGaps */
socket.ReadStr().To<bool>();
var barCount = -1;
if (version >= ServerVersions.V3)
barCount = socket.ReadInt();
SendOutMessage(new TimeFrameCandleMessage
{
OpenPrice = open,
HighPrice = high,
LowPrice = low,
ClosePrice = close,
TotalVolume = volume,
OpenTime = time,
TotalTicks = barCount,
SecurityId = secId,
OriginalTransactionId = requestId,
State = CandleStates.Finished,
IsFinished = i == (itemCount - 1)
});
}
}